Vienna Congress on Mathematical Finance (VCMF 2025)
Vienna, Wed.-Fri., July 9-11, 2025
https://fam.tuwien.ac.at/vcmf2025/

Kristof Wiedermann (FAM @ TU Wien)
10:30, conference room of the Deanery (Freihaus, 9th floor, green area - elevator only until 8th floor, then starecase)
or online via Zoom (join Zoom meeting, ID: 637 6686 8808, PW: A7JJ4vkM)
Stochastic Volterra Integral Equations: Central Limit Theorems, Non-Markovianity and Markovian Lifting
(Public PhD Thesis Defense) (open abstract)

Onnen Siems, Carina Götzen (Meyerthole Siems Kohlruss GmbH)
17:00-18:00, Freihaus building, lecture hall 8
Rain Chaser - Modellierung des Oberflächenwasserabflusses bei Starkregenereignissen
Veranstaltungsreihe "Actuarial Modelling Club"

Alexander Meiksner, Thomas Hochreiter, Michael Reichard (arithmetica Consulting GmbH)
17:00-18:00, Freihaus building, lecture hall 8
Risikotransfer und Optimierung der Rückversicherung
Veranstaltungsreihe "Actuarial Modelling Club"

Michael Leitschkis (Athora Group, DE)
17:00-18:00, Freihaus building, lecture hall 8
Machine Learning-Anwendungen von Proxy Modelling bis Klimawandel
Veranstaltungsreihe "Actuarial Modelling Club"

Praxis der Finanz- und Versicherungsmathematik 2024
(Mathematiker_innen in der Finanz- und Versicherungsbranche)
TU Wien, Anmeldung erforderlich!

Praxis der Finanz- und Versicherungsmathematik 2024
(Berufsständisches Seminar)
TU Wien, Anmeldung erforderlich!

Eckhard Platen (University of Technology Sydney)
17:00-18:00, Freihaus building, lecture hall 8
Anwendung des Benchmark Ansatzes für die Altersversorgung
Veranstaltungsreihe "Actuarial Modelling Club"

Florian Nuding (Wüstenrot), Bartosz Gaweda (Milliman), Jan Küthe (Akur8)
16:30-18:00, Freihaus building, lecture hall 8
Cutting-edge in Pricing: Penalized Regression, Market Price Insights, and Practical Lessons
Veranstaltungsreihe "Actuarial Modelling Club"

DI Lukas Ludwig (FWU AG)
17:00-18:00, Freihaus building, lecture hall 8
POG - Der »neue« Produktentwicklungsstandard
Veranstaltungsreihe "Actuarial Modelling Club"

Sven Ebert (Flossbach von Storch Research Institute, DE)
17:00-18:00, Freihaus building, lecture hall 8
Aktuarielle Betrachtungen zu Demographie und Inflation
Veranstaltungsreihe "Actuarial Modelling Club"

Lorenz Meinl & Jung-Geun Seok (B&W Deloitte GmbH)
17:00-18:00, Freihaus building, lecture hall 8
Marktpricing - effiziente Preisstrategien und Dynamic Pricing
Veranstaltungsreihe "Actuarial Modelling Club"

Andrea Rauter und Daniel Thompson (B&W Deloitte GmbH)
17:00-18:00, Freihaus building, lecture hall 8
IFRS 17 Veröffentlichungen - Q2 2023 Disclosures
Veranstaltungsreihe "Actuarial Modelling Club"

Stefan Gerhold (FAM @ TU Wien)
18:00-19:00, Nöbauer Hörsaal 8 and online
Die Mathematik der Finanzmärkte
TUForMath

Matthias Widman (d-fine Austria GmbH)
17:00-18:00, Freihaus building, lecture hall 8
Aktivseitige, risikoneutrale Modellierung in einem Versicherungsunternehmen
Veranstaltungsreihe "Actuarial Modelling Club"

Gabriele Hollmann (SCOR)
17:00-18:00, Freihaus building, lecture hall 8
Behavioral Science und Lebensversicherung
Veranstaltungsreihe "Actuarial Modelling Club"

Alexander Bontjes van Beek (EY)
17:00-18:00, Valida, Mooslackengasse 12, 1190 Wien
Abhängigkeitsmodellierung operationeller Risiken - ein Bernstein-Copula Ansatz
Veranstaltungsreihe "Actuarial Modelling Club"

Praxis der Finanz- und Versicherungsmathematik 2022
(Mathematiker_innen in der Finanz- und Versicherungsbranche)
TU Wien, Anmeldung erforderlich!

Praxis der Finanz- und Versicherungsmathematik 2022
(Berufsständisches Seminar)
TU Wien, Anmeldung erforderlich!

Alexander Meiksner (arithmetica Consulting GmbH)
17:00-18:00, Freihaus building, lecture hall 5
Aktuellste Entwicklungen zur Methodik der EIOPA-Zinskurve
Veranstaltungsreihe "Actuarial Modelling Club"

Ulrike Ebner (Wiener Städtische Versicherung - Vienna Insurance Group)
16:30-17:30, Freihaus building, lecture hall 8
Aktuarielle Projektionsmodelle - mehr als nur ein Spielzeug für Aktuare
Veranstaltungsreihe "Actuarial Modelling Club"

Carmen Boado-Penas (University of Liverpool)
17:00-18:00, Freihaus building, lecture hall 8
Automatic balancing mechanisms for state pensions: Past, present and future
Veranstaltungsreihe "Actuarial Modelling Club"

Julia Eisenberg (FAM @ TU Wien)
18:00-19:00, Nöbauer Hörsaal 8 and online
Brauchen Versicherungen mehr Mathematik als die Grundrechenarten?
TUForMath

Christoph Gerstenecker (FAM @ TU Wien)
10:15, lecture hall Freihaus Hörsaal 7 (Freihaus, Wiedner Hauptstr. 8, yellow area, 2nd floor)
Large Deviations and Stochastic Volterra Equations (open abstract)

Götz Cypra and Michael Feigl (UNIQA Capital Markets GmbH)
16:30-17:30, online via Zoom
Asset-Liability-Management für Versicherungen
Veranstaltungsreihe "Actuarial Modelling Club"

Rachel Hillier (Capital Law Limited, UK)
16:30-17:30, online via Zoom
Is Parametric Insurance the answer to the Legal Challenges of Insuring Against a Pandemic?
Veranstaltungsreihe "Actuarial Modelling Club"

Daniel Wimmer (Erste Group)
16:30-17:30, online via Zoom
Modellrisiko bei der Schätzung von epidemiologischen Parametern bei Covid-19
Veranstaltungsreihe "Actuarial Modelling Club"

Walter Pöltner (Vorsitzender der Alterssicherungskommission)
16:30-17:30, online via Zoom
Die Alterssicherungskommission: Aufgabe und Funktion im Rahmen einer nachhaltigen Sozialpolitik
Veranstaltungsreihe "Actuarial Modelling Club"

Jürgen Hartinger (Kärntner Landesversicherung) sowie Mario Kasper und Sven Ebert (SCOR Global Life) und
16:30-17:30, online via Zoom
Lebensversicherung als »Datenkrake oder Gesundheitspartner«?
Veranstaltungsreihe "Actuarial Modelling Club"

Sven Jörgen (Valida Consulting GesmbH)
16:30-18:00, online via Zoom
Bewertung von Pensionsrückstellungen - ein Überblick
Veranstaltungsreihe "Actuarial Modelling Club"

Frank Schiller (MunichRe)
16:00-18:00, online via Zoom
Wie überlebt man eine Pandemie als Aktuar?
Veranstaltungsreihe "Actuarial Modelling Club"

Wolfgang Herold (Finanzmarktaufsicht - FMA)
16:30-17:30, online via Zoom
Kapitalmarkt - aktuelle Entwicklungen und ihre Bedeutung für den Versicherungsmarkt
Veranstaltungsreihe "Actuarial Modelling Club"

Michael Kinzer (Michael Kinzer Consulting) und Bernd Weber (Zürich Versicherungs-Aktiengesellschaft)
16:30, online via Zoom
Liability-2-Step - Ein Ansatz zur stochastischen Bewertung von Lebensversicherungs-Portfolios ohne Verdichtung
Veranstaltungsreihe "Actuarial Modelling Club"

Dietmar Hareter und Fabian Pribahsnik (Wiener Städtische Versicherung AG Vienna Insurance Group)
16:30, online via Zoom
Data Science im Live-Betrieb (Ein Online-Vortrag von Praktikern für Praktiker_innen)
Veranstaltungsreihe "Actuarial Modelling Club"

Praxis der Finanz- und Versicherungsmathematik 2020
(Mathematiker_innen in der Finanz- und Versicherungsbranche)
TU Wien, Anmeldung erforderlich!

Praxis der Finanz- und Versicherungsmathematik 2020
(Berufsständisches Seminar)
TU Wien, Anmeldung erforderlich!

Alexander Juschitz (B&W Deloitte)
16:30, Online via Zoom
Die Standard Formel unter Solvency 2 und die Prüfung ihrer Angemessenheit
Veranstaltungsreihe "Actuarial Modelling Club"

Sebastian Helbig und Marius Reitz (ROKOCO GmbH und ROKOCO Predictive Analytics GmbH)
16:30 - 18:00, FH 8 Nöbauer Hörsaal (Freihaus, 2. OG, gelb)
Marktkonsistenz und Solvabilitätsbewertung: Ausgewählte Aspekte
Veranstaltungsreihe "Actuarial Modelling Club"

Götz Cypra (UNIQA), Mario Hoerig (Oliver Wyman)
17:00, GM 3 Vortmann Hörsaal (Plus Energie Büro Hochhaus, 2. OG, Getreidemarkt 9)
Deep Learning Techniken im Einsatz: Anwendungen im Kontext von Economic Capital und Cash Flow Projektionsmodellen
Veranstaltungsreihe "Actuarial Modelling Club"

Florian Gach (FMA - Österreichische Finanzmarktaufsicht)
16:30, GM 3 Vortmann Hörsaal (Plus Energie Büro Hochhaus, 2. OG, Getreidemarkt 9)
Analytische Validierungsformeln für die Berechnung des besten Schätzwerts in der klassischen Lebensversicherung
Veranstaltungsreihe "Actuarial Modelling Club"

Martin Hahn (International Association of Insurance Supervisors)
16:30, GM 3 Vortmann Hörsaal (Plus Energie Büro Hochhaus, 2. OG, Getreidemarkt 9)
Insurance Capital Standard
Veranstaltungsreihe "Actuarial Modelling Club"

Reinhold Kainhofer (Generali Versicherung und AVÖ/ÖFdV)
17:00, GM 3 Vortmann Hörsaal (Plus Energie Büro Hochhaus, 2. OG, Getreidemarkt 9)
Überprüfung der Angemessenheit der Rententafel AVÖ 2005-R
Veranstaltungsreihe "Actuarial Modelling Club"

Gerd Müller und Mario Kasper (SCOR Rückversicherung Deutschland, SCOR Global Life)
17:00, Freihaus Hörsaal 6 (Freihaus, 2. OG, grün)
"Biological Age Model: Eine erweiterte Form der Risikobewertung in der Lebensversicherung"
Veranstaltungsreihe "Actuarial Modelling Club"

Frank Schiller (Munich Re)
17:00, Freihaus Hörsaal 6 (Freihaus, 2. OG, grün)
"Moderne Life-Style Produkte in der Lebensversicherung mit Big Data und Machine Learning"
Veranstaltungsreihe "Actuarial Modelling Club"

Julia Eisenberg (TU Wien, Univ. Liverpool)
09:30, seminar room DA gelb 05a (Freihaus, 5th floor, yellow area)
A new approach for satisfactory pensions with no guarantees
(Public Habilitation Talk) (open abstract)

Jan-Philip Gamp, Ehsan Ayatollahi (Milliman, DE)
17:00, Freihaus Hörsaal 5 (Freihaus, 2. OG, grün)
"IFRS17 ?- unterschiedliche Bewertungsansätze in der Lebensversicherung"
Veranstaltungsreihe "Actuarial Modelling Club"

Gerold Petritsch (EVN)
17:00, Freihaus Hörsaal 5 (Freihaus, 2. OG, grün)
Über den aktuariellen Tellerrand hinaus: Data Science als Erfolgsfaktor in der Energiewirtschaft
Veranstaltungsreihe "Actuarial Modelling Club"

Christiane Elgert (FAM @ TU Wien)
14:00, conference room of the Deanery (Freihaus, 9th floor, green area - elevator only until 8th floor, then starecase)
Theory of Distribution-Constrained Optimization Problems
(Public PhD Thesis Defense) (open abstract)

Sühan Altay (FAM @ TU Wien)
10:00, conference room of the Deanery (Freihaus, 9th floor, green area - elevator only until 8th floor, then starecase)
Interest Rate Modeling and Optimal Trading Portfolios with Dependence and Partial Information
(Public PhD Thesis Defense) (open abstract)

Julia Eisenberg (TU Wien, AT & Univ. Liverpool, UK)
11:00-12:00, Sem.R. DA grün 05 (Freihaus, 5. OG, grüner Bereich
The time value of money in the actuarial framework (open abstract)

Onnen Siems, Carina Götzen (Meyerthole Siems Kohlruss, DE)
16:30, GM 3 Vortmann Hörsaal (Plus Energie Büro Hochhaus, 2. OG, Getreidemarkt 9)
Aktuarielle Analyse von großen Telematikdatenmengen (Big Data)
Veranstaltungsreihe "Actuarial Modelling Club"

Praxis der Finanz- und Versicherungsmathematik 2018
Mittwoch, 26. September 2018, 9:30-17:15 Uhr
TU Wien, Freihaus Hörsaal 6, Anmeldung erforderlich: details

Praxis der Finanz- und Versicherungsmathematik 2018
Dienstag, 25. September 2018, 9:30-17:15 Uhr
TU Wien, Freihaus Hörsaal 6, Anmeldung erforderlich: details

Mikhail Arshinskiy (Deloitte Digital)
16:30, Hörsaal 13 Ernst Melan Hörsaal (Hauptgebäude der TU Wien, 2. OG,)
Digital cyber response: cost factors and probabilities
Veranstaltungsreihe "Actuarial Modelling Club"

Klaus Wegenkittl (ERGO Versicherung)
16:30, FH 8 Nöbauer HS (Freihaus, 2. OG, gelber Bereich)
PRIIP Basisinformationsblätter in der Lebensversicherung - Inhalt und Berechnungsmethoden
Veranstaltungsreihe "Actuarial Modelling Club"

Sabrina Mulinacci (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

Sabrina Mulinacci (University of Bologna, IT)
16:30, Böcklsaal (TU Wien, Hauptgebäude, Stiege 1, 1. Stock)
Generalizations of the Marshall-Olkin distribution and applications
Vortragsreihe aus Finanz- und Versicherungsmathematik

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"

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)

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)

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)

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"

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"

Yuliya Mishura (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

Praxis der Finanz- und Versicherungsmathematik 2016
(Berufsständisches Seminar)
TU Wien, Anmeldung erforderlich!

Praxis der Finanz- und Versicherungsmathematik 2016
(Mathematiker_innen in der Finanz- und Versicherungsbranche)
TU Wien, Anmeldung erforderlich!

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"

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"

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"

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)

Thorsten Rheinländer (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)

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"

Stefan Thonhauser (TU Graz)
Über Optimierungsprobleme aus der Versicherungsmathematik
11:00, seminar room 105A (Freihaus, yellow area, 4th floor) (open abstract)

Stefan Gerhold (FAM @ TU Wien)
Asymptotische Approximationen von Optionspreisen
9:30, seminar room 105A (Freihaus, yellow area, 4th floor) (open abstract)

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"

Alois Gisler (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

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)

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

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)

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"

Jonas Hirz (FAM @ TU Wien)
16:30, for room see announcement
Ein Modell zur Risikoaggregation in Pensions- und Lebensversicherungsportfolios
Vortragsreihe aus Finanz- und Versicherungsmathematik

Stefan Thonhauser (TU Graz)
16:30, Seminarraum 107 (Freihaus, 6th floor, green section)
Optimal reinsurance in risk theory (open abstract)

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)

Lars Rösler (WU Wien)
Contagion Effects and Collateralized CVAs for Credit Default Swaps (part 1) (open abstract)

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)

Thorsten Schmidt (TU Chemnitz, DE)
Default Times not Avoiding Stopping Times: Defaultable Term Structure Modelling beyond the Intensity-Paradigm (open abstract)

Yosef Rinott (The Hebrew University of Jerusalem, Israel)
15:00, seminar room 101C, Freihaus, 4th floor, green section
On methods for model selection (open abstract)

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"

Christiane Elgert (Universität Rostock, DE)
Numerische Lösung der Diffusionsgleichung bei variabler räumlicher Struktur (open abstract)

Damir Filipovic (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)

Stefan Gerhold (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)

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)

Julia Eisenberg (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)

Christian Kuehn (TU Wien)
A Tour Through Stochastic Multiscale Dynamics via a Model Problem (open abstract)

Jonas Hirz (FAM @ TU Wien)
Talk within the seminar about High Frequency Trading:
Introduction to Cointegration with Applications to Finance (open abstract)

Peter Friz (TU Berlin)
12:00, Freihaus Hörsaal 3 (Freihaus, 2nd floor, yellow section)
On the probability density function of baskets (open abstract)

Lukas Fabrykowski (TU Wien)
Talk within the seminar about High Frequency Trading

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"

PRisMa 2013
One-Day Workshop on Portfolio Risk Management
Hörsaal 6 (Karlsplatz 13, Main Building, ground floor)

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

Eckhard Platen (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

Henry Schellhorn (Claremont Graduate University, California)
15:00, Seminarraum 107 (Freihaus, 6th floor, green section)
A Representation Theorem For Smooth Brownian Martingales (open abstract)

Eberhard Mayerhofer (Dublin City University, Ireland)
Mean Variance Optimisation with Transaction Costs (open abstract)

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)

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)

Jan Widenmann (LMU Mathematics Institute, Munich)
Pricing and hedging insurance claims in hybrid markets (open abstract)

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)

Nicoletta Gabrielli (ETH Zurich)
Pathspace representation of Affine processes (open abstract)

Christian Genest (McGill University, Montréal, Canada)
17:30
Accounting for extreme-value dependence in multivariate data.
Vortragsreihe aus Finanz- und Versicherungsmathematik, details

Johanna Nešlehová (McGill University, Montréal, Canada)
16:30
Wie kann man Abhängigkeiten zwischen diskreten und gemischten Risiken aufdecken?
Vortragsreihe aus Finanz- und Versicherungsmathematik, details

Stefan Gerhold (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)

Andreas Kyprianou (University of Bath)
Multi-level Wiener-Hopf Monte-Carlo simulation for Lévy processes (open abstract)

Piet Porkert (FAM @ TU Wien)
Small time central limit theorems for semimartingales with applications (open abstract)

Carole Bernard (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

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

PRisMa 2012
One-Day Workshop on Portfolio Risk Management
Hörsaal 6 (Karlsplatz 13, Main Building, ground floor)

Peter Eichelsbacher (Ruhr-Universität Bochum)
Die Steinsche Methode und Anwendungen - Teil 2 (open abstract)

Stefano De Marco (TU Berlin)
Large deviations for diffusions and local volatilities (open abstract)

Peter Eichelsbacher (Ruhr-Universität Bochum)
Die Steinsche Methode und Anwendungen - Teil 1 (open abstract)

Miklos Rasonyi (University of Edinburgh)
13:00, Seminarraum 101A ("Freihaus", green section, 3rd floor)
Optimal investment: from risk-averse to behavioural agents (open abstract)

Stefan Weber (Leibniz Universität Hannover)
9:00, Seminarraum 101B ("Freihaus", green section, 3rd floor)
Liquidity-Adjusted Risk Measures (open abstract)

Thorsten Schmidt (Chemnitz University of Technology)
16:00, Seminar Room 107
Kreditrisiken und deren Modellierung (open abstract)

Thorsten Rheinländer (London School of Economics)
14:00, Seminar Room 107
Self-dual stochastic processes and semi-static hedging for realistic price processes (open abstract)

Vicky Fasen (ETH Zürich)
CANCELLED!!!

Stefan Gerhold (FAM @ TU Wien)
8:30, Seminar Room 107
Portfolio Optimization under Transaction Costs (open abstract)

Mykhaylo Shkolnikov (MSRI, Berkeley, USA)
15:00, Seminar Room 107
On diffusions interacting through their ranks (open abstract)

Ramin Okhrati (FAM @ TU Wien)
Defaultable claims under finite variation Lévy processes (open abstract)

Hansjörg Albrecher (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

PRisMa 2011
One-Day Workshop on Portfolio Risk Management
Hörsaal 6 (Karlsplatz 13, Main Building, ground floor)

Zehra Eksi (Vienna Institute of Finance)
Pricing and Hedging of Single Tranche CDOs (open abstract)

Carole Bernard (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

Gregory Temnov (University College Cork, Ireland)
Characterization of memory states of the Preisach operator with stochastic inputs (open abstract)

Flavia Giammarino (London School of Economics)
Indifference Pricing with Uncertainty Averse Preferences
10:30 (open abstract)

Stefan Gerhold (FAM @ TU Wien)
Special Functions: From Lindelöf Integrals to Volatility Smiles
(Habilitationskolloquium)
16:15, FH Hörsaal 4

Stefan Gerhold (FAM @ TU Wien)
Transaction Costs made Tractable (open abstract)

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)

Jonas Hirz (University of Salzburg)
Optimizing Investment Strategies under a General Approach to Cost-Efficiency (open abstract)

Umut Cetin (London School of Economics)
16:30, FH Hörsaal 3
Explicit construction of a dynamic Bessel bridge of dimension 3 (open abstract)

Esther Frostig (University of Haifa, Israel)
A Markov Additive Risk process with dividend barrier and phase type claims (open abstract)

Piet Porkert (TU Wien)
On Weak Solutions to Stochastic Differential Equations in Finite and Infinite Dimensions (open abstract)

Michael Punz (Munich Re, Germany)
9.30-11.00, Seminar room 101C
Volatilitätsderivate (open abstract)

Tilmann Blümmel (Albert-Ludwigs-University, Freiburg, Germany)
Anmerkungen zur Nutzenmaximierung (open abstract)

Nadezhda Sholokhova (Ufa State Aviation Technical University, Russia)
Commercial bank deposit portfolio optimization (open abstract)

Carlo Sgarra (Politecnico di Milano, Italy)
Stochastic Ordering with GARCH Models (open abstract)

Nicole Bäuerle (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

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

Paolo Guasoni (Dublin City University, Ireland)
13:15, FH Hörsaal 4
Abstract, Classic, and Explicit Turnpikes (open abstract)

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)

Antoine Jacquier (TU Berlin)
Implied volatility asymptotics in affine stochastic volatility models with jumps (open abstract)

PRisMa 2010
One-Day Workshop on Portfolio Risk Management
(FH HS 8 - Nöbauer Hörsaal, "Freihaus" Building of TU Wien)

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)

Markus Fischer (Brown University, Rhode Island, USA)
Large deviation properties of weakly interacting Itô processes (open abstract)

Dirk Banholzer (TU München)
11.00
Intensitätsbasierte Kreditrisikomodelle (open abstract)

Julia Eisenberg (University Cologne)
Optimal Control of Capital Injections by Reinsurance and Investments (open abstract)

Alexander Hullmann (University Bonn)
17:00
The Generative Topographic Mapping for Dimensionality Reduction and Data Analysis (open abstract)

Peter H. Gruber (Universitá Svizzera Italiana, Lugano)
13:30
Three Make a Dynamic Smile - Unspanned Skewness and Interacting Volatility Components in Option Valuation (open abstract)

Stefan Thonhauser (University Lausanne)
A randomized approach to analyzing the compound Poisson risk model under periodic observations (open abstract)

Markus Zahrnhofer (TU Graz)
9:30, Seminar room 101B ("Freihaus", green section, 3rd floor)
Modeling and pricing of temperature derivatives (open abstract)

Klaus D. Schmidt (Technische Universität Dresden)
12:00
Markov-Ketten und Bonus-Malus Systeme (open abstract)

Klaus D. Schmidt (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

Karl F. Bannör (Frankfurt/Main)
9.30-11.00, Seminar room 101C
The Longstaff-Schwartz approach to the optimal stopping problem (open abstract)

David Millar (Chief Operating Officer PRMIA), Stefan Strehle and Christoph Obenhuber (PRM degree holders)
18.30-20.00, FH Hörsaal 8 "Nöbauer" (Freihaus, 2nd floor, yellow section)
PRMIA Education and Exam Information (open abstract)

Dilip Madan (University of Maryland, USA)
Unlimited Liabilities, Reserve Capital Requirements and the Taxpayer Put Option (open abstract)

Gregory Temnov (University College Cork, Ireland)
Extended stability property for exponential families: a model for financial applications (open abstract)

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)

Gernot Müller (TU München)
Statistical Aspects of COGARCH Modelling (open abstract)

Stefan Gerhold (FAM @ TU Wien)
Refined volatility expansion in the Heston model (open abstract)

Katja Krol (Humboldt University, Berlin)
Minimal Entropy Martingale Measure for Lévy Processes (open abstract)

Praxis der Finanz- und Versicherungsmathematik 2010
Montag, 1. März bis Dienstag, 2. März 2010, jeweils ca. 9-17 Uhr
TU Wien, details

Praxis der Finanz- und Versicherungsmathematik 2010
Montag, 1. März bis Dienstag, 2. März 2010, jeweils ca. 9-17 Uhr
TU Wien, details

Habib Esmaeili (TU München und WPI)
Parameter estimation of Levy copula-based models with application in insurance (open abstract)

Eberhard Mayerhofer (Vienna Institute of Finance)
On strong solutions of positive definite jump-diffusions (open abstract)

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

László Györfi (Budapest University of Technology and Economics)
Portfolio games (open abstract)

Cordelia Rudolph (LMU München)
Gegenseitige Abhängigkeit von Ausfällen in Modellen mit Intensitäten (open abstract)

Paolo Guasoni (Boston University and Dublin City University)
12:00
The Incentives of Hedge Fund Fees and High-Water Marks (open abstract)

Mark Podolskij (ETH Zürich)
13:30 Böcklsaal (Karlsplatz 13, Main Building, 1st floor)
Statistische Methoden für hochfrequente Beobachtungen von Semimartingalen (open abstract)

Thorsten Schmidt (TU Chemnitz)
10:00, Böcklsaal (Karlsplatz 13, Main Building, 1st floor)
Die Modellierung von Portfolio-Kreditrisiken (open abstract)

Sylvia Frühwirth-Schnatter (Universität Linz)
16:15
Modellierung multivariater Finanzzeitreihen mittels multidimensionaler zeitstetiger Markov Switching Modelle (open abstract)

Jan Kallsen (Universität Kiel)
14:00
Zur Modellierung von Optionspreisflächen (open abstract)

Rüdiger Frey (Universität Leipzig)
10:30
Innovation: Pricing and Hedging of Credit Derivatives via the Innovations Approach to Nonlinear Filtering (open abstract)

Giovanni Cesari (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

Wolfgang Runggaldier (Università degli Studi di Padova, Italy)
Pricing under incomplete information without equivalent martingale measures (open abstract)

Martin Schweizer (ETH Zürich, Switzerland)
10:30, Hörsaal 4 Hochstetter (Karlsplatz 13, Main Building, Hof 1, ground floor)
Horizon-dependence in optimal portfolio choice (open abstract)

Mario Wüthrich (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

PRisMa 2009
One-Day Workshop on Portfolio Risk Management

Hannes Kazianka (Alpen-Adria Universität Klagenfurt, Austria)
16:30, SEM 107
Copula-based geostatistical modeling and interpolation (open abstract)

Carlo Sgarra (Politecnico di Milano, Italy)
Risk premium and risk-neutral valuation in electricity markets (open abstract)

Antonis Papapantoleon (Quantitative Products Laboratory, Berlin, Germany)
Towards an "affine LIBOR" model with default risk (open abstract)

Laura Ballotta (City University London, UK)
Investment strategies and risk management for participating life insurance contracts (open abstract)

Andrea Pascucci (University of Bologna, Italy)
Kolmogorov equations and applications to path dependent derivatives (open abstract)

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)

Ronnie Loeffen (Johann Radon Institute for Computational and Applied Mathematics, Linz, Austria)
De Finetti′s dividend problem with absolutely continuous controls (open abstract)

Anja Richter (Humboldt University Berlin, Germany)
Differentiablity of quadratic BSDEs driven by continuous martingales (open abstract)

Sasa Parad (ETH Zürich, Switzerland)
17:00
Long Run Asset Prices with General Utilities (open abstract)

Dejan Veluscek (FAM, TU Vienna)
16:00
Higher order weak approximation schemes for SDEs (open abstract)

Vicky Henderson (Oxford-Man Institute of Quantitative Finance, UK)
Prospect Theory, Partial Liquidation and the Disposition Effect (open abstract)

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)

Mia Hinnerich (Aarhus University, Denmark)
Inflation-indexed swaps and swaptions (Slides) (open abstract)

Gregory Temnov (University College of Dublin, Ireland)
Analysis of limit distributions in actuarial modelling (open abstract)

Nikos Sfakianakis (Wolfgang Pauli-Institute, Vienna)
Adaptive mesh reconstruction and TVB for Hyperbolic Conservation Laws (open abstract)

Hanspeter Schmidli (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

Eberhard Mayerhofer (Vienna Institute of Finance)
Affine Diffusion Processes: Theory and Applications (open abstract)

Peter K. Friz (University of Cambridge, UK)
16:00
Minicourse on Stochastic Analysis via Rough Paths (Last of three parts)

Peter K. Friz (University of Cambridge, UK)
16:00
Minicourse on Stochastic Analysis via Rough Paths (Second of three parts)

Johannes Muhle-Karbe (TU Munich, Germany)
14:30
On asymptotic power utility-based pricing and hedging (open abstract)

Mirta Castro Smirnova (Universidad de Sevilla, Spain)
Matrix valued orthogonal polynomials satisfying differential equations (open abstract)

Josef Teichmann, Antonis Papapantoleon, Martin Keller-Ressel (START-Prize Group, Vienna University of Technology)
A new approach to LIBOR modeling (open abstract)

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

Peter K. Friz (University of Cambridge, UK)
16:00
Minicourse on Stochastic Analysis via Rough Paths (First of three parts)

Martin Keller-Ressel (Financial and Actuarial Mathematics, Vienna University of Technology)
13:00, Seminar room 101C
Defense Talk: Affine Processes - Theory and Applications in Finance (open abstract)

Jose Fajardo (IBMEC Business School, Rio de Janeiro)
Optimal Insider Strategy with Penalties (open abstract)

Juan Pablo Ortega (CNRS, Dept. de Mathématiques de Besançon, France)
GARCH pricing via local risk minimization (open abstract)

David Skovmand (Aarhus School of Business, University of Aarhus, Denmark)
Alternative Specifications for the Levy Libor Market Model: An Empirical Investigation (open abstract)

Jan Palczewski (Faculty of Mathematics, University of Warsaw, Poland)
Finite Horizon Optimal Stopping of Discontinuous Functionals with Applications to Impulse Control with Delay (open abstract)

Michael Kupper, Nicolas Vogelpoth (Vienna Institute of Finance)
Seperation and duality in L0-modules (open abstract)

Roman Ivanov (Lomonosov Moscow State University, Russia)
On calculation of multiple exercise Russian option (open abstract)

Jose Fajardo (IBMEC Business School, Rio de Janeiro)
Symmetry and Option Price Monotonicity with Levy processes (open abstract)

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)

Peter Spreij (Universiteit van Amsterdam), Start-Seminar,
On Multivariate Feller conditions in term structure models (open abstract)

Johannes Leitner (Finanz- und Versicherungsmathematik, TU Wien)
12:00, FH Hörsaal 3
Habilitation Talk: Robust Martingale Representations for Marked Point Processes (open abstract)

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)

Goncalo dos Reis (HU Berlin)
Differentiability of quadratic growth BSDEs and applications (open abstract)

PRisMa 2008
One-Day Workshop on Portfolio Risk Management
(FH HS 8 - Nöbauer Hörsaal, "Freihaus" Building of TU Wien)

Simone Farinelli (UBS, Zürich)
13:30, SEM 107

Geometric Arbitrage Theory (open abstract)

Olaf Menkens (School of Mathematical Sciences, Dublin City University)
10:30, SEM 107

Crash Hedging Strategies and q-Quantile Crash Hedging Strategies (open abstract)

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)

Mark Freidlin (University of Maryland), Start-Seminar,
Asymptotic Problems for PDE's and Related Stochastic Processes (open abstract)

Matthias Weber (University of Applied Sciences, Dresden)
On Stochasticity of Solutions of Differential Equations with a Small Delay (open abstract)

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

Angelika May (Universität Oldenburg)
CPPI Models for life insurance products with guarantees CANCELLED! (open abstract)

Andrea Freiberger (TU Wien), Start-Seminar,
Distribution properties of digital (0,1)-sequences (open abstract)

Harald Oberhauser (University of Cambridge, UK)
Isoperimetry and Rough path regularity (open abstract)

Umut Cetin (London School of Economics, United Kingdom), Start-Seminar,
Insider trading in credit markets with dynamic information asymmetry (open abstract)

Corina Constantinescu (RICAM Linz)
Risk procesess with stochastic returns on investments (open abstract)

Elisa Nicolato (University of Aarhus)
Sato Processes in Default Modelling (open abstract)

Erik Baurdoux (LSE London), Start-Seminar,
The McKean stochastic game driven by a spectrally negative Lévy process. (open abstract)

Semyon Malamud (ETH Zürich)
14:00, SEM 138A
Equilibrium Asset Prices (open abstract)

Achim Wübker (Universität Göttingen)
L2-Spectral gaps for Markov-chains (open abstract)

Mladen Savov (University of Manchester), Start-Seminar,
Small Time Behaviour of Lévy Processes: Laws of the Iterated Logarithm (open abstract)

Christian Bayer
Harmonic analysis of stochastic equations and backward stochastic differential equations (open abstract)

Anders Szepessy (Stockholm University), Start-Seminar,
Langevin molecular dynamics derived from Ehrenfest dynamics (open abstract)

Pierre Moussa (CEA/Saclay, Gif sur Yvette, France), Start-Seminar,
On the representation of Tr exp(A-tB) as a Laplace transform (open abstract)

Josef Teichmann, Start-Seminar,
How to calculate moments of affine processes easily (open abstract)

Paul F.X. Müller (JKU Linz)
Compensated Compactnes, Separately convex Functions, and Interpolatory Estimates between Riesz Transforms and Haar Projections (open abstract)

Diana Auerswald (University of Oldenburg)
Valuation of American Style Options - Extension and Empirical Tests of a Nonparametric Pricing Algorithm (open abstract)

Yuri Kifer (Hebrew University, Jerusalem)
11:30, Sem 107
Game options, shortfall risk and their binomial approximations (open abstract)

Roman Muraviev (Tel-Aviv University)
Growth Gap vs. Smoothness for Diffeomorphisms of The Interval (open abstract)

Ales Cerny (Cass Business School, City University London)
Mean-Variance Hedging and Optimal Investment in Heston's Model with Correlation (open abstract)

Sergei Kucherenko (Imperial College London)
Application of Global Sensitivity Analysis and Quasi Monte Methods in finance (open abstract)

Claudia Czado (TU München, Germany)
Pair-copula constructions of multiple dependence (open abstract)

Nicolas Bouleau (École Nationale des Ponts et Chaussées), Start-Seminar,
On Dirichlet forms generated by the arbitrary functions principle (open abstract)

Andrey Selivanov
Pricing of Contingent Claims based on Tail VaR (open abstract)

Nicolas Bouleau (École Nationale des Ponts et Chaussées)
18:00, FH 2
What are the philosophical probabilities? (open abstract)

Ilya Pavlyukevich (Humboldt-Universität, Berlin), Start-Seminar,
Exit times of small-noise Lévy-driven diffusions (open abstract)

Michel Emery (Université Louis Pasteur, Strasbourg)
On one-dimensional Brownian motions immersed in a two-dimensional one (open abstract)

Miklos Rasonyi
16:15, SEM 104
Hidden Markov Processes
Vortragsreihe: Wissenswertes der Mathematik, details

Mykhaylo Shkolnikov (Stanford University), Start-Seminar,
Affine matrix-valued diffusions

Paul Embrechts (ETH Zurich)
19:00, math-space, Museumsplatz 1 (Ovaltrakt e-5.4), 1070 Wien
Holländische Deiche und Risikokapital für Banken und Versicherungen (open abstract)

Paul Embrechts (ETH Zurich)
18:15, Festsaal der ÖAW, Dr. Ignaz Seipel-Platz 2, 1010 Wien
Quantitative Risk Management,
Johann Radon Lectures (open abstract)

Sühan Altay (Middle East Technical University, Istanbul)
On forward interest rates: via random fields and nuclear space valued semi-martingales (open abstract)

Christian Bayer, Josef Teichmann, Richard Warnung, Start-Seminar,
Implementation of new hypo-elliptic simulated annealing algorithms (open abstract)

Christina Ziehaus
10:15, Sem 107
Optimal Consumption and Terminal Wealth (open abstract)

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)

Ansgar Jüngel (TU Vienna), Start-Seminar,
Entropy and entropy dissipation in nonlinear diffusion equations (open abstract)

Bertram Düring (TU Vienna)
An inverse problem in option pricing and kinetic models for wealth distribution (open abstract)

Florian Leisch, Start-Seminar,
Stochastic Portfolio Theory - How do functionally generated portfolios perform under real market conditions? (open abstract)

Richard Warnung
On the construction of an integrand hiding the drift of a Brownian motion with drift (open abstract)

Josef Teichmann, Start-Seminar,
Cubature on Wiener Space in infinite dimensions (open abstract)

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

Christina Niethammer (Universität Konstanz), Start-Seminar,
Portfolio Optimization and Optimal Martingale Measures in the Presence of Unbounded Jumps (open abstract)

Claudia Ravanelli (Swiss Banking Institute, Zurich)
Cash Sub-additive Risk Measures and Interest Rate Ambiguity (open abstract)

One-day mini-workshop on Calibration, Levy processes in finance, FFT, and related issues
(Freihaus Building of TU Wien)

Stefan Tappe (Vienna Institute of Finance), Start-Seminar,
Invariant submanifolds for Levy driven stochastic equations (open abstract)

Walter Schachermayer
In which Financial Markets do Mutual Fund Theorems hold true? (open abstract)

Antonis Papapantoleon, Start-Seminar,
The duality principle for multidimensional semimartingales (open abstract)

Gabriel Maresch
Optimality and Monotonicity in the Monge-Kantorovich Optimal Transportation Problem (open abstract)

Erika Hausenblas (University of Salzburg)
SPDEs driven by space time Poisson random measure and its numerical approximation (open abstract)

Thorsten Schmidt (University of Leipzig, Germany)
Pricing and Hedging of Credit Derivatives via Nonlinear Filtering (open abstract)

Christa Cuchiero, Start-Seminar,
Affine Interest Rate Models - Theory and Practice (open abstract)

Elena Shmileva
Small ball probabilities of some Lévy processes and their application to the Chung law of iterated logarithm (open abstract)

Johannes Leitner, Start-Seminar,
Pricing and Hedging with Globally and Instantaneously Vanishing Risk (open abstract)

Christer Borell (Chalmers University of Technology, Göteborg, Sweden)
Topics on quasi-concave measures (open abstract)

Josef Teichmann, Start-Seminar,
New Classes of OU-processes and applications to Optimization procedures

Michel Verschuere (Electrabel Trading and Portfolio Management)
15:30, Sem107
Hedging Under Uncertainty: Applications to Carbon Emissions Markets (open abstract)

Martin Raic (University of Ljubljana, Slovenia)
Stein's Method and Large Deviations (open abstract)

Zehra Eksi (Middle East Technical University, Ankara)
10:00, Sem107
Comparative Study of Risk Measures (open abstract)

Thomas Cass (University of Cambridge)
Smoothness of density for solutions to stochastic differential equations with jumps (open abstract)

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)

Josef Teichmann, Start-Seminar,
An invitation to random Schrödinger operators V

Alain Desrosieres (INSEE, France), Start-Seminar,
The history of statistics and probability theory as a genre: styles of writing and social uses (open abstract)

Peter Brandner (BM für Finanzen)
14:00, Seminar Ökonomie der Pensionsfonds,
Reformen in der Altersvorsorge: Theoretische Konzepte aus wirtschaftspolitischer Sicht

Gerald Teschl, Start-Seminar,
An invitation to random Schrödinger operators IV

Peter Imkeller (Humboldt University at Berlin, Germany)
16:30, FH 2
Optimal cross hedging of insurance derivatives,
Vortragsreihe aus Finanz- und Versicherungsmathematik, details

Franz X. Hof (ECON, TU Wien)
14:00, Seminar Ökonomie der Pensionsfonds,
The Gains from Pension Reform (open abstract)

Josef Teichmann, Start-Seminar,
An invitation to random Schrödinger operators III

Pavel Gapeev (WIAS Berlin, Germany)
Constructing jump analogues of diffusions and application to finance (open abstract)

Robert Holzmann (The World Bank, Washington, USA)
14:00, Seminar Ökonomie der Pensionsfonds,
Multi-pillar Pension Reforms: Experience, Lessons, and Challenges (open abstract)

Juan Pablo Ortega (Université de Franche-Comté, France)
Stochastic Hamiltonian dynamical systems (open abstract)

Johannes Berger (IHS Wien)
14:00, Seminar Ökonomie der Pensionsfonds,
Ten myths about social security reform (J. Stiglitz)

Monique Jeanblanc (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)

Monique Jeanblanc (Université d'Evry Val d'Essonne, France)
9:30, HS 14
Hedging defaultable claims: single default (open abstract)

Josef Teichmann, Start-Seminar,
An invitation to random Schrödinger operators II

Pavel Shevchenko (CSIRO, Sydney, Australia)
Modelling Operational Risk (open abstract)

Gerald Teschl, Start-Seminar,
An invitation to random Schrödinger operators

Sonja Konwicsny (Quelle Lebensversicherung AG, Schwechat)
14:00, FH HS 3
Solvency II (open abstract)

Norbert Kirchler & René Knapp (TU Wien, Uniqa)
14:00, Seminar Ökonomie der Pensionsfonds,
The cold war against welfare

Fred Espen Benth (University of Oslo, Norway)
Options and the stochastic volatility model of Barndorff-Nielsen and Shephard (open abstract)

Thomas Url (WIFO)
14:00, Seminar Ökonomie der Pensionsfonds,
Makroökonomische Rückwirkungen des Aufbaus kapitalgedeckter Altersvorsorgesysteme (open abstract)

Stefan Tappe (University of Munich, Germany)
13:30, HS 7
Existence of Levy term structure models and invariance problems (open abstract)

Rainer Münz (Erste Bank)
14:00, Seminar Ökonomie der Pensionsfonds,
Pensionskassen in Österreich - Voraussetzungen, Struktur, Begünstigte, verwaltetes Kapital (open abstract)

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)

Pavel Grigoriev (University of Leicester, Great Britain)
Risk measures: law-invariance and time consistency (open abstract)

Ulrike Loy (Allianz)
14:00, Seminar Ökonomie der Pensionsfonds,
Pensionsreformen für Arbeiter und Angestellte ab dem Jahr 2000 und ihre finanziellen Auswirkungen

Ilya Pavlyukevich (Humboldt-University Berlin), Start-Seminar,
Dynamical systems perturbed by heavy-tailed Lévy noise (open abstract)

Wolfgang Woess (TU Graz)
Random configurations driven by random walks

Markus Knell (ÖNB)
14:00, Seminar Ökonomie der Pensionsfonds,
The Optimal Mix Between Funded and Unfunded Pensions Systems When People Care About Relative Consumption

Michael Kupper (ETH Zürich, Switzerland)
Variational Risk Measures on Orlicz Spaces

Christina Ziehaus (Universität Wien)
Variable Selection in the Context of linear Regression (open abstract)

Martin Keller-Ressel, Thomas Steiner
Yield Curve Shapes and the Asymptotic Short Rate Distribution in Affine One-Factor Models (open abstract)

Jiro Akahori (Ritsumeikan University, Japan)
Antisymmetric Malliavin calculus and its applications (open abstract)

Gerald Teschl (Universität Wien)
16:00, Start-Seminar,
Random Schroedinger Operators on one foot (open abstract)

Thorsten Schmidt (University of Leipzig, Germany), Start-Seminar,
The Term Structure of CDO Losses (open abstract)

Antonis Papapantoleon, Start-Seminar,
Semimartingales and Lévy processes in finance: duality and valuation (open abstract)

Paweł Polak (Warsaw University, Poland)
Immunization of the insurance portfolio under random interest rates (open abstract)

Nikolaos Georgiopoulos (Vienna Graduate School of Finance)
Real Options Valuation under expected utility maximization (open abstract)

Richard Warnung
Stable Recurrences for Risk Aggregation (open abstract)

Catherine Rainer (Université de Brest, France)
11:00, Sem 107
Stochastic differential games with asymmetric information (open abstract)

Takahiro Tsuchiya (Ritsumeikan University, Kusatsu, Japan)
What is the natural scale for a Lévy process in modelling term structure of interest rates?

Nicolas Privault (Université de Poitiers, F)
Convex comparison inequalities for exponential jump-diffusion processes (open abstract)

Maria Siopacha
Taylor Expansions of Option Prices (open abstract)

Tom A. Ashu (University of Kaiserslautern, Germany)
Asset Liability Management for Pension funds using Conditional Value at Risk constraints (open abstract)

Fabrice Baudoin (Université Paul Sabatier, Toulouse)
Chen series and Atiyah-Singer theorem (open abstract)

Thomas Wenger
(Westfälische Wilhelms-Universität Münster, at the moment: consultant)
Perturbative methods in algebra and finance: are there any relations? (open abstract)

Martin Keller-Ressel, Michael Kupper
Equilibrium Pricing (open abstract)

Tomas Björk (School of Economics, Stockholm)
Optimals Investment under Partial Information (open abstract)

Mark Davis (Imperial College London, UK)
16:30, FH 2
Dynamic models for portfolio credit risk,
Vortragsreihe aus Finanz- und Versicherungsmathematik, details

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

Mark Podolskij (Ruhr-University of Bochum)
17:30, FH 2
Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps (open abstract)

Ole E. Barndorff-Nielsen (University of Aarhus)
16:30, FH 2
Volatility and Power Variation,
Vortragsreihe aus Finanz- und Versicherungsmathematik, details

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)

Stefan Gerhold
16:15, SEM 104
Automatisches Beweisen von Identitäten
Vortragsreihe: Wissenswertes der Mathematik, details

Kasper Larsen (Carnegie Mellon University)
15:00, SEM 104
Stability of utility-maximization (open abstract)

Laszlo Gyorfi (Budapest University of Technology and Economics)
Empirical portfolio selection (open abstract)

Benedikt Blum (TU München)
15:00
Deterministic Pricing of Options on Lévy driven Assets (open abstract)

Christian Litterer (Oxford University)
10:30, Sem 107
High order recombination and an application to Cubature on Wiener Space (open abstract)

Gregor Dorfleitner (WU Wien)
Coherent risk measures, coherent capital allocations, and the gradient allocation principle (open abstract)

PRisMa 2006
One-Day Workshop on Portfolio Risk Management

Petra Posedel (Università Bocconi, Milano)
Asymptotic analysis for a simple explicit estimator in BNS stochastic volatility models (open abstract)

Miklos Rasonyi
Optimal investment under transaction costs (open abstract)

Stefan Gerhold
13:00
An Implementation of the LIBOR Market Model (open abstract)

Stefan Gerhold
10:00
Crashcourse Interest Rate Models (open abstract)

Mathias Zocher (TU Dresden)
16:30, FH 2
Multivariate gemischte Poissonprozesse - Bonus-Malus-Systeme in der KH-Versicherung,
Vortragsreihe aus Finanz- und Versicherungsmathematik, details

Pavel Shevchenko (CSIRO Mathematical and Information Sciences, Sydney)
15:00
Modelling Operational Risk (open abstract)

Martin Keller-Ressel
Non-Parametric Calibration of the Barndorff-Nielsen-Shephard Model (open abstract)

Alexander Cherny (Moscow State University)
11:00, Sem 105B
Coherent Risks and their applications (lecture series) (open abstract)

Oliver Fiala (Erste Bank)
16:30
Estimation and Comparison of Credit Transition Matrices (open abstract)

Alexander Cherny (Moscow State University)
17:15
Coherent Risks and their applications (lecture series) (open abstract)

Alexander Cherny (Moscow State University)
11:00, FH 2
Coherent Risks and their applications (lecture series) (open abstract)

Andreas H. Hamel (Universität Halle-Wittenberg)
Fenchel conjugation for set-valued convex functions and applications to set-valued risk measures (open abstract)

Johannes Leitner
16:15, SEM 104
Optimale Portfolios mit 'lower partial moment constraints'
Vortragsreihe: Wissenswertes der Mathematik, details

Nicole Bäuerle (Universität Karlsruhe)
16:30, FH 2
Portfolio-Optimierung bei Sprung-Diffusionsprozessen mit unbeobachtbarer Sprungintensität,
Vortragsreihe aus Finanz- und Versicherungsmathematik, details

Klaus D. Schmidt (TU Dresden)
12:30, FH 2
Multivariate Modelle und Methoden in der Schadenreservierung (open abstract)

Klaus D. Schmidt (TU Dresden)
16:30, FH 2
Bornhuetter-Ferguson & Co.:
Eine Familie von Verfahren der Schadenreservierung,
Vortragsreihe aus Finanz- und Versicherungsmathematik, details

Klaus D. Schmidt (TU Dresden)
12:30, FH 2
Lineare Prognosen und Schadenreservierung (open abstract)

Karel Janecek (RSJ Invest, Prague)
Optimal investments with proportional profit-share fee: Analysis of the high-water-mark fee structure (open abstract)

Stefan Gerhold
The current state of the OeBFA module of the CD laboratory (open abstract)

Michael Hanke (Universität Innsbruck)
16:30
Structural Credit Risk Models Beyond Merton: Solutions via PDEs vs. Change-of-Numeraire (open abstract)

Umut Cetin (London School of Economics)
15:30
An equilibrium model for default risk (open abstract)

Uwe Schmock (FAM, TU Vienna)
Stein's method for proving the central limit and the Berry-Esséen theorem

Yuliya Bregman (Universität München)
Estimation of multivariate ruin probabilities (open abstract)

Yuxin Yang (New York University)
14:00
A brief survey on copulae (open abstract)

Henryk Zaehle (Allianz PKV-AG, München)
Heat equation with strongly inhomogeneous noise (open abstract)

Gabriel Maresch (TU Wien)
Hartman measurability and unique mean values (open abstract)

Half-Day Workshop
on Credit Risk and Risk Transfer
(Freihaus Hörsaal 3, 2pm to 6pm)

Susanne Klöppel (ETH Zurich)
Utility based good deal bounds (open abstract)

Markus Petermann (Converium)
11:00 in seminar room 105
Measures of Risk and Run-off of Portfolios (open abstract)

Irina Slinko (Stockholm School of Economics)
On Finite Dimensional Realizations of the Two Country Interest Rate Models (open abstract)

Rafal Lochowski (Warsaw University)
HJM model driven by Levy process (open abstract)

Stefan Gerhold (Universität Linz)
Special Functions: Applications of Computer Algebra in Stochastics (open abstract)

Andreas Hula (TU Wien)
Nonarchimedean Functional Analysis (open abstract)

Paolo Guasoni (Boston University)
Consistent Prices and Face-lifting Pricing under Transaction Costs (open abstract)

Johanna Neslehova (RiskLab, ETH Zurich)
Modeling Dependence of Non-Continuous Random Variables and Compound Poisson Processes
Vortragsreihe aus Finanz- und Versicherungsmathematik, details

Mesrop Janunts (Institut für Mathematik, TU Berlin)
Duality methods for portfolio optimization (open abstract)

Walter Fisher (IHS Institute for Advanced Studies, Vienna)
Relative Wealth and Endogenous Employment: A Short- and Long-Run Analysis (open abstract)

Birgit Rudloff (Martin-Luther-Universität Halle-Wittenberg)
Convex Hedging in Incomplete Markets and Generalizations (open abstract)

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

Uwe Schmock (FAM, TU Vienna)
Presentation of the New Christian Doppler Laboratory on Portfolio Risk Management (open abstract)

Hans Buehler (Deutsche Bank London und TU Berlin)
Variance Swap Market Models (open abstract)

Miklos Rasonyi (Hungarian Academy of Sciences)
Convergence of utility prices to the superreplication price (open abstract)

Lange Nacht der Forschung:
Von A wie Aktie bis S wie Sterbewahrscheinlichkeit
17:00-24:00, Freihaus der TU Wien

PRisMa 2005
One-Day Workshop on Portfolio Risk Management
(HS 16 Karl von Terzaghi Hörsaal, Main Building of TU Wien)

Thorsten Schmidt (Universität Leipzig)
Credit Risk - Incomplete Information (open abstract)

Umut Cetin (London School of Economics, UK)
Modelling liquidity effects in discrete time (joint work with Chris Rogers) (open abstract)

Beatrice Acciaio (University of Perugia, Italy)
Optimal Risk Sharing and Mean-Variance Principle (open abstract)

Mihai Sirbu (Columbia University, NY)
Risk-Tolerance Wealth Processes and Sensitivity Analysis of Utility Based Prices (joint work with D. Kramkov) (open abstract)

Pavel Grigoriev
No Arbitrage and Equivalent Martingale Measures In Illiquid Markets (joint work with U. Cetin) (open abstract)

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)

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

Jürgen Hartinger (Graz University of Technology)
Rare Events - Monte Carlo and Quasi-Monte Carlo Methods (joint work with Dominik Kortschak) (open abstract)

Grigory Temnov
Risk models with stochastic premium income (open abstract)

Luciano Campi
A hedging theorem under transaction costs (open abstract)

Peter Friz (Statistical Laboratory, University of Cambridge)
Levy's Area under Conditioning and Applications (open abstract)

Christian Bayer
17:00, Sem 107
An elementary proof of Tchakaloff's Theorem (about a joint work with J. Teichmann)

Josef Teichmann (Technical University of Vienna)
Calculation of Greeks with jumps (joint work of Barbara Forster, Eva Luetkebohmert and Josef Teichmann) (open abstract)

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

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)

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

Daniel Dvorak
An Extension of Panjer's Recursion (open abstract)

Stefan Ankirchner
Enlargement of filtrations, continuous Girsanov-type embeddings and utility maximization of insiders (open abstract)

Reinhold Kainhofer
Zur Erstellung der österreichischen Rententafeln AVÖ2005R

Walter Schachermayer
Optimal Design of Risk Exchange for Cash-Invariant Risk Measures

Eva Lütkebohmert (Department for Probability Theory and Statistics, University of Bonn)
Hypoellipticity in Infinite Dimensions for the Jump Diffusion Case (open abstract)

Thomas Dockal (Generali Holding Vienna AG, Controlling - Riskmanagement)
Allokation von Risikokapital in Versicherungsportfolios (open abstract)

Nicolas Victoir (Oxford University)
A Short Introduction to Rough Paths and Applications to Numerical Analysis (open abstract)

Irene Klein (Uni Wien)
No Market Free Lunch and Large Financial Markets (part 2) (open abstract)

Irene Klein (Uni Wien)
No Market Free Lunch and Large Financial Markets (part 1) (open abstract)

Josef Teichmann
Calculation of the Greeks by Cubature Formulas II (open abstract)

Michel Verschuere (Risk Analyst, Luminus Hasselt and FAM @ TU Wien)
Optimal forward investment in power markets (open abstract)

Alexander McNeil (ETH Zurich)
Some New Copulas for Risk Modelling
Vortragsreihe aus Finanz- und Versicherungsmathematik, details

Philippe Clement (TU Delft)
R-Boundedness and Operator-valued Multipliers (open abstract)

Josef Teichmann
Calculating the Greeks by Cubature formulas (open abstract)

Traian Pirvu (Carnegie Mellon)
Satisfying Convex Risk Limits by Trading (open abstract)

Pavel Grigoriev
Representation of "dilatation monotonous" or "co-monotonic additive" risk measures (capacities) (with J.Leitner) (open abstract)

Giovanni Cesari
Counterparty Credit Exposure for Exotic Derivatives
Vortragsreihe aus Finanz- und Versicherungsmathematik, details

Walter Schachermayer, 16:30-16:45
Stimmgewichtung in der EU

Anca Antonov
Performance of Modern Techniques for Rating Model Design (open abstract)

Michel Verschuere
Risk management in immature electricity markets (open abstract)

Fulvio Pegoraro
Pricing and Inference with Mixtures of Conditionally Normal Processes (open abstract)

Daniel Straumann (ETH Zurich)
Parameter estimation in conditionally heteroscedastic time series models. (open abstract)

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)

Anna Rita Bacinello
16:30, FH 6
Modelling the Surrender Conditions in Equity-Linked Life Insurance
Vortragsreihe aus Finanz- und Versicherungsmathematik, details

Laurence Carassus
Existence of a particular martingale measure for models displaying "the stationarity assumption" (open abstract)

Alexander Cherny
General Arbitrage Pricing Model: Probability and Possibility Approaches (open abstract)

Dirk Tasche
Konzentrationssensitive Kapitalanforderungen für Kreditrisiken
Vortragsreihe aus Finanz- und Versicherungsmathematik, details

Luciano Campi
Hedging for an insider in incomplete markets

Gallus Steiger (ETH Zürich)
On the optimal martingale measure for exponential utiity indifference pricing (open abstract)

Uwe Schmock (16.00 im Seminarraum 104)
Einführung in die Kreditrisikomodellierung, Vortragsreihe: Wissenswertes der Mathematik, details

Bulat Khaydarov (Attention: this talk starts at 17:30)
Market Liquidity and Its Effect on Portfolio Risk

Karel Janecek
Futures Trading Model with Transaction Costs

Carlo Sgarra
An exact analytical solution for discrete Barrier Options obtained via a Wiener-Hopf Factorization (open abstract)

Mesrop Janunts
Duality methods for portfolio optimization (open abstract)

17:00-18:00 Umut Cetin
An Alternative Proof of Fundamental Theorem of Asset Pricing with Proportional Transaction Costs (open abstract)

Pavel Grigoriev
On low dimensional Case in the Fundamental Asset Pricing Theorem with Transaction Costs

Umut Cetin
A Very Simple Model for Liquidity Risk

Alexander Schied
Optimal investments for robust utility functionals (open abstract)

Alexander Uljanov (16:30 im Besprechungszimmer 107, Freihaus, 6.OG, grün)
Fondsgebundene Lebensversicherungen mit Mindestgarantie (open abstract)

Josef Teichmann
Generalising the Hobson-Rodgers model (open abstract)

Josef Teichmann (16.00 im Seminarraum 118)
Geometrie der Zinsen, Vortragsreihe: Wissenswertes der Mathematik, details

Andreas Kull
'Solvency II': Ein neues Aufsichtsmodell für die Versicherungswirtschaft in der EU
Vortragsreihe aus Finanz- und Versicherungsmathematik, details

Josef Teichmann
Cubature on Wiener Space from the point of view of central limit theorems (open abstract)

Peter Friz
Rough Path and Stochastic Analysis

Umut Cetin
Trading in Illiquid Markets (open abstract)

Stefan Geiss
Approximations of European type pay-offs, fractional Sobolev spaces, and random time nets

Filip Lindskog (ETH Zurich)
On regular variation for stochastic processes (open abstract)

Jörn Sass
Portfolio Optimization under Partial Information (open abstract)

Tom Fischer (13:00-13:45, Sem 107)
An axiomatic approach to valuation in life insurance

Reinhold Kainhofer
Entwicklung sublinearer Dividendenmodelle und deren numerische Behandlung (open abstract)

Elmar Teufl
Oszillationen im Zusammenhang mit dem Sierpinski Graph und dem Sierpinski Dreieck (open abstract)

Michel Verschuere
Tackling the Forward Cascade in Power Markets (open abstract)

Lutz von Grafenstein
A Model for Electricity Futures Prices (open abstract)

Michel Verschuere
Futures Hedging in Power Markets: Evidence from the European Energy Exchange (EEX) (open abstract)

Umut Cetin
Structure Equations with an Application to Finance (open abstract)

Johannes Leitner
Balayage monotonous risk measures (open abstract)

Fabrice Baudoin
Some aspects of stochastic differential equations driven by loops (open abstract)

Lutz v. Grafenstein (Attention: this talk starts at 11:00)
Feynman integral and related topics

Pavel Grigoriev (Attention: this talk starts at 11:00)
Polynomials with random coefficients (open abstract)

Michel Verschuere (Attention: this talk starts at 11:00)
A regime switching model for power options (open abstract)

Angelika Esser (Goethe University, Frankfurt, D) (14:30, Sem 107)
Modeling feedback effects with stochastic liquidity (open abstract)

Juri Hinz (Eberhard-Karls Universität Tübingen, D) (9:30, Sem 107)
Modeling electricity auctions (open abstract)

Christoph Hummel (Converium, CH) (Attention: this talk takes place at FH 3)
Tarifierung in der Kredit(rück-)versicherung
Vortragsreihe aus Finanz- und Versicherungsmathematik, details

Robert Tompkins
Unconditional disturbances: a new approach to asset pricing

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

Fabrice Baudoin
Stochastic control problems, viscosity solutions, and applications to finance (6)

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

Michel Verschuere
Pricing Power Derivatives

Michael Schlögl (Wiener Städtische)
Die Optimierung einer Direkt-Mail-Kampagne - die praktische Anwendung von Segmentierungs- und Klassifikationsverfahren am Beispiel der Kraftfahrzeug-Versicherung (open abstract)

9:45-11:15, Sem 105
Martin Schaden (New York University)
The Distributions of Historic Stock Returns and Quantum Theory (open abstract)

Umut Cetin (Cornell University)
Liquidity Risk and Arbitrage pricing Theory (open abstract)

Laurent Nguyen (Université Paris 6)
Wiener-Hopf factorization for Lévy processes and some applications in mathematical finance (open abstract)

Friedrich Hubalek
Stochastic control problems, viscosity solutions, and applications to finance (5)

Friedrich Hubalek
Stochastic control problems, viscosity solutions, and applications to finance (4)

Josef Teichmann
Stochastic control problems, viscosity solutions, and applications to finance (3)

Peter Grandits
Some remarks on asymptotic ruin probabilities and investment

Josef Teichmann
Stochastic control problems, viscosity solutions, and applications to finance (2)

Josef Teichmann
Generic evolutions of the term structure of interest rates (open abstract)

Michel Verschuere
Stochastic control problems, viscosity solutions, and applications to finance (1)

Fabrice Baudoin, 15:00-16:30, FH HS 3
On the Markov property of radial motions on a Riemannian manifold (open abstract)

Josef Teichmann, 15:00-16:15,
Non-affine Term Structure Models

Walter Schachermayer; 17:15-18:00
Optimization of Dividend Payments

Andreas Eckner; 16:30-17:15
Pricing Derivatives of American and Game Type in Incomplete Markets (open abstract)

Jacopo Zani; Banca IMI, Politecnico of Turin
Static Hedging of Barrier Options

Eva Strasser
On the Duality Theorem of Utility Maximization (open abstract)

our seminar on "Coherent Risk Measures" continues

Josef Teichmann
Cubature on Wiener Space, II (open abstract)

our seminar on "Coherent Risk Measures" continues

Josef Teichmann
Cubature on Wiener Space, I (open abstract)

Zoran Vondracek
Levy Processes and Pollaczek-Khintchin formula (open abstract)

Igor Melichercik
Multi Stage Bond Portfolio Optimization under Model Risk (open abstract)

our seminar on "Coherent Risk Measures" continues

our seminar on "Coherent Risk Measures" continues

Gottwald Kranebitter (KPMG) (Attention: this talk takes place at FH HS 6)
Unternehmensbewertung
Vortragsreihe aus Finanz- und Versicherungsmathematik

The talk takes place at
our seminar on "Coherent Risk Measures" starts

Cristian Popa
Relaxation with measure-valued functions in problems of Best Approximation (open abstract)

Rainer Münz
Alterung in Europa: Auswirkungen auf Kapitalmarkt und soziale Sicherung,
Vortragsreihe aus Finanz- und Versicherungsmathematik, details

Josef Teichmann, 14:30, Hörsaal 9, Hauptgebäude (map)
Geometrie der Zinsen (Habilitationsvortrag) (open abstract)

Christoph Kühn
Zur Bewertung von Amerikanischen Optionen und Spieloptionen in unvollständigen Märkten (open abstract)

Halbtages-Seminar (Attention: different time and place)
Dynamische Finanzanalyse und Asset-Liability-Management
Vortragsreihe aus Finanz- und Versicherungsmathematik, details

Thorsten Schmidt, 17:00-18:00
Credit Risk (open abstract)

Peter Bank, 16:00-17:00
Hedging and Portfolio Optimization in Illiquid Financial Markets (open abstract)

Alexander Cherny
On the Strong and Weak Solutions of Stochastic Differential Equations Governing Bessel Processes (open abstract)

Paolo Guasoni
Optimal Investment with Transaction Costs and without Semimartingales (open abstract)

Fabrice Baudoin
Conditioned Stochastic Differential Equations - Applications to Finance (open abstract)

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)

Peter Koenig (Attention: this talk takes place at FH HS 6)
Vortragsreihe aus Finanz- und Versicherungsmathematik, details

Michel Verschuere
TBA

Eva Strasser
Several Remarks on Arbitrage-Free Markets (open abstract)

Fred Espen Benth (Attention: this talk starts at 16:00)
Merton's portfolio optimization problem and non-Gaussian stochastic volatility (open abstract)

Friedrich Hubalek
Three notes from recent work (open abstract)

Georg Pflug Attention: this talk takes place at FH HS 6
Vortragsreihe aus Finanz- und Versicherungsmathematik, details

Damir Filipovic
9:30, HS 18 Czuber
Stochastische Zinsmodelle (open abstract)

Freddy Delbaen
Monotone on-line selections in Poisson arrival processes (open abstract)

Rama Cont
Methods for model calibration

our seminar on "Optima and Equilibria" continues

Michael Kirch
No-arbitrage bounds of option prices if asset prices are piecewise constant (open abstract)

Paul Embrechts Attention: this talk takes place at FH HS 6
Vortragsreihe aus Finanz- und Versicherungsmathematik, details

Uwe Schmock (Universität Zürich)
15:00, Freihaus HS 7
Modellierung abhängiger Kreditrisiken

Hans-Jochen Bartels (Universität Mannheim)
10:30, Freihaus HS 7
Symmetrierelationen für ein inverses Problem der Finanzmathematik

no seminar, but see at the IHS

Freddy Delbaen
On the Structure of the Set of Risk Neutral Measures

Ludger Rüschendorf
11:15-12:30, Seminarraum 107
Adaptives Schätzen mit Schätzern vom neuronalen Netztyp (open abstract)

Irina Penner
On No Arbitrage Criteria for Financial Markets with Proportional Transaction Costs in Discrete Time (open abstract)

Nicole Baeuerle (Universitaet Ulm)
15:30, Freihaus HS 8 (Noebauer-Hoersaal)
Stochastische Steuerung in der Versicherungsmathematik (open abstract)

Jeffrey Collamore (ETH-Zuerich)
13:15, Freihaus HS 8 (Noebauer-Hoersaal)
Extremal Behavior of Multidimensional Risk Processes (open abstract)

Alessandro Sbuelz
Asset pricing with time-varying pessimism (open abstract)

Josef Teichmann
Applications of Malliavin Calculus to Mathematical Finance, part II (open abstract)

our seminar on "Optima and Equilibria" continues

Josef Teichmann
Applications of Malliavin Calculus to Mathematical Finance (open abstract)

our seminar on "Optima and Equilibria" continues

Uli Haböck
Arbitrage-free asset pricing with proportional transaction costs, a paper of Zhang, Xu and Deng

our seminar on "Optima and Equilibria" continues

Franz Liebmann
Risikobereitschaft von Versicherungsunternehmen (open abstract)

Leszek Krawczyk
to be announced

Patrick Cheridito
Fractional Ornstein-Uhlenbeck processes

Patrick Cheridito
10:00, Besprechungszimmer, 6th floor, green area
Introduction to fractional Brownian motion

our seminar on "Optima and Equilibria" continues

Hans Bühlmann Attention: this talk takes place at FH HS 8
Vortragsreihe aus Finanz- und Versicherungsmathematik, details

Michael Kirch
Preference Free Restrictions on Option Prices in Equilibrium

our seminar on "Optima and Equilibria" continues

Ioannis Karatzas, Department of Mathematics and Statistics, Columbia University
this talk starts at 15:30
Optimal Portfolio/Consumption under Habit-Formation

Marcel Straka
Indifference Prices and Related Measures (part II) (open abstract)

Eva Strasser Attention: 16:00 - 16:45
Working Paper: On A Question Raised By Schachermayer (open abstract)

Marcel Straka
Indifference Prices and Related Measures (open abstract)

our seminar on "Optima and Equilibria" continues

Rainer Münz
Was leisten Bevölkerungsprognosen? (open abstract)

Sasha Gorbulsky
Some entropy type invariants of decreasig sequences of measurable partitions (open abstract)

Josef Teichmann
Filtering Problems from the geometric point of view (open abstract)

our seminar on "Optima and Equilibria" continues

Johanna Gaier
Asymptotic Ruin Probability and Optimal Investment for an Insurance Company with Small Claims (open abstract)

our seminar on "Optima and Equilibria" continues

Walter Schachermayer
The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time (open abstract)

our seminar on "Optima and Equilibria" continues

Patrick Cheridito
Sensitivity of the Black-Scholes option price to the local path behaviour of the stochastic process modelling the underlying asset (open abstract)

Christopher Summer
Risk Averse Asymptotics and the Optional Decomposition (open abstract)

our seminar on "Optima and Equilibria" continues

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)

Kerry Back, John M. Olin School of Business, Washington University in St. Louis
Information in Securities Markets: Kyle meets Glosten and Milgrom (open abstract)

our seminar on "Optima and Equilibria" continues

Robert Tompkins ATTENTION: this talk starts at 17:30
The relation between implied and realised probability density functions (open abstract)

our seminar on "Optima and Equilibria" starts

Friedrich Hubalek
Long forward rates never fall - A general proof of the Dybvig-Ingersoll-Ross Theorem (open abstract)

Alexei Filinkov, Department of Pure Mathematics, University of Adelaide
Interest Rate Theory and White Noise Calculus

Peter Grandits
Ruin Probability in the Presence of Regularly Varying Tails and Optimal Investment

Irene Klein, Josef Teichmann
Do long forward rates never fall? (open abstract)