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reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ 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 ------------------------------------------------------------------------

12 years, 1 month

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reminder for upcoming seminars and talks (this friday & next week)

by Sandra Trenovatz

======================================================================== 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 ------------------------------------------------------------------------

12 years, 2 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ 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/ ---------------------------------------------------------------------------

12 years, 2 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ 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. ------------------------------------------------------------------------

12 years, 2 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ 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 ------------------------------------------------------------------------

12 years, 3 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ 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 ------------------------------------------------------------------------

12 years, 3 months

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reminder for upcoming events

by Sandra Trenovatz

======================================================================== 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 ------------------------------------------------------------------------

12 years, 4 months

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announcement for upcoming events

by Sandra Trenovatz

------------------------------------------------------------------------ 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 ------------------------------------------------------------------------

12 years, 4 months

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reminder for upcoming seminars, talks and conferences

by Sandra Trenovatz

------------------------------------------------------------------------ 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) ------------------------------------------------------------------------

12 years, 4 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ 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 ------------------------------------------------------------------------

12 years, 5 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ 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/ ------------------------------------------------------------------------

12 years, 5 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ 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 ------------------------------------------------------------------------

12 years, 6 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ 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 ------------------------------------------------------------------------

12 years, 7 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ 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 ------------------------------------------------------------------------

12 years, 7 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ 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 ------------------------------------------------------------------------

12 years, 7 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ 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 ------------------------------------------------------------------------

12 years, 7 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

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 ------------------------------------------------------------------------

12 years, 8 months

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new lecture and upcoming talks

by Sandra Trenovatz

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 ------------------------------------------------------------------------

12 years, 8 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

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 ------------------------------------------------------------------------

12 years, 8 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

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 ------------------------------------------------------------------------

12 years, 8 months

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ 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. ------------------------------------------------------------------------

12 years, 9 months

1
0

Upcoming events in Vienna and Linz

by 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/ 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/ ------------------------------------------------------------------------

12 years, 9 months

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ 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… ------------------------------------------------------------------------

12 years, 12 months

1
0

Start Prize 2012, Talk, Upcoming Events

by Sandra Trenovatz

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 --------------------------------------------------------------------

13 years

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ 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>. ------------------------------------------------------------------------

13 years

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ 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/ ------------------------------------------------------------------------

13 years

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ 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 ------------------------------------------------------------------------

13 years, 1 month

1
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reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ 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 ------------------------------------------------------------------------

13 years, 1 month

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ 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. ------------------------------------------------------------------------

13 years, 1 month

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ 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 ------------------------------------------------------------------------

13 years, 1 month

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ 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 ------------------------------------------------------------------------

13 years, 1 month

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ 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 ------------------------------------------------------------------------

13 years, 2 months

1
3

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ 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 ------------------------------------------------------------------------

13 years, 2 months

1
0

recruitment talks for the open professorship @ fam

by Sandra Trenovatz

------------------------------------------------------------------------ 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 ------------------------------------------------------------------------

13 years, 3 months

1
1

reminder for upcoming seminars and talks

by Sandra Trenovatz

----------------------------------------------------------------------- This time we announce a talk at University of Vienna ----------------------------------------------------------------------- Do, 15.03.2012, 17:00, seminar room D 103, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Johannes Ruf (University of Oxford) http://www.oxford-man.ox.ac.uk/~jruf/ "Föllmer's measure, Novikov's condition and options on exploding exchange rates" (Seminar on Mathematical Finance) For further details see: http://www.mat.univie.ac.at/~finance_hp/seminarSS12.html -----------------------------------------------------------------------

13 years, 3 months

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

As this week there is no talk at FAM and as far as I know no talk at UniVie, I announce future events: - recruitment talks for the open professorship at FAM (March 23/26) - two-day-event of the WPI (June 22/23). ----------------------------------------------------------------------- Recruitment talks at FAM ----------------------------------------------------------------------- Fr, 23.03.2012 and Mo, 26.03.2012 Stefan Gerhold (FAM @ TU Wien) Vicky Fasen (ETH Zürich) Thorsten Rheinländer (London School of Economics) Thorsten Schmidt (Chemnitz University of Technology) Stefan Weber (Leibniz Universität Hannover) Miklos Rasonyi (University of Edinburgh) For all details including abstracts see http://www.fam.tuwien.ac.at/events/ ----------------------------------------------------------------------- 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.) -----------------------------------------------------------------------

13 years, 3 months

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

----------------------------------------------------------------------- Announcement of talks/events organised by FAM @ TU Wien ----------------------------------------------------------------------- Workshop "Praxis der Finanz- und Versicherungsmathematik 2012" Technische Universität Wien, 1. und 2. März Bitte beachten Sie, dass eine Anmeldung erforderlich ist! http://www.fam.tuwien.ac.at/events/praxisFVM2012/ ----------------------------------------------------------------------- Furthermore we announce talks at University of Vienna ----------------------------------------------------------------------- Sessions of Research Talks of members of the Mathematical Finance Group at University of Vienna Mo., 27.02.2012 - We, 29.02.2012, seminar room D107, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Monday, 27.02.2012: 11:00-12:00: Junjian Yang: "A high-order weak approximation scheme for SPDEs with applications" 14:00-15:00: Fernando Cordero: "Arbitrage opportunities for binary markets under transaction costs" Tuesday, 28.02.2012: 11:00-12:00: Johannes Morgenbesser: "Volatility smile & rational base number systems" 13:15-14:15: Pietro Siorpaes: "t.b.a." Wednesday, 29.02.2012: 11:00-12:00: Christa Cuchiero: "t.b.a." 14:00-15:00: Bezirgen Veliyev: "t.b.a." 15:00-16:00: Christoph Czichowsky: "Constructing the log optimal portfolio for a geometric Ornstein-Uhlenbeck process under proportional transaction costs with the shadow price" Hopefully the missing titles of talks will be announced soon on: http://plone.mat.univie.ac.at/events/2012/session-of-research-talks/view Mathematical Finance Group at University of Vienna: http://plone.mat.univie.ac.at/research/groups/mathematical-finance -----------------------------------------------------------------------

13 years, 4 months

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Praxistage, 1. und 2. März 2012, und Lehrveranstaltungen von FAM

by FAM Office (Sandra Trenovatz)

Sehr geehrte Damen und Herren, ich darf Sie auf unseren 2-tägigen Workshop aufmersam machen: Praxis der Finanz- und Versicherungsmathematik 2012, Do, 1. und Fr., 2. März 2012, TU Wien, Anmeldung erforderlich - siehe Info unter: http://www.fam.tuwien.ac.at/events/praxisFVM2012/ Weiters sende ich anbei eine Auswahl an Lehrveranstaltungen der Forschungsgruppe Finanz- und Versicherungsmathematik (FAM @ TU Wien). Herzliche Grüße, Sandra Trenovatz (FAM-office, +43-1-58801-10511, fam(a)fam.tuwien.ac.at) ---------------------------------------------------------------------- Auswahl an Lehrveranstaltungen im Sommersemester 2012, Forschungsgruppe Finanz- und Versicherungsmathematik (FAM @ TU Wien) ---------------------------------------------------------------------- Findet nur alle 2 Jahre statt, heuer am 1. und 2. März geblockt (für zukünftige Aktuare notwendig bzw. von Vorteil, beinhaltet das "Berufsständische Seminar"): AKFVM Praxis der Finanz- und Versicherungsmathematik http://tuwis.tuwien.ac.at/lva/105159 Diese Vorlesung ist gleichzeitig der oben genannte Workshop: http://www.fam.tuwien.ac.at/events/praxisFVM2012/ Erstmalig (findet frühestens wieder in 2 Jahren statt): AKFVM Topics in Quantitative Asset Management http://tuwis.tuwien.ac.at/lva/105633 Geblockte bzw. Abends angesetzte Lehrveranstaltungen (für zukünftige Aktuare notwendig bzw. von Vorteil): Buchhaltung und Bilanzierung im Finanzwesen http://tuwis.tuwien.ac.at/lva/105105 AKFVM Internationale Rechnungslegung http://tuwis.tuwien.ac.at/lva/105145 AKFVM Sozialversicherungsrecht http://tuwis.tuwien.ac.at/lva/105152 Höhere Lebensversicherungsmathematik http://tuwis.tuwien.ac.at/lva/105046 AKFVM Finanzmärkte und Kapitalanlage http://tuwis.tuwien.ac.at/lva/105119 (Pflichtfach im neuen Masterstudienplan ab Okt. 2012) Weitere (bzw. alle) Lehrveranstaltungen der Forschungsgruppe Finanz- und Versicherungsmathematik: http://www.fam.tuwien.ac.at/lehre/lva/ ----------------------------------------------------------------------

13 years, 4 months

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reminder for upcoming seminars and talks - talk tomorrow

by Sandra Trenovatz

----------------------------------------------------------------------- Sorry for sending a second mail this week, but tomorrow's talk at University of Vienna was sent to me only today. Best regards, Sandra ----------------------------------------------------------------------- Mo, 07.02.2012, 15:00-17:00, seminar room C 209, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien David Hobson (University of Warwick) http://www2.warwick.ac.uk/fac/sci/statistics/staff/academic-research/hobson "Skorokhod embeddings, the Azema-Yor and Perkins embeddings, and model-independend bounds for the prices of Variance Swaps" Abstract: The Skorokhod embedding problem (SEP) for Brownian motion W is, given a centred probability measure \mu, to find a stopping time \tau such that the stopped process W_\tau has law \mu. Azema and Yor and later Perkins gave explict solutions to the SEP with particluar optimality properties. The robust pricing problem, is given the prices of vanilla options but under no further assumptions on the model, to give model independent prices and hedges for co-maturing exotic options. In this talk we discuss the link between these two problems and show how the Azema-Yor and Perkins embeddings can be used to give bounds on the prices of barrier and lookback options, and also how the Perkins embedding leads to bounds on the prices of discretely monitored variance swaps. ----------------------------------------------------------------------

13 years, 4 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

----------------------------------------------------------------------- Announcement of talks/events organised by FAM @ TU Wien ----------------------------------------------------------------------- Mo, 06.02.2012, 15:00, seminar room 107 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Mykhaylo Shkolnikov (MSRI, Berkeley, USA) http://math.stanford.edu/~mshkolni/ "On diffusions interacting through their ranks" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ -----------------------------------------------------------------------

13 years, 4 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

----------------------------------------------------------------------- This time we announce a talk at University of Vienna ----------------------------------------------------------------------- Th, 02.02.2012, 17:00, seminar room C 209, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Johannes Muhle-Karbe (ETH Zurich) http://www.math.ethz.ch/~jmuhleka/ "Portfolio choice with small transaction costs and binding leverage constraints."* (Seminar on Mathematical Finance) For abstract see: http://www.mat.univie.ac.at/~finance_hp/seminarWS11_prob.html -----------------------------------------------------------------------

13 years, 4 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ This time we announce a two-days event and talks at University of Vienna ------------------------------------------------------------------------ Mo/Tu, 16.-17.01.2012, 10:00-12:30 & 14:00-16:00, C714, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Ernst Eberlein (University of Freiburg) http://www.stochastik.uni-freiburg.de/~eberlein/ "Fourier based valuation methods in mathematical finance" Fred E. Benth (CMA, University of Oslo) http://folk.uio.no/fredb/ "Modelling and pricing in energy markets using jump processes" Mini-course on "Fourier methods in mathematical finance with applications to Energy and Commodity markets" Organized by WPI,P. Laurence, F. Benth, V. Kholodny For further details (including abstracts) see http://www.wpi.ac.at/event_view.php?id_activity=146 ------------------------------------------------------------------------ Mo, 16.01.2012, 17:00, seminar room D101, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien H. Mete Soner (ETH-Zürich) http://www.math.ethz.ch/~hmsoner/ "Merton problem with small transaction costs" (Wahrscheinlichkeitsseminar) For further details (including abstracts) see www.mat.univie.ac.at/~finance_hp/seminarWS11.html ------------------------------------------------------------------------ We, 18.01.2012, 16:15-17:00, Olga Taussky-Todd Raum (C 209), UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien H. Mete Soner (ETH-Zürich) http://www.math.ethz.ch/~hmsoner/ "Price and Risk" (Mathematisches Kolloquium) Abstract: Everyday all financial institutions price diverse financial instruments and also evaluate the risk associated with their very complex portfolios. The reasons for pricing are clear and pricing is very closely related to the risk associated with the instrument considered.However, assesment of risk has several other and probably more important aspects than pricing.Firstly, there are regulatory constraints and secondly risk management starts with a proper evaluation of risk.Mathematical finance offers methods and also theories for these activities.In this talk, I will outline mathematical methods for pricing and risk measurement.Also discuss how and why they differ from each other. 15:45 coffee & cake, Common Room (C 206) ------------------------------------------------------------------------ Th, 19.01.2012, 17:00, C 209, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Wen-Shen Li (National Dong Hwa University, Taiwan) http://faculty.ndhu.edu.tw/~wenshen/ "Portfolio Optimization under Proportional Transaction Costs in Continuous Time: A Convex Duality Approach" (Seminar Finanzmathematik) For further details (including abstracts) see http://www.mat.univie.ac.at/~finance_hp/seminarWS11_prob.html ------------------------------------------------------------------------

13 years, 5 months

1
1

reminder for upcoming seminars and talks

by Sandra Trenovatz

----------------------------------------------------------------------- Announcement of talks organised by FAM @ TU Wien ----------------------------------------------------------------------- Tu, 20.12.2011, 16:30, seminar room 107, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Ramin Okhrati (FAM @ TU Wien) "Defaultable claims under finite variation Lévy processes" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ ----------------------------------------------------------------------- ----------------------------------------------------------------------- Merry Christmas and a Happy New Year! Frohe Weihnachten und ein gutes neues Jahr! -----------------------------------------------------------------------

13 years, 6 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

----------------------------------------------------------------------- This time we announce a talk at University of Vienna ----------------------------------------------------------------------- Mo, 28.11.2011, 14:15-15:15, seminar room C 207, UZA 4 (different time and different location!) University of Vienna, Nordbergstraße 15, 1040 Wien Tiziano De Angelis (Sapienza Università di Roma) http://www.memotef.uniroma1.it/newdip/utenti/deangelistiziano/ "Pricing American Bond Options under HJM: an Infinite Dimensional Variational Inequality" (Seminar Finanzmathematik) For abstract see: http://www.mat.univie.ac.at/finance/seminarWS11.html -----------------------------------------------------------------------

13 years, 6 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

----------------------------------------------------------------------- This time we announce talks at other departments @ TU Wien & Univ. Wien ----------------------------------------------------------------------- Mo, 14.11.2011, 17:00, seminar room D101, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Anton Arnold (TU Wien) http://www.anum.tuwien.ac.at/~arnold/ "Bakry-Emery calculus for drift-diffusion equations - deterministic approach II" (Seminar Wahrscheinlichkeitstheorie) For further details see: http://www.mat.univie.ac.at/finance/seminarWS11.html ----------------------------------------------------------------------- Tu, 15.11.2011, 16:00, seminar room Argentinierstraße, 1040 Wien, Argentinierstraße 8, ground floor (entry Paniglgasse) Uwe Vollmer (Universität Leipzig) http://www.wifa.uni-leipzig.de/itvwl/guw/team0/vollmer.html "Minimum Capital Requirements, Bank Supervision and Special Resolution Schemes" For further details (including abstracts) see http://www.econ.tuwien.ac.at/events/ -----------------------------------------------------------------------

13 years, 7 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

----------------------------------------------------------------------- This time we only announce a talk at University of Vienna ----------------------------------------------------------------------- Mo, 07.11.2011, 17:00, seminar room D101, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Anton Arnold (TU Wien) http://www.anum.tuwien.ac.at/~arnold/ "Bakry-Emery calculus for drift-diffusion equations - deterministic approach" (Seminar Wahrscheinlichkeitstheorie) For further details see: http://www.mat.univie.ac.at/finance/seminarWS11.html -----------------------------------------------------------------------

13 years, 7 months

1
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reminder for upcoming seminars and talks

by Sandra Trenovatz

----------------------------------------------------------------------- Talk at University of Vienna ----------------------------------------------------------------------- Mo, 31.10.2011, 17:00-18:30, seminar room D101, UZA 4, University of Vienna, Nordbergstraße 15, 1040 Wien Christian Bayer (University of Vienna) http://www.mat.univie.ac.at/~bayerc2/ "Heat kernal expansion with an application in finance II" For further details (including abstracts) see http://www.mat.univie.ac.at/finance/seminarWS11.html ----------------------------------------------------------------------- Zukünftige Veranstaltung des TU Wien alumni club ----------------------------------------------------------------------- Mittwoch, 9.11.2011, 18:00 (bzw. 18:30) Raiffeisen Zentralbank Österreich AG, Am Stadtpark 9, 1030 Wien „Cont_ACT“ Unternehmenspräsentation der RZB und Podiumsdiskussion (organisiert durch TU Wien alumni club) Details siehe: http://www.tualumni.at/SiteNews/show/de/624#post Teilnahme nur für TU Wien alumni club Mitglieder und Studierende. Um Anmeldung bis Fr., 04.11.2011 unter office(a)tualumni.at wird gebeten. ----------------------------------------------------------------------- ======================================================================= I am very sorry, that by mistake the announcement of last week (see below) was not sent to the mailing list. Ich bitte um Entschuldigung, dass die Aussendung letzte Woche (siehe unten) versehentlich nicht an die Mailingliste verschickt wurde. Best regards / Mit besten Grüßen, Sandra Trenovatz ======================================================================= -------- Original Message -------- Subject: reminder for upcoming seminars and talks Date: Fri, 21 Oct 2011 19:46:27 +0200 From: Sandra Trenovatz <sandra(a)fam.tuwien.ac.at> Reply-To: FAM-news mailinglist <fam-news(a)fam.tuwien.ac.at> To: undisclosed-recipients:; ----------------------------------------------------------------------- Announcement of talks organised by FAM @ TU Wien ----------------------------------------------------------------------- Dienstag, 25. Oktober 2011, 15:30, Technische Universität Wien, 1040 Wien, Wiedner Hauptstraße 8, Freihaus, Turm B (gelber Bereich), 2. Stock, Freihaus Hörsaal 4: Hansjörg Albrecher (Universität Lausanne) http://www.hec.unil.ch/people/halbrecher "Messung von Versicherungsrisiken und das Omega-Modell" For further details (including abstracts) see http://www.fam.tuwien.ac.at/vr/20111025.php ----------------------------------------------------------------------- Furthermore we announce talks & events at other universities ----------------------------------------------------------------------- Mo, 24.10.2011, 17:00-18:30, seminar room D101, UZA 4, University of Vienna, Nordbergstraße 15, 1040 Wien Christian Bayer (University of Vienna) http://www.mat.univie.ac.at/~bayerc2/ "Heat kernal expansion with an application in finance I" (Part II will follow on October 31) For further details (including abstracts) see http://www.mat.univie.ac.at/finance/seminarWS11.html ----------------------------------------------------------------------- Mo/Tu, 24./25.10.2011, 10:00-12:00, 14:00-17:00, seminar room C714, UZA 4, University of Vienna, Nordbergstraße 15, 1040 Wien "Workshop "Advanced Modeling of the Energy Spots, Forwards, Swaps and Options in the Unified Framework of the Non-Markovian Approach" (organized by WPI) For further details (including abstracts) see http://www.wpi.ac.at/event_view.php?id_activity=138 http://www.wpi.ac.at/themedata/Valery.pdf -----------------------------------------------------------------------

13 years, 8 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

----------------------------------------------------------------------- Announcement of talks/events organised by FAM @ TU Wien ----------------------------------------------------------------------- Tu, 11.10.2011, 16:30, seminar room 107 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Zehra Eksi (Vienna Institute of Finance) "Pricing and Hedging of Single Tranche CDOs" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ ----------------------------------------------------------------------- Tu, 14.10.2011, 9.30 - 18.30, Lecture Hall 6 (ground floor) Main Building "Hauptgebäude" of TU Wien, Karlsplatz 13, 1040 Wien PRisMa 2011: One-Day Workshop on Portfolio Risk Management http://www.fam.tuwien.ac.at/prisma2011/ Participation is free, and there is no official registration - nevertheless for administrative reasons we would be happy if you write a short email to the workshop secretary: Ms. Aleksandra Zivkovic <secr(a)fam.tuwien.ac.at> ----------------------------------------------------------------------- Furthermore we announce talks of other departments @ TU Wien ----------------------------------------------------------------------- Mi, 12.10.2011, 9:15, Kleiner Seminarraum 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 5th floor, green section Philipp Dörsek (ETH Zürich, former colleague of FAM @ TU Wien) "Numerical Methods For Stochastic Partial Differential Equations" (dissertation defense - supervisors: J. Melenk & J. Teichmann) ----------------------------------------------------------------------- -- Sandra Trenovatz, email sandra(a)fam.tuwien.ac.at, phone +43-1-58801-10551 Financial & Actuarial Mathematics (FAM@TU Wien) http://fam.tuwien.ac.at/ Wiedner Hauptstrasse 8 / E105-1 FAM, 1040 Vienna, Austria (DVR: 0005886) -- Sandra Trenovatz, email sandra(a)fam.tuwien.ac.at, phone +43-1-58801-10551 Financial & Actuarial Mathematics (FAM@TU Wien) http://fam.tuwien.ac.at/ Wiedner Hauptstrasse 8 / E105-1 FAM, 1040 Vienna, Austria (DVR: 0005886)

13 years, 8 months

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reminder for upcoming talks/events

by Sandra Trenovatz

----------------------------------------------------------------------- Announcement of talks/events organised by FAM @ TU Wien ----------------------------------------------------------------------- This time we announce a forthcoming event in October: Tu, 14.10.2011, 9.30 - 18.30, Lecture Hall 6 (ground floor) Main Building "Hauptgebäude" of TU Wien, Karlsplatz 13, 1040 Wien PRisMa 2011: One-Day Workshop on Portfolio Risk Management http://www.fam.tuwien.ac.at/prisma2011/ Participation is free, and there is no official registration - nevertheless for administrative reasons we would be happy if you write a short email to the workshop secretary: Ms. Aleksandra Zivkovic <secr(a)fam.tuwien.ac.at> ----------------------------------------------------------------------- Furthermore we announce talks/events at other universities ----------------------------------------------------------------------- Th, 29.09.2011, 10.15, seminar room D 104, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Zehra Eksi (Vienna Institute of Finance) http://www.vif.ac.at/eksi/ "Essays in CDO and Inflation Linked Derivatives Modeling" (dissertation defense) -----------------------------------------------------------------------

13 years, 9 months

1
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Vortragsreihe in Finanz- und Versicherungsmathematik

by Sandra Trenovatz

Sehr geehrte Damen und Herren, im Rahmen der Vortragsreihe "Finanz- und Versicherungsmathematik" dürfen wir Sie zu folgendem Vortrag einladen: Mittwoch, 21. September 2011, 16:30, Technische Universität Wien, 1040 Wien, Wiedner Hauptstrasse 8, Freihaus, Turm B (gelber Bereich), 2. Stock, Freihaus Hörsaal 3: Dr. Carole Bernard Dept. of Statistics and Actuarial Science, University of Waterloo "Optimal investment under state-dependent constraints" http://www.fam.tuwien.ac.at/events/vr/20110921.php Für Aktuare zählt der Besuch eines Vortrags im Rahmen der Vortragsreihe Finanz- und Versicherungsmathematik als Weiterbildung (ein CPD-Punkt). Für eine entsprechende Bestätigung melden Sie sich bitte vorab per E-Mail mit Namen und Postanschrift im Sekretariat bei Frau Aleksandra Zivkovic (secr(a)fam.tuwien.ac.at) an. Mit freundlichen Grüßen, Mag. Christoph Krischanitz Präsident der Aktuarvereinigung Österreichs Präsident des Österreichischen Förderungsvereins der Versicherungsmathematik Dr. Franz Kronsteiner Präsident der Österreichische Gesellschaft für Versicherungsfachwissen o.Univ.-Prof. Dr. Walter Schachermayer Fakultät für Mathematik, Universität Wien Univ.-Prof. Dr. Uwe Schmock Finanz- und Versicherungsmathematik (FAM), Technische Universität Wien ----------------------------------------------------------------------- VR Finanz- und Versicherungsmathematik, http://www.fam.tuwien.ac.at/vr/ -----------------------------------------------------------------------

13 years, 9 months

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