FAM-ily  

Financial and Actuarial Mathematics  
at Vienna University of Technology, Austria  

 

Timetable

FAM-Seminars

Tuesdays, 16:30 - max. 18:00, seminar room DA grün 06, TU Vienna, "Freihaus", green section, 6th floor.

(hide past seminars)
We, 11.10.2017
Sabrina Mulinacci homepage (University of Bologna, IT)
16:30, Seminarraum DB gelb 05A (Freihaus, 5th floor, yellow area)
C-convolution based stochastic processes in discrete time and financial prices dynamics
Colloquium in Statistics and Mathematical Methods in Economics
Tu, 10.10.2017
Sabrina Mulinacci homepage (University of Bologna, IT)
16:30, Böcklsaal (TU Wien, Hauptgebäude, Stiege 1, 1. Stock)
Asymptotic methods and approximations on financial markets with stochastic volatility
Vortragsreihe aus Finanz- und Versicherungsmathematik
Tu, 26.09.2017
Marc Linde (BELTIOS P&C GmbH, DE)
16:30, FH 8 Nöbauer HS (Freihaus, 2. OG, gelber Bereich)
Erfahrungen mit der versicherungsmathematischen Funktion in Schaden/Unfall
Veranstaltungsreihe "Actuarial Modelling Club"
Mo, 19.06.2017
Arpad Pinter (FAM @ TU Wien)
12:00, seminar room DA grün 05 (Freihaus, 5th floor, green area)
Small-Time Asymptotics, Moment Explosion and the Moderate Deviations Regime
(Public PhD Thesis Defense) (open abstract)
Tu, 24.01.2017
Zbigniew Palmowski (University of Wroclaw, Poland)
16:30, seminar room DA grün 06 (Freihaus, 6th floor, green area)
On optimal dividend problem for an insurance risk models with surplus-dependent premiums
(FAM Research Seminar) (open abstract)
Fr, 20.01.2017
Piet Porkert (FAM @ TU Wien)
12:00, Zeichensaal 3 (Freihaus, 7th floor, green area)
Central and Non-Central Limit Theorems
(Public PhD Thesis Defense) (open abstract)
Tu, 17.01.2017
Robert Schöftner (core dynamics GmbH, CH)
16:30, FH 8 Nöbauer HS (Freihaus, 2. OG, gelber Bereich)
Kreditrisikomodellierung für Versicherer - Praktische Kalibrierung von Portfoliomodellen und Rating-Tools
Veranstaltungsreihe "Actuarial Modelling Club"
Tu, 29.11.2016
Florian Gach, Martin Hahn (FMA - Österreichische Finanzmarktaufsicht)
16:30, GM 3 Vortmann Hörsaal (Getreidemarkt 9, Bauteil BA, 2.OG)
The Smith-Wilson curve - Mathematics and supervision
Veranstaltungsreihe "Actuarial Modelling Club"
Tu, 11.10.2016
Yuliya Mishura homepage (Taras Shevchenko National University of Kyiv)
16:30, Seminarraum BD 02 (Getreidemarkt 4, building BD, 2nd floor)
Asymptotic methods and approximations on financial markets with stochastic volatility
Vortragsreihe aus Finanz- und Versicherungsmathematik
Th, 25.08.2016
Stefan Nörtemann (msg life central europe gmbh)
16:00, Freihaus Hörsaal 8 (Freihaus, 2. Stock, gelber Bereich)
"Big Data & Insurance Analytics im Spannungsfeld zwischen Innovation und Datenschutz"
Veranstaltungsreihe "Actuarial Modelling Club"
We, 22.06.2016
Onnen Siems, Carina Götzen (Meyerthole Siems Kohlruss, DE)
16:30, Freihaus Hörsaal 3 (Freihaus, 2. Stock, gelber Bereich)
Praxisbericht - "Data-Based Storm Modelling"
Veranstaltungsreihe "Actuarial Modelling Club"
Th, 16.06.2016
Ronald Laszlo (Vienna Insurance Group), Karin Nowak (B&W Deloitte)
16:00, Freihaus Hörsaal 3 (Freihaus, 2. Stock, gelber Bereich)
"Herausforderung Immobilien unter Solvency II"
Veranstaltungsreihe "Actuarial Modelling Club"
Mo, 07.03.2016
Cetin Gülüm (FAM @ TU Wien)
10:00, Zeichensaal 3 (Freihaus, 7. floor, green area)
Consistency of Option Prices under Bid-Ask Spreads and Implied Volatility Slope Asymptotics
(Public PhD Thesis Defense) (open abstract)
We, 18.11.2015
Thorsten Rheinländer homepage (FAM @ TU Wien)
19:00, Zeichensaal 3, Freihaus, 7.OG, grüner Bereich (gegenüber Lift)
Flash Crashes an den Börsen und automatisierter Hochfrequenzhandel
Öffentliche Veranstaltung des Lions Club Wien Ambassador (Ankündigung/Flyer)
Th, 01.10.2015
Mario Kasper (SCOR Global Life SE, Vienna)
16:30, Freihaus Hörsaal 6 (Freihaus, 2. Stock, grüner Bereich)
Der graue Planet - Einige Gedanken zur Entwicklung der Lebenserwartung
Veranstaltungsreihe "Actuarial Modelling Club"
Fr, 03.07.2015
Stefan Thonhauser (TU Graz)
Über Optimierungsprobleme aus der Versicherungsmathematik
11:00, seminar room 105A (Freihaus, yellow area, 4th floor) (open abstract)
Fr, 03.07.2015
Stefan Gerhold (FAM @ TU Wien)
Asymptotische Approximationen von Optionspreisen
9:30, seminar room 105A (Freihaus, yellow area, 4th floor) (open abstract)
Th, 25.06.2015
Thomas Viehmann, Andrea Rauter (B&W Deloitte)
16:30, Hörsaal 6 (Hauptgebäude der TU Wien, Karlsplatz 13, Stiege 2, Erdgeschoß)
Negative Zinsen und hohe Volatilität - Herausforderungen für die Kapitalmarktmodellierung
Veranstaltungsreihe "Actuarial Modelling Club"
Tu, 23.06.2015
Alois Gisler homepage (RiskLab, ETH Zürich)
16:30, GM 4 Knoller Hörsaal (Getreidemarkt 4, building BD, 2nd floor)
Das Chain-Ladder Reserve-Risiko neu betrachtet
Vortragsreihe aus Finanz- und Versicherungsmathematik
We, 19.06.2015
Tilmann Blümmel (FAM @ TU Wien)
12:30, seminar room 104 (Freihaus, green area, 5th floor)
Martingalzerlegungssätze und die Struktur von No Arbitrage
(Public PhD Thesis Defense) (open abstract)
Tu, 09.06.2015
Pavel V. Shevchenko (CSIRO Australia)
16:30, Hörsaal 6 (Hauptgebäude der TU Wien, Karlsplatz 13, Stiege 2, Erdgeschoß)
Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit and capital protection options via stochastic control optimization
Vortragsreihe aus Finanz- und Versicherungsmathematik
We, 09.06.2015
Jonas Hirz (FAM @ TU Wien)
9:00, seminar room 104 (Freihaus, green area, 5th floor)
Advanced Conditional Risk Measurement and Risk Aggregation with Applications to Credit and Life Insurance
(Public PhD Thesis Defense) (open abstract)
Tu, 19.05.2015
René Knapp (UNIQA, Vienna)
16:30, Böcklsaal (Hauptgebäude der TU Wien, Karlsplatz 13, Stiege 1, 1. Stock)
Bestandsmanagement in der Lebensversicherung - ein Praxisbericht
Veranstaltungsreihe "Actuarial Modelling Club"
Tu, 17.03.2015
Jonas Hirz (FAM @ TU Wien)
16:30, for room see announcement
Ein Modell zur Risikoaggregation in Pensions- und Lebensversicherungsportfolios
Vortragsreihe aus Finanz- und Versicherungsmathematik
Tu, 25.11.2014
Stefan Thonhauser (TU Graz)
16:30, Seminarraum 107 (Freihaus, 6th floor, green section)
Optimal reinsurance in risk theory (open abstract)
Tu, 24.06.2014
Lars Rösler (WU Wien)
17:30, Seminarraum 107 (Freihaus, 6th floor, green section)
Contagion Effects and Collateralized CVAs for Credit Default Swaps (part 2) (open abstract)
Tu, 17.06.2014
Lars Rösler (WU Wien)
Contagion Effects and Collateralized CVAs for Credit Default Swaps (part 1) (open abstract)
We, 30.04.2014
Cordelia Rudolph (FAM @ TU Wien)
Adapted Dependence with Applications to Financial and Actuarial Risk Management
(Public PhD Thesis Defense)
17:00, room "Zeichensaal 1 (Freihaus, green area, 8th floor)
Tu, 29.04.2014
Thorsten Schmidt homepage (TU Chemnitz, DE)
Default Times not Avoiding Stopping Times: Defaultable Term Structure Modelling beyond the Intensity-Paradigm (open abstract)
Th, 24.04.2014
Yosef Rinott homepage (The Hebrew University of Jerusalem, Israel)
15:00, seminar room 101C, Freihaus, 4th floor, green section
On methods for model selection (open abstract)
Th, 27.03.2014
Axel Helmert (COR & FJA, Vienna)
16:00, Freihaus Hörsaal 8 (Freihaus, 2nd floor, yellow section)
Low interest rate challenge: Trends in der Produktgestaltung
Veranstaltungsreihe "Actuarial Modelling Club"
Tu, 25.03.2014
Christiane Elgert (Universität Rostock, DE)
Numerische Lösung der Diffusionsgleichung bei variabler räumlicher Struktur (open abstract)
Th, 30.01.2014
Damir Filipovic homepage (Swiss Finance Institute @ EPFL)
17:00, seminar room 11, University of Vienna, 1090 Vienna, Oskar-Morgenstern-Platz 1, 2nd floor
Linear-Rational Term Structure Models
(This talk is jointly organised with Uni Wien and WU Wien) (open abstract)
Tu, 21.01.2014
Stefan Gerhold homepage (FAM @ TU Wien)
15:15, Dissertantenraum, Freihaus, 8th floor, green section
Disproof of a conjecture by Rademacher on partial fractions
(Seminar Arbeitsgemeinschaft Diskrete Mathematik) (open abstract)
Tu, 14.01.2014
Petra Posedel (Zagreb School of Economics and Management, Croatia)
Asymptotic analysis for optimal estimating functions for a class of stochastic volatility models with jumps (open abstract)
Th, 05.12.2013
Julia Eisenberg homepage (FAM @ TU Wien)
16:00, Besprechungsraum Galerie, TU Wien, Argentinierstraße 8, 1040 Wien (ground floor)
Optimal Consumption Under Deterministic Income
(This talk is organised by ECON @ TU Wien) (open abstract)
Tu, 03.12.2013
Christian Kuehn homepage (TU Wien)
A Tour Through Stochastic Multiscale Dynamics via a Model Problem (open abstract)
Tu, 26.11.2013
Jonas Hirz homepage (FAM @ TU Wien)
Talk within the seminar about High Frequency Trading:
Introduction to Cointegration with Applications to Finance (open abstract)
We, 30.10.2013
Peter Friz homepage (TU Berlin)
12:00, Freihaus Hörsaal 3 (Freihaus, 2nd floor, yellow section)
On the probability density function of baskets (open abstract)
Tu, 29.10.2013
Lukas Fabrykowski (TU Wien)
Talk within the seminar about High Frequency Trading
We, 16.10.2013
Daniel Thompson und Marcel Meier (B&W Deloitte)
16:00, Deloitte (Renngasse 1 / Freyung, 1010 Wien)
IFRS 4 Phase II - Aktuelle Entwicklungen und Herausforderungen
Veranstaltungsreihe "Actuarial Modelling Club"
Fr, 27.09.2013
One-Day Workshop on Portfolio Risk Management (PRisMa 2013) PRisMa 2013
One-Day Workshop on Portfolio Risk Management
Hörsaal 6 (Karlsplatz 13, Main Building, ground floor)
Mo, 16.09.2013
Nikolai V. Kolev (University of Sao Paulo, Brazil)
16:30, Freihaus Hörsaal 3 (Freihaus, 2nd floor, yellow section)
Continuous Bivariate Distributions with Linear Sum of the Hazard Gradient Components and Actuarial Applications
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Th, 25.07.2013
Eckhard Platen homepage (University of Technology Sydney)
16:30, Freihaus Hörsaal 3 (Freihaus, 2nd floor, yellow section)
The Affine Nature of Aggregate Wealth Dynamics
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Th, 25.07.2013
Henry Schellhorn (Claremont Graduate University, California)
15:00, Seminarraum 107 (Freihaus, 6th floor, green section)
A Representation Theorem For Smooth Brownian Martingales (open abstract)
Tu, 18.06.2013
Eberhard Mayerhofer (Dublin City University, Ireland)
Mean Variance Optimisation with Transaction Costs (open abstract)
Fr, 07.06.2013
Thomas Bruss (Université Libre de Bruxelles, Belgium)
Überleben und Lebensstandard, oder Grenzen der Gesellschaft - Schlussfolgerungen aus einem neuen Verzweigungsprozess-Modell
15:15, Freihaus Hörsaal 2 (Freihaus, 2nd floor, yellow section) (open abstract)
We, 05.06.2013
Karin Hirhager (FAM @ TU Wien)
Adapted Dependence with Applications to Financial and Actuarial Risk Management
(Public PhD Thesis Defense)
16:00, Conference room of the Deanery (Freihaus, green area, 9th floor) (open abstract)
Tu, 14.05.2013
Jan Widenmann homepage (LMU Mathematics Institute, Munich)
Pricing and hedging insurance claims in hybrid markets (open abstract)
Fr, 19.04.2013
Florian Leisch (TU Wien, OeNB)
Stochastic Portfolio Theory from the Point of View of Risk Management
(Public PhD Thesis Defense)
17:00, Seminar room 104 (Freihaus, 5th floor, green section) (open abstract)
Tu, 16.04.2013
Nicoletta Gabrielli (ETH Zurich)
Pathspace representation of Affine processes (open abstract)
Tu, 09.04.2013
Christian Genest homepage (McGill University, Montréal, Canada)
17:30
Accounting for extreme-value dependence in multivariate data.
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Tu, 09.04.2013
Johanna Nešlehová homepage (McGill University, Montréal, Canada)
16:30
Wie kann man Abhängigkeiten zwischen diskreten und gemischten Risiken aufdecken?
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Tu, 29.01.2013
Stefan Gerhold homepage (FAM @ TU Wien)
15:15, Dissertantenraum, Freihaus, 8. Stock, grüner Bereich
Some traces of discrete mathematics in mathematical finance,
Seminar Arbeitsgemeinschaft Diskrete Mathematik, details (open abstract)
Tu, 15.01.2013
Andreas Kyprianou homepage (University of Bath)
Multi-level Wiener-Hopf Monte-Carlo simulation for Lévy processes (open abstract)
Tu, 13.11.2012
Piet Porkert (FAM @ TU Wien)
Small time central limit theorems for semimartingales with applications (open abstract)
Tu, 06.11.2012
Carole Bernard homepage (University of Waterloo)
16:30, seminar room 107 (Freihaus, 7th floor, green section)
Mean-Variance Optimal Portfolios in the Presence of a Benchmark with Applications to Fraud Detection
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Tu, 16.10.2012
Irene Schreiber (LMU Munich)
16:30, Freihaus Hörsaal 3 (Freihaus, 2nd floor, yellow section)
Risk-Minimization for Life Insurance Liabilities
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Fr, 05.10.2012
One-Day Workshop on Portfolio Risk Management (PRisMa 2012) PRisMa 2012
One-Day Workshop on Portfolio Risk Management
Hörsaal 6 (Karlsplatz 13, Main Building, ground floor)
Tu, 12.06.2012
Peter Eichelsbacher homepage (Ruhr-Universität Bochum)
Die Steinsche Methode und Anwendungen - Teil 2 (open abstract)
Tu, 29.05.2012
Stefano De Marco (TU Berlin)
Large deviations for diffusions and local volatilities (open abstract)
Tu, 08.05.2012
Peter Eichelsbacher homepage (Ruhr-Universität Bochum)
Die Steinsche Methode und Anwendungen - Teil 1 (open abstract)
Mo, 26.03.2012
Miklos Rasonyi (University of Edinburgh)
13:00, Seminarraum 101A ("Freihaus", green section, 3rd floor)
Optimal investment: from risk-averse to behavioural agents (open abstract)
Mo, 26.03.2012
Stefan Weber homepage (Leibniz Universität Hannover)
9:00, Seminarraum 101B ("Freihaus", green section, 3rd floor)
Liquidity-Adjusted Risk Measures (open abstract)
Fr, 23.03.2012
Thorsten Schmidt homepage (Chemnitz University of Technology)
16:00, Seminar Room 107
Kreditrisiken und deren Modellierung (open abstract)
Fr, 23.03.2012
Thorsten Rheinländer homepage (London School of Economics)
14:00, Seminar Room 107
Self-dual stochastic processes and semi-static hedging for realistic price processes (open abstract)
Fr, 23.03.2012
Vicky Fasen homepage (ETH Zürich)
CANCELLED!!!
Fr, 23.03.2012
Stefan Gerhold homepage (FAM @ TU Wien)
8:30, Seminar Room 107
Portfolio Optimization under Transaction Costs (open abstract)
Mo, 06.02.2012
Mykhaylo Shkolnikov homepage (MSRI, Berkeley, USA)
15:00, Seminar Room 107
On diffusions interacting through their ranks (open abstract)
Tu, 20.12.2011
Ramin Okhrati (FAM @ TU Wien)
Defaultable claims under finite variation Lévy processes (open abstract)
Tu, 25.10.2011
Hansjörg Albrecher homepage (University of Lausanne)
15:30, Freihaus Hörsaal 4 (Freihaus, 2nd floor, yellow section)
Messung von Versicherungsrisiken und das Omega-Modell
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Fr, 14.10.2011
One-Day Workshop on Portfolio Risk Management (PRisMa 2011) PRisMa 2011
One-Day Workshop on Portfolio Risk Management
Hörsaal 6 (Karlsplatz 13, Main Building, ground floor)
Tu, 11.10.2011
Zehra Eksi (Vienna Institute of Finance)
Pricing and Hedging of Single Tranche CDOs (open abstract)
We, 21.09.2011
Carole Bernard homepage (University of Waterloo)
16:30, Freihaus Hörsaal 3 (Freihaus, 2nd floor, yellow section)
Optimal investment under state-dependent constraints.
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Mo, 12.09.2011
Gregory Temnov (University College Cork, Ireland)
Characterization of memory states of the Preisach operator with stochastic inputs (open abstract)
We, 20.07.2011
Flavia Giammarino (London School of Economics)
Indifference Pricing with Uncertainty Averse Preferences
10:30 (open abstract)
Tu, 28.06.2011
Stefan Gerhold (FAM @ TU Wien)
Special Functions: From Lindelöf Integrals to Volatility Smiles
(Habilitationskolloquium)
16:15, FH Hörsaal 4
Tu, 21.06.2011
Stefan Gerhold (FAM @ TU Wien)
Transaction Costs made Tractable (open abstract)
Tu, 03.05.2011
Eberhard Mayerhofer (Vienna Institute of Finance)
Part A: Affine processes on the positive semidefinite d x d matrices don't jump too wildly.
Part B: Wishart processes and Wishart distributions: Relations and Realizations. (open abstract)
Tu, 12.04.2011
Jonas Hirz (University of Salzburg)
Optimizing Investment Strategies under a General Approach to Cost-Efficiency (open abstract)
We, 06.04.2011
Umut Cetin homepage (London School of Economics)
16:30, FH Hörsaal 3
Explicit construction of a dynamic Bessel bridge of dimension 3 (open abstract)
Tu, 05.04.2011
Esther Frostig homepage (University of Haifa, Israel)
A Markov Additive Risk process with dividend barrier and phase type claims (open abstract)
Tu, 15.03.2011
Piet Porkert (TU Wien)
On Weak Solutions to Stochastic Differential Equations in Finite and Infinite Dimensions (open abstract)
Mo, 14.03.2011
Michael Punz (Munich Re, Germany)
9.30-11.00, Seminar room 101C
Volatilitätsderivate (open abstract)
Tu, 08.03.2011
Tilmann Blümmel (Albert-Ludwigs-University, Freiburg, Germany)
Anmerkungen zur Nutzenmaximierung (open abstract)
Tu, 01.03.2011
Nadezhda Sholokhova (Ufa State Aviation Technical University, Russia)
Commercial bank deposit portfolio optimization (open abstract)
Tu, 22.02.2011
Carlo Sgarra (Politecnico di Milano, Italy)
Stochastic Ordering with GARCH Models (open abstract)
Tu, 25.01.2011
Nicole Bäuerle homepage (Karlsruher Institut für Technologie)
16:45, Freihaus Hörsaal 3 (Freihaus, 2nd floor, yellow section)
The Relaxed Investor with Partial Information
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
We, 19.01.2011
Jürgen Hartinger (Kärntner Landesversicherung)
8:30-16:00, Theresianumgasse Hörsaal 1 (1040 Wien, Theresianumgasse 27)
Aktu(ari)elle Steuerungs- und Solvabilitäts-Konzepte in der Lebensversicherung
registration mandatory, please find details here
Fr, 14.01.2011
Paolo Guasoni homepage (Dublin City University, Ireland)
13:15, FH Hörsaal 4
Abstract, Classic, and Explicit Turnpikes (open abstract)
Fr, 14.01.2011
Benedikt Blum (FAM @ TU Wien)
10:00, Besprechungsraum (Freihaus, 5th floor, green section)
Superreplication and Arbitrage in Multiasset Models under Proportional Transaction Costs (Ph.D. thesis presentation)
Tu, 14.12.2010
Antoine Jacquier (TU Berlin)
Implied volatility asymptotics in affine stochastic volatility models with jumps (open abstract)
Fr, 01.10.2010
One-Day Workshop on Portfolio Risk Management (PRisMa 2010) PRisMa 2010
One-Day Workshop on Portfolio Risk Management
(FH HS 8 - Nöbauer Hörsaal, "Freihaus" Building of TU Wien)
Tu, 14.09.2010
Pasquale Cirillo (University Bern)
16:30, Freihaus Hörsaal 7 (Freihaus, 2nd floor, yellow section)
Firms' Size and Growth Rates - Some Econometric and Probabilistic Approaches (open abstract)
Tu, 27.07.2010
Markus Fischer (Brown University, Rhode Island, USA)
Large deviation properties of weakly interacting Itô processes (open abstract)
Fr, 02.07.2010
Dirk Banholzer (TU München)
11.00
Intensitätsbasierte Kreditrisikomodelle (open abstract)
Tu, 29.06.2010
Julia Eisenberg homepage (University Cologne)
Optimal Control of Capital Injections by Reinsurance and Investments (open abstract)
Tu, 15.06.2010
Alexander Hullmann homepage (University Bonn)
17:00
The Generative Topographic Mapping for Dimensionality Reduction and Data Analysis (open abstract)
Fr, 11.06.2010
Peter H. Gruber homepage (Universitá Svizzera Italiana, Lugano)
13:30
Three Make a Dynamic Smile - Unspanned Skewness and Interacting Volatility Components in Option Valuation (open abstract)
Tu, 01.06.2010
Stefan Thonhauser homepage (University Lausanne)
A randomized approach to analyzing the compound Poisson risk model under periodic observations (open abstract)
Tu, 01.06.2010
Markus Zahrnhofer (TU Graz)
9:30, Seminar room 101B ("Freihaus", green section, 3rd floor)
Modeling and pricing of temperature derivatives (open abstract)
We, 19.05.2010
Klaus D. Schmidt homepage (Technische Universität Dresden)
12:00
Markov-Ketten und Bonus-Malus Systeme (open abstract)
Tu, 18.05.2010
Klaus D. Schmidt homepage (Technische Universität Dresden)
16:30, Freihaus Hörsaal 4 (Freihaus, 2nd floor, yellow section)
Lineare Modelle in der Schadenreservierung: Korrelation, Prognose, und Prognosefehler
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Mo, 17.05.2010
Karl F. Bannör (Frankfurt/Main)
9.30-11.00, Seminar room 101C
The Longstaff-Schwartz approach to the optimal stopping problem (open abstract)
Tu, 11.05.2010
David Millar (Chief Operating Officer PRMIA), Stefan Strehle and Christoph Obenhuber (PRM degree holders) homepage
18.30-20.00, FH Hörsaal 8 "Nöbauer" (Freihaus, 2nd floor, yellow section)
PRMIA Education and Exam Information (open abstract)
Tu, 11.05.2010
Dilip Madan (University of Maryland, USA)
Unlimited Liabilities, Reserve Capital Requirements and the Taxpayer Put Option (open abstract)
Tu, 27.04.2010
Gregory Temnov (University College Cork, Ireland)
Extended stability property for exponential families: a model for financial applications (open abstract)
Th, 22.04.2010
Robert Stelzer (TU München)
16:30, Seminar Room 101C (Freihaus, 4th floor, green section)
Derivative Pricing and Long Memory in the Multivariate Ornstein-Uhlenbeck type Stochastic Volatility Model (open abstract)
Tu, 13.04.2010
Gernot Müller (TU München)
Statistical Aspects of COGARCH Modelling (open abstract)
Tu, 23.03.2010
Stefan Gerhold homepage (FAM @ TU Wien)
Refined volatility expansion in the Heston model (open abstract)
Tu, 09.03.2010
Katja Krol (Humboldt University, Berlin)
Minimal Entropy Martingale Measure for Lévy Processes (open abstract)
Tu, 02.03.2010
Praxis der Finanz- und Versicherungsmathematik 2010
Montag, 1. März bis Dienstag, 2. März 2010, jeweils ca. 9-17 Uhr
TU Wien, details
Mo, 01.03.2010
Praxis der Finanz- und Versicherungsmathematik 2010
Montag, 1. März bis Dienstag, 2. März 2010, jeweils ca. 9-17 Uhr
TU Wien, details
Tu, 23.02.2010
Habib Esmaeili (TU München und WPI)
Parameter estimation of Levy copula-based models with application in insurance (open abstract)
Tu, 26.01.2010
Eberhard Mayerhofer (Vienna Institute of Finance)
On strong solutions of positive definite jump-diffusions (open abstract)
Tu, 12.01.2010
Pavel V. Shevchenko (CSIRO Mathematical and Information Sciences, Sydney)
16:30, Freihaus Hörsaal 3 (Freihaus, 2nd floor, yellow section)
Quantitative modelling of financial risks
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Tu, 01.12.2009
László Györfi homepage (Budapest University of Technology and Economics)
Portfolio games (open abstract)
Tu, 24.11.2009
Cordelia Rudolph (LMU München)
Gegenseitige Abhängigkeit von Ausfällen in Modellen mit Intensitäten (open abstract)
We, 18.11.2009
Paolo Guasoni homepage (Boston University and Dublin City University)
12:00
The Incentives of Hedge Fund Fees and High-Water Marks (open abstract)
Th, 12.11.2009
Mark Podolskij (ETH Zürich)
13:30 Böcklsaal (Karlsplatz 13, Main Building, 1st floor)
Statistische Methoden für hochfrequente Beobachtungen von Semimartingalen (open abstract)
Th, 12.11.2009
Thorsten Schmidt homepage (TU Chemnitz)
10:00, Böcklsaal (Karlsplatz 13, Main Building, 1st floor)
Die Modellierung von Portfolio-Kreditrisiken (open abstract)
We, 11.11.2009
Sylvia Frühwirth-Schnatter homepage (Universität Linz)
16:15
Modellierung multivariater Finanzzeitreihen mittels multidimensionaler zeitstetiger Markov Switching Modelle (open abstract)
We, 11.11.2009
Jan Kallsen (Universität Kiel)
14:00
Zur Modellierung von Optionspreisflächen (open abstract)
We, 11.11.2009
Rüdiger Frey (Universität Leipzig)
10:30
Innovation: Pricing and Hedging of Credit Derivatives via the Innovations Approach to Nonlinear Filtering (open abstract)
Tu, 20.10.2009
Giovanni Cesari homepage (UBS Investmentbank London, UK)
16:30, Freihaus Hörsaal 3 (Freihaus, 2nd floor, yellow section)
Modelling, Pricing, and Hedging Counterparty Credit Exposure
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Tu, 13.10.2009
Wolfgang Runggaldier homepage (Università degli Studi di Padova, Italy)
Pricing under incomplete information without equivalent martingale measures (open abstract)
Th, 08.10.2009
Martin Schweizer homepage (ETH Zürich, Switzerland)
10:30, Hörsaal 4 Hochstetter (Karlsplatz 13, Main Building, Hof 1, ground floor)
Horizon-dependence in optimal portfolio choice (open abstract)
Tu, 06.10.2009
Mario Wüthrich homepage (ETH Zürich, Switzerland)
16:30, HS 7 Schütte-Lihotzky (Karlsplatz 13, Main Building, Stiege 7, ground floor)
Modellierung des Abwicklungsergebnisses im neuen Solvenz-Modell (Slides)
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Mo, 28.09.2009
One-Day Workshop on Portfolio Risk Management (PRisMa 2009) PRisMa 2009
One-Day Workshop on Portfolio Risk Management
We, 02.09.2009
Hannes Kazianka (Alpen-Adria Universität Klagenfurt, Austria)
16:30, SEM 107
Copula-based geostatistical modeling and interpolation (open abstract)
Th, 09.07.2009
Carlo Sgarra (Politecnico di Milano, Italy)
Risk premium and risk-neutral valuation in electricity markets (open abstract)
Th, 02.07.2009
Antonis Papapantoleon (Quantitative Products Laboratory, Berlin, Germany)
Towards an "affine LIBOR" model with default risk (open abstract)
Th, 18.06.2009
Laura Ballotta (City University London, UK)
Investment strategies and risk management for participating life insurance contracts (open abstract)
Th, 04.06.2009
Andrea Pascucci homepage (University of Bologna, Italy)
Kolmogorov equations and applications to path dependent derivatives (open abstract)
Tu, 19.05.2009
6. TU-Forum: F.X. Hof, U. Schmock u. J. Teichmann
18:00, Prechtl-Saal der TU Wien (Stiege 1/EG, 1040 Wien, Karlsplatz 13)
Wirtschafts- und Finanzkrise: Woher kommt sie? Wohin kann sie führen? (open abstract)
Th, 14.05.2009
Ronnie Loeffen homepage (Johann Radon Institute for Computational and Applied Mathematics, Linz, Austria)
De Finetti′s dividend problem with absolutely continuous controls (open abstract)
Th, 07.05.2009
Anja Richter homepage (Humboldt University Berlin, Germany)
Differentiablity of quadratic BSDEs driven by continuous martingales (open abstract)
Th, 30.04.2009
Sasa Parad homepage (ETH Zürich, Switzerland)
17:00
Long Run Asset Prices with General Utilities (open abstract)
Th, 30.04.2009
Dejan Veluscek homepage (FAM, TU Vienna)
16:00
Higher order weak approximation schemes for SDEs (open abstract)
Tu, 28.04.2009
Vicky Henderson (Oxford-Man Institute of Quantitative Finance, UK)
Prospect Theory, Partial Liquidation and the Disposition Effect (open abstract)
Th, 23.04.2009
Stephan Sturm (TU Berlin, Germany)
A General Approach to Small-Time Large Deviations for Sample Paths of Infinite Dimensional Symmetric Dirichlet Processes with Applications to the Wasserstein Diffusion (open abstract)
Tu, 21.04.2009
Mia Hinnerich (Aarhus University, Denmark)
Inflation-indexed swaps and swaptions (Slides) (open abstract)
Tu, 31.03.2009
Gregory Temnov (University College of Dublin, Ireland)
Analysis of limit distributions in actuarial modelling (open abstract)
Th, 26.03.2009
Nikos Sfakianakis homepage (Wolfgang Pauli-Institute, Vienna)
Adaptive mesh reconstruction and TVB for Hyperbolic Conservation Laws (open abstract)
Tu, 17.03.2009
Hanspeter Schmidli homepage (University of Cologne, Germany)
16:30, Freihaus Hörsaal 5 (Freihaus, 2nd floor, green section)
On Optimal Dividends and Capital Injections in Risk Theory
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Th, 05.03.2009
Eberhard Mayerhofer (Vienna Institute of Finance)
Affine Diffusion Processes: Theory and Applications (open abstract)
Mo, 09.02.2009
Peter K. Friz (University of Cambridge, UK)
16:00
Minicourse on Stochastic Analysis via Rough Paths (Last of three parts)
Th, 05.02.2009
Peter K. Friz (University of Cambridge, UK)
16:00
Minicourse on Stochastic Analysis via Rough Paths (Second of three parts)
Th, 05.02.2009
Johannes Muhle-Karbe (TU Munich, Germany)
14:30
On asymptotic power utility-based pricing and hedging (open abstract)
Tu, 03.02.2009
Mirta Castro Smirnova (Universidad de Sevilla, Spain)
Matrix valued orthogonal polynomials satisfying differential equations (open abstract)
Th, 29.01.2009
Josef Teichmann, Antonis Papapantoleon, Martin Keller-Ressel (START-Prize Group, Vienna University of Technology)
A new approach to LIBOR modeling (open abstract)
Tu, 27.01.2009
Angelika May (Universität Oldenburg, Germany)
16:30, Zeichensaal 3 (Freihaus, 7th floor, green section)
CPPI Models for life insurance products with guarantees
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Th, 22.01.2009
Peter K. Friz (University of Cambridge, UK)
16:00
Minicourse on Stochastic Analysis via Rough Paths (First of three parts)
We, 21.01.2009
Martin Keller-Ressel homepage (Financial and Actuarial Mathematics, Vienna University of Technology)
13:00, Seminar room 101C
Defense Talk: Affine Processes - Theory and Applications in Finance (open abstract)
Th, 15.01.2009
Jose Fajardo (IBMEC Business School, Rio de Janeiro)
Optimal Insider Strategy with Penalties (open abstract)
Tu, 02.12.2008
Juan Pablo Ortega (CNRS, Dept. de Mathématiques de Besançon, France)
GARCH pricing via local risk minimization (open abstract)
Tu, 25.11.2008
David Skovmand (Aarhus School of Business, University of Aarhus, Denmark)
Alternative Specifications for the Levy Libor Market Model: An Empirical Investigation (open abstract)
Th, 20.11.2008
Jan Palczewski homepage (Faculty of Mathematics, University of Warsaw, Poland)
Finite Horizon Optimal Stopping of Discontinuous Functionals with Applications to Impulse Control with Delay (open abstract)
Tu, 11.11.2008
Michael Kupper, Nicolas Vogelpoth (Vienna Institute of Finance)
Seperation and duality in L0-modules (open abstract)
Tu, 28.10.2008
Roman Ivanov homepage (Lomonosov Moscow State University, Russia)
On calculation of multiple exercise Russian option (open abstract)
Th, 23.10.2008
Jose Fajardo (IBMEC Business School, Rio de Janeiro)
Symmetry and Option Price Monotonicity with Levy processes (open abstract)
Th, 16.10.2008
Michael Schmutz (Institut f. math. Statistik und Versicherungslehre, Universität Bern)
Multivariate symmetry properties of asset prices, derivatives and their relation to convex geometry (open abstract)
Th, 09.10.2008
Peter Spreij homepage (Universiteit van Amsterdam), Start-Seminar,
On Multivariate Feller conditions in term structure models (open abstract)
Mo, 06.10.2008
Johannes Leitner (Finanz- und Versicherungsmathematik, TU Wien)
12:00, FH Hörsaal 3
Habilitation Talk: Robust Martingale Representations for Marked Point Processes (open abstract)
We, 01.10.2008
Philip Dybvig (Olin School of Business, Washington University, Saint Louis, USA)
16:30, SEM 107
High Hopes and Disappointments: Preference for Timing of Information without the Recursive Structure (open abstract)
Tu, 30.09.2008
Goncalo dos Reis (HU Berlin)
Differentiability of quadratic growth BSDEs and applications (open abstract)
Mo, 29.09.2008
One-Day Workshop on Portfolio Risk Management (PRisMa 2008) PRisMa 2008
One-Day Workshop on Portfolio Risk Management
(FH HS 8 - Nöbauer Hörsaal, "Freihaus" Building of TU Wien)
Th, 25.09.2008
Simone Farinelli homepage (UBS, Zürich)
13:30, SEM 107
Geometric Arbitrage Theory (open abstract)
Th, 25.09.2008
Olaf Menkens (School of Mathematical Sciences, Dublin City University)
10:30, SEM 107
Crash Hedging Strategies and q-Quantile Crash Hedging Strategies (open abstract)
Tu, 23.09.2008
Denis Belomestny (Weierstrass Institute for Applied Analysis and Stochastics, Berlin)
New series representations for the characteristic functions of affine Feller processes with applications to option pricing (open abstract)
Th, 18.09.2008
Mark Freidlin homepage (University of Maryland), Start-Seminar,
Asymptotic Problems for PDE's and Related Stochastic Processes (open abstract)
Tu, 16.09.2008
Matthias Weber homepage (University of Applied Sciences, Dresden)
On Stochasticity of Solutions of Differential Equations with a Small Delay (open abstract)
Tu, 08.07.2008
Pavel Shevchenko (CSIRO, Sydney)
16:30, FH 2
Model risk in claims reserving within Tweedie's compound Poisson models (Slides),
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Tu, 24.06.2008
Angelika May (Universität Oldenburg)
CPPI Models for life insurance products with guarantees CANCELLED! (open abstract)
Th, 19.06.2008
Andrea Freiberger (TU Wien), Start-Seminar,
Distribution properties of digital (0,1)-sequences (open abstract)
Tu, 10.06.2008
Harald Oberhauser (University of Cambridge, UK)
Isoperimetry and Rough path regularity (open abstract)
Th, 29.05.2008
Umut Cetin homepage (London School of Economics, United Kingdom), Start-Seminar,
Insider trading in credit markets with dynamic information asymmetry (open abstract)
Tu, 27.05.2008
Corina Constantinescu homepage (RICAM Linz)
Risk procesess with stochastic returns on investments (open abstract)
Tu, 20.05.2008
Elisa Nicolato (University of Aarhus)
Sato Processes in Default Modelling (open abstract)
Th, 15.05.2008
Erik Baurdoux homepage (LSE London), Start-Seminar,
The McKean stochastic game driven by a spectrally negative Lévy process. (open abstract)
We, 30.04.2008
Semyon Malamud (ETH Zürich)
14:00, SEM 138A
Equilibrium Asset Prices (open abstract)
Tu, 29.04.2008
Achim Wübker (Universität Göttingen)
L2-Spectral gaps for Markov-chains (open abstract)
Th, 24.04.2008
Mladen Savov (University of Manchester), Start-Seminar,
Small Time Behaviour of Lévy Processes: Laws of the Iterated Logarithm (open abstract)
Tu, 22.04.2008
Christian Bayer
Harmonic analysis of stochastic equations and backward stochastic differential equations (open abstract)
Th, 17.04.2008
Anders Szepessy homepage (Stockholm University), Start-Seminar,
Langevin molecular dynamics derived from Ehrenfest dynamics (open abstract)
Tu, 01.04.2008
Pierre Moussa (CEA/Saclay, Gif sur Yvette, France), Start-Seminar,
On the representation of Tr exp(A-tB) as a Laplace transform (open abstract)
Th, 06.03.2008
Josef Teichmann, Start-Seminar,
How to calculate moments of affine processes easily (open abstract)
Tu, 04.03.2008
Paul F.X. Müller (JKU Linz)
Compensated Compactnes, Separately convex Functions, and Interpolatory Estimates between Riesz Transforms and Haar Projections (open abstract)
Tu, 26.02.2008
Diana Auerswald (University of Oldenburg)
Valuation of American Style Options - Extension and Empirical Tests of a Nonparametric Pricing Algorithm (open abstract)
Fr, 22.02.2008
Yuri Kifer homepage (Hebrew University, Jerusalem)
11:30, Sem 107
Game options, shortfall risk and their binomial approximations (open abstract)
Tu, 19.02.2008
Roman Muraviev (Tel-Aviv University)
Growth Gap vs. Smoothness for Diffeomorphisms of The Interval (open abstract)
We, 06.02.2008
Ales Cerny (Cass Business School, City University London)
Mean-Variance Hedging and Optimal Investment in Heston's Model with Correlation (open abstract)
Tu, 05.02.2008
Sergei Kucherenko (Imperial College London)
Application of Global Sensitivity Analysis and Quasi Monte Methods in finance (open abstract)
Tu, 29.01.2008
Claudia Czado (TU München, Germany)
Pair-copula constructions of multiple dependence (open abstract)
Th, 24.01.2008
Nicolas Bouleau (École Nationale des Ponts et Chaussées), Start-Seminar,
On Dirichlet forms generated by the arbitrary functions principle (open abstract)
Tu, 22.01.2008
Andrey Selivanov
Pricing of Contingent Claims based on Tail VaR (open abstract)
Mo, 21.01.2008
Nicolas Bouleau (École Nationale des Ponts et Chaussées)
18:00, FH 2
What are the philosophical probabilities? (open abstract)
Th, 17.01.2008
Ilya Pavlyukevich (Humboldt-Universität, Berlin), Start-Seminar,
Exit times of small-noise Lévy-driven diffusions (open abstract)
Tu, 15.01.2008
Michel Emery (Université Louis Pasteur, Strasbourg)
On one-dimensional Brownian motions immersed in a two-dimensional one (open abstract)
Mo, 14.01.2008
Miklos Rasonyi
16:15, SEM 104
Hidden Markov Processes
Vortragsreihe: Wissenswertes der Mathematik, details
Th, 10.01.2008
Mykhaylo Shkolnikov (Stanford University), Start-Seminar,
Affine matrix-valued diffusions
Th, 10.01.2008Holländische Deiche und Risikokapital für Banken und Versicherungen (open abstract)
We, 09.01.2008
Paul Embrechts (ETH Zurich)
18:15, Festsaal der ÖAW, Dr. Ignaz Seipel-Platz 2, 1010 Wien
Quantitative Risk Management,
Johann Radon Lectures (open abstract)
Tu, 08.01.2008
Sühan Altay (Middle East Technical University, Istanbul)
On forward interest rates: via random fields and nuclear space valued semi-martingales (open abstract)
Th, 20.12.2007
Christian Bayer, Josef Teichmann, Richard Warnung, Start-Seminar,
Implementation of new hypo-elliptic simulated annealing algorithms (open abstract)
Tu, 18.12.2007
Christina Ziehaus
10:15, Sem 107
Optimal Consumption and Terminal Wealth (open abstract)
Mo, 17.12.2007
Eugen Puschkarski (Treasury Division, ÖNB)
18:00-20:30, Zeichensaal 3 (Freihaus, 7th floor, green section)
Ex post risk attribution in a value-at-risk framework
Austrian chapter meeting of Global Association of Risk Professionals (GARP)
Th, 13.12.2007
Ansgar Jüngel (TU Vienna), Start-Seminar,
Entropy and entropy dissipation in nonlinear diffusion equations (open abstract)
Tu, 11.12.2007
Bertram Düring homepage (TU Vienna)
An inverse problem in option pricing and kinetic models for wealth distribution (open abstract)
Th, 06.12.2007
Florian Leisch, Start-Seminar,
Stochastic Portfolio Theory - How do functionally generated portfolios perform under real market conditions? (open abstract)
Tu, 04.12.2007
Richard Warnung
On the construction of an integrand hiding the drift of a Brownian motion with drift (open abstract)
Th, 29.11.2007
Josef Teichmann, Start-Seminar,
Cubature on Wiener Space in infinite dimensions (open abstract)
Tu, 27.11.2007
Axel Helmert (FJA)
16:30, FH 2
Finanzmathematische und Aktuarielle Methoden im Wandel: Die Internationalisierung der Märkte in der Lebensversicherung und Altersvorsorge und ihre Auswirkung auf die mathematische Praxis,
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Th, 22.11.2007
Christina Niethammer (Universität Konstanz), Start-Seminar,
Portfolio Optimization and Optimal Martingale Measures in the Presence of Unbounded Jumps (open abstract)
Tu, 20.11.2007
Claudia Ravanelli (Swiss Banking Institute, Zurich)
Cash Sub-additive Risk Measures and Interest Rate Ambiguity (open abstract)
Fr, 16.11.2007
Th, 15.11.2007
Stefan Tappe (Vienna Institute of Finance), Start-Seminar,
Invariant submanifolds for Levy driven stochastic equations (open abstract)
Tu, 13.11.2007
Walter Schachermayer
In which Financial Markets do Mutual Fund Theorems hold true? (open abstract)
Th, 08.11.2007
Antonis Papapantoleon, Start-Seminar,
The duality principle for multidimensional semimartingales (open abstract)
Tu, 06.11.2007
Gabriel Maresch
Optimality and Monotonicity in the Monge-Kantorovich Optimal Transportation Problem (open abstract)
Tu, 30.10.2007
Erika Hausenblas (University of Salzburg) homepage
SPDEs driven by space time Poisson random measure and its numerical approximation (open abstract)
Tu, 23.10.2007
Thorsten Schmidt (University of Leipzig, Germany)
Pricing and Hedging of Credit Derivatives via Nonlinear Filtering (open abstract)
Th, 18.10.2007
Christa Cuchiero, Start-Seminar,
Affine Interest Rate Models - Theory and Practice (open abstract)
Tu, 16.10.2007
Elena Shmileva
Small ball probabilities of some Lévy processes and their application to the Chung law of iterated logarithm (open abstract)
Th, 11.10.2007
Johannes Leitner, Start-Seminar,
Pricing and Hedging with Globally and Instantaneously Vanishing Risk (open abstract)
Tu, 09.10.2007
Christer Borell (Chalmers University of Technology, Göteborg, Sweden) homepage
Topics on quasi-concave measures (open abstract)
Th, 04.10.2007
Josef Teichmann, Start-Seminar,
New Classes of OU-processes and applications to Optimization procedures
Mo, 24.09.2007
Michel Verschuere (Electrabel Trading and Portfolio Management)
15:30, Sem107
Hedging Under Uncertainty: Applications to Carbon Emissions Markets (open abstract)
Tu, 11.09.2007
Martin Raic (University of Ljubljana, Slovenia)
Stein's Method and Large Deviations (open abstract)
Fr, 07.09.2007
Zehra Eksi (Middle East Technical University, Ankara)
10:00, Sem107
Comparative Study of Risk Measures (open abstract)
Tu, 04.09.2007
Thomas Cass (University of Cambridge)
Smoothness of density for solutions to stochastic differential equations with jumps (open abstract)
Tu, 24.07.2007
Andreas H. Hamel (University Halle-Wittenberg, on leave ORFE, Princeton University)
A duality theory for set-valued convex functions with applications to set-valued convex risk measures (open abstract)
Th, 28.06.2007
Josef Teichmann, Start-Seminar,
An invitation to random Schrödinger operators V
Tu, 26.06.2007
Alain Desrosieres homepage (INSEE, France), Start-Seminar,
The history of statistics and probability theory as a genre: styles of writing and social uses (open abstract)
Tu, 26.06.2007
Peter Brandner (BM für Finanzen)
14:00, Seminar Ökonomie der Pensionsfonds,
Reformen in der Altersvorsorge: Theoretische Konzepte aus wirtschaftspolitischer Sicht
Th, 21.06.2007
Gerald Teschl, Start-Seminar,
An invitation to random Schrödinger operators IV
Tu, 19.06.2007
Peter Imkeller homepage (Humboldt University at Berlin, Germany)
16:30, FH 2
Optimal cross hedging of insurance derivatives,
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Tu, 19.06.2007
Franz X. Hof homepage (ECON, TU Wien)
14:00, Seminar Ökonomie der Pensionsfonds,
The Gains from Pension Reform (open abstract)
Th, 14.06.2007
Josef Teichmann, Start-Seminar,
An invitation to random Schrödinger operators III
Tu, 12.06.2007
Pavel Gapeev (WIAS Berlin, Germany)
Constructing jump analogues of diffusions and application to finance (open abstract)
Tu, 12.06.2007
Robert Holzmann homepage (The World Bank, Washington, USA)
14:00, Seminar Ökonomie der Pensionsfonds,
Multi-pillar Pension Reforms: Experience, Lessons, and Challenges (open abstract)
Tu, 05.06.2007
Juan Pablo Ortega (Université de Franche-Comté, France)
Stochastic Hamiltonian dynamical systems (open abstract)
Tu, 05.06.2007
Johannes Berger homepage (IHS Wien)
14:00, Seminar Ökonomie der Pensionsfonds,
Ten myths about social security reform (J. Stiglitz)
Mo, 04.06.2007
Monique Jeanblanc homepage (Université d'Evry Val d'Essonne, France)
11:15, HS 16
CDS prices in a general case - case of several defaults - hedging strategies (open abstract)
Mo, 04.06.2007
Monique Jeanblanc homepage (Université d'Evry Val d'Essonne, France)
9:30, HS 14
Hedging defaultable claims: single default (open abstract)
Th, 31.05.2007
Josef Teichmann, Start-Seminar,
An invitation to random Schrödinger operators II
Tu, 29.05.2007
Pavel Shevchenko (CSIRO, Sydney, Australia)
Modelling Operational Risk (open abstract)
Th, 24.05.2007
Gerald Teschl, Start-Seminar,
An invitation to random Schrödinger operators
Th, 24.05.2007
Sonja Konwicsny (Quelle Lebensversicherung AG, Schwechat)
14:00, FH HS 3
Solvency II (open abstract)
Tu, 22.05.2007
Norbert Kirchler & René Knapp (TU Wien, Uniqa)
14:00, Seminar Ökonomie der Pensionsfonds,
The cold war against welfare
Tu, 15.05.2007
Fred Espen Benth (University of Oslo, Norway)
Options and the stochastic volatility model of Barndorff-Nielsen and Shephard (open abstract)
Tu, 15.05.2007
Thomas Url homepage (WIFO)
14:00, Seminar Ökonomie der Pensionsfonds,
Makroökonomische Rückwirkungen des Aufbaus kapitalgedeckter Altersvorsorgesysteme (open abstract)
We, 09.05.2007
Stefan Tappe (University of Munich, Germany)
13:30, HS 7
Existence of Levy term structure models and invariance problems (open abstract)
Tu, 08.05.2007
Rainer Münz (Erste Bank)
14:00, Seminar Ökonomie der Pensionsfonds,
Pensionskassen in Österreich - Voraussetzungen, Struktur, Begünstigte, verwaltetes Kapital (open abstract)
Th, 26.04.2007
Josef Teichmann, Start-Seminar,
A heat kernel approach to Interest Rate Models (Joint work by Jirô Akahori, Thomas Steiner, Josef Teichmann and Takahiro Tsuchiya) (open abstract)
Tu, 24.04.2007
Pavel Grigoriev (University of Leicester, Great Britain)
Risk measures: law-invariance and time consistency (open abstract)
Tu, 24.04.2007
Ulrike Loy (Allianz)
14:00, Seminar Ökonomie der Pensionsfonds,
Pensionsreformen für Arbeiter und Angestellte ab dem Jahr 2000 und ihre finanziellen Auswirkungen
Th, 19.04.2007
Ilya Pavlyukevich (Humboldt-University Berlin), Start-Seminar,
Dynamical systems perturbed by heavy-tailed Lévy noise (open abstract)
Tu, 17.04.2007
Wolfgang Woess homepage (TU Graz)
Random configurations driven by random walks
Tu, 17.04.2007
Markus Knell (ÖNB)
14:00, Seminar Ökonomie der Pensionsfonds,
The Optimal Mix Between Funded and Unfunded Pensions Systems When People Care About Relative Consumption
Th, 12.04.2007
Michael Kupper (ETH Zürich, Switzerland)
Variational Risk Measures on Orlicz Spaces
Tu, 10.04.2007
Christina Ziehaus (Universität Wien)
Variable Selection in the Context of linear Regression (open abstract)
Th, 22.03.2007
Martin Keller-Ressel, Thomas Steiner
Yield Curve Shapes and the Asymptotic Short Rate Distribution in Affine One-Factor Models (open abstract)
Tu, 20.03.2007
Jiro Akahori homepage (Ritsumeikan University, Japan)
Antisymmetric Malliavin calculus and its applications (open abstract)
Th, 15.03.2007
Gerald Teschl homepage (Universität Wien)
16:00, Start-Seminar,
Random Schroedinger Operators on one foot (open abstract)
Th, 13.03.2007
Thorsten Schmidt (University of Leipzig, Germany), Start-Seminar,
The Term Structure of CDO Losses (open abstract)
Th, 08.03.2007
Antonis Papapantoleon, Start-Seminar,
Semimartingales and Lévy processes in finance: duality and valuation (open abstract)
Tu, 27.02.2007
Paweł Polak (Warsaw University, Poland)
Immunization of the insurance portfolio under random interest rates (open abstract)
Th, 22.02.2007
Nikolaos Georgiopoulos (Vienna Graduate School of Finance)
Real Options Valuation under expected utility maximization (open abstract)
Th, 15.02.2007
Richard Warnung
Stable Recurrences for Risk Aggregation (open abstract)
We, 14.02.2007
Catherine Rainer (Université de Brest, France)
11:00, Sem 107
Stochastic differential games with asymmetric information (open abstract)
Tu, 06.02.2007
Takahiro Tsuchiya (Ritsumeikan University, Kusatsu, Japan)
What is the natural scale for a Lévy process in modelling term structure of interest rates?
Tu, 30.01.2007
Nicolas Privault (Université de Poitiers, F)
Convex comparison inequalities for exponential jump-diffusion processes (open abstract)
Tu, 23.01.2007
Maria Siopacha
Taylor Expansions of Option Prices (open abstract)
Tu, 16.01.2007
Tom A. Ashu (University of Kaiserslautern, Germany)
Asset Liability Management for Pension funds using Conditional Value at Risk constraints (open abstract)
Tu, 02.01.2007
Fabrice Baudoin (Université Paul Sabatier, Toulouse)
Chen series and Atiyah-Singer theorem (open abstract)
Th, 14.12.2006
Thomas Wenger
(Westfälische Wilhelms-Universität Münster, at the moment: consultant)
Perturbative methods in algebra and finance: are there any relations? (open abstract)
Tu, 12.12.2006
Martin Keller-Ressel, Michael Kupper
Equilibrium Pricing (open abstract)
Th, 07.12.2006
Tomas Björk (School of Economics, Stockholm)
Optimals Investment under Partial Information (open abstract)
Tu, 28.11.2006
Mark Davis homepage (Imperial College London, UK)
16:30, FH 2
Dynamic models for portfolio credit risk,
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Tu, 21.11.2006
Eva Farkas (Erste Bank)
16:30, FH 2
Copulae - Modellierung des gemeinsamen Verhaltens von Risikofaktoren in der modernen Finanz- und Versicherungsmathematik,
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Tu, 14.11.2006
Mark Podolskij homepage (Ruhr-University of Bochum)
17:30, FH 2
Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps (open abstract)
Tu, 14.11.2006
Ole E. Barndorff-Nielsen (University of Aarhus)
16:30, FH 2
Volatility and Power Variation,
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Fr, 10.11.2006
G. Komaromi, C. Schoenherr, U. v. Aufschnaiter (Credit Suisse, London)
12:00, HS 17 Friedrich Hartmann
Investment Banking: What is it all about? (open abstract)
Mo, 30.10.2006
Stefan Gerhold
16:15, SEM 104
Automatisches Beweisen von Identitäten
Vortragsreihe: Wissenswertes der Mathematik, details
Mo, 30.10.2006
Kasper Larsen (Carnegie Mellon University)
15:00, SEM 104
Stability of utility-maximization (open abstract)
Tu, 17.10.2006
Laszlo Gyorfi (Budapest University of Technology and Economics)
Empirical portfolio selection (open abstract)
Tu, 03.10.2006
Benedikt Blum (TU München)
15:00
Deterministic Pricing of Options on Lévy driven Assets (open abstract)
Fr, 29.09.2006
Christian Litterer (Oxford University)
10:30, Sem 107
High order recombination and an application to Cubature on Wiener Space (open abstract)
Th, 28.09.2006
Gregor Dorfleitner (WU Wien)
Coherent risk measures, coherent capital allocations, and the gradient allocation principle (open abstract)
Tu, 26.09.2006
PRisMa 2006
One-Day Workshop on Portfolio Risk Management
Tu, 19.09.2006
Petra Posedel (Università Bocconi, Milano)
Asymptotic analysis for a simple explicit estimator in BNS stochastic volatility models (open abstract)
Tu, 12.09.2006
Miklos Rasonyi
Optimal investment under transaction costs (open abstract)
We, 30.08.2006
Stefan Gerhold
13:00
An Implementation of the LIBOR Market Model (open abstract)
We, 30.08.2006
Stefan Gerhold
10:00
Crashcourse Interest Rate Models (open abstract)
Tu, 27.06.2006
Mathias Zocher (TU Dresden)
16:30, FH 2
Multivariate gemischte Poissonprozesse - Bonus-Malus-Systeme in der KH-Versicherung,
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Tu, 27.06.2006
Pavel Shevchenko (CSIRO Mathematical and Information Sciences, Sydney)
15:00
Modelling Operational Risk (open abstract)
Tu, 20.06.2006
Martin Keller-Ressel
Non-Parametric Calibration of the Barndorff-Nielsen-Shephard Model (open abstract)
Fr, 16.06.2006
Alexander Cherny (Moscow State University)
11:00, Sem 105B
Coherent Risks and their applications (lecture series) (open abstract)
Tu, 13.06.2006
Oliver Fiala (Erste Bank)
16:30
Estimation and Comparison of Credit Transition Matrices (open abstract)
Tu, 13.06.2006
Alexander Cherny (Moscow State University)
17:15
Coherent Risks and their applications (lecture series) (open abstract)
Fr, 09.06.2006
Alexander Cherny (Moscow State University)
11:00, FH 2
Coherent Risks and their applications (lecture series) (open abstract)
Tu, 06.06.2006
Andreas H. Hamel (Universität Halle-Wittenberg)
Fenchel conjugation for set-valued convex functions and applications to set-valued risk measures (open abstract)
Mo, 29.05.2006
Johannes Leitner
16:15, SEM 104
Optimale Portfolios mit 'lower partial moment constraints'
Vortragsreihe: Wissenswertes der Mathematik, details
Tu, 23.05.2006
Nicole Bäuerle homepage (Universität Karlsruhe)
16:30, FH 2
Portfolio-Optimierung bei Sprung-Diffusionsprozessen mit unbeobachtbarer Sprungintensität,
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Th, 18.05.2006
Klaus D. Schmidt homepage (TU Dresden)
12:30, FH 2
Multivariate Modelle und Methoden in der Schadenreservierung (open abstract)
Tu, 16.05.2006
Klaus D. Schmidt homepage (TU Dresden)
16:30, FH 2
Bornhuetter-Ferguson & Co.:
Eine Familie von Verfahren der Schadenreservierung,
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Mo, 15.05.2006
Klaus D. Schmidt homepage (TU Dresden)
12:30, FH 2
Lineare Prognosen und Schadenreservierung (open abstract)
Tu, 25.04.2006
Karel Janecek (RSJ Invest, Prague)
Optimal investments with proportional profit-share fee: Analysis of the high-water-mark fee structure (open abstract)
Tu, 04.04.2006
Stefan Gerhold
The current state of the OeBFA module of the CD laboratory (open abstract)
Tu, 28.03.2006
Michael Hanke (Universität Innsbruck)
16:30
Structural Credit Risk Models Beyond Merton: Solutions via PDEs vs. Change-of-Numeraire (open abstract)
Tu, 28.03.2006
Umut Cetin (London School of Economics)
15:30
An equilibrium model for default risk (open abstract)
Tu, 21.03.2006
Uwe Schmock (FAM, TU Vienna)
Stein's method for proving the central limit and the Berry-Esséen theorem
Tu, 07.03.2006
Yuliya Bregman (Universität München)
Estimation of multivariate ruin probabilities (open abstract)
Fr, 03.02.2006
Yuxin Yang (New York University)
14:00
A brief survey on copulae (open abstract)
Mo, 30.01.2006
Henryk Zaehle (Allianz PKV-AG, München)
Heat equation with strongly inhomogeneous noise (open abstract)
Mo, 30.01.2006
Gabriel Maresch (TU Wien)
Hartman measurability and unique mean values (open abstract)
We, 25.01.2006
Tu, 24.01.2006
Susanne Klöppel (ETH Zurich)
Utility based good deal bounds (open abstract)
Mo, 23.01.2006
Markus Petermann (Converium)
11:00 in seminar room 105
Measures of Risk and Run-off of Portfolios (open abstract)
Tu, 17.01.2006
Irina Slinko (Stockholm School of Economics)
On Finite Dimensional Realizations of the Two Country Interest Rate Models (open abstract)
Tu, 10.01.2006
Rafal Lochowski (Warsaw University)
HJM model driven by Levy process (open abstract)
Tu, 10.01.2006
Stefan Gerhold (Universität Linz)
Special Functions: Applications of Computer Algebra in Stochastics (open abstract)
We, 04.01.2006
Andreas Hula (TU Wien)
Nonarchimedean Functional Analysis (open abstract)
Tu, 13.12.2005
Paolo Guasoni (Boston University)
Consistent Prices and Face-lifting Pricing under Transaction Costs (open abstract)
Tu, 06.12.2005
Johanna Neslehova (RiskLab, ETH Zurich)
Modeling Dependence of Non-Continuous Random Variables and Compound Poisson Processes
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Tu, 29.11.2005
Mesrop Janunts (Institut für Mathematik, TU Berlin)
Duality methods for portfolio optimization (open abstract)
Tu, 22.11.2005
Walter Fisher (IHS Institute for Advanced Studies, Vienna)
Relative Wealth and Endogenous Employment: A Short- and Long-Run Analysis (open abstract)
Tu, 15.11.2005
Birgit Rudloff (Martin-Luther-Universität Halle-Wittenberg)
Convex Hedging in Incomplete Markets and Generalizations (open abstract)
Tu, 08.11.2005
Damir Filipovic (LMU München)
16:30, FH 8
Equilibrium and optimality for monetary utility functions under constraints (joint with Michael Kupper)
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Tu, 25.10.2005
Uwe Schmock (FAM, TU Vienna)
Presentation of the New Christian Doppler Laboratory on Portfolio Risk Management (open abstract)
Tu, 18.10.2005
Hans Buehler (Deutsche Bank London und TU Berlin)
Variance Swap Market Models (open abstract)
Tu, 11.10.2005
Miklos Rasonyi (Hungarian Academy of Sciences)
Convergence of utility prices to the superreplication price (open abstract)
Sa, 01.10.2005
Lange Nacht der Forschung
Lange Nacht der Forschung:
Von A wie Aktie bis S wie Sterbewahrscheinlichkeit
17:00-24:00, Freihaus der TU Wien
Mo, 26.09.2005
One-Day Workshop on Portfolio Risk Management (PRisMa 2005) PRisMa 2005
One-Day Workshop on Portfolio Risk Management
(HS 16 Karl von Terzaghi Hörsaal, Main Building of TU Wien)
Th, 08.09.2005
Thorsten Schmidt (Universität Leipzig)
Credit Risk - Incomplete Information (open abstract)
Tu, 06.09.2005
Umut Cetin homepage (London School of Economics, UK)
Modelling liquidity effects in discrete time (joint work with Chris Rogers) (open abstract)
Th, 01.09.2005
Beatrice Acciaio (University of Perugia, Italy)
Optimal Risk Sharing and Mean-Variance Principle (open abstract)
Tu, 30.08.2005
Mihai Sirbu (Columbia University, NY)
Risk-Tolerance Wealth Processes and Sensitivity Analysis of Utility Based Prices (joint work with D. Kramkov) (open abstract)
Th, 14.07.2005
Pavel Grigoriev
No Arbitrage and Equivalent Martingale Measures In Illiquid Markets (joint work with U. Cetin) (open abstract)
Tu, 12.07.2005
Peter Grandits
16:00 s.t.
Optimal Expected Exponential Utility of Dividend Payments in a Brownian Risk Model (joint work with F. Hubalek, W. Schachermayer and M. Zigo) (open abstract)
Mo, 20.06.2005
Reinhold Kainhofer
16:15 in seminar room 104
Quasi-Monte Carlo Methoden -- Am Schnittpunkt von numerischer Analysis, Zahlentheorie und Finanzmathematik
Vortragsreihe: Wissenswertes der Mathematik, details
Th, 16.06.2005
Jürgen Hartinger (Graz University of Technology)
Rare Events - Monte Carlo and Quasi-Monte Carlo Methods (joint work with Dominik Kortschak) (open abstract)
Tu, 07.06.2005
Grigory Temnov
Risk models with stochastic premium income (open abstract)
Tu, 03.05.2005
Luciano Campi
A hedging theorem under transaction costs (open abstract)
Th, 28.04.2005
Peter Friz (Statistical Laboratory, University of Cambridge)
Levy's Area under Conditioning and Applications (open abstract)
Tu, 12.04.2005
Christian Bayer
17:00, Sem 107
An elementary proof of Tchakaloff's Theorem (about a joint work with J. Teichmann)
Tu, 07.04.2005
Josef Teichmann homepage (Technical University of Vienna)
Calculation of Greeks with jumps (joint work of Barbara Forster, Eva Luetkebohmert and Josef Teichmann) (open abstract)
Tu, 05.04.2005
Dietmar Pfeifer (Carl von Ossietzky Universität Oldenburg)
16:30, FH 6
Zur Bedeutung der Modellierung abhängiger Risiko-Prozesse für die europäische Versicherungswirtschaft
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Th, 17.03.2005
Dmitry Rokhlin (Rostov State University, Russia)
On some problems of no-arbitrage: constructive criteria in the case of finite discrete time and the Kreps-Yan theorem (open abstract)
Tu, 15.03.2005
Alexandra Dias (Credit Suisse and ETH Zurich)
16:30, FH 6
Copula change-point detection and dynamic copula models for multivariate high-frequency data in finance
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Th, 03.03.2005
Daniel Dvorak
An Extension of Panjer's Recursion (open abstract)
Tu, 22.02.2005
Stefan Ankirchner
Enlargement of filtrations, continuous Girsanov-type embeddings and utility maximization of insiders (open abstract)
Th, 17.02.2005
Reinhold Kainhofer
Zur Erstellung der österreichischen Rententafeln AVÖ2005R
Tu, 15.02.2005
Walter Schachermayer
Optimal Design of Risk Exchange for Cash-Invariant Risk Measures
Tu, 25.01.2005
Eva Lütkebohmert (Department for Probability Theory and Statistics, University of Bonn)
Hypoellipticity in Infinite Dimensions for the Jump Diffusion Case (open abstract)
Th, 20.01.2005
Thomas Dockal (Generali Holding Vienna AG, Controlling - Riskmanagement)
Allokation von Risikokapital in Versicherungsportfolios (open abstract)
Tu, 18.01.2005
Nicolas Victoir (Oxford University)
A Short Introduction to Rough Paths and Applications to Numerical Analysis (open abstract)
Th, 02.12.2004
Irene Klein (Uni Wien)
No Market Free Lunch and Large Financial Markets (part 2) (open abstract)
Th, 25.11.2004
Irene Klein (Uni Wien)
No Market Free Lunch and Large Financial Markets (part 1) (open abstract)
Tu, 23.11.2004
Josef Teichmann
Calculation of the Greeks by Cubature Formulas II (open abstract)
Th, 18.11.2004
Michel Verschuere (Risk Analyst, Luminus Hasselt and FAM @ TU Wien)
Optimal forward investment in power markets (open abstract)
Tu, 16.11.2004
Alexander McNeil (ETH Zurich)
Some New Copulas for Risk Modelling
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Th, 28.10.2004
Philippe Clement (TU Delft)
R-Boundedness and Operator-valued Multipliers (open abstract)
Th, 21.10.2004
Josef Teichmann
Calculating the Greeks by Cubature formulas (open abstract)
Tu, 19.10.2004
Traian Pirvu (Carnegie Mellon)
Satisfying Convex Risk Limits by Trading (open abstract)
Tu, 17.08.2004
Pavel Grigoriev
Representation of "dilatation monotonous" or "co-monotonic additive" risk measures (capacities) (with J.Leitner) (open abstract)
Tu, 29.06.2004
Giovanni Cesari
Counterparty Credit Exposure for Exotic Derivatives
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Tu, 22.06.2004
Walter Schachermayer, 16:30-16:45
Stimmgewichtung in der EU
Th, 17.06.2004
Anca Antonov
Performance of Modern Techniques for Rating Model Design (open abstract)
Tu, 08.06.2004
Michel Verschuere
Risk management in immature electricity markets (open abstract)
Th, 27.05.2004
Fulvio Pegoraro
Pricing and Inference with Mixtures of Conditionally Normal Processes (open abstract)
Tu, 25.05.2004
Daniel Straumann (ETH Zurich)
Parameter estimation in conditionally heteroscedastic time series models. (open abstract)
We, 19.05.2004
Reinhold Kainhofer
19:30, Österreichische Studienförderungswerk Pro Scientia, Mezzanin, Währinger Straße 2-4, 1090 Wien
"Lebensräume - Lebensträume" sich erfüllen und absichern: Ein Streifzug durch die Grundlagen aus Finanz- und Versicherungsmathematik (open abstract)
Tu, 18.05.2004
Anna Rita Bacinello
16:30, FH 6
Modelling the Surrender Conditions in Equity-Linked Life Insurance
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Th, 13.05.2004
Laurence Carassus
Existence of a particular martingale measure for models displaying "the stationarity assumption" (open abstract)
Tu, 11.05.2004
Alexander Cherny
General Arbitrage Pricing Model: Probability and Possibility Approaches (open abstract)
Tu, 04.05.2004
Dirk Tasche
Konzentrationssensitive Kapitalanforderungen für Kreditrisiken
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Th, 22.04.2004
Luciano Campi
Hedging for an insider in incomplete markets
Tu, 20.04.2004
Gallus Steiger (ETH Zürich)
On the optimal martingale measure for exponential utiity indifference pricing (open abstract)
Mo, 19.04.2004
Uwe Schmock (16.00 im Seminarraum 104)
Einführung in die Kreditrisikomodellierung, Vortragsreihe: Wissenswertes der Mathematik, details
Th, 15.04.2004
Bulat Khaydarov (Attention: this talk starts at 17:30)
Market Liquidity and Its Effect on Portfolio Risk
Th, 15.04.2004
Karel Janecek
Futures Trading Model with Transaction Costs
Tu, 30.03.2004
Carlo Sgarra
An exact analytical solution for discrete Barrier Options obtained via a Wiener-Hopf Factorization (open abstract)
Th, 18.03.2004
Mesrop Janunts
Duality methods for portfolio optimization (open abstract)
Th, 11.03.2004
17:00-18:00 Umut Cetin
An Alternative Proof of Fundamental Theorem of Asset Pricing with Proportional Transaction Costs (open abstract)
Tu, 24.02.2004
Pavel Grigoriev
On low dimensional Case in the Fundamental Asset Pricing Theorem with Transaction Costs
Tu, 17.02.2004
Umut Cetin
A Very Simple Model for Liquidity Risk
Th, 29.01.2004
Alexander Schied
Optimal investments for robust utility functionals (open abstract)
We, 28.01.2004
Alexander Uljanov (16:30 im Besprechungszimmer 107, Freihaus, 6.OG, grün)
Fondsgebundene Lebensversicherungen mit Mindestgarantie (open abstract)
Tu, 27.01.2004
Josef Teichmann
Generalising the Hobson-Rodgers model (open abstract)
Mo, 26.01.2004
Josef Teichmann (16.00 im Seminarraum 118)
Geometrie der Zinsen, Vortragsreihe: Wissenswertes der Mathematik, details
Th, 22.01.2004
Andreas Kull
'Solvency II': Ein neues Aufsichtsmodell für die Versicherungswirtschaft in der EU
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Tu, 20.01.2004
Josef Teichmann
Cubature on Wiener Space from the point of view of central limit theorems (open abstract)
Tu, 13.01.2004
Peter Friz
Rough Path and Stochastic Analysis
Tu, 16.12.2003
Umut Cetin
Trading in Illiquid Markets (open abstract)
Th, 11.12.2003
Stefan Geiss homepage
Approximations of European type pay-offs, fractional Sobolev spaces, and random time nets
Th, 04.12.2003
Filip Lindskog (ETH Zurich)
On regular variation for stochastic processes (open abstract)
Tu, 02.12.2003
Jörn Sass homepage
Portfolio Optimization under Partial Information (open abstract)
Fr, 28.11.2003
Tom Fischer homepage (13:00-13:45, Sem 107)
An axiomatic approach to valuation in life insurance
Th, 13.11.2003
Reinhold Kainhofer homepage
Entwicklung sublinearer Dividendenmodelle und deren numerische Behandlung (open abstract)
Tu, 11.11.2003
Elmar Teufl homepage
Oszillationen im Zusammenhang mit dem Sierpinski Graph und dem Sierpinski Dreieck (open abstract)
Th, 06.11.2003
Michel Verschuere
Tackling the Forward Cascade in Power Markets (open abstract)
Th, 30.10.2003
Lutz von Grafenstein
A Model for Electricity Futures Prices (open abstract)
Th, 16.10.2003
Michel Verschuere
Futures Hedging in Power Markets: Evidence from the European Energy Exchange (EEX) (open abstract)
Th, 09.10.2003
Umut Cetin
Structure Equations with an Application to Finance (open abstract)
Tu, 07.10.2003
Johannes Leitner
Balayage monotonous risk measures (open abstract)
Th, 18.09.2003
Fabrice Baudoin
Some aspects of stochastic differential equations driven by loops (open abstract)
Tu, 12.08.2003
Lutz v. Grafenstein (Attention: this talk starts at 11:00)
Feynman integral and related topics
Th, 07.08.2003
Pavel Grigoriev (Attention: this talk starts at 11:00)
Polynomials with random coefficients (open abstract)
Tu, 05.08.2003
Michel Verschuere (Attention: this talk starts at 11:00)
A regime switching model for power options (open abstract)
Fr, 11.07.2003
Angelika Esser (Goethe University, Frankfurt, D) (14:30, Sem 107)
Modeling feedback effects with stochastic liquidity (open abstract)
Fr, 11.07.2003
Juri Hinz (Eberhard-Karls Universität Tübingen, D) (9:30, Sem 107)
Modeling electricity auctions (open abstract)
Th, 26.06.2003
Christoph Hummel (Converium, CH) (Attention: this talk takes place at FH 3)
Tarifierung in der Kredit(rück-)versicherung
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Tu, 24.06.2003
Robert Tompkins
Unconditional disturbances: a new approach to asset pricing
We, 18.06.2003
Software-Firma eudaptics 16:30-18:00, FH 2
Der SOM-Kohonen-Algorithmus und seine Anwendung in der Finanzwirtschaft
Vortrag im Rahmen der Vorlesung Schadensversicherungsmathematik 2
Th, 12.06.2003
Fabrice Baudoin
Stochastic control problems, viscosity solutions, and applications to finance (6)
We, 11.06.2003
Software-Firma SAS Austria 16:30-18:00, FH 2
Statistische Methoden und deren Umsetzung in der Sachversicherung
Vortrag im Rahmen der Vorlesung Schadensversicherungsmathematik 2
Tu, 10.06.2003
Michel Verschuere
Pricing Power Derivatives
Th, 22.05.2003
Michael Schlögl (Wiener Städtische)
Die Optimierung einer Direkt-Mail-Kampagne - die praktische Anwendung von Segmentierungs- und Klassifikationsverfahren am Beispiel der Kraftfahrzeug-Versicherung (open abstract)
Fr, 16.05.2003
9:45-11:15, Sem 105
Martin Schaden (New York University)
The Distributions of Historic Stock Returns and Quantum Theory (open abstract)
Tu, 13.05.2003
Umut Cetin (Cornell University)
Liquidity Risk and Arbitrage pricing Theory (open abstract)
Tu, 15.04.2003
Laurent Nguyen (Université Paris 6)
Wiener-Hopf factorization for Lévy processes and some applications in mathematical finance (open abstract)
Th, 10.04.2003
Friedrich Hubalek
Stochastic control problems, viscosity solutions, and applications to finance (5)
Th, 03.04.2003
Friedrich Hubalek
Stochastic control problems, viscosity solutions, and applications to finance (4)
Th, 27.03.2003
Josef Teichmann
Stochastic control problems, viscosity solutions, and applications to finance (3)
Tu, 25.03.2003
Peter Grandits
Some remarks on asymptotic ruin probabilities and investment
Th, 20.03.2003
Josef Teichmann
Stochastic control problems, viscosity solutions, and applications to finance (2)
Tu, 18.03.2003
Josef Teichmann
Generic evolutions of the term structure of interest rates (open abstract)
Th, 13.03.2003
Michel Verschuere
Stochastic control problems, viscosity solutions, and applications to finance (1)
Th, 23.01.2003
Fabrice Baudoin, 15:00-16:30, FH HS 3
On the Markov property of radial motions on a Riemannian manifold (open abstract)
Tu, 21.01.2003
Josef Teichmann, 15:00-16:15,
Non-affine Term Structure Models
Th, 16.01.2003
Walter Schachermayer; 17:15-18:00
Optimization of Dividend Payments
Th, 16.01.2003
Andreas Eckner; 16:30-17:15
Pricing Derivatives of American and Game Type in Incomplete Markets (open abstract)
Th, 19.12.2002
Jacopo Zani; Banca IMI, Politecnico of Turin
Static Hedging of Barrier Options
Tu, 17.12.2002
Eva Strasser
On the Duality Theorem of Utility Maximization (open abstract)
Th, 05.12.2002
our seminar on "Coherent Risk Measures" continues
Tu, 26.11.2002
Josef Teichmann
Cubature on Wiener Space, II (open abstract)
Th, 21.11.2002
our seminar on "Coherent Risk Measures" continues
Tu, 19.11.2002
Josef Teichmann
Cubature on Wiener Space, I (open abstract)
Th, 14.11.2002
Zoran Vondracek
Levy Processes and Pollaczek-Khintchin formula (open abstract)
Tu, 12.11.2002
Igor Melichercik
Multi Stage Bond Portfolio Optimization under Model Risk (open abstract)
Th, 07.11.2002
our seminar on "Coherent Risk Measures" continues
Th, 31.10.2002
our seminar on "Coherent Risk Measures" continues
Tu, 22.10.2002
Gottwald Kranebitter (KPMG) (Attention: this talk takes place at FH HS 6)
Unternehmensbewertung
Vortragsreihe aus Finanz- und Versicherungsmathematik
Th, 17.10.2002
The talk takes place at
our seminar on "Coherent Risk Measures" starts
Tu, 15.10.2002
Cristian Popa
Relaxation with measure-valued functions in problems of Best Approximation (open abstract)
Th, 10.10.2002
Rainer Münz
Alterung in Europa: Auswirkungen auf Kapitalmarkt und soziale Sicherung,
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
We, 09.10.2002
Josef Teichmann, 14:30, Hörsaal 9, Hauptgebäude (map)
Geometrie der Zinsen (Habilitationsvortrag) (open abstract)
Tu, 08.10.2002
Christoph Kühn
Zur Bewertung von Amerikanischen Optionen und Spieloptionen in unvollständigen Märkten (open abstract)
Tu, 01.10.2002
Halbtages-Seminar (Attention: different time and place)
Dynamische Finanzanalyse und Asset-Liability-Management
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Tu, 13.08.2002
Thorsten Schmidt, 17:00-18:00
Credit Risk (open abstract)
Tu, 13.08.2002
Peter Bank, 16:00-17:00
Hedging and Portfolio Optimization in Illiquid Financial Markets (open abstract)
Tu, 25.06.2002
Alexander Cherny
On the Strong and Weak Solutions of Stochastic Differential Equations Governing Bessel Processes (open abstract)
Th, 20.06.2002
Paolo Guasoni
Optimal Investment with Transaction Costs and without Semimartingales (open abstract)
Tu, 18.06.2002
Fabrice Baudoin
Conditioned Stochastic Differential Equations - Applications to Finance (open abstract)
Th, 16.05.2002
Alfred Müller (Attention: this talk starts at 16:00 and takes place at FH HS 6)
Abhängigkeitsordnungen und ihre Anwendungen in der Versicherungsmathematik (open abstract)
Tu, 14.05.2002
Peter Koenig (Attention: this talk takes place at FH HS 6)
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Th, 02.05.2002
Michel Verschuere
TBA
Th, 25.04.2002
Eva Strasser
Several Remarks on Arbitrage-Free Markets (open abstract)
Tu, 23.04.2002
Fred Espen Benth (Attention: this talk starts at 16:00)
Merton's portfolio optimization problem and non-Gaussian stochastic volatility (open abstract)
Th, 18.04.2002
Friedrich Hubalek
Three notes from recent work (open abstract)
Tu, 16.04.2002
Georg Pflug Attention: this talk takes place at FH HS 6
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Mo, 15.04.2002
Damir Filipovic
9:30, HS 18 Czuber
Stochastische Zinsmodelle (open abstract)
Th, 11.04.2002
Freddy Delbaen
Monotone on-line selections in Poisson arrival processes (open abstract)
Tu, 09.04.2002
Rama Cont
Methods for model calibration
Th, 04.04.2002
our seminar on "Optima and Equilibria" continues
Th, 21.03.2002
Michael Kirch
No-arbitrage bounds of option prices if asset prices are piecewise constant (open abstract)
Tu, 19.03.2002
Paul Embrechts Attention: this talk takes place at FH HS 6
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Fr, 15.03.2002
Uwe Schmock (Universität Zürich)
15:00, Freihaus HS 7
Modellierung abhängiger Kreditrisiken
Fr, 15.03.2002
Hans-Jochen Bartels (Universität Mannheim)
10:30, Freihaus HS 7
Symmetrierelationen für ein inverses Problem der Finanzmathematik
Th, 14.03.2002
no seminar, but see at the IHS
Tu, 12.03.2002
Freddy Delbaen
On the Structure of the Set of Risk Neutral Measures
Fr, 08.03.2002
Ludger Rüschendorf
11:15-12:30, Seminarraum 107
Adaptives Schätzen mit Schätzern vom neuronalen Netztyp (open abstract)
Tu, 05.03.2002
Irina Penner
On No Arbitrage Criteria for Financial Markets with Proportional Transaction Costs in Discrete Time (open abstract)
Fr, 01.03.2002
Nicole Baeuerle (Universitaet Ulm)
15:30, Freihaus HS 8 (Noebauer-Hoersaal)
Stochastische Steuerung in der Versicherungsmathematik (open abstract)
Fr, 01.03.2002
Jeffrey Collamore (ETH-Zuerich)
13:15, Freihaus HS 8 (Noebauer-Hoersaal)
Extremal Behavior of Multidimensional Risk Processes (open abstract)
Th, 28.02.2002
Alessandro Sbuelz
Asset pricing with time-varying pessimism (open abstract)
Tu, 26.02.2002
Josef Teichmann
Applications of Malliavin Calculus to Mathematical Finance, part II (open abstract)
Th, 21.02.2002
our seminar on "Optima and Equilibria" continues
Tu, 19.02.2002
Josef Teichmann
Applications of Malliavin Calculus to Mathematical Finance (open abstract)
Th, 14.02.2002
our seminar on "Optima and Equilibria" continues
Tu, 12.02.2002
Uli Haböck
Arbitrage-free asset pricing with proportional transaction costs, a paper of Zhang, Xu and Deng
Th, 07.02.2002
our seminar on "Optima and Equilibria" continues
Tu, 05.02.2002
Franz Liebmann
Risikobereitschaft von Versicherungsunternehmen (open abstract)
Th, 31.01.2002
Leszek Krawczyk
to be announced
Tu, 29.01.2002
Patrick Cheridito
Fractional Ornstein-Uhlenbeck processes
Mo, 28.01.2002
Patrick Cheridito
10:00, Besprechungszimmer, 6th floor, green area
Introduction to fractional Brownian motion
Th, 24.01.2002
our seminar on "Optima and Equilibria" continues
Tu, 22.01.2002
Hans Bühlmann Attention: this talk takes place at FH HS 8
Vortragsreihe aus Finanz- und Versicherungsmathematik, details
Tu, 15.01.2002
Michael Kirch
Preference Free Restrictions on Option Prices in Equilibrium
Th, 10.01.2002
our seminar on "Optima and Equilibria" continues
Th, 20.12.2001
Ioannis Karatzas, Department of Mathematics and Statistics, Columbia University
this talk starts at 15:30
Optimal Portfolio/Consumption under Habit-Formation
Tu, 18.12.2001
Marcel Straka
Indifference Prices and Related Measures (part II) (open abstract)
Th, 13.12.2001
Eva Strasser Attention: 16:00 - 16:45
Working Paper: On A Question Raised By Schachermayer (open abstract)
Tu, 11.12.2001
Marcel Straka
Indifference Prices and Related Measures (open abstract)
Th, 6.12.2001
our seminar on "Optima and Equilibria" continues
Tu, 4.12.2001
Rainer Münz
Was leisten Bevölkerungsprognosen? (open abstract)
Th, 29.11.2001
Sasha Gorbulsky
Some entropy type invariants of decreasig sequences of measurable partitions (open abstract)
Tu, 27.11.2001
Josef Teichmann
Filtering Problems from the geometric point of view (open abstract)
Th, 22.11.2001
our seminar on "Optima and Equilibria" continues
Tu, 20.11.2001
Johanna Gaier
Asymptotic Ruin Probability and Optimal Investment for an Insurance Company with Small Claims (open abstract)
Th, 15.11.2001
our seminar on "Optima and Equilibria" continues
Tu, 13.11.2001
Walter Schachermayer
The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time (open abstract)
Th, 8.11.2001
our seminar on "Optima and Equilibria" continues
Tu, 6.11.2001
Patrick Cheridito
Sensitivity of the Black-Scholes option price to the local path behaviour of the stochastic process modelling the underlying asset (open abstract)
Tu, 30.10.2001
Christopher Summer
Risk Averse Asymptotics and the Optional Decomposition (open abstract)
Th, 25.10.2001
our seminar on "Optima and Equilibria" continues
We, 24.10.2001
Hansjörg Albrecher, Department of Mathematics, Graz University of Technology
this talk starts at 17:00 at the usual place
On some generalizations of the classical ruin model in risk theory (open abstract)
Tu, 23.10.2001
Kerry Back, John M. Olin School of Business, Washington University in St. Louis
Information in Securities Markets: Kyle meets Glosten and Milgrom (open abstract)
Th, 18.10.2001
our seminar on "Optima and Equilibria" continues
Tu, 16.10.2001
Robert Tompkins ATTENTION: this talk starts at 17:30
The relation between implied and realised probability density functions (open abstract)
Th, 11.10.2001
our seminar on "Optima and Equilibria" starts
Tu, 9.10.2001
Friedrich Hubalek
Long forward rates never fall - A general proof of the Dybvig-Ingersoll-Ross Theorem (open abstract)
Th, 27.09.2001
Alexei Filinkov, Department of Pure Mathematics, University of Adelaide
Interest Rate Theory and White Noise Calculus
Th, 13.09.2001
Peter Grandits
Ruin Probability in the Presence of Regularly Varying Tails and Optimal Investment
Th, 23.08.2001
Irene Klein, Josef Teichmann
Do long forward rates never fall? (open abstract)
(expand all abstracts)

Vienna Seminar in Mathematical Finance and Probability

Thursdays, 16:30 - max. 18:00,
seminar room SR11 (University of Vienna), Oskar-Morgenstern-Platz 1, 1090 Wien, 2nd floor.

For abstracts and past seminars see: https://fam.tuwien.ac.at/vs-mfp/

2017-10-05:
Oleg Klesov and Elena Timoshenko (National Technical University of Ukraine)
Generalized renewal processes with applications to stochastic differential equations

2017-10-12:
Gaoyue Guo (University of Oxford, UK)
Numerical computation of martingale optimal transportation

2017-11-30:
Julio Backhoff (TU Wien)
Martingale Benamou-Brenier: a probabilistic perspective

2017-12-14:
Ilya Molchanov (University of Bern, CH)
t.b.a.

2018-01-11:
Matthias Meiners (University of Innsbruck)
t.b.a.


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The above seminars are also announced via the FAM-news mailing list, one of the public mailing lists maintained by FAM.


Regular Events / Seminars