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This time we announce a talk at University of Vienna
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Th, 02.02.2012, 17:00, seminar room C 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Johannes Muhle-Karbe (ETH Zurich)
http://www.math.ethz.ch/~jmuhleka/
"Portfolio choice with small transaction costs
and binding leverage constraints."*
(Seminar on Mathematical Finance)
For abstract see:
http://www.mat.univie.ac.at/~finance_hp/seminarWS11_prob.html
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This time we announce a two-days event and talks at University of Vienna
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Mo/Tu, 16.-17.01.2012, 10:00-12:30 & 14:00-16:00, C714, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Ernst Eberlein (University of Freiburg)
http://www.stochastik.uni-freiburg.de/~eberlein/
"Fourier based valuation methods in mathematical finance"
Fred E. Benth (CMA, University of Oslo)
http://folk.uio.no/fredb/
"Modelling and pricing in energy markets using jump processes"
Mini-course on "Fourier methods in mathematical finance
with applications to Energy and Commodity markets"
Organized by WPI,P. Laurence, F. Benth, V. Kholodny
For further details (including abstracts) see
http://www.wpi.ac.at/event_view.php?id_activity=146
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Mo, 16.01.2012, 17:00, seminar room D101, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
H. Mete Soner (ETH-Zürich)
http://www.math.ethz.ch/~hmsoner/
"Merton problem with small transaction costs"
(Wahrscheinlichkeitsseminar)
For further details (including abstracts) see
www.mat.univie.ac.at/~finance_hp/seminarWS11.html
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We, 18.01.2012, 16:15-17:00, Olga Taussky-Todd Raum (C 209), UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
H. Mete Soner (ETH-Zürich)
http://www.math.ethz.ch/~hmsoner/
"Price and Risk"
(Mathematisches Kolloquium)
Abstract:
Everyday all financial institutions price diverse financial instruments
and also evaluate the risk associated with their very complex
portfolios. The reasons for pricing are clear and pricing is very
closely related to the risk associated with the instrument
considered.However, assesment of risk has several other and probably
more important aspects than pricing.Firstly, there are regulatory
constraints and secondly risk management starts with a proper evaluation
of risk.Mathematical finance offers methods and also theories for these
activities.In this talk, I will outline mathematical methods for pricing
and risk measurement.Also discuss how and why they differ from each other.
15:45 coffee & cake, Common Room (C 206)
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Th, 19.01.2012, 17:00, C 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Wen-Shen Li (National Dong Hwa University, Taiwan)
http://faculty.ndhu.edu.tw/~wenshen/
"Portfolio Optimization under Proportional Transaction Costs
in Continuous Time: A Convex Duality Approach"
(Seminar Finanzmathematik)
For further details (including abstracts) see
http://www.mat.univie.ac.at/~finance_hp/seminarWS11_prob.html
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