------------------------------------------------------------------------
Mo, 29.11.2010, 18:00, lecture hall 18, staircase II, 2nd floor
TU Wien, Main Building, Karlsplatz 13, 1010 Wien
Eva Strasser (former student of TU Wien and CCEFM,
Quantitative Research in Equity Derivatives, J.P.Morgan London)
"Introduction to J.P. Morgan Quantitative Research"
Details:
http://www.fam.tuwien.ac.at/jobs/20101129_jpmorgan.pdf
Map/location:
http://www.wegweiser.ac.at/static/plaene/gif/E_HS18_0038_00_1-1.gif
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Mo, 29.11.2010, 17:00-18:30, seminar room D 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Michael Punz (Universität Wien, Wien)
"Volatility derivatives"
Abstract:
In this talk we will give an overview on valuation and hedging of
volatility derivatives, such as variance and volatility swaps which
are of great practical importance. We will show how to price and hedge
variance swaps in terms of strips of European call and put options,
only assuming that the stock price process is continuous. To price
volatility swaps, we also have to assume that the stock price process
and the volatility process are independent. We obtain all our results
without specifying the dynamics of our volatility process.
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Vienna International Summer School
"Stochastic claims reserving methods in insurance"
Vienna University of Technology, July 4-8, 2011
http://www.fam.tuwien.ac.at/events/viss2011/
Registration now open!
^^^^^^^^^^^^^^^^^^^^^^
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Mo, 22.11.2010, 17:00-18:30, seminar room D 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Alois Pichler (ISDS, University of Vienna)
http://homepage.univie.ac.at/alois.pichler/
"Stochastic Optimization Problems and Robustification"
CHANGE: Today's talk of Philipp Dörsek starts at 5 p.m. !!!
Th, 18.11.2010, 16:00 !!! NEW: 17:00 !!!, seminar room 101B
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 3rd floor, green section
Philipp Dörsek (TU Wien, E101)
"A Semigroup Point Of View On Splitting Schemes
For Stochastic (Partial) Differential Equations"
Abstract:
We consider weak approximations of S(P)DEs. To extend the
numerical analysis of splitting schemes to realistic assumptions on
characteristics and test functions, we introduce Banach spaces of
functions with controlled growth, generalising the Feller property to
non-locally compact state spaces. We prove optimal rates of convergence
for the Ninomiya-Victoir splitting applied to general Da Prato-Zabczyk
type equations and the HJM equations from interest rate theory.
This time we announce one talk at TU Wien and one at Uni Wien:
Mo, 15.11.2010, 17:00-18:30, seminar room C 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Friedrich Penkner (University of Vienna)
"Mimicking stochastic processes"
Th, 18.11.2010, 16:00, seminar room 101B
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 3rd floor, green section
Philipp Dörsek (TU Wien, E101)
"A Semigroup Point Of View On Splitting Schemes
For Stochastic (Partial) Differential Equations"
Abstract:
We consider weak approximations of S(P)DEs. To extend the
numerical analysis of splitting schemes to realistic assumptions on
characteristics and test functions, we introduce Banach spaces of
functions with controlled growth, generalising the Feller property to
non-locally compact state spaces. We prove optimal rates of convergence
for the Ninomiya-Victoir splitting applied to general Da Prato-Zabczyk
type equations and the HJM equations from interest rate theory.
This time we announce
- recruiting talks for a professorship in stochastics,
- another talk in Schachermayer's seminar 'Finanzmathematik',
- and information to mailing lists.
+-------------------
| Recruiting talks for a professorship in stochastics
+------------------------------
Please find the announcement of recruiting talks for a new professorship
in stochastics at University of Vienna here:
http://www.fam.tuwien.ac.at/research/Berufungsvortraege_Stochastik.pdf
The first talk is already on Monday at 9 a.m..
+-------------------
| Talk within the Seminar Finanzmathematik
+------------------------------
Mo, 8.11.2010, 17:00-18:30, seminar room D 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Fernando Cordero
(Laboratoire de Probabilités et Modèles Aléatoires, Paris)
"On the excursion theory for the symmetric stable Lévy
processes with index α ϵ ]1,2] and some applications"
+-------------------
| Information to mailing lists
+------------------------------
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plus sometimes even more. sent once a week, usually on monday.
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Only a few mails a year - mainly for practitioneers.
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job offers in the area of financial and actuarial mathematics
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http://www.fam.tuwien.ac.at/jobs/
announcements of job offers are free!
(for worldwide jobs we refer to http://www.math-jobs.com/)
*VFN-L* - Vienna Finance Newsletter
announcements of lectures, conferences (and more) about finance
and economics. everybody can post, a moderator decides what is
sent to the mailing list.
http://www.fam.tuwien.ac.at/mailman/listinfo/vfn-l
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talks & announcements of the Vienna Graduate School of Finance
http://www.vgsf.ac.at/vgsf/activities/seminar
*Math @ UniVie, ESI, WPI, WK*
if you want to get weekly announcements of talks & events at the
faculty of mathematics (university of vienna), ESI, WPI & WK go to
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find talks/events here: http://plone.mat.univie.ac.at/vortrage
