- FAM-news - TU FAM Mailing lists

by Sandra Trenovatz

----------------------------------------------------------------------- Announcement of talks organised by FAM @ TU Wien ----------------------------------------------------------------------- Mo (!), 12.09.2011, 16:30, seminar room 107 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Gregory Temnov (University College Cork, Ireland) "Characterization of memory states of the Preisach operator with stochastic inputs" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ -----------------------------------------------------------------------

13 years, 9 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

----------------------------------------------------------------------- Announcement of talks/events organised by FAM @ TU Wien ----------------------------------------------------------------------- Tu, 20.04.2011, 10:30 (!!!), seminar room 107 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Flavia Giammarino (London School of Economics) http://personal.lse.ac.uk/giammari/ "Indifference Pricing with Uncertainty Averse Preferences" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ -----------------------------------------------------------------------

13 years, 11 months

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Habilitation lecture of Stefan Gerhold

by Sandra Trenovatz

----------------------------------------------------------------------- Habilitation lecture of Stefan Gerhold ----------------------------------------------------------------------- Tu, 28.06.2011, 16:15 (!) Freihaus Hörsaal 4 (!) 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow section Stefan Gerhold (FAM @ TU Wien) http://www.fam.tuwien.ac.at/~sgerhold/ "Special Functions: From Lindelöf Integrals to Volatility Smiles" (Habilitation lecture / Habilitationskolloquium) http://www.fam.tuwien.ac.at/events/abstracts/20110628_Gerhold.pdf ----------------------------------------------------------------------- The already announced Blackboard Discussion this week will be postponed. A new date/time will be announced through this mailinglist. -----------------------------------------------------------------------

14 years

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reminder for upcoming seminars and talks

by Sandra Trenovatz

----------------------------------------------------------------------- Announcement of talks/events organised by FAM @ TU Wien ----------------------------------------------------------------------- Tu, 28.06.2011, 16:30, seminar room 107 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Blackboard Discussion on the Abstract Fundamentals of Financial and Actuarial Mathematics Theme: Zero-One laws Please find the details here: http://www.fam.tuwien.ac.at/events/Blackboard_Discussion.pdf -----------------------------------------------------------------------

14 years

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reminder for upcoming seminars and talks

by Sandra Trenovatz

----------------------------------------------------------------------- Announcement of talks organised by FAM @ TU Wien ----------------------------------------------------------------------- Tu, 21.06.2011, 16:30, seminar room 107 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Stefan Gerhold (FAM @ TU Wien) "Transaction Costs made Tractable" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ ----------------------------------------------------------------------- Furthermore we announce talks at other universities ----------------------------------------------------------------------- Mo, 20.06.2011, 17:00, seminar room C 209, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Philipp Deutsch (University of Vienna) "Optimal investment in mean-reverting instruments under transaction costs" (Seminar Finanzmathematik) ----------------------------------------------------------------------- Future events - last reminder ----------------------------------------------------------------------- Vienna International Summer School on "Stochastic claims reserving methods in insurance" (Schadensreservierung) Vienna, Monday, July 4 - Friday, July 8, 2011, organised by FAM @ TU Wien http://www.fam.tuwien.ac.at/events/viss2011/ Registration only possible until Friday, June 24! http://www.fam.tuwien.ac.at/events/viss2011/registration.php -----------------------------------------------------------------------

14 years

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reminder for upcoming seminars and talks

by Sandra Trenovatz

----------------------------------------------------------------------- Announcement of talks organised by FAM @ TU Wien ----------------------------------------------------------------------- Tu, 14.06.2011, 16:30, seminar room 107 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Blackboard Discussion on the Abstract Fundamentals of Financial and Actuarial Mathematics Theme: Discussion of the Borel-Cantelli lemma. Please find the details here: http://www.fam.tuwien.ac.at/events/Blackboard_Discussion.pdf ----------------------------------------------------------------------- Furthermore we announce talks at other universities ----------------------------------------------------------------------- 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) Registration: ^^^^^^^^^^^^^ To register please write an email to: Peter Laurence <laurenceWPI(a)gmail.com> Location: ^^^^^^^^^ Wolfgang Pauli Institut / University of Vienna: 1090 Wien, Nordbergstrasse 15, 7th floor, seminar room C 714 Th, 16.06.2011, 10:00-12:30 Antoine Jacquier (TU Berlin) http://www.math.tu-berlin.de/~jacquier/ "Asymptotics in Finance" Th, 16.06.2011, 14:30-16:30 Christian Bayer (University of Vienna) http://www.mat.univie.ac.at/~bayerc2/ "Computational Finance" Fr, 17.06.2011, 10:00-12:30 Christoph Reisinger (University of Oxford) http://people.maths.ox.ac.uk/reisinge/ "HJB equations and their numerical treatment" (part I) Fr, 17.06.2011, 14:00-16:00 Christoph Reisinger (University of Oxford) http://people.maths.ox.ac.uk/reisinge/ "HJB equations and their numerical treatment" (part II) Fr, 17.06.2011, 16:30-18:30 Christian Bayer (University of Vienna) http://www.mat.univie.ac.at/~bayerc2/ "Computational Finance" (part II) The previously announced mini-course by Peter A. Forsyth (University of Waterloo) has undergone major changes. Professor Forsyth had to cancel due to an injury last friday. The organiseres managed to put together however an excellent new program: same days, slightly different times. Due to the unforseen circumstances and enlarged scope of the conference the organisers are accepting, even at this late stage, new registrations. To register write an email to: Peter Laurence <laurenceWPI(a)gmail.com> ----------------------------------------------------------------------- Recruitment talks: professorship Mathematics and Finance @ Univ. Wien ----------------------------------------------------------------------- For all details including abstracts see http://www.fam.tuwien.ac.at/events/abstracts/201106_MathFinance.pdf (We, 01.06.2011, 14:00, Kostas Kardaras) (Fr, 10.06.2011, 08:30, Umut Cetin) Fr, 17.06.2011, 14:00, Joachim Grammig We, 22.06.2011, 14:00, Miklos Rasonyi We, 22.06.2011, 16:30, Robert Stelzer Fr, 24.06.2011, 14:00, Nikolaus Hautsch Seminar rooom of the Department for Statistics and OR, 3rd floor University of Vienna, Universitätsstr. 5, 1010 Wien. -----------------------------------------------------------------------

14 years

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reminder for upcoming seminars, talks, ...

by Sandra Trenovatz

----------------------------------------------------------------------- Announcement of talks organised by FAM @ TU Wien ----------------------------------------------------------------------- Tu, 07.06.2011, 16:30, seminar room 107 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Blackboard Discussion on the Abstract Fundamentals of Financial and Actuarial Mathematics Kahlenberg: "Foundations of Modern Probability", 1st edition - Theorem 2.18 - Theorem 6.23 and Corollary 6.24 - Corollary 6.25 - Law of large numbers Please find the details here: http://www.fam.tuwien.ac.at/events/Blackboard_Discussion.pdf ----------------------------------------------------------------------- Announcement of an open position at FAM @ TU Wien ----------------------------------------------------------------------- Professorship in the area of Financial and Actuarial Mathematics / Professur im Bereich Finanz- und Versicherungsmathematik: http://www.fam.tuwien.ac.at/jobs/20110601a.php ----------------------------------------------------------------------- Furthermore we announce talks at other universities ----------------------------------------------------------------------- Tu, 07.06.2011, 13:00, seminar room D 101, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Sara Karlsson (University of Vienna) "Consistent dynamic equity market code-books from a practical point of view" (Defensio) ----------------------------------------------------------------------- Recruitment talks: professorship Mathematics and Finance @ Univ. Wien ----------------------------------------------------------------------- For all details including abstracts see http://www.fam.tuwien.ac.at/events/abstracts/201106_MathFinance.pdf We, 01.06.2011, 14:00, Kostas Kardaras (*) Fr, 10.06.2011, 08:30, Umut Cetin Fr, 17.06.2011, 14:00, Joachim Grammig We, 22.06.2011, 14:00, Miklos Rasonyi We, 22.06.2011, 16:30, Robert Stelzer Fr, 24.06.2011, 14:00, Nikolaus Hautsch Seminar rooom of the Department for Statistics and OR, 3rd floor University of Vienna, Universitätsstr. 5, 1010 Wien. (*) I am sorry for the late announcement, but the public announcement of University of Vienna was just today (Fr, June 3). ----------------------------------------------------------------------- ----------------------------------------------------------------------- Wiedner Hauptstrasse 8 / E105-1 FAM, 1040 Vienna, Austria (DVR: 0005886)

14 years

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reminder for upcoming seminars and talks

by Sandra Trenovatz

----------------------------------------------------------------------- Announcement of talks organised by FAM @ TU Wien ----------------------------------------------------------------------- Tu, 31.05.2011, 16:30, seminar room 107 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section 4th Blackboard Discussion on the Abstract Fundamentals of Financial and Actuarial Mathematics Planned Themes: Kahlenberg: "Foundations of Modern Probability", Chapter 6 - Proposition 6.19 (one-sided bounds) and Corollary 6.20 (extended Borel-Cantelli lemma) - Theorem 6.21 (uniform integrability and closure) and Corollary 6.22 (L^p -convergence) - Theorem 6.23 (limits in conditioning) and Corollary 6.24 http://books.google.com/books?id=TBgFslMy8V4C&lpg=PP1&pg=PA103 http://www.fam.tuwien.ac.at/events/Blackboard_Discussion.pdf ----------------------------------------------------------------------- Furthermore we announce talks at other universities ----------------------------------------------------------------------- Mo, 30.05.2011, 17:00, seminar room C 209, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Antonis Papantoleon (TU Berlin) http://www.math.tu-berlin.de/~papapan/ "Efficient and accurate log-Lévy approximations for the Lévy LIBOR model" (Seminar Finanzmathematik) -----------------------------------------------------------------------

14 years, 1 month

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reminder for upcoming seminars and talks

by Sandra Trenovatz

----------------------------------------------------------------------- Announcement of talks & events organised by FAM @ TU Wien ----------------------------------------------------------------------- Tu, 17.05.2011, 16:30, seminar room 107 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section 3rd Blackboard Discussion on the Abstract Fundamentals of Financial and Actuarial Mathematics (Topic: Martingales Revisited) Please find the details here: http://www.fam.tuwien.ac.at/events/Blackboard_Discussion.pdf ----------------------------------------------------------------------- Furthermore we announce talks at other universities ----------------------------------------------------------------------- Mo, 23.05.2011, 15:10 (!), seminar room D 107 (!), UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Nicolas Juillet (IRMA, University of Strasbourg) http://www-irma.u-strasbg.fr/~juillet/ "Convexity of the Wasserstein space" (Seminar Finanzmathematik) ----------------------------------------------------------------------- Tu, 24.05.2011, 11:00-11:40, meetingroom 1, Vienna Institute of Finance, Heiligenstaedterstrasse 46-48, 1190 Wien (Take right stairs or right lift and enter WU on third floor. The meetingroom is on 4th floor and can be reached via internal stairs.) Pavel V. Shevchenko (CSIRO, Sydney, Australia http://www.cmis.csiro.au/Pavel.Shevchenko/ "Operational Risk Capital Modelling" He will talk about his new book: "Modelling Operational Risk using Bayesian Inference", Springer, Berlin (2011). The talk will have something for finance undergraduates, and more technical facts and formulae for postgraduates - everybody is welcome. -----------------------------------------------------------------------

14 years, 1 month

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reminder for upcoming seminars and talks

by Sandra Trenovatz

----------------------------------------------------------------------- Announcement of talks organised by FAM @ TU Wien ----------------------------------------------------------------------- Tu, 17.05.2011, 16:30, seminar room 107 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section 2nd Blackboard Discussion on the Abstract Fundamentals of Financial and Actuarial Mathematics (Topic: Martingales Revisited) Please find the details here: http://www.fam.tuwien.ac.at/events/Blackboard_Discussion.pdf ----------------------------------------------------------------------- Furthermore we announce talks at other departments & universities ----------------------------------------------------------------------- Mo, 16.05.2011, 17:00, seminar room C 209, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Johannes Muhle-Karbe (ETH Zürich) http://www.math.ethz.ch/~jmuhleka/ "Transaction Costs made Tractable" (Seminar Finanzmathematik) ----------------------------------------------------------------------- Th, 19.05.2011, 16:45-17:15, seminar room 101B 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Philipp Dörsek (ETH Zürich) http://www.math.ethz.ch/people/doersekp "Weighted spaces and numerical schemes for stochastic (partial) differential equations" (seminar of the Doctorate School PDEtech) Abstract: We consider spaces of functions on separable Hilbert spaces or, more generally, on dual spaces of separable Banach spaces, endowed with a weighted supremum norm. A corresponding notion of differentiability is given. We prove rates of convergence of weak approximation schemes for stochastic (partial) differential equations in these spaces. ----------------------------------------------------------------------- Th, 19.05.2011, 18:00, seminar room Argentinierstraße, 1040 Wien, Argentinierstraße 8, ground floor (entry Paniglgasse) Fritz Breuss (WIFO Wien) http://fritz.breuss.wifo.ac.at/ "Structural funds, EU enlargement, and the redistribution of FDI in Europe" (Public Lecture Series Economic Theory and Policy) For further details (including abstracts) see http://www.econ.tuwien.ac.at/events/ -----------------------------------------------------------------------

14 years, 1 month

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reminder for upcoming seminars and talks

by Sandra Trenovatz

----------------------------------------------------------------------- Announcement of events organised by FAM @ TU Wien ----------------------------------------------------------------------- Tu, 10.05.2011, 16:30, seminar room 107 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section 1st Blackboard Discussion on the Abstract Fundamentals of Financial and Actuarial Mathematics Please find the details here: http://www.fam.tuwien.ac.at/events/Blackboard_Discussion.pdf ----------------------------------------------------------------------- Furthermore we announce events at other universities ----------------------------------------------------------------------- Mo, 09.05.2011, 17:00, seminar room C 209, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Oleg Reichmann (ETH Zürich) http://www.sam.math.ethz.ch/~oleg/ "Space-Time Wavelet Methods for degenerate parabolic PDEs with applications to Fractional Brownian motion models" (Vortrag im Rahmen des Seminars Finanzmathematik)

14 years, 1 month

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reminder for upcoming seminars and talks

by Sandra Trenovatz

----------------------------------------------------------------------- Announcement of talks organised by FAM @ TU Wien ----------------------------------------------------------------------- Tu, 03.05.2011, 16:30, seminar room 107 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Eberhard Mayerhofer (Vienna Institute of Finance) Part A: "Affine processes on the positive semidefinite d x d matrices don't jump too wildly" Part B: "Wishart processes and Wishart distributions: Relations and Realizations" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ ----------------------------------------------------------------------- Furthermore we announce talks at other universities ----------------------------------------------------------------------- Mo, 02.05.2011, 17:00, seminar room C 209, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Joachim Lebovits (Université Pierre et Marie Curie) "Stochastic Calculus with respect to multifractional Brownian motion using White Noise Theory" (Vortrag im Rahmen des Seminars Finanzmathematik)

14 years, 1 month

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reminder for upcoming seminars and talks

by Sandra Trenovatz

----------------------------------------------------------------------- Announcement of talks organised by FAM @ TU Wien ----------------------------------------------------------------------- Tu, 12.04.2011, 16:30, seminar room 107 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Jonas Hirz (University of Salzburg) "Optimizing Investment Strategies under a General Approach to Cost-Efficiency" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ ----------------------------------------------------------------------- Furthermore we announce talks at other universities ----------------------------------------------------------------------- Mo, 11.04.2011, 17:00, seminar room C 209, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Yan Dolinsky (ETH Zürich) http://www.math.ethz.ch/~yand/ "Hedging of Game Options with the Presence of Transaction Costs" (Vortrag im Rahmen des Seminars Finanzmathematik)

14 years, 2 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

To Whom It May Concern: additionally to upcoming seminars and talks (see below) this time I inform you about a new webpage of FAM where interesting talks and lectures for practitioners/actuaries will be announced: http://www.fam.tuwien.ac.at/events/cpd/ Best regards, Sandra (FAM-office) ------------------------------------------------------------------- Tu, 05.04.2011, 16:30, seminar room 107 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Esther Frostig (University of Haifa, Israel) http://hevra.haifa.ac.il/stat/newsite/eng/about.php "A Markov Additive Risk process with dividend barrier and phase type claims" We, 06.04.2011, 16:30, seminar room 107 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Umut Cetin (London School of Economics) http://stats.lse.ac.uk/cetin/ "Explicit construction of a dynamic Bessel bridge of dimension 3" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ Furthermore this time we announce two talks at University of Vienna - unfortunately it is possible to listen to only one these talks: Fr, 04.04.2011, 16:30, Leopold-Schmetterer-Seminarraum University of Vienna, 1010 Wien, Universitätsstraße 5, 3rd floor Ernst Eberlein (University of Freiburg) http://www.stochastik.uni-freiburg.de/~eberlein/ "Bid and ask: some consequences of a two prices approach" (ISOR-Kolloquium) For further details (including abstracts) see http://www.oegor.at/isdskoll/activities.php?action=Show_Act&ID=173 Mo, 04.04.2011, 17:00, seminar room C 209, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Pierre Patie (Université Libre de Bruxelles ) http://homepages.ulb.ac.be/~ppatie/ "Exponential Functional of Levy Processes" (Vortrag im Rahmen des Seminars Finanzmathematik)

14 years, 2 months

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