FAM-news

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reminder for upcoming seminars and talks
by Sandra Trenovatz 22 Jul '13

22 Jul '13

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reminder for upcoming seminars and talks
by Sandra Trenovatz 28 Jun '13

28 Jun '13

------------------------------------------------------------------------ University of Vienna, Faculty of Mathematics ------------------------------------------------------------------------ Mo., 01.07.2013, 11:30-12:30, seminar room D 1.07 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Christian Bender (Saarland University) http://www.math.uni-sb.de/ag/bender/benderE.html "A first-order BSPDE for swing option pricing" (Seminar on Mathematical Finance) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarSS13.html ------------------------------------------------------------------------ Sixth European Summer School in Financial Mathematics University of Vienna, August 26 to 30, 2013 http://www.mat.univie.ac.at/~finance_hp/summer_school_Vienna_2013/ !!! Registration closes on June 30, 2013 !!! http://www.mat.univie.ac.at/~finance_hp/summer_school_Vienna_2013/registrat… ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 17 Jun '13

17 Jun '13

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CORRECTED VERSION: reminder for upcoming seminars and talks
by Sandra Trenovatz 11 Jun '13

11 Jun '13

------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr, 14.06.2013, 9:15, seminar room of 'Statistics and Mathematics' 1090 Wien, Augasse 2-6, WU Wien, UZA 2, Level 4, 2H415 Alex McNeil (Heriot-Watt University, Edinburgh) http://www.ma.hw.ac.uk/~mcneil/ "Copula Families that Generalise the Archimedean Class" (Research seminar - Statistics and Mathematics) For further details see http://www.wu.ac.at/statmath/en/resseminar or http://www.wu.ac.at/statmath/resseminar/talks/talkmcneil2 ------------------------------------------------------------------------ WPI - Wolfgang Pauli Institute ------------------------------------------------------------------------ Mini-Course on Model Risk June 19-20, 2013, Wolfgang Pauli Institut http://www.wpi.ac.at/event_view.php?id_activity=172 ------------------------------------------------------------------------ ======================================================================== SORRY, THE FOLLOWING WORKSHOP AT WU WIEN WAS ANNOUNCED BY MISTAKEN. IT ALREADY TOOK PLACE IN APRIL :-/ Workshop on Current Topics in Mathematical Finance 2013 April 18-19, 2013, Vienna University of Economics and Business http://mafin2013.wu.ac.at/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 11 Jun '13

11 Jun '13

------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Th, 14.06.2013, 9:15, seminar room of 'Statistics and Mathematics' 1090 Wien, Augasse 2-6, WU Wien, UZA 2, Level 4, 2H415 Alex McNeil (Heriot-Watt University, Edinburgh) http://www.ma.hw.ac.uk/~mcneil/ "Copula Families that Generalise the Archimedean Class" (Research seminar - Statistics and Mathematics) For further details see http://www.wu.ac.at/statmath/en/resseminar or http://www.wu.ac.at/statmath/resseminar/talks/talkmcneil2 ------------------------------------------------------------------------ WU Wien - Vienna University of Economics and Business ------------------------------------------------------------------------ Workshop on Current Topics in Mathematical Finance 2013 April 18-19, 2013, Vienna University of Economics and Business http://mafin2013.wu.ac.at/ ------------------------------------------------------------------------ WPI - Wolfgang Pauli Institute ------------------------------------------------------------------------ Mini-Course on Model Risk June 19-20, 2013, Wolfgang Pauli Institut http://www.wpi.ac.at/event_view.php?id_activity=172 ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 05 Jun '13

05 Jun '13

Additionally to today's Public PhD Thesis Defense of Karin Hirhager there are two further talks this week - both on Friday. Please find details (as far as I could figure out) below. Best regards, Sandra Trenovatz ------------------------------------------------------------------------ Vienna Graduate School of Finance (VGSF) ------------------------------------------------------------------------ Fr., 07.06.2013, 11:00, Seminar Room 1 (ground floor) 1190 Wien, Heiligenstädter Strasse 46-48, WU Wien, Building H46 Damir Filipovic (École Polytechnique Fédérale de Lausanne) http://sfi.epfl.ch/filipovic "t.b.a." (Finance Research Seminar) For further details see http://www.vgsf.ac.at/activities/seminars.htm ------------------------------------------------------------------------ FAM @ TU Wien ------------------------------------------------------------------------ Fr., 07.06.2013, 15:15, Freihaus Hörsaal 2 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow section Thomas Bruss (Université Libre de Bruxelles, Belgium) http://homepages.ulb.ac.be/~tbruss/ "Überleben und Lebensstandard, oder Grenzen der Gesellschaft - Schlussfolgerungen aus einem neuen Verzweigungsprozess-Modell" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ ------------------------------------------------------------------------ Announcement of Public PhD Thesis Defense at TU Wien ------------------------------------------------------------------------ We., 05.06.2013, 16:00, conference room of the Deanery, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, green section, 9th floor (8th floor, then staircase in the green area) Karin Hirhager (FAM @ TU Wien) "Adapted Dependence with Applications to Financial and Actuarial Risk Management" (Public PhD Thesis Defense) For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 04 Jun '13

04 Jun '13

------------------------------------------------------------------------ Announcement of Public PhD Thesis Defense at TU Wien ------------------------------------------------------------------------ We., 05.06.2013, 16:00, conference room of the Deanery, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, green section, 9th floor (8th floor, then staircase in the green area) Karin Hirhager (FAM @ TU Wien) "Adapted Dependence with Applications to Financial and Actuarial Risk Management" (Public PhD Thesis Defense) For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 27 May '13

27 May '13

------------------------------------------------------------------------ University of Vienna ------------------------------------------------------------------------ We, 29.05.2013, 17:30-18:30, Olga Taussky-Todd Raum (C 2.09) 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor Beatrice Acciaio (University of Vienna and University of Perugia) http://beatrice-acciaio.net/ "Optimal Transport, Model-Independent Pricing and Trajectorial Inequalities" (Habilitation presentation) Abstract: We will illustrate the recently discovered connection between the problem of pricing financial derivatives in a model-free context and the Monge-Kantorovich optimal transport problem. Mathematically the crucial difference is that in the pricing problem the transport plans are required to be martingales. This link has already proved to be very fruitful. In particular, we will see how the duality theorem from optimal transport leads to new robust super-replication results. This dual viewpoint also provides new insights on classical martingale inequalities. For instance, we establish a (new) sharp version of the classical Doob maximal inequality. ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 21 May '13

21 May '13

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reminder for upcoming seminars and talks
by Sandra Trenovatz 13 May '13

13 May '13

------------------------------------------------------------------------ Announcement of talks organised by FAM @ TU Wien ------------------------------------------------------------------------ Tu, 14.05.2013, 16:30, seminar room 107, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Jan Widenmann (LMU Mathematics Institute, Munich) http://www.fm.mathematik.uni-muenchen.de/personen/phd_postdoc/widenmann/ "Pricing and hedging insurance claims in hybrid markets" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ Furthermore we announce talks of other departments @ TU Wien ------------------------------------------------------------------------ Tu, 14.05.2013, 17:15-18:30, seminar room Argentinierstraße, 1040 Wien, Argentinierstraße 8, ground floor (entry Paniglgasse) Ivar Ekeland (Université Paris-Dauphine) http://www.ceremade.dauphine.fr/~ekeland/ "Modelling limited liability" (Seminar on Operations Research and Control Systems) For further details (including abstracts) see http://orcos.tuwien.ac.at/events/ ------------------------------------------------------------------------ Furthermore we announce talks at University of Vienna ------------------------------------------------------------------------ We, 15.05.2013, 16:00-17:00, Olga Taussky-Todd Raum (C 2.09) 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor Ivar Ekeland (Université Paris-Dauphine) http://www.ceremade.dauphine.fr/~ekeland/ "No turning back: growth theory and sustainable development" (Mathematisches Kolloquium) For further details (including abstracts) see http://plone.mat.univie.ac.at/events/2013/mathkoll-ekeland-2013.pdf 15:30 coffee & cake, Common Room (C 2.06) ------------------------------------------------------------------------ Th, 16.05.2013, 17:00, seminar room Olga Taussky-Todd C 2.09 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor Yiqing Lin (Université de Rennes 1) http://perso.univ-rennes1.fr/yiqing.lin/ "A new result for second order BSDEs with quadratic growth and its applications" (Seminar on Mathematical Finance) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarSS13.html ------------------------------------------------------------------------ WPI-event in June - Change of Date ! ------------------------------------------------------------------------ Mini-Course on Model Risk ^^^^^^^^^^^^^^^^^^^^^^^^^ Speaker: Denis Talay (INRIA) http://www-sop.inria.fr/members/Denis.Talay/me.html) Date: June 19-20, 2013 The date has changed since the last announcement via FAM-news! Place: Wolfgang Pauli Institut 1090 Vienna, Norberstrasse 15 Registration: Registration is free, but is mandatory! Please register by sending an email to <laurenceWPI(a)gmail.com> Please send only one email per registree, i.e. please do not try and register a second person. Registration will close when all seats are taken. For further information see: http://www.wpi.ac.at/event_view.php?id_activity=172 ------------------------------------------------------------------------

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