FAM-news October 2020

fam-news@fam.tuwien.ac.at

1 participants
5 discussions

reminder for upcoming seminars and talks

by FAM-office (Franziska Wohlmuth)

------------------------------------------------------------------------ One World Actuarial Research Seminar ------------------------------------------------------------------------ We., 4.11.2020, 10:00 (UTC +2:00 = CEST), online talk Bent Nielsen (Oxford University) http://users.ox.ac.uk/~nuff0078/ "Generalized Log-Normal Chain-Ladder" For further details (including abstracts) see http://www.maths.usyd.edu.au/u/munir/owars/ ------------------------------------------------------------------------ Bachelier Finance Society World Seminar ------------------------------------------------------------------------ Th., 5.11.2020, 19:00 (UTC +2:00 = CEST), online talk Martin Larsson (Carnegie Mellon University) https://www.cmu.edu/math//people/faculty/larsson.html "Finance and Statistics: Trading Analogies for Sequential Learning" For further details (including abstract & log-in link) see: https://ethz.zoom.us/meeting/register/tJ0kfu6trD0oGtHBTVyMkSJDp-XRy1tblo3d or https://www.bachelierfinance.org/bachelier-finance-society-world-seminars-o… ------------------------------------------------------------------------ Actuarial Science and Financial Mathematics Seminar Series ------------------------------------------------------------------------ Fr., 6.11.2020, 14:00 (UTC +2:00 = CEST), online talk K.C. Cheung (Hong Kong University) https://saasweb.hku.hk/staff/kccheung/ "Asymptotic sub/super-additivity of Value-at-Risk under extreme-value copulas and Archimedean copulas" For further details (including abstracts) see https://uwaterloo.ca/statistics-and-actuarial-science/events/actuarial-scie… ------------------------------------------------------------------------ CIRM - Research School "Quasi Monte Carlo Methods and Applications" ------------------------------------------------------------------------ Mon-Fri, 2.11.-6.11.2020, virtual & hybrid event Main Guest Speakers: Hansjoerg Albrecher (Université de Lausanne) Florin Avram (Université de Pau et des Pays de l'Adour) Giray Ökten (Florida State University) Gerhard Larcher (JKU Linz) Gunther Leobacher (University of Graz) Véronique Maume-Deschamps (Université de Lyon 1) Stefan Thonhauser (TU Graz) This event is part of the program CIRM - Jean-Morlet Chair, Diophantine Problems: Determinism, Randomness, Applications. For further details (including abstract & registration) see: https://www.chairejeanmorlet.com/2255.html ======================================================================== See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ UTC +2:00 = CEST = Central European Summer Time, https://time.is/en/CEST ------------------------------------------------------------------------ -- Franziska Wohlmuth (Secretary) secr(a)fam.tuwien.ac.at Financial and Actuarial Mathematics (FAM) https://fam.tuwien.ac.at/ TU Wien, Wiedner Hauptstrasse 8/105-01 & -05, 1040 Vienna, Austria

4 years

reminder for upcoming seminars and talks

by FAM-Office (Franziska Wohlmuth)

------------------------------------------------------------------------ Oxford Stochastic Analysis and Mathematical Finance Seminar ------------------------------------------------------------------------ Mo., 26.10.2020, 17:00 (UTC +2:00 = CEST), online talk Steve Shreve (Carnegie Mellon University) https://www.cmu.edu/math/people/faculty/shreve.html "Diffusion Limit of Poisson Limit-Order Book Models" For further details (including abstracts) see https://mathseminars.org/seminar/OxfordStochasticAnalysis ------------------------------------------------------------------------ SIAG Financial Mathematics and Engineering virtual seminars series ------------------------------------------------------------------------ Th., 29.10.2020, 19:00-20:00 (UTC +2:00 = CEST), online talk Francesca Biagini (University of Munich) https://www.fm.mathematik.uni-muenchen.de/personen/professors/francesca_bia… "Reduced-form setting under model uncertainty with non-linear affine intensities" For abstract and further details (registration necessary due to security reasons) see: https://siam.zoom.us/webinar/register/WN_s8rIcHwiS-uPM3Dkuok-Wg ------------------------------------------------------------------------ CIRM - Research School "Quasi Monte Carlo Methods and Applications" ------------------------------------------------------------------------ Mon-Fri, 2.11.-6.11.2020, virtual & hybrid event Main Guest Speakers: Hansjoerg Albrecher (Université de Lausanne) Florin Avram (Université de Pau et des Pays de l'Adour) Giray Ökten (Florida State University) Gerhard Larcher (JKU Linz) Gunther Leobacher (University of Graz) Véronique Maume-Deschamps (Université de Lyon 1) Stefan Thonhauser (TU Graz) This event is part of the program CIRM - Jean-Morlet Chair, Diophantine Problems: Determinism, Randomness, Applications. For further details (including abstract & registration) see: https://www.chairejeanmorlet.com/2255.html ======================================================================== See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ UTC +2:00 = CEST = Central European Summer Time, https://time.is/en/CEST ------------------------------------------------------------------------

4 years

reminder for upcoming seminars and talks

by Franziska Wohlmuth

------------------------------------------------------------------------ Oxford Stochastic Analysis and Mathematical Finance Seminar ------------------------------------------------------------------------ Mo., 19.10.2020, 17:00-18:00 (UTC +2:00 = CEST), online talk Christa Cuchiero (University of Vienna) https://homepage.univie.ac.at/christa.cuchiero/ "Deep neural networks, generic universal interpolation and controlled ODEs" For further details (including abstracts) see https://researchseminars.org/seminar/OxfordStochasticAnalysis ------------------------------------------------------------------------ Uni Wien: Vienna Probability Seminar ------------------------------------------------------------------------ Tu., 20.10.2020, 16:30-17:15 (UTC +2:00 = CEST), online talk Hendrik Weber (University of Bath) https://researchportal.bath.ac.uk/en/persons/hendrik-weber "A priori bounds for Singular Stochastic PDEs" For further details (including abstracts) of the Vienna Probability Seminar see https://mathematik.univie.ac.at/forschung/stochastik-und-finanzmathematik/v… ------------------------------------------------------------------------ One World Actuarial Research Seminar ------------------------------------------------------------------------ We., 21.10.2020, 10:00 (UTC +2:00 = CEST), online talk Hazel Bateman (University of New South Wales) https://www.business.unsw.edu.au/our-people/hazelbateman "Learning to value annuities: the role of information and engagement " For further details (including abstracts) see http://www.maths.usyd.edu.au/u/munir/owars/ ------------------------------------------------------------------------ Bachelier Finance Society World Seminar ------------------------------------------------------------------------ Th., 22.10.2020, 19:00 (UTC +2:00 = CEST), online talk Elisa Alos (Barcelona Graduate School of Economics) https://www.barcelonagse.eu/people/alos-elisa "On the difference between volatility swaps and the ATM implied volatility" For further details (including abstract & log-in link) see: https://ethz.zoom.us/meeting/register/tJ0kfu6trD0oGtHBTVyMkSJDp-XRy1tblo3d or https://www.bachelierfinance.org/bachelier-finance-society-world-seminars-o… ======================================================================== See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ UTC +2:00 = CEST = Central European Summer Time, https://time.is/en/CEST ------------------------------------------------------------------------

4 years

reminder for upcoming seminars and talks

by FAM-Office (Franziska Wohlmuth)

------------------------------------------------------------------------ Oxford Stochastic Analysis and Mathematical Finance Seminar ------------------------------------------------------------------------ Mo., 12.10.2020, 17:00-18:00 (UTC +2:00 = CEST), online talk Ioannis Karatzas (Columbia University) http://www.math.columbia.edu/~ik/ "A trajectorial approach to the gradient flow properties of conservative diffusions and Markov chains" For further details (including abstracts) see https://researchseminars.org/seminar/OxfordStochasticAnalysis ------------------------------------------------------------------------ SIAG Financial Mathematics and Engineering virtual seminars series ------------------------------------------------------------------------ Th., 15.10.2020, 19:00-20:00 (UTC +2:00 = CEST), online event Panel discussion: "Implications of COVID-19 on financial markets" Michael J. Fleming (Federal Reserve Bank of New York) https://www.newyorkfed.org/research/economists/fleming/index.html Wenqian Huang (BIS-Bank for International Settlements,CH) https://www.wenqianhuang.org/ David Rios (Columbia University and NYU Tandon) http://stat.columbia.edu/department-directory/name/david-rios For abstract and further details (registration necessary due to security reasons) see: https://siam.zoom.us/webinar/register/WN_s8rIcHwiS-uPM3Dkuok-Wg ------------------------------------------------------------------------ Vienna Seminar in Mathematical Finance and Probability ------------------------------------------------------------------------ Th., 15.10.2020, 15:30-18:30 (UTC +2:00), hybrid seminar Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, ground floor, lecture hall 3. Link for the live stream (Zoom) will be announced shortly before the talks start. Aleksandar Arandjelovic (TU Wien) https://tiss.tuwien.ac.at/person/281991 "Deep portfolio optimization in financial markets with a large trader" Stefan Rigger (University of Vienna) https://homepage.univie.ac.at/stefan.rigger/ "Propagation of minimality in the supercooled Stefan problem" Kevin Kurt (WU Wien) https://www.wu.ac.at/statmath/faculty-staff/faculty/kevin-kurt/ "Markov-modulated Affine Processes" For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Actuarial Science and Financial Mathematics Seminar Series ------------------------------------------------------------------------ Fr., 16.10.2020, 10:00 (UTC +2:00 = CEST), online talk Alfred Müller (University of Siegen) https://www.uni-siegen.de/fb6/src/mueller/ "Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference" For further details (including abstracts) see https://uwaterloo.ca/statistics-and-actuarial-science/events/actuarial-scie… ======================================================================== See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ UTC +2:00 = CEST = Central European Summer Time, https://time.is/en/CEST ------------------------------------------------------------------------

4 years, 1 month

reminder for upcoming seminars and talks

by FAM-Office (Franziska Wohlmuth)

------------------------------------------------------------------------ Veranstaltungsreihe "Actuarial Modelling Club" ------------------------------------------------------------------------ Tu., 6.10.2020, 16:30 (UTC +2:00 = CEST), online talk Dietmar Hareter und Fabian Pribahsnik (Wiener Städtische Versicherung AG Vienna Insurance Group) "Data Science im Live-Betrieb (Ein Online-Vortrag von Praktikern für Praktiker_innen)" (Actuarial Modelling Club) For further details (including abstracts) and registration see https://fam.tuwien.ac.at/vr/ Details zu Vortrag und Anmeldung siehe: https://fam.tuwien.ac.at/vr/ ------------------------------------------------------------------------ One World Actuarial Research Seminar ------------------------------------------------------------------------ We., 7.10.2020, 17:00 (UTC +2:00 = CEST), online talk Frédéric Godin (Concordia University) "A mixed bond and equity fund model for the valuation of segregated fund policies" For further details (including abstracts) see http://www.maths.usyd.edu.au/u/munir/owars/ ------------------------------------------------------------------------ Bachelier Finance Society World Seminar ------------------------------------------------------------------------ Th., 8.10.2020, 19:00 (UTC +2:00 = CEST), online talk Damir Filipović (Ecole Polytechnique Fédérale de Lausanne) "TBA" For further details (abstract & log-in link will follow soon) see: https://www.bachelierfinance.org/bachelier-finance-society-world-seminars-o… ------------------------------------------------------------------------ Actuarial Science and Financial Mathematics Seminar Series ------------------------------------------------------------------------ Fr., 9.10.2020, 16:00-17:30 (UTC +2:00 = CEST), online talk Nan Zhu (Penn State University) "The efficiency of voluntary risk classification in insurance markets" For further details (including abstracts) see https://uwaterloo.ca/statistics-and-actuarial-science/events/actuarial-scie… ======================================================================== See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ UTC +2:00 = CEST = Central European Summer Time, https://time.is/en/CEST ------------------------------------------------------------------------

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FAM-news October 2020