Timetable
Tu, 27.04.2010, 16:30, Seminar room 107
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Gregory Temnov (University College Cork, Ireland)
"Extended stability property for exponential families:
a model for financial applications"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Due to the current flight situation Tomas Björk cannot come to Vienna,
So his talk tomorrow is cancelled.
Fr, 23.04.2010, _CANCELLED_
Tomas Björk (Stockholm School of Economics)
"Mean Variance Portfolio Optimization with State Dependent
Risk Aversion"
(see also: http://www.vgsf.ac.at/activities/seminar)
Th, 22.04.2010, 16:30, Seminarraum 101C (!!!)
(1040 Wien, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section)
Robert Stelzer (TU München)
"Derivative Pricing and Long Memory in the Multivariate Ornstein-
Uhlenbeck type Stochastic Volatility Model"
Abstract:
In this talk we consider a multivariate stochastic volatility model for
financial assets based on positive semi-definite Ornstein-Uhlenbeck type
processes. First we discuss the pricing of financial derivatives in this
model focusing especially on pricing via Laplace transforms and we show
that calibration to observed prices becomes very feasible when choosing
appropriate parametric assumptions. We illustrate this with a data
example from foreign exchange markets.
In the second part of the talk we consider an extension of the model
allowing to capture long range dependence in the squared returns. To
this end we introduce supOU processes defined in terms of a Levy basis
(or infinitely divisible independently scattered random measure). After
analysing some of their properties, we look at the implications of using
them as the instantaneous covariance matrix processes in a stochastic
volatility model.
(see also: http://www.fam.tuwien.ac.at/events/)
-------- Original Message --------
Subject: reminder, this week's seminars
Date: Tue, 20 Apr 2010 01:36:26 +0200
From: Sandra Trenovatz <sandra(a)fam.tuwien.ac.at>
To: fam-news(a)fam.tuwien.ac.at
This time we announce 2 talks at University of Vienna and at VGSF:
Tu, 20.04.2010, 15:00, Seminarraum D 101, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Paul Krühner, Christian Albrechts-Universität zu Kiel
"On a Heath-Jarrow-Morton Approach for Stock Options"
Fr, 23.04.2010, 16:30-17:30, Seminar Room 1
VGSF, Heiligenstädter Strasse 46-48, 1190 Wien
Tomas Björk (Stockholm School of Economics)
"Mean Variance Portfolio Optimization with State Dependent
Risk Aversion"
(see also: http://www.vgsf.ac.at/activities/seminar)
This time we announce 2 talks at University of Vienna and at VGSF:
Tu, 20.04.2010, 15:00, Seminarraum D 101, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Paul Krühner, Christian Albrechts-Universität zu Kiel
"On a Heath-Jarrow-Morton Approach for Stock Options"
Fr, 23.04.2010, 16:30-17:30, Seminar Room 1
VGSF, Heiligenstädter Strasse 46-48, 1190 Wien
Tomas Björk (Stockholm School of Economics)
"Mean Variance Portfolio Optimization with State Dependent
Risk Aversion"
(see also: http://www.vgsf.ac.at/activities/seminar)