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Joint Seminar: TU Vienna, University of Vienna and WU Vienna
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Th., 26.02.2015, 16:30, seminar room SR09
Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Francesc Font Clos (Centre de Recerca Matemàtica, Spain)
http://www.crm.cat/en/About/People/Researchers/fontclos/
"Analysis of survival times for a thresholded birth-death process"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
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Austrian Stochastics Days 2015
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Dear Colleagues,
We would like to invite you to participate in the
4th Austrian Stochastics Days
https://fam.tuwien.ac.at/asd2015/
which will be held in Vienna from 28th to 29th of September 2015.
Our invited speakers will be
Evelyn Buckwar (Johannes Kepler University Linz)
Jiří Černý (University of Vienna)
This event shall especially give young researchers the opportunity to
present their work and to network with other colleagues from or near
Austria. Therefore, we would also ask you to forward this announcement
to doctoral students and postdocs within your research group and
department!
Every participant is invited to submit a talk. The duration of talks is
expected to be about 20 minutes (plus 5 minutes discussion) but
depending upon the number of submissions this may slightly be adjusted
(+/- 5 minutes).
For submission please send title and abstract (plain text) to
austrian.stochasticdays(a)gmail.com
until August 15, 2015.
In order to have time to talk to each other we also plan to meet for
dinner in the evening of the 28th of September.
For more information please visit:
https://fam.tuwien.ac.at/asd2015/
Best regards and looking forward seeing you,
Friedrich Hubalek and Christian Kühn
(Vienna University of Technology)
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Two-Day Seminar "A Benchmark Approach to Investing, Pricing and Hedging"
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Two-Day Seminar
"A Benchmark Approach to Investing, Pricing and Hedging"
by Prof. Dr. Eckhard Platen
(UTS Business School, University of Technology Sydney, Australia)
Location:
Hotel & Palais Strudlhof, Pasteurgasse 1, 1090 Wien, Austria
<http://www.strudlhof.at/en/hotel-strudlhof/>
Dates:
Wednesday/Thursday, April 29-30, 2015
Official announcement and registration:
<http://www.avoe.at/veranstaltungen_avoe.html>
Organized by:
OeFdV GmbH
Actuarial Association of Austria
Language:
Presentation in English, Dialogs in German
Targeted Audience:
------------------
Actuaries and financial experts within the insurance and pension
industry who are valuing insurance or pension liabilities; asset
managers looking for systematic improvements in long-term portfolio
growth; regulators; derivative experts; those interested in innovative
developments in financial and actuarial mathematics.
Financial Support for Students:
-------------------------------
To promote the actuarial profession, a limited number of full-time
Master (in the final phase of their studies) and PhD students interested
in financial and actuarial mathematics may attend the two-day seminar at
a sponsored, substantially reduced price of 240 Euro (which includes 20%
sales tax, lunch and coffee breaks on both days, but doesn't give a CPD
certificate for actuaries).
Interested students are kindly asked to apply for these special seminar
places by sending their curriculum vitae, proof of their status as
Master or PhD student, the topic or research area of their thesis, and
the name and e-mail address of their academic advisor to
<office(a)fam.tuwien.ac.at>. A committee headed by Prof. U. Schmock (TU
Vienna) will start selecting students by the beginning of March until
the available places are filled.
About the Speaker:
------------------
Professor Eckhard Platen holds the Chair in Quantitative Finance at the
University of Technology Sydney. He is the President of the Bachelier
Finance Society, the professional organization for Mathematical Finance
and Quantitative Finance. He initiated and has been chairing the leading
annual international conference series Quantitative Methods in Finance
for more than 20 years. He has a PhD in Mathematics from the Technical
University in Dresden and obtained his Dr. Sc from the Academy of
Sciences in Berlin, where he was heading the Sector Stochastics at the
Weierstrass Institute. He was the Founding Head of the Centre for
Financial Mathematics at the Institute of Advanced Studies at the
Australian National University in Canberra and is Adjunct Professor of
this university. He is an Honorary Professor at the University of Cape Town.
He is co-author of three books on simulation methods, a fourth book on
his innovative benchmark approach, and a fifth book on functionals of
multidimensional diffusions with applications to finance, all at
Springer-Verlag.
He has authored more than 180 papers in finance, insurance and applied
mathematics and serves on the editorial boards of seven international
journals, including Mathematical Finance and Quantitative Finance, and a
Springer book series.
His main interests are in the extension and application of his benchmark
approach, with focus on the valuation and hedging of pension and
insurance liabilities beyond classical approaches. This is closely
linked to his interest in high-growth long-term asset management. He has
been consulting for market leaders in the insurance and finance industry
for more than 20 years.
About the Seminar:
------------------
We would be delighted if you could join us for a two-day seminar
presented by Professor Eckhard Platen (University of Technology Sydney).
Prof. Platen is one of the world's leading academic and industry
research figures in Quantitative Finance and is in high demand as a
presenter and instructor. His seminar will be based on the book "A
Benchmark Approach to Quantitative Finance" by Eckhard Platen and David
Heath (2006) and a series of more recent journal articles.
This mini-course introduces into the benchmark approach, which provides
a general framework for insurance and financial market modelling. It
allows for a unified treatment of portfolio optimization, liability
valuation and hedging, derivative pricing, financial planning, insurance
and risk management. It extends beyond the classical asset pricing
theories, with significant new possibilities emerging for portfolio
optimization and long-dated liabilities. The Law of the Minimal Price
will be presented for minimal possible valuation. A Diversification
Theorem allows forming an extremely well performing proxy for the
numeraire portfolio, the benchmark. The richer modelling framework of
this approach leads to the construction of parsimonious, realistic
long-term models under the real world probability measure. It will be
explained how the approach generalizes classical portfolio optimization,
the standard risk-neutral approach and the actuarial approach. Hands-on
examples about the valuation and hedging of long-term pension and
insurance liabilities will demonstrate the important fact that a range
of liabilities can be less expensively valued and hedged than suggested
by classical theory.
Topics:
--------
1. Best Performing Portfolio as Benchmark
2. Various Approaches to Asset Pricing
3. Valuation and Hedging of Long-Term Liabilities
4. Parsimonious Long-Term Models
5. Benchmarked Risk Minimization
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