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University of Vienna, Dept. of Statistics and Operations Research
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Mo., 23.03.2015, 17:00-18:00, Skylounge
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Jorge P. Zubelli (IMPA)
http://w3.impa.br/~zubelli/
"Project evaluation and Real Option Analysis:
A Hedged Monte Carlo Approach"
(ISOR Colloquium)
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
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FAM @ TU Wien: Lecture Series in Financial and Actuarial Mathematics
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Tu., 17.03.2015, 16:30, lecture hall "GM 4 Knoller Hörsaal"
TU Wien, 1060, Getreidemarkt 9, building BD, 2nd floor
Jonas Hirz (FAM @ TU Wien)
"Ein Modell zur Risikoaggregation
in Pensions- und Lebensversicherungsportfolios"
(Lecture Series in Financial and Actuarial Mathematics /
Vortragsreihe in Finanz- und Versicherungsmathematik)
For further details (including abstracts) and registration see
https://fam.tuwien.ac.at/vr/
For finding the lecture hall "GM 4 Knoller Hörsaal" see:
https://fam.tuwien.ac.at/gif/GM4_Knoller_Hoersaal.pdf
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Joint Seminar: TU Vienna, University of Vienna and WU Vienna
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Th., 19.03.2015, 16:30, seminar room 101C
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Giacomo Scandolo (University of Florence, IT)
https://sites.google.com/site/giacomoscandolo/
"Assessing financial model risk and
an application to electricity prices"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
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Th., 19.03.2015, 17:30 (!), seminar room 101C
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Jorge P. Zubelli (IMPA, Rio de Janeiro, Brazil)
http://w3.impa.br/~zubelli/
"Multiscale Models of Commodities and Derivatives on Futures"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
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Pre-Announcement for June
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We., 10.06.2015, 15:30-18:30, WU Executive Academy
"Quantitative Risk Management
Workshop and Book Launch"
Talks by Alexander J. McNeil & Paul Embrechts (Titles & abstracts tba.)
Presentation by Rüdiger Frey
Details & registration:
http://www.wu.ac.at/statmath/detail-statmath/news/detail/News/quantitative-…
Details of the book:
Alexander J. McNeil, Rüdiger Frey and Paul Embrechts
"Quantitative Risk Management: Concepts, Techniques, and Tools"
_Revised Edition:_
Hardcover, 648 pp. | May 2015 | ISBN: 9780691166278 |
eBook | ISBN: 9781400866281 |
http://press.princeton.edu/titles/10496.html
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TU Wien, 2-stündige Vorlesung: "AKFVM Large Deviations
mit Anwendungen in der Finanz- und Versicherungsmathematik"
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Vortragender:
Stefan Gerhold (FAM @ TU Wien)
Ziele der Lehrveranstaltung:
Verständnis der Grundlagen eines klassischen Gebiets der Stochastik,
einschließlich Anwendungen im Risikomanagement und in der Optionsbewertung.
Inhalt der Lehrveranstaltung:
Die Theorie der large deviations (Große Abweichungen) behandelt
"seltene" Ereignisse, die in Abhängigkeit von einem Parameter
exponentiell kleine Wahrscheinlichkeiten haben. Ein klassisches Beispiel
sind Stichprobenmittel, die trotz "großem" Stichprobenumfang "weit" vom
tatsächlichen Erwartungswert entfernt sind. Konkrete Lehrinhalte der
allgemeinen Theorie: Satz von Cramer, Satz von Gärtner-Ellis,
allgemeines LDP (Large Deviation Principle), Lemma von Varadhan,
Grundlagen der Freidlin-Wentzell-Theorie über LDPs für stochastische
Prozesse. Anwendungen: Optionsbewertung mit Monte-Carlo-Simulation
(Importance Sampling), Große Verluste im Kreditrisikomanagement,
Asymptotik von Optionspreisen für kleine Laufzeiten.
Termine & Ort:
jeweils Montag, von 14:00-16:00, Beginn, 2. März 2015,
Seminarraum 107 (TU Wien, Freihaus, 7.OG, grün)
Webseiten zu allen Lehrveranstaltungen der Forschungsgruppe FAM @ TU:
https://fam.tuwien.ac.at/lehre/lva/
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TU Wien, Announcement of Habilitation Talk
at the Institute of Statistics and Mathematical Methods in Economics
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Mo., 02.03.2015, 10:00, conference room of the Deanery,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, green section, 9th floor
(8th floor, then staircase in the green area)
Dr. Ulrike Schneider (EOS @ TU Wien)
"Konfidenzmengen basierend auf dem Lasso-Schätzer: Neue Resultate"
(Public Habilitation Talk / Habilitationskolloquium)
For further details (including abstracts) see
http://eos.tuwien.ac.at/
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TU Wien, Seminar of the joint Doctoral Program "Dissipation and
Dispersion in Nonlinear PDEs" of TU Wien and Univ. Wien
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We., 04.03.2015, 14:00, seminar room 101C,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, green section, 4th floor
Nils Berglund (Université d'Orléans)
http://www.univ-orleans.fr/mapmo/membres/berglund/
"An Eyring-Kramers formula for parabolic SPDEs
with space-time white noise "
(DK Seminar)
For further details see
http://npde.tuwien.ac.at/?open=StatSemSS15
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WU Wien, Institute for Statistics and Mathematics
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Fr., 06.03.2015, 09:00, room SR D4.4.008
WU, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor
Jörn Saß (University of Kaiserslautern):
http://www.mathematik.uni-kl.de/~sass/
"Continuous-time regime switching models, portfolio optimization
and filter-based volatility"
(Research seminar - Statistics and Mathematics)
For further details (including abstracts) see
http://www.wu.ac.at/statmath/resseminar/en/
To find the room on the WU Campus search for "D4.4.008" on:
http://gis.wu.ac.at/?roomShow=D4.4.008
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TU Wien, Seminar of the joint Doctoral Program "Dissipation and
Dispersion in Nonlinear PDEs" of TU Wien and Univ. Wien
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We., 04.03.2015, 14:00, seminar room 101C,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, green section, 4th floor
Nils Berglund (Université d'Orléans)
http://www.univ-orleans.fr/mapmo/membres/berglund/
"An Eyring-Kramers formula for parabolic SPDEs
with space-time white noise "
(DK Seminar)
For further details see
http://npde.tuwien.ac.at/?open=StatSemSS15
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WU Wien, Institute for Statistics and Mathematics
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Fr., 06.03.2015, 09:00, room SR D4.4.008
WU, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor
Jörn Saß (University of Kaiserslautern):
http://www.mathematik.uni-kl.de/~sass/
"Continuous-time regime switching models, portfolio optimization
and filter-based volatility"
(Research seminar - Statistics and Mathematics)
For further details (including abstracts) see
http://www.wu.ac.at/statmath/resseminar/en/
To find the room on the WU Campus search for "D4.4.008" on:
http://gis.wu.ac.at/?roomShow=D4.4.008
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TU Wien, Announcement of Public PhD Thesis Defense at the Institute of
Statistics and Mathematical Methods in Economics
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Mo., 02.03.2015, 10:00, conference room of the Deanery,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, green section, 9th floor
(8th floor, then staircase in the green area)
Dr. Ulrike Schneider (EOS @ TU Wien)
"Konfidenzmengen basierend auf dem Lasso-Schätzer: Neue Resultate"
(Public PhD Thesis Defense)
For further details (including abstracts) see
http://eos.tuwien.ac.at/
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