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WU Wien, Institute for Finance, Banking and Insurance
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Tu., 30.6.2017, 12:00, seminar room TC.5.04
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor
Yuri Tserlukevich (Arizona State University)
https://isearch.asu.edu/profile/1451080
"Embracing Risk: Hedging Policy for Firms with Real Options"
(Brown Bag Seminar)
For further details (including abstracts) see
https://www.wu.ac.at/en/finance/research/brown-bag-seminar/summer-term-2017/
To find the room on the WU Campus search for "TC.5.04" on:
http://gis.wu.ac.at/?roomShow=TC.5.04
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Joint Seminar: TU Wien, University of Vienna and WU Vienna
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Th., 1.6.2017, 16:30, seminar room DC rot 07
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section
Giovanni Conforti (Université Lille 1, FR)
https://sites.google.com/site/giovanniconfort/
"The bridges of the Langevin dynamics"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
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Joint Seminar: TU Wien, University of Vienna and WU Vienna
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Th., 1.6.2017, 17:15, seminar room DC rot 07
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section
Daniel Lacker (Brown University, USA)
http://www.dam.brown.edu/people/dlacker/
"Mean field games of timing and models for bank runs"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
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Gastvortrag in Student_innen-Seminar im Bereich Ökonomie
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Fr., 9.6.2017, 12:00 - max. 13:30, Seminarraum DB gelb 09
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 9. Stock, gelber Bereich
Alexander Haider (zeb - Managementberatung
im Bereich Financial Services, Wien)
"Versicherungsvertrieb der Zukunft – ein Simulationsmodell"
Abstract:
Die Versicherungswelt befindet sich aufgrund mehrerer gleichzeitig
wirkender Megatrends unter erheblichem Druck – eine bereits sehr lange
andauernde Niedrigzinsphase, FinTech Start-Ups, immer weitreichendere
und handlungsspielraumminimierende regulatorische Anforderungen aber
auch insbesondere die demografisch Entwicklung in Österreich bedrängen
das Versicherungsgeschäft. Eine klare, transparente Quantifizierung
dieser Entwicklungen ist daher unabdingbar für Versicherungsunternehmen,
um als relevanter Marktteilnehmer bestehen zu können.
Das von zeb entwickelte Simulationsmodell ist ein Tool, welches
Versicherungsunternehmen hilft, die Auswirkungen dieser Megatrends auf
das eigene Geschäftsmodell in die Zukunft zu projizieren. Notwendige
Handlungsbedarfe werden dadurch offengelegt und Strategien für eine
zukunftsorientierte Entwicklung können abgeleitet werden.
Den Kern dieses Simulationsmodells stellt die Projektion der
demografischen Entwicklung des Kundenstamms dar: Entlang der
demografischen Entwicklung von Deutschland und Österreich wird die
demografische Entwicklung des Kundenstamms einer Versicherung simuliert.
Die Simulation der Bevölkerung bzw. des Kundenstamms kann durch
Variation von Parametern für Migration, Geburtenraten, Kundengewinnund
Kundenabgangsquoten adjustiert werden. Darüber hinaus werden zur
Modellierung der Geschäftsstruktur auch die Produktnutzung,
Prämieneinnahmen sowie Provisionen in die Simulation des
Versicherungsvertriebs miteinbezogen. Die Auswertung kann dabei
individuell pro Vertriebsweg aber auch aggregiert über das
Gesamtunternehmen erfolgen.
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University of Vienna, Dept. of Statistics and Decision Support Systems
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Mo., 22.5.2017, 16.45-17.45, Lecture Hall 7 (HS 7 OMP1, #01.303)
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 1st floor
Siem Jan Koopman (VU Amsterdam)
http://sjkoopman.net/
"Dynamic Discrete Copula Models
for High Frequency Stock Price Changes"
(ISOR Colloquium)
The seminar is preceded by tea and coffee with the speaker in the ISOR
meeting room (6th floor, #6.511) at 16.15.
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
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To Whom it May Concern:
yesterday another talk was fixed for this week's
Vienna Seminar in Mathematical Finance and Probability.
I am very sorry for the short notice.
Kind regards, Sandra
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Joint Seminar: TU Wien, University of Vienna and WU Vienna
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Th., 18.05.2017, 16:30, seminar room DC rot 07
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section
Ting-Kam Leonard Wong (University of Southern California, USA)
http://www-bcf.usc.edu/~tingkamw/
"From optimal rebalancing to information geometry"
Abstract:
What is the optimal frequency to rebalance a portfolio? For the class of
functionally generated portfolios in stochastic portfolio theory, we
show that the answer is given in terms of a "dualistic" Pythagorean
theorem. Along the way, we establish fascinating connections with
optimal transport and information geometry - the differential geometry
of probability distributions. A key role is played by the concept of
L-divergence which generalizes the diversification return (aka excess
growth rate) of a portfolio. Our results extend the classical
information geometry of Bregman divergence developed by Amari and
others. This is joint work with Soumik Pal.
Vienna Seminar in Mathematical Finance and Probability
https://fam.tuwien.ac.at/vs-mfp/
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WU Wien, Institute for Statistics and Mathematics
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Fr., 19.05.2017, 09:00, room SR D4.4.008
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor
Johanna Nešlehová & Christian Genest (McGill Univ., Canada)
http://www.math.mcgill.ca/neslehova/http://www.math.mcgill.ca/cgenest/
"Modeling clusters of extremes"
(Research seminar - Statistics and Mathematics)
For further details (including abstracts) see
http://www.wu.ac.at/en/statmath/resseminar/
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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University of Vienna, Dept. of Statistics and Decision Support Systems
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Mo., 15.5.2017, 16.45-17.45, Lecture Hall 7 (Hörsaal 7)
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 1st floor
Kim Christensen (Aarhus University, Denmark)
http://pure.au.dk/portal/en/persons/id%2851486b6c-9bf2-4468-8be2-0fa1c28be8…
"The Drift Burst Hypothesis"
(ISOR Colloquium)
The seminar is preceded by tea and coffee with the speaker in the ISOR
meeting room (6th floor) at 16.15.
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
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WU Wien, Institute for Statistics and Mathematics
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Fr., 19.05.2017, 09:00, room SR D4.4.008
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor
Johanna Nešlehová & Christian Genest (McGill Univ., Canada)
http://www.math.mcgill.ca/neslehova/http://www.math.mcgill.ca/cgenest/
"Modeling clusters of extremes"
(Research seminar - Statistics and Mathematics)
For further details (including abstracts) see
http://www.wu.ac.at/en/statmath/resseminar/
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: Colloquium in Statistics and Mathematical Methods in Economics
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Tu., 9.5.2017, 16:30, seminar room DB gelb 04
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, yellow section
Bernt Øksendal (University of Oslo)
http://www.mn.uio.no/math/english/people/aca/oksendal/
"Optimal insider control of stochastic partial differential
equations, with applications to optimal harvesting and
optimal insider portfolio under noisy observations"
(Colloquium in Statistics and Mathematical Methods in Economics)
For further details (including abstracts) see
https://swm.tuwien.ac.at/colloquium.php
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Joint Seminar: TU Wien, University of Vienna and WU Vienna
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Th., 11.5.2017, 16:30, seminar room DC rot 07
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section
Ales Cerny (Cass Business School, UK)
https://www.martingales.sk/
"Convex duality and Orlicz spaces in expected utility maximization"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
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WU Wien, Institute for Statistics and Mathematics
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Fr., 12.05.2017, 09:00, room SR D4.4.008
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor
Nikolaus Hautsch (Universität Wien)
https://homepage.univie.ac.at/nikolaus.hautsch/
"Volatility, Information Feedback and Market Microstructure Noise:
A Tale of Two Regimes"
(Research seminar - Statistics and Mathematics)
For further details (including abstracts) see
http://www.wu.ac.at/en/statmath/resseminar/
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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