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

04 Nov '13

------------------------------------------------------------------------ University of Vienna, Faculty of Mathematics ------------------------------------------------------------------------ Tu., 05.11.2013, 17:00, seminar room 12 (mathematics) 1090 Wien, Oskar-Morgenstern-Platz 1 Wolfgang Woess (TU Graz) http://www.math.tugraz.at/~woess/ "Stochastic dynamical systems with weak contractivity properties" (Seminar on Probability Theory) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarWS13_prob.html ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 29 Oct '13

29 Oct '13

------------------------------------------------------------------------ FAM @ TU Wien ------------------------------------------------------------------------ Tu., 29.10.2013, 16:30, seminar room 107, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section First talk within the Seminar about "High Frequency Trading" speaker: Lukas Fabrykowski (TU Wien) ------------------------------------------------------------------------ We., 30.10.2013, 12:00-13:00, lecture hall FH 3 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow section Peter Friz (TU Berlin) http://page.math.tu-berlin.de/~friz/ "On the probability density function of baskets" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ University of Vienna, Faculty of Mathematics ------------------------------------------------------------------------ Th., 31.10.2013, 17:00, seminar room 11 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Nicolas Perkowski (HU Berlin) http://www2.mathematik.hu-berlin.de/~perkowsk/ "Pathwise integration in model free finance" (Seminar on Mathematical Finance) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarWS13.html ------------------------------------------------------------------------

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

13 Oct '13

------------------------------------------------------------------------ University of Vienna, Faculty of Mathematics ------------------------------------------------------------------------ Th., 17.10.2013, 17:00, seminar room 11 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Yiqing Lin (University of Vienna) http://plone.mat.univie.ac.at/people/details?memberid=1355 "Discussion on some recent work of robust superhedging" (Seminar on Mathematical Finance) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarWS13.html ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ The Institute for Statistics and Mathematics is pleased to invite you to the Opening Symposium "Stochastics, Economics, and Architecture" at the new WU campus which will take place on Friday, November 22, 2013. During the symposium, a special session is held in the afternoon in honour of Helmut Strasser on the occasion of his 65th birthday, with Arnold Janssen (Heinrich-Heine-Universität Düsseldorf), Ludger Rüschendorf (Albert-Ludwigs-Universität Freiburg), and Hartmut Milbrodt (Universität Rostock) as invited speakers. Additional invited speakers at the symposium are Hans Föllmer (Humboldt-Universität zu Berlin), Robert Kohn (Australian School of Business, The University of New South Wales), and Steve Scott (Google Inc.). Please visit our website for a detailed program: http://visitstatmath.wu.ac.at/ The social program includes an architectural walk (a guided tour on the new campus), a lunch buffet, and a reception in the evening. Participation is free, but to facilitate the planning of this event, we kindly request on-line registration prior to November 1, 2013 at http://visitstatmath.wu.ac.at/registration.php ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 07 Oct '13

07 Oct '13

------------------------------------------------------------------------ University of Vienna, Faculty of Mathematics ------------------------------------------------------------------------ Th., 10.10.2013, 17:00, seminar room 11 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Sergio Pulido (Swiss Finance Institute @ EPFL, CH) https://sites.google.com/site/sergiopulidonino/ "Quadratic BSDEs arising from a price impact model with exponential utility" (Seminar on Mathematical Finance) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarWS13.html ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 02 Oct '13

02 Oct '13

------------------------------------------------------------------------ FAM @ TU Wien ------------------------------------------------------------------------ This winter term the Tuesday's seminar of FAM will deal with: High Frequency Trading. Original works to the themes microstructure, volatility and limit order book will be discussed. You can find references here: http://fam.tuwien.ac.at/contact/temp/SE_High_Frequency_Trading_1.pdf The seminar is addressed to final-year Master or a PhD students as well as for researchers. Persons who want to attend should write a short email to Thorsten Rheinlaender <rheinlan(a)fam.tuwien.ac.at>. ------------------------------------------------------------------------ University of Vienna, Faculty of Mathematics ------------------------------------------------------------------------ Th., 03.10.2013, 17:00, seminar room 12 (mathematics) 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Miklós Rásonyi (University of Edinburgh, UK) http://www.maths.ed.ac.uk/people/show?person=207 "Superhedging under superlinear liquidity costs" (Seminar on Mathematical Finance) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarWS13.html ------------------------------------------------------------------------ Other departments @ TU Wien ------------------------------------------------------------------------ Tu., 08.10.2013, 17:00, lecture hall HS 15 1040 Wien, Karlsplatz 13, Hauptgebäude der TU Wien, Stiege III, 3. OG Dr. Andreas Chai (Griffith Univ. Brisbane, Australia) http://www.griffith.edu.au/business-government/griffith-business-school/dep… "What is the Future of Consumption?" (Public Lecture Series Economic Theory and Policy) For further details (including abstracts) see http://www.econ.tuwien.ac.at/events/ Lecture hall HS 15 (map): http://www.wegweiser.ac.at/tuwien/hoersaal/H15.html ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 23 Sep '13

23 Sep '13

========================================================== PRisMa 2013: One-Day Workshop on Portfolio Risk Management ========================================================== WEB PAGE: <http://www.fam.tuwien.ac.at/prisma2013/> DATE/TIME: Friday, September 27th, 2013, 9:20 - 16:30 plus bread & wine afterwards ORGANIZED BY: - PRisMa Lab <http://www.prismalab.at/> SPONSORED BY: - Christian Doppler Research Association - Bank Austria - Austrian Federal Financing Agency (ÖBFA) - COR&FJA - Österreichische Kontrollbank (OeKB) LOCATION: Vienna University of Technology Karlsplatz 13, 1040 Vienna, Austria Lecture Hall 6 (Main Building "Hauptgebäude" of the TU Wien, ground floor) Participation is free. Everyone is welcome, practitioners are especially encouraged to attend. PROGRAM: 9:20 - 9:30 Prof. Dr. Uwe Schmock Welcome 9:30 - 10:30 Prof. Dr. Andreas Kyprianou Censored Stable Processes 10:30 - 10:50 Coffee Break 10:50 - 11:30 Dr. Christa Cuchiero An HJM Approach to Multiple-Curve Modeling 11:30 - 12:00 Sühan Altay, MSc Yield Curve Scenario Generation with Independent Component Analysis 12:00 - 13:30 Lunch Break 13:30 - 14:15 PD Dr. Stefan Gerhold Local Volatility Models: Approximation and Regularization 14:15 - 15:00 Jonas Hirz, MSc Risk Measures: From the Unconditional to the Conditional Case 15:00 - 15:20 Coffee Break 15:20 - 16:00 Dr. Julia Eisenberg Optimal Consumption Under Deterministic Income 16:00 - 16:30 DI I. Cetin Gülüm On the Existence of an Equivalent Martingale Measure in the Dalang-Morton-Willinger Theorem, which Preserves the Dependence Structure 16:30 - 18:00 Bread and Wine ABSTRACTS and LINKS: <http://www.fam.tuwien.ac.at/prisma2013/> REGISTRATION: Participation is free, and there is no official registration - nevertheless for administrative reasons we would be happy if you write a short email to our secretary (see below) with your name and university or company. Everyone is welcome, practitioners are especially encouraged to attend. For actuaries, this workshop counts up to 5 points for their continuing professional development (morning and afternoon part each 2.5 points). For a corresponding certificate, please register in advance for the morning and/or afternoon part of the workshop by sending an email with your name and postal address to the workshop secretary (see below) and sign up when you actually attend the workshop. Organisers: - Prof. Dr. Uwe Schmock (FAM @ TU Wien) - Prof. Dr. Thorsten Rheinländer (FAM @ TU Wien) Workshop Secretary: Ms. Sandra Trenovatz and Mr. Martin Trenovatz (FAM @ TU Wien) Phone: +43-1-58801-10511 E-mail: fam(a)fam.tuwien.ac.at

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

22 Jul '13

------------------------------------------------------------------------ Announcement of talks organised by FAM @ TU Wien ------------------------------------------------------------------------ Th., 25.07.2013, 15:00, seminar room 107, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Henry Schellhorn (Claremont Graduate University, California) http://wfs.cgu.edu/schellhh/web/ "A Representation Theorem For Smooth Brownian Martingales" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ Th., 25.07.2013, 16:30, lecture hall: Freihaus Hörsaal 3 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow section Eckhard Platen (UTS Business School, Sydney) http://cfsites1.uts.edu.au/business/staff/finance/details.cfm?StaffId=75 "The Affine Nature of Aggregate Wealth Dynamics" (Lecture Series Financial and Actuarial Mathematics) For further details (including abstracts) see http://www.fam.tuwien.ac.at/vr/ http://www.fam.tuwien.ac.at/vr/20130725.php ------------------------------------------------------------------------

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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

------------------------------------------------------------------------ Announcement of talks organised by FAM @ TU Wien ------------------------------------------------------------------------ Tu, 18.06.2013, 16:30, seminar room 107, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Eberhard Mayerhofer (Dublin City University, Ireland) http://www.eberhard-mayerhofer.com/ "Mean Variance Optimisation with Transaction Costs" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Th, 20.06.2013, 15:00-16:00, seminar room of Statistics and Mathematics 1090 Wien, Augasse 2-6, WU Wien, UZA 2, Level 4, 2H415 Kemal Dinçer Dingeç (Boğaziçi University, Istanbul) "New Control Variates for Levy Processes and Asian Options" (Research seminar - Statistics and Mathematics) For further details see http://www.wu.ac.at/statmath/en/resseminar ------------------------------------------------------------------------

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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

------------------------------------------------------------------------ University of Vienna, Faculty of Mathematics ------------------------------------------------------------------------ Th, 23.05.2013, 17:00, seminar room Olga Taussky-Todd 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/ "A simple model of a commodity market" (Seminar on Mathematical Finance) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarSS13.html ------------------------------------------------------------------------

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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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reminder for upcoming seminars and talks
by Sandra Trenovatz 29 Apr '13

29 Apr '13

------------------------------------------------------------------------ University of Vienna, Faculty of Mathematics ------------------------------------------------------------------------ Tu, 02.05.2013, 17:00, seminar room Olga Taussky-Todd C 2.09 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor Luis G. Gorostiza (Cinvestav, Mexico) http://www.math.cinvestav.mx/gorostiza "Oscillatory Fractional Brownian Motion and Related Processes" (Seminar on Mathematical Finance) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarSS13.html ------------------------------------------------------------------------

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reminder for upcoming seminars and talks (this friday & next week)
by Sandra Trenovatz 18 Apr '13

18 Apr '13

======================================================================== Announcement of Public PhD Thesis Defense at TU Wien - this Friday!!! ------------------------------------------------------------------------ Fr., 19.04.2013, 17:00, seminar room 104, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 5th floor, green section Flroian Leisch (TU Wien / ÖNB) "Stochastic Portfolio Theory from the Point of View of Risk Management" (Public PhD Thesis Defense) For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ Furthermore talks of another research group of our department @ TU Wien ------------------------------------------------------------------------ Tu, 23.04.2013, 17:00, HS 14A Günther Feuerstein 1040 Wien, Karlsplatz 13, Hauptgebäude der TU Wien, Stiege III, 3. OG Hippolyte d´Albis (University Paris 1, Paris School of Economics) http://www.parisschoolofeconomics.eu/en/d-albis-hippolyte/ "Factors explaining retirement age trends: a quantitative assessment" (Public Lecture Series "Economic Theory and Policy") For further details (including abstracts) see http://www.econ.tuwien.ac.at/events/ HS 14A Günther Feuerstein (map): http://www.wegweiser.ac.at/tuwien/hoersaal/H14A.html ------------------------------------------------------------------------ Th, 25.04.2013, 15:00, Hörsaal 14 1040 Wien, Karlsplatz 13, Hauptgebäude der TU Wien, Stiege III, 3. OG Hippolyte d´Albis (University Paris 1, Paris School of Economics) http://www.parisschoolofeconomics.eu/en/d-albis-hippolyte/ "Stability and indeterminacy of the equilibrium with continuous time OLG models" For further details (including abstracts) see http://www.econ.tuwien.ac.at/events/ Hörsaal 14 (map): http://www.wegweiser.ac.at/tuwien/hoersaal/H14.html ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 15 Apr '13

15 Apr '13

------------------------------------------------------------------------ Announcement of talks organised by FAM @ TU Wien ------------------------------------------------------------------------ Tu, 16.04.2013, 16:30, seminar room 107, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Nicoletta Gabrielli (ETH Zurich) http://www.math.ethz.ch/~gabrieln/ "Pathspace representation of Affine processes" 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 08 Apr '13

08 Apr '13

------------------------------------------------------------------------ Announcement of talks organised by FAM @ TU Wien ------------------------------------------------------------------------ Tu, 09.04.2013, 16:30, seminar room 107, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Johanna Nešlehová (McGill University, Montréal, Canada) http://www.math.mcgill.ca/neslehova/ "Wie kann man Abhängigkeiten zwischen diskreten und gemischten Risiken aufdecken?" (Lecture Series Financial and Actuarial Mathematics) Tu, 09.04.2013, 17:30, seminar room 107, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Christian Genest (McGill University, Montréal, Canada) http://www.math.mcgill.ca/cgenest/ "Accounting for extreme-value dependence in multivariate data" (Lecture Series Financial and Actuarial Mathematics) For further details (including abstracts) see http://www.fam.tuwien.ac.at/vr/ For actuaries these talks count 2 points for their continuing professional development (1 point each talk). For a corresponding certificate, please register in advance. ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 18 Mar '13

18 Mar '13

------------------------------------------------------------------------ University of Vienna, Faculty of Mathematics ------------------------------------------------------------------------ Th, 21.03.2013, 17:00, seminar room Olga Taussky-Todd C 2.09 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor Pietro Siorpaes (University of Vienna) http://mat.univie.ac.at/~siorpap2/ "Uniform integrability with respect to a semimartingale" (Seminar on Mathematical Finance) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarSS13.html ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 12 Mar '13

12 Mar '13

------------------------------------------------------------------------ University of Vienna, Faculty of Mathematics ------------------------------------------------------------------------ Th, 14.03.2013, 17:00, seminar room Olga Taussky-Todd C 2.09 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor Marcel Nutz (Columbia University) http://www.math.columbia.edu/~mnutz/ "Arbitrage and Duality in Nondominated Discrete-Time Models" (Seminar on Mathematical Finance) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarSS13.html ------------------------------------------------------------------------

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reminder for upcoming events
by Sandra Trenovatz 23 Feb '13

23 Feb '13

======================================================================== Announcement of events ------------------------------------------------------------------------ Workshop on Current Topics in Mathematical Finance 2013, Vienna, April 18 and 19, 2013. Confirmed Invited Speakers: Michal Barski, Universität Leipzig Dirk Becherer, HU Berlin Tomas Björk, Stockholm School of Economics Rama Cont, Imperial College London Stephane Crepey, Université d'Evry Martin Larsson EPFL Lausanne Eva Lütkebohmert, Universität Freiburg Andrea Macrina, University College London Michael Monoyios, University of Oxford Agatha Murgoci, Copenhagen Business School Walter Schachermayer, Universität Wien Thorsten Schmidt, TU Chemnitz Location: WU Vienna University of Economics and Business, Department of Finance, Accounting and Statistics, Heiligenstädter Str 46, A-1190 Vienna Conference Chair: Prof. Rüdiger Frey Organisational details: Participation is free but there is a mandatory registration. Interested participants have the opportunity to present a poster. Further information can be found at the workshop homepage: http://mafin2013.wu.ac.at ------------------------------------------------------------------------ 26th International Summer School of the Swiss Association of Actuaries Topic: Enterprise Risk Management Teachers: Prof. Stéphane Loisel and David N Ingram, CERA, FRM, PRM, FSA, MAAA Location: University of Lausanne, Switzerland Dates: June 3-7, 2013 Registration is now open on the web site http://www.saa-iss.ch/ SAA ISS Organizing Director: François Dufresne ------------------------------------------------------------------------ Sixth European Summer School in Financial Mathematics August 26 to 30, 2013 University of Vienna (Campus) Registration is now open. Important deadlines: For financial support applications should be submitted by April 15, 2013. Registration closes on June 30, 2013. All the details are on the web site http://www.mat.univie.ac.at/~finance_hp/summer_school_Vienna_2013/ The organizing committee: Beatrice Acciaio, Mathias Beiglböck, Christa Cuchiero, Christoph Czichowsky, Walter Schachermayer, Pietro Siorpaes ------------------------------------------------------------------------

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announcement for upcoming events
by Sandra Trenovatz 04 Feb '13

04 Feb '13

------------------------------------------------------------------------ Workshop on Current Topics in Mathematical Finance 2013 Vienna, April 18-19, 2013. Confirmed Invited Speakers: Michal Barski, Universität Leipzig Dirk Becherer, HU Berlin Tomas Björk, Stockholm School of Economics Rama Cont, Imperial College London Stephane Crepey, Université d'Evry Martin Larsson EPFL Lausanne Eva Lütkebohmert, Universität Freiburg Andrea Macrina, University College London Michael Monoyios, University of Oxford Agatha Murgoci, Copenhagen Business School Walter Schachermayer, Universität Wien Thorsten Schmidt, TU Chemnitz Location: WU Vienna University of Economics and Business, Department of Finance, Accounting and Statistics, Heiligenstädter Str 46, A-1190 Vienna Conference Chair: Prof. Rüdiger Frey Organisational details: Participation is free but there is a mandatory registration. Interested participants have the opportunity to present a poster. Further information can be found at the workshop homepage: http://mafin2013.wu.ac.at/ ------------------------------------------------------------------------ 26th International Summer School of the Swiss Association of Actuaries Topic: Enterprise Risk Management Teachers: Prof. Stéphane Loisel and David N. Ingram, CERA, FRM, PRM, FSA, MAAA Location: University of Lausanne, Switzerland Dates: June 3-7, 2013 Registration is now open on the web site: http://www.saa-iss.ch/ With best regards from François Dufresne SAA ISS Organizing Director ------------------------------------------------------------------------

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reminder for upcoming seminars, talks and conferences
by Sandra Trenovatz 29 Jan '13

29 Jan '13

------------------------------------------------------------------------ Announcement of talks organised by FAM @ TU Wien ------------------------------------------------------------------------ Tu, 29.01.2013, 15:15, Dissertantenraum 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 8th floor, green section Stefan Gerhold (FAM @ TU Wien) http://www.fam.tuwien.ac.at/~sgerhold/ "Some traces of discrete mathematics in mathematical finance" (Seminar Arbeitsgemeinschaft Diskrete Mathematik) For further details (including abstracts) see http://www.dmg.tuwien.ac.at/nfn/agdm.html or http://www.fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ Talks at University of Vienna, Faculty of Mathematics ------------------------------------------------------------------------ Th, 31.01.2013, 14:00, seminar room D 1.01 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Augusto Teixeira (IMPA, Brazil) http://w3.impa.br/~augusto/ "Soft local times, and decoupling of random interlacements" (Seminar on Probability Theory) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarWS12_prob.html ------------------------------------------------------------------------ Talks of other departments / research groups @ TU Wien ------------------------------------------------------------------------ Th, 31.01.2013, 15:00, EI 1 Petritsch Hörsaal 1040 Wien, Gußhausstraße 25, Altes EI, Stiege VIII (Hauptstiege), 2. OG Pasquale Tridico (Università di "Roma Tre") http://host.uniroma3.it/docenti/tridico/ "Transforming Central Europe. Repairing a Ship on the Open Sea in Stormy Weather" (Public Lecture Series Economic Theory and Policy) For further details (including abstracts) see http://www.econ.tuwien.ac.at/events/ EI 1 Petritsch Hörsaal (map): http://www.wegweiser.ac.at/tuwien/hoersaal/E1.html ------------------------------------------------------------------------ ======================================================================== Announcement of conferences ------------------------------------------------------------------------ CSASC 2013 Joint Mathematical Conference of the - Catalan Mathematical Society - Slovenian Mathematical Society, - Austrian Mathematical Society, - Slovak Mathematical Society, and - Czech Mathematical Society, Koper, Slovenia, June 9-13, 2013 http://conferences2.imfm.si/conferenceDisplay.py?confId=14 IME 2013 17th International Congress on Insurance Mathematics and Economics University of Copenhagen, Denmark, July 1-3, 2013 http://www.math.ku.dk/~rsk789/ime2013/ ÖMG-DMV 2013 18th ÖMG Congress and Annual DMV Meeting University Innsbruck, September 23-27, 2013 http://math-oemg-dmv-2013.uibk.ac.at/ PRisMa 2013 Extended Portfolio Risk Management Conference 2013 Vienna University of Technology, September 26-28, 2013 (details & webpage following soon) EAJ 2013 2nd European Actuarial Journal Conference 2014 Vienna University of Technology, September 10-12, 2014 (details & webpage following soon) ------------------------------------------------------------------------

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

21 Jan '13

------------------------------------------------------------------------ University of Vienna, Faculty of Mathematics ------------------------------------------------------------------------ Mo, 21.01.2013, 17:00, seminar room D 1.01 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Alexander Drewitz (ETH Zurich) http://www.math.ethz.ch/~drewitza/ "A new rearrangement inequality around infinity and applications to Lévy processes" (Seminar on Probability Theory) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarWS12_prob.html ------------------------------------------------------------------------ We, 23.01.2013, 16:15, Olga Taussky-Todd Raum (C 2.09) 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor Hans Föllmer (HU Berlin) http://www2.mathematik.hu-berlin.de/~foellmer/ "Risk and Knightian Uncertainty: On the Role of Probability in Finance" (Mathematisches Kolloquium) Abstract: Over the last decades advanced probabilistic methods have played an increasing role in Finance, both in Academia and in the financial industry. In view of the recent financial crisis it has been asked to which extent the use of such methods has been part of the problem. We review some of the arguments and then focus on the foundational issue of model uncertainty, also called "Knightian uncertainty". This will be illustrated by the interplay between "historical measures" and "martingale measures" in the standard framework of Mathematical Finance and also by the problem of quantifying financial risk. 15:45-16:15 coffee & cake, Common Room (C 2.06) ------------------------------------------------------------------------ Th, 24.01.2013, 17:00, seminar room D 1.01 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Hans Föllmer (HU Berlin) http://www2.mathematik.hu-berlin.de/~foellmer/ "Shifting martingale measures and the birth of a bubble" (Seminar on Mathematical Finance) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarWS12.html ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 14 Jan '13

14 Jan '13

------------------------------------------------------------------------ Announcement of a talk organised by FAM @ TU Wien ------------------------------------------------------------------------ Tu, 15.01.2013, 16:30, seminar room 107, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Andreas Kyprianou (University of Bath) http://www.maths.bath.ac.uk/~ak257/ "Multi-level Wiener-Hopf Monte-Carlo simulation for Lévy processes" 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 08 Dec '12

08 Dec '12

------------------------------------------------------------------------ University of Vienna, Faculty of Mathematics ------------------------------------------------------------------------ Th, 13.12.2012, 17:00, seminar room D 1.01 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Paolo Guasoni (Dublin City University) http://www.dcu.ie/info/staff_member.php?id_no=3877 "t.b.a." (Seminar on Mathematical Finance) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarWS12.html ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr, 14.12.2012, seminar room of 'Statistics and Mathematics' 1090 Wien, Augasse 2-6, WU Wien, UZA 2, Level 4, 2H415 9:15: Karl Bang Christensen (University of Copenhagen) http://publichealth.ku.dk/staff/beskrivelse/?id=64551 "Item response theory models for measuring level and change in latent variables" (Research seminar - Statistics and Mathematics) 10:30: Wolfgang Runggaldier (University of Padua) http://www.math.unipd.it/~runggal/ "Variance reduction by conditioning in a pricing problem where the underlying is a continuous-time finite state Markov process" (Research seminar - Statistics and Mathematics) For further details see http://www.wu.ac.at/statmath/en/resseminar ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 23 Nov '12

23 Nov '12

------------------------------------------------------------------------ University of Vienna, Faculty of Mathematics ------------------------------------------------------------------------ Mo, 26.11.2012, 17:00, seminar room D 1.01 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Noam Berger (The Hebrew University of Jerusalem) http://www.ma.huji.ac.il/~berger/ "Random walk and percolation in balanced random environments" (Seminar on Probability Theory) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarWS12_prob.html ------------------------------------------------------------------------ Th, 29.11.2012, 17:00, seminar room D 1.01 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Josef Teichmann (ETH Zurich) http://www.math.ethz.ch/~jteichma/ "Robust calibration of models in finance" (Seminar on Mathematical Finance) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarWS12.html ------------------------------------------------------------------------ WPI - Wolfgang Pauli Institut ------------------------------------------------------------------------ Pauli Symposium on Mathematical Modeling: new directions and applications Monday, 26.11.2012, 15:00-18:00, Salon rouge 1090 Wien, Währinger Str. 30, Institut français - Palais Glam-Callas 15:00 Welcome 15:10 Pierre-Louis Lions (Collège de France) "On Mean Field Games" 15:45 Sylvie Meleard (Ecole Polytechnique) "Stochastic modeling of Darwinian evolution" 16:20 Ivar Ekeland (Univ. Paris-Dauphine) "Modeling limited liability" 17:00 Cocktail For further details see: http://www.wpi.ac.at/event_view.php?id_activity=174 http://www.wpi.ac.at/themedata/Pauli-Symposium-MathModel-26Nov2012 ------------------------------------------------------------------------ Pre-announcement of an WPI-event next year ------------------------------------------------------------------------ Mini-Course on Model Risk ^^^^^^^^^^^^^^^^^^^^^^^^^ Speaker: Denis Talay (INRIA) http://www-sop.inria.fr/members/Denis.Talay/me.html) Date: June 18-19, 2013 The duration of the mini-course will be 8 hours in sum. 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. Abstract: The objective of these lessons is to show that model risk, particularly financial model risk, is intrinsic to stochastic modelling, and that its analysis opens new challenging mathematical and numerical questions. We will also present recent results which concern strategies which, issued from the technical analysis, do not rely on a specific mathematical model and therefore are robust w.r.t model risk. Various theories will be used, such as statistics of random processes, stochastic control, Malliavin calculus, backward stochastic differential equations, viscosity solutions of nonlinear Partial Differential equations. However the course will be self-contained ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 16 Nov '12

16 Nov '12

------------------------------------------------------------------------ University of Vienna, Faculty of Mathematics ------------------------------------------------------------------------ Th, 22.11.2012, 17:00, seminar room D 1.01 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Pietro Siorpaes (University of Vienna) http://mat.univie.ac.at/~siorpap2/index.html "Hardy Semi-martingales and L^p integrators" (Seminar on Mathematical Finance) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarWS12.html ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr, 23.11.2012, 9:15, seminar room of 'Statistics and Mathematics' 1090 Wien, Augasse 2-6, WU Wien, UZA 2, Level 4, 2H415 Andrea Riebler (niversität Zürich) http://www.biostat.uzh.ch/aboutus/people/riebler.html "Estimation and extrapolation of time trends in multivariate registry data using Bayesian age-period-cohort models" (Research seminar - Statistics and Mathematics) For further details see http://www.wu.ac.at/statmath/en/resseminar ------------------------------------------------------------------------ Pre-announcement of an WPI-event next week ------------------------------------------------------------------------ Pauli Symposium on Mathematical Modeling: new directions and applications Monday, 26.11.2012, 15:00-18:00, Salon rouge 1090 Wien, Währinger Str. 30, Institut français - Palais Glam-Callas 15:00 Welcome 15:10 Pierre-Louis Lions (Collège de France) "On Mean Field Games" 15:45 Sylvie Meleard (Ecole Polytechnique) "Stochastic modeling of Darwinian evolution" 16:20 Ivar Ekeland (Univ. Paris-Dauphine) "Modeling limited liability" 17:00 Cocktail For further details see: http://www.wpi.ac.at/event_view.php?id_activity=174 http://www.wpi.ac.at/themedata/Pauli-Symposium-MathModel-26Nov2012 ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 11 Nov '12

11 Nov '12

------------------------------------------------------------------------ Announcement of talks organised by FAM @ TU Wien ------------------------------------------------------------------------ Tu, 13.11.2012, 16:30, seminar room 107 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 7th floor, green section Piet Porkert (FAM @ TU Wien) http://www.fam.tuwien.ac.at/~porkert/ "Small time central limit theorems for semimartingales with applications" For further details (including abstracts) see http://www.fam.tuwien.ac.at/vr/ ------------------------------------------------------------------------ University of Vienna, Faculty of Mathematics ------------------------------------------------------------------------ Mo, 12.11.2012, 17:00, seminar room D 1.01 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Nicolas Perkowski (HU Berlin) http://www2.mathematik.hu-berlin.de/~perkowsk/ "Paraproducts and controlled distribution" (Seminar on Probability Theory) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarWS12_prob.html ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr, 16.11.2012, 9:15, seminar room of 'Statistics and Mathematics' 1090 Wien, Augasse 2-6, WU Wien, UZA 2, Level 4, 2H415 Wolfgang Härdle (HU Berlin) http://www.case.hu-berlin.de/members/persons/haerdle "Risk Patterns and Correlated Brain Activities. Multidimensional statistical analysis of fMRI data with application to risk patterns" (Research seminar - Statistics and Mathematics) For further details see http://www.wu.ac.at/statmath/en/resseminar ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 04 Nov '12

04 Nov '12

------------------------------------------------------------------------ Announcement of talks organised by FAM @ TU Wien ------------------------------------------------------------------------ Tu, 6.11.2012, 16:30, seminar room 107 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 7th floor, green section Carole Bernard (University of Waterloo) http://www.carole.bernard.free.fr/ "Mean-Variance Optimal Portfolios in the Presence of a Benchmark with Applications to Fraud Detection" (Lecture Series Financial and Actuarial Mathematics) For further details (including abstracts) see http://www.fam.tuwien.ac.at/vr/ ------------------------------------------------------------------------ University of Vienna, Faculty of Mathematics ------------------------------------------------------------------------ Mo, 5.11.2012, 17:00, seminar room D 1.01 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Paul Mueller (Johannes Kepler University Linz) http://shrimp.bayou.uni-linz.ac.at/Papers/publ-mueller.html "A Decomposition for Hardy Martingales" (Seminar on Probability Theory) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarWS12_prob.html ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 29 Oct '12

29 Oct '12

This week we announce only one talk: ------------------------------------------------------------------------ University of Vienna, Faculty of Mathematics ------------------------------------------------------------------------ Mo, 29.10.2012, 14:00-15:00, seminar room S1 1090 Wien, Althanstr. 12, University of Vienna Johannes Muhle-Karbe (ETH Zurich) http://www.math.ethz.ch/~jmuhleka/ "Optimal Investment and Consumption with Small Transaction Costs" (Seminar on Probability Theory) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarWS12_prob.html ------------------------------------------------------------------------

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new lecture and upcoming talks
by Sandra Trenovatz 12 Oct '12

12 Oct '12

To Whom it May Concern, this time you will first find information about the new lecture "Hedging in New Financial Markets" starting on Thursday, October 18th, and then/below you find - as usual - a few interesting talks. With best regards, Sandra ------------------------------------------------------------------------ New lecture at Vienna University of Technology ------------------------------------------------------------------------ Thursdays, starting on 18.10.2012 (planned end: 24.01.2013), 15:00 - (about) 17:00, seminar room 107, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Jenny Sexton (FAM @ TU Wien): "Hedging in New Financial Markets" Homepage of the lecture: https://tiss.tuwien.ac.at/course/courseDetails.xhtml?locale=en&courseNr=105… Abstract: In recent years a wide range of new derivatives have emerged to manage and transfer risk resulting from industries not classically active in financial markets. The course is an introduction to new markets inc: electricity, weather and carbon credits. The aim of this course is to provide an overview of the unique economic and mathematical challenges posed by new markets. This course is directed towards researchers, PhD-students, master students as well as practitioners wishing to explore recent progress in this field. German abstract: In den letzten Jahren ist eine Anzahl von Derivaten entstanden, die zum Risikomanagement und -transfer benutzt werden, das in Industrien entsteht, die klassisch nicht auf Finanzmärkten aktiv waren. Insbesondere wird eine Einführung in neue Märkte gegeben, wie etwa Elektrizität, Wetter, und CO2 Emissionen. Diese Vorlesung bietet einen Überblick über die einzigartigen Herausforderungen, die in diesen neuen Märkten entstehen. Zielpublikum sind ForscherInnen, DoktorandInnen, MasterstudententInnen, sowie PraktikerInnen, welche sich über die aktuelle Entwicklung in diesem Gebiet informieren möchten. Course texts: Rheinländer, T. & Sexton J. (2011) Hedging Derivatives. World Scientific. Benth, F.E., Benth, J.S. & Koekebakker, S. (2008) Stochastic modelling in electricity and related markets. World Scientific. - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - Overview about all courses by FAM @ TU Wien: http://www.fam.tuwien.ac.at/lehre/lva/ ------------------------------------------------------------------------ Announcement of talks organised by FAM @ TU Wien ------------------------------------------------------------------------ Tu, 16.10.2012, 16:30, lecture hall: Freihaus Hörsaal 3 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow section Irene Schreiber (LMU Munich) http://www.fm.mathematik.uni-muenchen.de/personen/phd_postdoc/schreiber/ "Risk-Minimization for Life Insurance Liabilities" (Lecture Series Financial and Actuarial Mathematics) For further details (including abstracts) see http://www.fam.tuwien.ac.at/vr/ ------------------------------------------------------------------------ Talks at University of Vienna, Faculty of Mathematics ------------------------------------------------------------------------ Mo, 15.10.2012, 17:00, seminar room D 1.01 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Christoph Temmel (Graz University of Technology) http://www.math.tugraz.at/~temmel/ "Shearer's measure and stochastic domination of Bernoulli product fields" (Seminar on Probability Theory) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarWS12_prob.html ------------------------------------------------------------------------ Th, 18.10.2012, 17:00, seminar room D 1.01 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Nicolas Perkowski (HU Berlin) http://www2.mathematik.hu-berlin.de/~perkowsk/ "The existence of dominating local martingale measures" (Seminar on Mathematical Finance) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarWS12.html ------------------------------------------------------------------------ Talks at WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr, 19.10.2012, 17:00, seminar room of 'Statistics and Mathematics' 1090 Wien, Augasse 2-6, WU Wien, UZA 2, Level 4, 2H415 Ludger Rüschendorf (University of Freiburg) http://www.stochastik.uni-freiburg.de/~rueschendorf/ "Risk bounds, worst case dependence and optimal claims and contracts" (Research seminar - Statistics and Mathematics) For further details see http://www.wu.ac.at/statmath/en/resseminar ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 08 Oct '12

08 Oct '12

Additionally to talks of this week (see below) this time I refer to regular research seminars in Vienna: - Research Seminar - Statistics and Mathematics, Institute for Statistics and Mathematics (WU Wien) http://www.wu.ac.at/statmath/resseminar" - Finance Research Seminar, Vienna Graduate School of Finance (VGSF) http://www.vgsf.ac.at/activities/seminars.htm - Finance Brown Bag Seminar, Institute for Finance, Banking and Insurance (WU Wien) jointly with the Vienna Graduate School of Finance (VGSF) http://www.wu.ac.at/finance/research/bbs - Brown Bag Seminar, Department of Finance (University of Vienna) http://finance.univie.ac.at/en/research/brown-bag-seminar/ ------------------------------------------------------------------------ Talks at University of Vienna ------------------------------------------------------------------------ Mo, 8.10.2012, 17:00, seminar room D 1.01 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Eberhard Mayerhofer (Dublin City University) http://www.eberhard-mayerhofer.com/ "Wrong Way Risk and Credit Value Adjustments (CVA)" (Seminar on Probability Theory) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarWS12_prob.html ------------------------------------------------------------------------ Th, 11.10.2012, 17:00, seminar room D 1.01 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Martin Huesmann (University of Bonn) "Optimal transport between random measures" (Seminar on Mathematical Finance) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarWS12.html ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 04 Oct '12

04 Oct '12

Enclosed you can find a reminder for the PRisMa Day 2012 (tomorrow) as well as an announcement of a talk at University of Vienan next week. Best regards, Sandra Trenovatz ------------------------------------------------------------------------ Event organised by FAM @ TU Wien ------------------------------------------------------------------------ PRisMa 2012: One-Day Workshop on Portfolio Risk Management Friday, October 5th, 2012, Vienna University of Technology http://www.fam.tuwien.ac.at/prisma2012/ Participation and Registration: Participation is free, and there is no official registration - nevertheless for administrative reasons we would be happy if you write a short email to our secretary (fam(a)fam.tuwien.ac.at) with your name and university or company. ------------------------------------------------------------------------ Talk at University of Vienna ------------------------------------------------------------------------ Th, 11.10.2012, 17:00, seminar room D 1.01 1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Martin Huesmann (University of Bonn) "Optimal transport between random measures" (Seminar on Mathematical Finance) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarWS12.html ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 17 Sep '12

17 Sep '12

------------------------------------------------------------------------ Talks at University of Vienna ------------------------------------------------------------------------ Tu, 18.09.2012, 15:00, seminar room D 1.01 1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Lavinia Ostafe (University of Vienna) "Asymptotic Arbitrage under Transaction Costs" (Public PhD Thesis Defense) ------------------------------------------------------------------------ Tu, 18.09.2012, 17:00, seminar room C 2.09 1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor Luciano Campi (University Paris 13) https://sites.google.com/site/lucianocampi1/ "Explicit constructions of dynamic Brownian and Bessel bridges" ------------------------------------------------------------------------ We, 19.09.2012, 10:30, seminar room C 2.09 1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor Bruno Bouchard (Université Paris-Dauphine) http://www.ceremade.dauphine.fr/~bouchard/bouchard.htm "Stochastic Target Games and applications in finance" ------------------------------------------------------------------------ We, 19.09.2012, 15:00, seminar room D 1.01 1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Johannes Temme (University of Vienna) http://www.mat.univie.ac.at/~jtemme/ "Aspects of Taking and Avoiding Risk" (Public PhD Thesis Defense) ------------------------------------------------------------------------ Event at Wolfgang Pauli Institute ------------------------------------------------------------------------ Three-Day-Conference +------------------------------------------- | "Financial Engineering for Energy and Commodity | Risk Management and hedging of Commodity Derivatives" +---------------------------------------------------------- September 17-19, 2012 (Monday to Wednesday), registration starting at: 9:00, talks starting at: 10:00 Wolfgang Pauli Institut / University of Vienna, 1090 Wien, Nordbergstrasse 15, UZA 2, Lecture Hall / Hörsaal 3 (HS3) Program & Abstracts: NEW! ^^^^^^^^^^^^^^^^^^^^ http://www.math.nyu.edu/~laurence/Wpi/program-conference-2012.pdf Conference web site: ^^^^^^^^^^^^^^^^^^^^ http://www.wpi.ac.at/theme_view.php?id_theme=86 and/or "Conference II" on: http://www.math.nyu.edu/~laurence/Wpi/vienna-Energy-bis.htm ------------------------------------------------------------------------ Event at Johannes Kepler University Linz ------------------------------------------------------------------------ 1st Austrian Stochastics Days ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ September 24-25 (Monday to Tuesday), Johannes Kepler University Linz http://stochastics-mathematics.uibk.ac.at/stochasticsdays/ General information: The Austrian Stochastics Days are intended to provide scientists and young researchers working in Stochastics an opportunity to meet each other and present there results. Organizing committee: Evelyn Buckwar (Universität Linz) Christel Geiss (Universität Innsbruck) Erika Hausenblas (Montanuniversitaet Leoben) Registration (deadline: Sept. 13): To register, send an e-mail to <austrian.stochasticdays(a)gmail.com>. Talk (deadline: Sept. 13): If you would like to give a talk please send an abstract in Latex to <austrian.stochasticdays(a)gmail.com>. Accommodation (deadline: Sept. 3): Regarding accommodation, please make your own reservation at the Sommerhaus http://www.sommerhaus-hotel.at/en/ ------------------------------------------------------------------------ Event organised by FAM @ TU Wien ------------------------------------------------------------------------ PRisMa 2012: One-Day Workshop on Portfolio Risk Management ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ Friday, October 5th, 2012, Vienna University of Technology http://www.fam.tuwien.ac.at/prisma2012/ Organized by: PRisMa Lab, http://www.prismalab.at/ Prof. Dr. Uwe Schmock (FAM @ TU Wien) Sponsored by: Christian Doppler Research Association Bank Austria Austrian Federal Financing Agency (ÖBFA) COR&FJA Österreichische Kontrollbank (OeKB) Participation and Registration: Participation is free, and there is no official registration - nevertheless for administrative reasons we would be happy if you write a short email to our secretary (fam(a)fam.tuwien.ac.at) with your name and university or company. CPD: For actuaries, this workshop counts up to 5.5 points for their continuing professional development. For a corresponding certificate, please register in advance for the morning and/or afternoon part of the workshop by sending an email with your name and postal address to the workshop secretary (see below) and sign up when you actually attend the workshop. ------------------------------------------------------------------------

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Upcoming events in Vienna and Linz
by Sandra Trenovatz 06 Sep '12

06 Sep '12

------------------------------------------------------------------------ Event organised by FAM @ TU Wien ------------------------------------------------------------------------ PRisMa 2012: One-Day Workshop on Portfolio Risk Management ========================================================== Friday, October 5th, 2012, Vienna University of Technology http://www.fam.tuwien.ac.at/prisma2012/ Organized by: PRisMa Lab, http://www.prismalab.at/ Prof. Dr. Uwe Schmock (FAM @ TU Wien) Sponsored by: Christian Doppler Research Association Bank Austria Austrian Federal Financing Agency (ÖBFA) COR&FJA Österreichische Kontrollbank (OeKB) Participation and Registration: Participation is free, and there is no official registration - nevertheless for administrative reasons we would be happy if you write a short email to our secretary (fam(a)fam.tuwien.ac.at) with your name and university or company. CPD: For actuaries, this workshop counts up to 5.5 points for their continuing professional development. For a corresponding certificate, please register in advance for the morning and/or afternoon part of the workshop by sending an email with your name and postal address to the workshop secretary (see below) and sign up when you actually attend the workshop. ------------------------------------------------------------------------ Event at Wolfgang Pauli Institute ------------------------------------------------------------------------ Three-Day-Conference +------------------------------------------- | "Financial Engineering for Energy and Commodity | Risk Management and hedging of Commodity Derivatives" +---------------------------------------------------------- September 17-19, 2012 (Monday to Wednesday), Wolfgang Pauli Institut / University of Vienna: 1090 Wien, Nordbergstrasse 15 Invited Talks: ^^^^^^^^^^^^^^ René Aid, Electricité de France Ole Barndorff-Nielsen, Aarhus University Michael Coulon, Princeton University Matt Davidson, Kyloe Energy & University of Western Ontario Emanuel Gobet, Ecole Polytechnique, Paris Ruediger Kiesel, Lehrstuhl, Duisburg Kevi Kindall, CononoPhilipps Delphine Lautier, Paris-Dauphine Brenda-Lopez Cabrera, Humboldt University, Berlin Esteban Tabak, Courant Institute, New York Peter Tankov,U. de Paris 7, Paris Xavier Warin, Electricite de France, Paris Registration: ^^^^^^^^^^^^^ Registration is free but mandatory up to 2 weeks prior to the event. To register, send a request to: Peter Laurence <laurenceWPI(a)gmail.com> (Please register individually and not in groups.) Conference web site: ^^^^^^^^^^^^^^^^^^^^ http://www.wpi.ac.at/theme_view.php?id_theme=86 and/or "Conference II" on: http://www.math.nyu.edu/~laurence/Wpi/vienna-Energy-bis.htm ------------------------------------------------------------------------ Event at Johannes Kepler University Linz ------------------------------------------------------------------------ 1st Austrian Stochastics Days ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ September 24-25 (Monday to Tuesday), Johannes Kepler University Linz http://stochastics-mathematics.uibk.ac.at/stochasticsdays/ General information: The Austrian Stochastics Days are intended to provide scientists and young researchers working in Stochastics an opportunity to meet each other and present there results. Organizing committee: Evelyn Buckwar (Universität Linz) Christel Geiss (Universität Innsbruck) Erika Hausenblas (Montanuniversitaet Leoben) Registration (deadline: Sept. 13): To register, send an e-mail to <austrian.stochasticdays(a)gmail.com>. Talk (deadline: Sept. 13): If you would like to give a talk please send an abstract in Latex to <austrian.stochasticdays(a)gmail.com>. Accommodation (deadline: Sept. 3): Regarding accommodation, please make your own reservation at the Sommerhaus http://www.sommerhaus-hotel.at/en/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 29 Jun '12

29 Jun '12

------------------------------------------------------------------------ Talks at University of Vienna ------------------------------------------------------------------------ Tu, 03.07.2012, 15:00, seminar room C 2.09 1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor Bezirgen Veliyev (University of Vienna) "Stochastic Calculus, Arbitrage Theory and Optimal Investment with Transaction Cost" (public defense of doctor's thesis) For further details see http://plone.mat.univie.ac.at/events/2012/defensio-bezirgen.pdf ------------------------------------------------------------------------ We, 04.07.2012, 16:00-17:00, seminar room C 2.07 1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor Johannes Muhle-Karbe (ETH Zurich) http://www.math.ethz.ch/~jmuhleka/ "Optimal Investment with Small Transaction Costs" For further details see http://plone.mat.univie.ac.at/events/2012/optimal-investment-with-small-tra… ------------------------------------------------------------------------

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Start Prize 2012, Talk, Upcoming Events
by Sandra Trenovatz 23 Jun '12

23 Jun '12

To Whom it May Concern: this week I congratulate our neighbour in Freihaus, Dr. Franz Schuster from the Department for Discrete Mathematics and Geometry, who was awarded a START Prize 2012 of the Austrian Science Fund (FWF): http://www.fwf.ac.at/de/public_relations/press/pa20120612.html . He will give a talk at Schachermayer's Probability-Seminar - see below. Furhermore I send you some selected events for the next months. As in the next weeks I most probably won't send weekly emails I wish you a relaxed summer :-) Best regards, Sandra (FAM-office) -------------------------------------------------------------------- Talk at University of Vienna -------------------------------------------------------------------- Mo, 25.06.2012, 17:00, seminar room D 1.07 1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Franz Schuster (TU Vienna) http://www.dmg.tuwien.ac.at/schuster/ "Affine Analytic Inequalities" (Seminar on Probability Theory) For abstract see http://www.mat.univie.ac.at/~finance_hp/seminarSS12_prob.html -------------------------------------------------------------------- Upcoming Events -------------------------------------------------------------------- 6th European Congress of Mathematics, July 2-7, Krakow, Poland; http://6ecm.ptm.org.pl/ EPSRC Symposium Workshop - Optimal stopping, optimal control and finance, July 16-20, 2012, University of Warwick, GB; http://www2.warwick.ac.uk/fac/sci/maths/research/events/2011-2012/symposium… 25th International Summer School of the Swiss Association of Actuaries, August 13-17, 2012, University of Lausanne, Switzerland; http://www.saa-iss.ch/ 1st European Actuarial Journal (EAJ) Conference, September 6-7, 2012, University of Lausanne, Switzerland; http://www.eaj2012.org/ International Summer Academy 2012 on Advanced Stochastic Methods to Model Risk, September 9-22, 2012, Ulm University, Ulm, Germany; http://www.uni-ulm.de/mawi/summer-academy-2012/ ETH Risk Day 2012 - Mini-Conference on Risk Management in Finance and Insurance, September 14, 2012, ETH Zurich, Switzerland; http://www.ccfz.ch/events/forthcoming-events/ccfz14092012.html Second International Conference on Energy and Commodities, September 17-19, 2012, WPI Vienna, Austria; http://www.math.nyu.edu/~laurence/Wpi/vienna-Energy5N-bis.htm International Summer Academy 2012 on Advanced Stochastic Methods to Model Risk, September 9-22, 2012, Ulm University, Germany; http://www.uni-ulm.de/mawi/summer-academy-2012/ International Conference "Stochastic Optimization and Optimal Stopping", September 24–28, 2012, Steklov Mathematical Institute, Moscow, Russia; http://soandos.mi.ras.ru/ Conference in Honour of Professor Freddy Delbaen - Perspectives in Analysis and Probability, September 24-28, 2012, ETH Zurich, Switzerland; http://www.fim.math.ethz.ch/conferences/2012/Conference_Delbaen/ 4th Berlin Workshop on Mathematical Finance for Young Researchers, October 11-13, 2012, HU Berlin, Germany; http://www.qfl-berlin.de/workshop2012 --------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 18 Jun '12

18 Jun '12

------------------------------------------------------------------------ This time we announce a talk of the Mathematics Finance group at UniVie: ------------------------------------------------------------------------ Mo, 18.06.2012, 17:00, seminar room D 1.07 1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Mathias Beiglböck (University of Vienna) http://www.mat.univie.ac.at/~mathias/ "Concentration of Gaussian Measures" (Seminar on Probability Theory) Abstract: Based on simple properties of the Ornstein-Uhlenbeck semigroup we derive Poincare and log-Sobolev inequalities for the Gaussian measure. As a corollary we obtain the Gaussian concentration property. For further details see http://www.mat.univie.ac.at/~finance_hp/seminarSS12_prob.html ------------------------------------------------------------------------ ... as well as a Two-Day-Event of the WPI: ------------------------------------------------------------------------ Two-Day-Event within the "Special Year on Financial Engineering for Energy and Commodity Risk Management and hedging of Commodity Derivatives" http://www.math.nyu.edu/~laurence/Wpi/vienna-Energy-bis.htm see: Mini-Courses, Part III Friday, June 22 and Saturday, June 23, 2012, Wolfgang Pauli Institut / University of Vienna: 1090 Wien, Nordbergstrasse 15 Prof. Peter Forsyth (University of Waterloo) http://www.cs.uwaterloo.ca/~paforsyt/ "Mathematical Models for the commodity markets (Numerical methods for Hamilton-Jacobi equations in mathematical finance)" Registration: ^^^^^^^^^^^^^ Registration is free but mandatory. To register please write an email to Peter Laurence <laurenceWPI(a)gmail.com> (Please register individually and not in groups.) As there might be only a few seats left, please register immediately. For those who registered earlier but cannot participate: please inform the organiser Peter Laurence <laurenceWPI(a)gmail.com>. ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 11 Jun '12

11 Jun '12

------------------------------------------------------------------------ Announcement of talks organised by FAM @ TU Wien ------------------------------------------------------------------------ Tu, 12.06.2012, 16:30, seminar room 107, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Peter Eichelsbacher (Ruhr-Universität Bochum) http://www.ruhr-uni-bochum.de/ffm/Lehrstuehle/stochastik/eichelsbacher.html "Die Steinsche Methode und Anwendungen" - part 2 If necessary the talk may be given in English language. Part 1 of this talk was given on Tuesday, 08.05.2012. 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 '12

27 May '12

------------------------------------------------------------------------ Announcement of talks organised by FAM @ TU Wien ------------------------------------------------------------------------ Tu, 29.05.2012, 16:30, seminar room 107, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Stefano De Marco (TU Berlin) http://page.math.tu-berlin.de/~demarco/ "Large deviations for diffusions and local volatilities" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ Furthermore we announce talks at University of Vienna ------------------------------------------------------------------------ Th, 31.05.2012, 16:00, seminar room D 1.03 1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Martin Keller-Ressel (TU Berlin) http://page.math.tu-berlin.de/~mkeller/ "Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models" (Seminar on Mathematical Finance) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarSS12.html ------------------------------------------------------------------------ Th, 31.05.2012, 17:00, seminar room D 1.03 1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Alex Hening (University of California, Berkeley) "Killed Brownian Motion with a Prescribed Lifetime Distribution and Models of Default" (Seminar on Mathematical Finance) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarSS12.html ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 21 May '12

21 May '12

------------------------------------------------------------------------ This time we announce two talks at University of Vienna ------------------------------------------------------------------------ Mo, 21.05.2012, 17:00, seminar room D 1.07 1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Onur Gün (WIAS Berlin) http://www.wias-berlin.de/~guen/?lang=1 "Multilevel trap models and aging for spin glasses" (Seminar on Probability Theory) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarSS12_prob.html ------------------------------------------------------------------------ Th, 24.05.2012, 17:00, seminar room D 1.03 1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Felix Ohswald (University of Vienna) "Shadow prices in the problem of optimal investment with transaction costs " (Seminar on Mathematical Finance) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarSS12.html ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 14 May '12

14 May '12

------------------------------------------------------------------------ This time we announce talks at University of Vienna ------------------------------------------------------------------------ Mo, 14.05.2012, 17:00, seminar room D 1.07 1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Jiří Černý (University of Vienna) http://www.mat.univie.ac.at/~cerny/ "Logarithmic Sobolev inequalities" (Seminar on Probability Theory) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarSS12_prob.html ------------------------------------------------------------------------ We, 16.05.2012, 16:15-17:00, Olga Taussky-Todd Raum (C 2.09) 1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor Ivar Ekeland (Université Paris-Dauphine) http://www.ceremade.dauphine.fr/~ekeland/ "A hard inverse function theorem" (Mathematisches Kolloquium) Abstract: Classically, inverse function theorems are in finite-dimensional spaces, or in Banach spaces. It is well known that this framework is insufficient in many important cases, for instance when one deals with PDEs instead of ODEs. In such cases, one needs an inverse function theorem in C^/infty, which is a Fréchet space. Such theorems are called "hard" inverse function theorems; the first one is due to John Nash, and the method was clarified and extended by Jurgen Moser. There have been many variants since then, but all rely on the Newton approximation scheme, where the quadratic convergence overcomes the loss of derivatives. In this talk, I will review the general framework and describe a new result due to Éric Séré, Jacques Fejoz and myself, which does not use the Newton method. 15:45 coffee & cake, Common Room (C 2.06) ------------------------------------------------------------------------ Furthermore we pre-announce of an event in September ------------------------------------------------------------------------ On September 17-19-th, WPI Vienna will host the second International conference on Energy and Commodities, The registration is free but mandatory, up to 2 weeks prior to the event. Confirmed speakers, so far, include: Rene' Aid, Electricite' de France Ole Barndorff-Nielsen, Aarhus University Matt Davidson, Kyloe Energy Emanuel Gobet, Ecole Polytechnique, Paris Ruediger Kiesel, Lehrstuhl, Duisburg Delphine Lautier, Paris-Dauphine Brenda-Lopez Cabrera, Humboldt University, Berlin Peter Tankov, Ecole Polytechnique, Paris Xavier Warin, Electricite de France, Paris The organizers are: Rene Aid, Fred Benth, Valery Kholodnyi, Peter Laurence, Almut Veraart The conference is co-funded by WPI, Electricite de France and Verbund Registration, via email to: laurenceWPI(a)gmail.com Updates will be posted at http://www.math.nyu.edu/~laurence/Wpi/vienna-Energy-bis.htm (--> Conference II) The organizers invite the submission of CONTRIBUTED TALKS. ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 07 May '12

07 May '12

------------------------------------------------------------------------ Announcement of talks organised by FAM @ TU Wien ------------------------------------------------------------------------ Tu, 08.05.2012, 16:30, seminar room 107, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Peter Eichelsbacher (Ruhr-Universität Bochum) http://www.ruhr-uni-bochum.de/ffm/Lehrstuehle/stochastik/eichelsbacher.html "Die Steinsche Methode und Anwendungen" - part 1 If necessary the talk may be given in English language. Part 2 of this talk will be given on Tu, 12.06.2012. For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ Furthermore we announce talks at University of Vienna ------------------------------------------------------------------------ Fr, 11.05.2012, 11:15-12:15 , seminar room D 1.01 (Attention: Different time and different location) 1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Markus Wunsch (ETH Zurich) http://www.math.ethz.ch/u/wunschm "Stable models for the captial distribution curve" (Seminar on Mathematical Finance) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarSS12.html ------------------------------------------------------------------------ Furthermore we announce a talks of other departments @ TU Wien ------------------------------------------------------------------------ Tu, 08.05.2012, 17:00, HS 14A Günther Feuerstein 1040 Wien, Karlsplatz 13, Hauptgebäude der TU Wien, Stiege III, 3. OG Dr. Ulrich Schuh, (EcoAustria - Institut für Wirtschaftsforschung) http://www.ecoaustria.at/index.php/ueberuns/team/9-ulrichschuh "Auswirkungen der Reform des österreichischen Abfertigungsrechts" (Public Lecture Series Economic Theory and Policy) For further details (including abstracts) see http://www.econ.tuwien.ac.at/events/ HS 14A Günther Feuerstein (map): http://www.wegweiser.ac.at/tuwien/hoersaal/H14A.html ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 30 Apr '12

30 Apr '12

------------------------------------------------------------------------ This time we announce 2 talks at University of Vienna ------------------------------------------------------------------------ Mo, 30.04.2012, 17:00, seminar room D 1.07 1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Josef Teichmann (ETH Zurich) http://www.math.ethz.ch/~jteichma/ "Some general ideas about small time asymptotics for affine processes " (Seminar on Probability Theory) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarSS12_prob.html ------------------------------------------------------------------------ Th, 03.05.2012, 17:00, seminar room D 1.03 1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Pietro Siorpaes (University of Vienna) "On the definition of the stochastic integral and a Theorem by Marc Yor" (Seminar on Mathematical Finance) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarSS12.html ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 24 Apr '12

24 Apr '12

------------------------------------------------------------------------ Weiterbildungsveranstaltungen für Aktuare (FAM @ TU Wien) ------------------------------------------------------------------------ Ab Freitag, 27. April 2012 (3 Termine, 20 CPD-Punkte) "Sozialversicherungsrecht" http://www.fam.tuwien.ac.at/events/cpd/20120427.php?&print=true Weitere Veranstaltungen bzw. Info siehe: CPD-Veranstaltungen: http://www.fam.tuwien.ac.at/events/cpd/ Aktuarsausbildung: http://www.fam.tuwien.ac.at/lehre/aktuar/ ------------------------------------------------------------------------ Talks at University of Vienna ------------------------------------------------------------------------ Mo, 23.04.2012, 17:00, seminar room D 1.07 1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Jiří Černý (University of Vienna) http://www.mat.univie.ac.at/~cerny/ "Logarithmic Sobolev inequalities" (Seminar on Probability Theory) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarSS12_prob.html ------------------------------------------------------------------------ Th, 26.04.2012, 17:00, seminar room D 1.03 1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Thorsten Schmidt (University of Leipzig) http://www.math.uni-leipzig.de/~tschmidt/ "Dynamic Term Structure Models with Ratings" (Seminar on Mathematical Finance) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarSS12.html ------------------------------------------------------------------------ Talks of other departments @ TU Wien ------------------------------------------------------------------------ Tu, 24.04.2012, 17:00, HS 14A Günther Feuerstein 1040 Wien, Karlsplatz 13, Hauptgebäude der TU Wien, Stiege III, 3. OG Monika Gehrig-Merz, (Univ. Wien und CEPR) http://homepage.univie.ac.at/monika.merz/ "Interactions Between Spouses´ Time Allocation" (Public Lecture Series Economic Theory and Policy) For further details (including abstracts) see http://www.econ.tuwien.ac.at/events/ HS 14A Günther Feuerstein (map): http://www.wegweiser.ac.at/tuwien/hoersaal/H14A.html ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 13 Apr '12

13 Apr '12

------------------------------------------------------------------------ This time we announce two talks at University of Vienna ------------------------------------------------------------------------ Mo, 16.04.2012, 17:00, seminar room D 1.07 1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Jiří Černý (University of Vienna) http://www.mat.univie.ac.at/~cerny/ "Isoperimetric and Poincaré inequalities" (Seminar on Probability Theory) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarSS12_prob.html ------------------------------------------------------------------------ Th, 19.04.2012, 17:00, seminar room D 1.03 1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Junjian Yang (University of Vienna) "Arbitrage with fractional Brownian motion" (Seminar on Mathematical Finance) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarSS12.html ------------------------------------------------------------------------

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recruitment talks for the open professorship @ fam
by Sandra Trenovatz 22 Mar '12

22 Mar '12

------------------------------------------------------------------------ Recruitment talks for the open professorship at FAM ------------------------------------------------------------------------ This Friday, 23rd of March, the recruitment talks for the open professorship at FAM start with 4 talks. The series of talks wil be continued on Monday, 26th of March: Fr, 23.03.2012: ^^^^^^^^^^^^^^^^ 8:30, Seminar Room 107 Stefan Gerhold (FAM @ TU Wien) "Portfolio Optimization under Transaction Costs" 10:30, Seminar Room 107 Vicky Fasen (ETH Zürich) "Limit theory for continuous-time multivariate ARMA models with applications in econometrics" 14:00, Seminar Room 107 Thorsten Rheinländer (London School of Economics) "Self-dual stochastic processes and semi-static hedging for realistic price processes" 16:00, Seminar Room 107 Thorsten Schmidt (Chemnitz University of Technology) "Kreditrisiken und deren Modellierung" Mo, 26.03.2012: ^^^^^^^^^^^^^^^^ 9:00, Seminarraum 101B ("Freihaus", green section, 3rd floor) Stefan Weber (Leibniz Universität Hannover) "Liquidity-Adjusted Risk Measures" 13:00, Seminarraum 101A ("Freihaus", green section, 3rd floor) Miklos Rasonyi (University of Edinburgh) "Optimal investment: from risk-averse to behavioural agents For all details including abstracts see http://www.fam.tuwien.ac.at/events/ or for a printversion see http://www.fam.tuwien.ac.at/events/abstracts/2012_Berufungsvortraege.pdf ------------------------------------------------------------------------

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