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University of Vienna, Faculty of Mathematics
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We., 2.4.2014, 16:15-17:00, Sky-Lounge
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Stefan Gerhold: (FAM @ TU Wien)
http://www.fam.tuwien.ac.at/~sgerhold/
"Disproof of a conjecture by Rademacher on partial fractions"
(Mathematisches Kolloquium)
15:45 coffee & cake, Sky-Lounge
For further details (including abstracts) see
http://plone.mat.univie.ac.at/talks/colloquium/view?set_language=en
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Joint Seminar: TU Vienna, University of Vienna and WU Vienna
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Th., 3.4.2014, 16:30, seminar room 101C,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Gabor Pete (Technical University of Budapest, HU)
http://www.math.bme.hu/~gabor/
"The scaling limit of the planar Minimal Spanning Tree"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/agfm/
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New lecture (with including exercises) in english language:
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The lecture was already announced once, but the start of the lecture was
shifted to April 3rd:
Applied Counterparty Credit Risk Management
^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
Lecturer:
Mario Schlener, MBA M.A., KBS Capital Partners AG, Baar, CH
Date/time:
Thursday, 03.04.2014 - 26.06.2014, 16:30 - 19:45
Location:
lecture hall FH Hörsaal 2: "Freihaus" building, 2nd floor, yellow area,
TU Wien, Wiedner Hauptstraße 8-10, 1040 Wien
For further details see:
https://tiss.tuwien.ac.at/course/courseDetails.xhtml?courseNr=105666
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Announcement of talks organised by AVÖ (Aktuarvereinigung Österreichs)
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Tu., 27.03.2014, 16:00, Freihaus Hörsaal 8,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 2nd fl., yellow section
Axel Helmert (COR & FJA)
"Low interest rate challenge: Trends in der Produktgestaltung"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/vr/
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Announcement of talks organised by FAM @ TU Wien
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Tu., 25.03.2014, 16:30, seminar room 107,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 6th fl., green section
Christiane Elgert (Universität Rostock, DE)
"Numerische Lösung der Diffusionsgleichung bei variabler
räumlicher Struktur"
(application talk about master theses)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
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Joint Seminar: TU Vienna, University of Vienna and WU Vienna
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Th., 20.3.2014, 16:30, seminar room 101C,
TU, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Mathieu Rosenbaum (University Pierre and Marie Curie, Paris 6, FR)
http://www.crest.fr/ses.php?user=3046
"Limit theorems for nearly unstable Hawkes processes"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/agfm/
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Th., 20.3.2014, 17:30, seminar room 101C,
TU, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Marius Hofert (TU Munich, DE) )
http://www.math.ethz.ch/~hofertj/
"An extreme value approach for modeling operational
risk losses depending on covariates"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/agfm/
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University of Vienna, Dept. of Statistics and Operations Research
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Mo., 17.3.2014, 17:00-18:00, Skylounge
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Robert Stelzer (Universität Ulm)
http://www.uni-ulm.de/en/mawi/finmath/people/stelzer.html
"Stochastic Volatility and Possible Long Memory: The supOU Model"
(ISOR Colloquium)
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
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Vienna Graduate School of Finance (VGSF)
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Fr., 21.03.2014, 11:00, room D3.0.221 (ground floor)
1020 Vienna, Welthandelsplatz 1, WU Campus, Building D3
Alexander Ljungqvist (New York University)
http://pages.stern.nyu.edu/~aljungqv/
"How Constraining Are Limits to Arbitrage?
Evidence from a Recent Financial Innovation"
(Finance Research Seminar)
For further details (including abstracts) see
http://www.vgsf.ac.at/finance-research-seminar/
To find the room on the WU Campus visit:
http://gis.wu.ac.at/?roomShow=D3.0.221
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========================================================================
Scientific talks:
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Mo., 3.3.2014, 17:00-18:00, Skylounge
WU Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Viktor Todorov (Northwestern University)
http://www.kellogg.northwestern.edu/faculty/todorov/htm/
"Inference Theory for Volatility Functional Dependencies"
(ISOR Colloquium)
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
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Th., 6.3.2014, 16:30, seminar room 101C,
TU, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Peter Markowich (University of Cambridge)
http://www.peter-markowich.net/
"Price Formation Modeling with PDE:
From Boltzmann to Free Boundaries"
(Arbeitsgemeinschaft Finanzmathematik)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/agfm/
========================================================================
Teaching @ TU Wien:
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Courses of the research unit FAM @ TU Wien:
http://www.fam.tuwien.ac.at/lehre/lva/
Continuing Professional Development (CPD) for actuaries:
http://www.fam.tuwien.ac.at/cpd/
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New lecture (with including exercises) in english language:
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Applied Counterparty Credit Risk Management
^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
Lecturer:
Mario Schlener, MBA M.A., KBS Capital Partners AG, Baar, CH
Aim/subject of course:
- Students shall understand and be able to apply the learned tools in
real life examples from the financial industry and capital markets
- Students will learn a hands on understanding of real world examples of
how counterparty credit risk is managed and measured
- After this course students will have discussed the following main
points:
- How to calculate counterparty exposure for derivative portfolio
- How to calculate Credit Valuation Adjustment (CVA) and Debt
Valuation Adjustment (DVA)
- What is Funding Value Adjustment (FVA)
- How the Financial Industry manages and hedges counterparty credit
risk (i.e. difference between a Risk Management- and Trading-
Approach)
- How to define a hedging strategy for a sample portfolio to reduce
risk for a sample bank
- How to apply a multi-curve discounting approach compared to a
single curve discounting approach
- What is a CSA and ISDA contract and how are these contracts
negotiated and applied in a financial transaction
- What is a close out valuation
- How can a portfolio be hedged applying a standardized risk-off/VaR
analysis
- How does the regulation of a Central Counterparty change the
financial markets and the day-to-day business of trading activities
of financial institutions
In this course the students will learn how counterparty credit risk:
1. changed the financial markets
2. changed the way risk management departments of global financial
institutions manage risk and
3. how financial institutions measure and hedge counterparty credit
risk
Course methods and organisation:
Lectures will be organized around specific prepared presentation
material and a given set of relevant papers and further book chapters.
Students are not forced to read further papers or books to understand
the topics discussed in class. There will be class assignments and a
final exam for this course. Grading will be based on class
participation, assignments and final exam.
Date/time:
Thursday, 13.03.2014 - 26.06.2014, 16:30 - 18:45
Location:
lecture hall FH Hörsaal 2: "Freihaus" building, 2nd floor, yellow area,
TU Wien, Wiedner Hauptstraße 8-10, 1040 Wien
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University of Vienna, Faculty of Mathematics
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Th., 30.01.2014, 17:00, seminar room 11
1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Damir Filipovic (Swiss Finance Institute @ EPFL)
http://sfi.epfl.ch/filipovic
"Linear-Rational Term Structure Models"
(Seminar on Mathematical Finance)
For further details see
http://www.fam.tuwien.ac.at/events/ or
http://www.mat.univie.ac.at/~finance_hp/seminarWS13.html
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Arbeitsgemeinschaft Diskrete Mathematik, TU Wien
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Tu., 21.01.2014, 15:15-16:45, Dissertantenraum
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 8th floor, green section
Stefan Gerhold (FAM @ TU Wien)
http://fam.tuwien.ac.at/~sgerhold/
"Disproof of a conjecture by Rademacher on partial fractions"
(Seminar Arbeitsgemeinschaft Diskrete Mathematik)
For further details (including abstracts) see
http://www.dmg.tuwien.ac.at/nfn/agdm.html
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University of Vienna, Faculty of Mathematics
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Th., 23.01.2014, 17:00, seminar room 11
1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Lingqi Gu (University of Vienna)
"Discussion on the article of G. Benedetti and L. Campi (2011):
'Multivariate utility maximization with
proportional transaction costs and random endowment'"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS13.html
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To Whom it May Concern,
the talk of Mathieu Rosenbaum this Thursday is cancelled.
Mr. Rosenbaum will visit the funeral of the well known frech
mathematician Mark Yor, who passed away last week:
http://www.academie-sciences.fr/academie/membre/Yor_Marc.htm
Below you can find a talk this friday organized by the VGSF which might
also be interesting for mathematicians.
Best regards,
Sandra (Trenovatz)
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CANCELLED:
^^^^^^^^^^
Th., 16.01.2014
Mathieu Rosenbaum (University Pierre and Marie Curie, Paris 6)
"Limit theorems for nearly unstable Hawkes processes"
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Vienna Graduate School of Finance (VGSF)
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Fr., 17.01.2014, 11:00, room TC.4.27 (4th floor)
1020 Vienna, Welthandelsplatz 1, WU Campus, Building TC
Paul Schneider (University of Lugano)
https://sites.google.com/site/paulgschneider/
"Generalized Risk Premia - The Economic Value of Predictability"
(Finance Research Seminar)
You can find abstract & paper here:
http://www.vgsf.ac.at/fileadmin/user_upload/P/2014_Schneider_Generalized_Ri…
For further details of the seminar see:
http://www.vgsf.ac.at/finance-research-seminar/
To find the room on the new WU Campus search for the room number
"TC.4.27" on: http://gis.wu.ac.at/
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Announcement of talks organised by FAM @ TU Wien
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Tu., 14.01.2014, 16:30, seminar room 107,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Petra Posedel (Zagreb School of Economics and Management, Croatia)
http://edu.zsem.hr/~pposedel/
"Asymptotic analysis for optimal estimating functions
for a class of stochastic volatility models with jumps"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
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University of Vienna, Faculty of Mathematics
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Th., 16.01.2014, 17:00, seminar room 11
1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Mathieu Rosenbaum (University Pierre and Marie Curie, Paris 6)
http://www.crest.fr/ses.php?user=3046
"Limit theorems for nearly unstable Hawkes processes"
(Seminar on Mathematical Finance)
For further details see
http://www.fam.tuwien.ac.at/events/ or
http://www.mat.univie.ac.at/~finance_hp/seminarWS13.html
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University of Vienna, Faculty of Mathematics
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Th., 09.01.2014, 17:00, seminar room 11
1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Sebastian Andres (University of Bonn)
http://wt.iam.uni-bonn.de/andres/
"Invariance Principle for the Random Conductance Model
in a degenerate ergodic enviroment"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS13.html
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