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reminder, this week's seminars
by Sandra Trenovatz 20 Sep '10

20 Sep '10

This week we refer to a talk at University of Vienna. Please find below already detailed information about the yearly PRisMa Workshop at TU Wien on Friday, October 1st. Fr, September 24, 2010, 14:00-15:00, Seminarraum C 209, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Aldo Pratelli: t.b.a. (Seminar Finanzmathematik) ========================================================== PRisMa 2010: One-Day Workshop on Portfolio Risk Management ========================================================== WEB PAGE: http://www.fam.tuwien.ac.at/prisma2010/ ORGANIZED BY: - PRisMa Lab: http://www.prismalab.at/ - FAM @ TU Vienna: http://www.fam.tuwien.ac.at/ DATE: Friday, October 1, 2010, 9:00-19:00 SPONSORED BY: - Christian Doppler Research Association - Bank Austria - Austrian Federal Financing Agency (ÖBFA) - FJA LOCATION: Vienna University of Technology Wiedner Hauptstrasse 8-10 ("Freihaus") 1040 Vienna, Austria Lecture Hall FH-HS 8 "Nöbauer" (yellow area, 2nd floor) Participation is free. Everyone is welcome, practitioners are especially encouraged to attend. Please find information for registration below the program. PROGRAM: 09.00-09.10: Welcome 09.10-10.00: Prof. Dr. Anna Rita Bacinello (University of Triest) "Variable Annuities: Risk Identification and Risk Assessment" 10.00-10.30: Coffee Break 10.30-11.15: Prof. Dr. Walter Farkas (ETH Zürich, Universität Zürich) "On Modelling and Option Pricing using Lévy Copula Processes" 11.15-12.00: Dr. Zorana Grbac (Freiburg Center for Data Analysis and Modelling) "Conditional Markov Chains and Credit Risk in the Lévy Libor Model" 12.00-14.00: Lunch Break 14.00-14.30: Dr. Stefan Gerhold (FAM @ TU Wien) "Refined Volatility Expansion in the Heston Model" 14.30-15.00: Dr. Robert Schöftner (UBS Zürich) "Market and Credit Risk Aggregation: A Bottom-Up Approach" 15.00-15.30: Dipl.-Math. Benedikt Blum (FAM @ TU Wien) "Superreplication and No-Arbitrage in Multiasset Models with Transaction Costs" 15.30-16.00: Coffee Break 16.00-17.30: Presentations of Prize Winning Thesis 16.00-16.30: Magdalena Six, MSc. (Institut für Betriebswirtschaftslehre, Universität Wien) "Dividendenverteilungsmechanismen in einem Markov'schen Lebensversicherungsmodell" (1st Prize 2009 of the Actuarial Association of Austria) 16.30-17.00: Dipl.-Ing. Annemarie Mayer "Bondoptionen im Risikomanagement der Generali Versicherung AG" (2nd Prize 2009 of the Actuarial Association of Austria) 17.00-17.30: Christoph Brodowicz, MSc. "Pricing Synthetic Collateralized Debt Obligations using Normal Approximation" (3rd Prize 2009 of the Actuarial Association of Austria) 17.30-19.00: Bread and Wine ABSTRACTS and LINKS: http://www.fam.tuwien.ac.at/prisma2010/ REGISTRATION: There is no official registration - nevertheless for administrative reasons we would be happy about a short e-mail to Mr. Christian Gawrilowicz <secr(a)fam.tuwien.ac.at> including your name and organization. CPD: For actuaries, this workshop counts 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 Mr. Christian Gawrilowicz <secr(a)fam.tuwien.ac.at> and sign up when you actually attend the workshop.

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reminder, this week's seminars
by Sandra Trenovatz 16 Aug '10

16 Aug '10

The preliminary program of the PRisMa Day 2010 is online: +--------------------------------------------------- | | PRisMa 2010 - | One-Day Workshop on Portfolio Risk Management | | Friday, October 1st, 2010 | Vienna University of Technology, Austria | | http://www.fam.tuwien.ac.at/events/prisma2010/ | +--------------------------------------------------------- Furthermore this time we announce a talk at University of Vienna: Tu, 17.08.2010, 16:00-17:00, seminar room D 103, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Richard Vierthauer (Christian-Albrechts-Universität zu Kiel) http://www.numerik.uni-kiel.de/~jk/personen/vierthauer.html "Exponential Utility Maximization and the Minimal Entropy Martingale Measure in Affine Stochastic Volatility Models" Abstract: We show that the minimal entropy martingale measure (MEMM) exists if the dynamics of multivariate assets belongs to a class of affine stochastic volatility models characterized by their affine structure and an additional structure condition. In this framework we solve the corresponding exponential utility maximization problem. As an application this leads to explicit formulas in some stochastic volatility models allowing for multivariate volatilities. Since the knowledge of the MEMM is a key ingredient for asymptotic exponential utility-based pricing and hedging, we use our results in order to compute first-order approximations of utility-indifference prices and utility-based hedging strategies in affine stochastic volatility models. We illustrate our results with a numerical example in the superposition model of Barndorff-Nielsen & Shephard.

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reminder, this week's seminars
by Sandra Trenovatz 27 Jul '10

27 Jul '10

Timetable Tu, 27.07.2010, 16:30, seminar room 107 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Markus Fischer (Brown University, Rhode Island, USA) "Large deviation properties of weakly interacting Ito processes" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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reminder, this (next) week's seminars
by Sandra Trenovatz 25 Jun '10

25 Jun '10

Timetable Tu, 29.06.2010, 16:30, seminar room 107 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Julia Eisenberg (University Cologne) "Optimal Control of Capital Injections by Reinsurance and Investments" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ Furthermore this time we also announce ... Mo, 28.06.2010, 16:30, seminar room D 107, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Vilimir Yordanov (Vienna Graduate School of Finance) "Optimal Treasuries Issuance"

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reminder, this week's seminars
by Sandra Trenovatz 14 Jun '10

14 Jun '10

Timetable Tu, 15.06.2010, 17:00, seminar room 107 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Alexander Hullmann (University Bonn) "The Generative Topographic Mapping for Dimensionality Reduction and Data Analysis" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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reminder, this week's seminars
by Sandra Trenovatz 07 Jun '10

07 Jun '10

Timetable Fr, 11.06.2010, 13:30 (!), seminar room 107 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Peter H. Gruber (Université Svizzera Italiana, Lugano) "Three Make a Dynamic Smile - Unspanned Skewness and Interacting Volatility Components in Option Valuation" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ Furthermore this time we also announce a talk at the Institute of Science and Technology Austria (IST Austria): Fr, 11.06.2010, 10:15, Seminar Room Mondi 3 3400 Klosterneuburg, Am Campus 1, Central building, 1st floor Radu Ioan Bot (Chemnitz University of Technology) "Conjugate duality in convex optimization and beyond" http://www.ist.ac.at/fileadmin/user_upload/pdfs/Talk_announcements/Talks100…

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reminder, this/next week's seminars
by Sandra Trenovatz 26 May '10

26 May '10

The reminder for next week is sent out earlier as this time wie also announce an event taking place this Friday at TU Graz. Tu, 01.06.2010, 9:30, seminar room 101B, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 3rd floor, green section Markus Zahrnhofer (TU Graz) "Modeling and pricing of temperature derivatives" Tu, 01.06.2010, 16:30, seminar room 107, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Stefan Thonhauser (University Lausanne) "A randomized approach to analyzing the compound Poisson risk model under periodic observations" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ Furthermore this time we also announce ... Fr, 28.05.2010, 10:45-16:45, HS 009 TU Graz, 8010 Graz, Stremayrgasse 16/EG Kolloquium Finanz- und Versicherungsmathematik 2010 http://opt.math.tu-graz.ac.at/~mayer/Kolloquium/kolloquium2010 Speakers: Elisabeth Gassner (RLB, Graz) Peter Grandits (Technische Universität Wien) Natalie Packham (Frankfurt School of Finance & Management) Günther Sieghartsleitner (Uniqa, Wien) Stefan Thonhauser (Universität Lausanne).

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reminder, this week's seminars
by Sandra Trenovatz 15 May '10

15 May '10

Timetable Mo, 17.05.2010, 9.30-11.00, Seminar room 101C 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section Karl F. Bannör (Lucht Probst Associates, Frankfurt/Main) "The Longstaff-Schwartz approach to the optimal stopping problem" Tu, 18.05.2010, 16.30, FH Hörsaal 4 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow section Klaus D. Schmidt (Technische Universität Dresden) "Lineare Modelle in der Schadenreservierung: Korrelation, Prognose, und Prognosefehler" Vortragsreihe aus Finanz- und Versicherungsmathematik We, 19.05.2010, 12:00, seminar room 107 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Klaus D. Schmidt (Technische Universität Dresden) "Markov-Ketten und Bonus-Malus Systeme" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ Furthermore this time we also announce a talk at University of Vienna: Mo, 17.05.2010, 16:30, seminar room D 107, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Constantin Tudor: "Selected topics in fractional and sub-fractional Brownian motions"

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reminder, this week's seminars
by Sandra Trenovatz 10 May '10

10 May '10

Timetable Tu, 11.05.2010, 16:30, seminar room 107 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Dilip Madan (University of Maryland, USA) "Unlimited Liabilities, Reserve Capital Requirements and the Taxpayer Put Option" Tu, 11.05.2010, 18.30-20.00, FH Hörsaal 8 (Nöbauer Hörsaal) 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow section David Millar (Chief Operating Officer PRMIA) and Stefan Strehle and Christoph Obenhuber (PRM degree holders) "PRMIA Education and Exam Information" Furthermore this time we also announce ... Mo, 10.05.2010, 16:30, seminar room D 107, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Emmanuel Denis (Ceremade, Universite Paris Dauphine) "Consistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costs" Furthermore we remind on the AnStAp10-Conference ... Analysis, Stochastics, and Applications - A conference in Honour of Walter Schachermayer Vienna, July 12-16, 2010 http://www.mat.univie.ac.at/anstap10/ NEW: Schedule as well as invited & contributed talks are online! Poster submissions from young researchers are still welcome!

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reminder, this week's seminars
by Sandra Trenovatz 26 Apr '10

26 Apr '10

Timetable Tu, 27.04.2010, 16:30, Seminar room 107 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Gregory Temnov (University College Cork, Ireland) "Extended stability property for exponential families: a model for financial applications" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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Talk of T. Björk CANCELLED!
by Sandra Trenovatz 22 Apr '10

22 Apr '10

Due to the current flight situation Tomas Björk cannot come to Vienna, So his talk tomorrow is cancelled. Fr, 23.04.2010, _CANCELLED_ Tomas Björk (Stockholm School of Economics) "Mean Variance Portfolio Optimization with State Dependent Risk Aversion" (see also: http://www.vgsf.ac.at/activities/seminar)

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reminder, this week's seminars - one more talk
by Sandra Trenovatz 20 Apr '10

20 Apr '10

Th, 22.04.2010, 16:30, Seminarraum 101C (!!!) (1040 Wien, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section) Robert Stelzer (TU München) "Derivative Pricing and Long Memory in the Multivariate Ornstein- Uhlenbeck type Stochastic Volatility Model" Abstract: In this talk we consider a multivariate stochastic volatility model for financial assets based on positive semi-definite Ornstein-Uhlenbeck type processes. First we discuss the pricing of financial derivatives in this model focusing especially on pricing via Laplace transforms and we show that calibration to observed prices becomes very feasible when choosing appropriate parametric assumptions. We illustrate this with a data example from foreign exchange markets. In the second part of the talk we consider an extension of the model allowing to capture long range dependence in the squared returns. To this end we introduce supOU processes defined in terms of a Levy basis (or infinitely divisible independently scattered random measure). After analysing some of their properties, we look at the implications of using them as the instantaneous covariance matrix processes in a stochastic volatility model. (see also: http://www.fam.tuwien.ac.at/events/) -------- Original Message -------- Subject: reminder, this week's seminars Date: Tue, 20 Apr 2010 01:36:26 +0200 From: Sandra Trenovatz <sandra(a)fam.tuwien.ac.at> To: fam-news(a)fam.tuwien.ac.at This time we announce 2 talks at University of Vienna and at VGSF: Tu, 20.04.2010, 15:00, Seminarraum D 101, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Paul Krühner, Christian Albrechts-Universität zu Kiel "On a Heath-Jarrow-Morton Approach for Stock Options" Fr, 23.04.2010, 16:30-17:30, Seminar Room 1 VGSF, Heiligenstädter Strasse 46-48, 1190 Wien Tomas Björk (Stockholm School of Economics) "Mean Variance Portfolio Optimization with State Dependent Risk Aversion" (see also: http://www.vgsf.ac.at/activities/seminar)

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reminder, this week's seminars
by Sandra Trenovatz 20 Apr '10

20 Apr '10

This time we announce 2 talks at University of Vienna and at VGSF: Tu, 20.04.2010, 15:00, Seminarraum D 101, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien Paul Krühner, Christian Albrechts-Universität zu Kiel "On a Heath-Jarrow-Morton Approach for Stock Options" Fr, 23.04.2010, 16:30-17:30, Seminar Room 1 VGSF, Heiligenstädter Strasse 46-48, 1190 Wien Tomas Björk (Stockholm School of Economics) "Mean Variance Portfolio Optimization with State Dependent Risk Aversion" (see also: http://www.vgsf.ac.at/activities/seminar)

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reminder, this week's seminars
by Sandra Trenovatz 12 Apr '10

12 Apr '10

Timetable Tu, 13.04.2010, 16:30, Freihaus, green area, 6th floor, seminar room 107 (TU Wien, Wiedner Hauptstr. 8, 1040 Wien) Gernot Müller (TU München) "Statistical Aspects of COGARCH Modelling" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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reminder, this week's seminars
by Sandra Trenovatz 22 Mar '10

22 Mar '10

Timetable Tu, 23.03.2010, 16:30, seminar room 107 TU Wien, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Stefan Gerhold (FAM @ TU Wien) "Refined volatility expansion in the Heston model" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ --- Furthermore we also announce a talk at University of Vienna, 1090 Wien, Nordbergstr. 15: Mo, 22.03.2010, 16:30, seminar room D107, UZA 4 Beatrice Acciaio "An introduction to Risk Measure (part I)"

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reminder, this week's seminars
by Sandra Trenovatz 08 Mar '10

08 Mar '10

seminars within one week: Tu, 09.03.2010, 16:30, Freihaus, green area, 6th floor, seminar room 107 (TU Wien, Wiedner Hauptstr. 8, 1040 Wien) Katja Krol (Humboldt University, Berlin) "Minimal Entropy Martingale Measure for Lévy Processes" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ Today there is also an interesting talk at Vienna University, Faculty of Mathematics, Nordbergstr. 15, 1090 Wien: Mo, 08.03.2010, 16:30 - 18:00 Uhr, Seminarraum D 107, UZA 4 Irene Klein (Vienna University) "A large financial markets approach to bond markets"

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seminar talk and 2-day-workshop for students and practitioners
by Sandra Trenovatz 22 Feb '10

22 Feb '10

This week there is a seminar talk on Tuesday. Furthermore we invite you to a two-day-workshop for students and practitioners (in german language, registration necessary). --------------------------------------------------------------- Tu, 23.02.2010, 16:30, seminar room 107: Habib Esmaeili (TU München und WPI) "Parameter estimation of Levy copula-based models with application in insurance" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ --------------------------------------------------------------- Einladung zum Workshop "Praxis der Finanz- und Versicherungsmathematik 2010" ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ Zeit: Montag, 1. März 2010 (9:30-17:00 Uhr) und Dienstag, 2. März 2010 (9:00-17:00 Uhr) Ort: Festsaal der Technische Universität Wien, Karlsplatz 13, Hauptgebäude, Stiege I, 1. OG Programm und Info: http://www.fam.tuwien.ac.at/events/praxisFVM2010/ Organisation: Dr. Reinhold Kainhofer, Forschungsgruppe Finanz- und Versicherungsmathematik, TU Wien Teilnahme kostenlos! Anmeldung unter secr(a)fam.tuwien.ac.at erforderlich! Ziel dieses Workshops ist ein repräsentativer Querschnitt durch das wirtschaftliche, rechtliche und praktische Umfeldes eines Mathematikers in der Finanz- und Versicherungsbranche. Dazu finden einerseits Vorträge von Vertretern der AVÖ, der FMA, der Nationalbank etc. statt, um das organisatorische, berufsethische und aufsichtsrechtliche Umfeld vorzustellen. Andererseits sprechen Mathematiker über ihren Tätigkeitsbereich in der Praxis der Versicherungs- und Finanzbranche und stellen aktuelle praktische Problemstellungen und mathematische Anwendungen vor. Vor allem letztere Vorträge sollen auch in der Praxis tätigen Aktuaren und Finanzmathematikern einen guten Überblick über andere Gebiete und einen Blick über den eigenen Tellerrand hinaus liefern. _Vortragende an den 4 Halbtagen_ - Montag, 1. März 2010, Vormittag: Das organisatorische und rechtliche Umfeld für Finanz- und Versicherungsmathematiker Mag. Christoph Krischanitz (Präsident der AVÖ, arithmetica) Dipl.-Ing. Peter Prieler (Generalsekretär der AVÖ) Mag. Eva Fels (Versicherungsverband Österreichs - VVÖ) Dr. Johann Kronthaler (Österreichische Finanzmarktaufsicht - FMA) Dipl.-Ing. Florian Leisch (Österreichische Nationalbank) - Montag, 1. März 2010, Nachmittag: Finanz- und Versicherungsmathematik in der Praxis: Demografie und ihre Auswirkungen Dipl.-Ing. Mario Kasper (SCOR Global Life SE, Niederlassung Wien) Prof. Dr. Rainer Münz (Leiter der Forschungsabt., Erste Group Bank) - Dienstag, 2. März 2010, Vormittag: Mathematiker in der Finanzbranche Dr. Martin Predota, CRM (ERSTE-SPARINVEST KAG) Dr. Christopher Summer, Dr. Bernhard Herzig (BAWAG P.S.K.) Dr. Richard Warnung (Raiffeisen Capital Management, RCM) Robert Rieder (Verbund - Austrian Power Trading AG) - Dienstag, 2. März 2010, Nachmittag: Mathematiker in der Versicherungsbranche Dr. Jürgen Hartinger (Kärtner Landesversicherung) Dipl.-Ing. Thomas Dockal (UNIQA, Aktuarieller Support & Risikomanagem.) Dipl.-Ing. Beatrix Griesmeier, Dipl.-Ing. Klaus Kühnen (actuaria benefits consulting) Dipl.-Ing. Karl Metzger (UNIQA, verantw. Aktuar Krankenversicherung) _Weiterbildung - Continuing Professional Development_ Für Aktuare kann eine Teilnahmebestätigung über eine entsprechende Anzahl von CPD-Punkten für die Weiterbildung ausgestellt werden. Info zur Weiterbildung und zu CPD-Punten siehe: http://www.fam.tuwien.ac.at/lehre/aktuar/ Anmeldung erforderlich! _Anmeldung_ Die Teilnahme an dieser Veranstaltung ist kostenlos, eine Anmeldung unter secr(a)fam.tuwien.ac.at ist aus organisatorischen Gründen in jedem Fall erforderlich. Falls eine Bestätigung für die CPD-Punkte gewünscht wird, bitte bei der Anmeldung (mit Adresse) auch konkret angeben, an welchen Halbtagen Ihre Teilnahme erfolgt Detailliertes Programm und Info: http://www.fam.tuwien.ac.at/events/praxisFVM2010/

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reminder, this week's seminars
by Sandra Trenovatz 03 Feb '10

03 Feb '10

This week we inform about: - a 2-day-workshop at TU Wien, organised by FAM, on 1st & 2nd of March - series of talks at University of Vienna, beginning next week - and about the AnStAp10-Conference in July (registration is open!) ======================================================================== FAM @ TU Wien: 2 day workshop for students & practitioneers (in german) 2-tägiger Workshop: "Praxis der Finanz- und Versicherungsmathematik 2010" http://www.fam.tuwien.ac.at/events/praxisFVM2010/ Ort: Technische Universität Wien Hörsaal: EI 4 "Reithoffer" Gußhausstraße 25, Stiege VIII (Hauptstiege), 2. Stock Zeit: Montag, 1. März 2010 - Dienstag, 2. März 2010, jeweils 9.00-17.00 Uhr Ziel dieses Workshops bzw. dieser Block-Lehrveranstaltung ist das Kennenlernen des wirtschaftlichen, rechtlichen und praktischen Umfeldes eines Mathematikers in der Finanz- und Versicherungsbranche. Dazu finden in einem ersten Block Vorträge von Vertretern der Aktuarvereinigungen, der Finanzmarktaufsicht, der Nationalbank etc. statt, um das organisatorische und aufsichtsrechtliche Umfeld (v.a. aus Sicht von Mathematikern) vorzustellen. In einem zweiten Block sprechen Absolventen der Mathematik über ihren Tätigkeitsbereich in der Praxis der Versicherungswirtschaft sowie der Finanzbranche und stellen aktuelle praktische Problemstellungen vor. Die Teilnahme ist kostenlos. Aktuare können bei dieser Veranstaltung CPD-Punkte für ihre Weiterbildung sammeln. Eine Anmeldung ist erforderlich! Info auf der Webseite: http://www.fam.tuwien.ac.at/events/praxisFVM2010/ Sponsoren für Kaffeepausen sind herzlich willkommen. ======================================================================== Talks at the Faculty of Mathematics (Nordbergstrasse 15, 1090 Vienna): Mo, February 8, 2010, 13:30-15:00, seminar room D103 (1st floor) Peter Grandits: "Optimal consumption in a Brownian Model with absorption a finite time horison" Tu, February 9, 2010, 14:00-15:00, seminar room C714 (7th floor) Ivar Ekeland: "The Ramsey growth model in economic theory" Tu, February 16, 2010, 14:00-15:00, seminar room C714 Ivar Ekeland: "Solving the Hamilton-Jacobi equation" Tu, February 23, 2010, 14:00-15:00, seminar room C714 Ivar Ekeland: "Intergenerational equity, time inconsistency and equilibrium strategies" Tu, March 2, 2010, 14:00-15:00, seminar room C714 Ivar Ekeland: "Soving systems of Hamilton-Jacobi equation" ======================================================================== The registration of the AnStAp10-Conference is open: +------------------------------------------------ | | Analysis, Stochastics, and Applications - | A conference in Honor of Walter Schachermayer | | Vienna, July 12-16, 2010 | | http://www.mat.univie.ac.at/anstap10/ | +----------------------------------------------------

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reminder, this week's seminars
by Sandra Trenovatz 25 Jan '10

25 Jan '10

Timetable Tu, 26.01.2010, 16:30, seminar room 107 Eberhard Mayerhofer (Vienna Institute of Finance) "On strong solutions of positive definite jump-diffusions" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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information about mailing lists, ...
by Sandra Trenovatz 16 Jan '10

16 Jan '10

As in the upcoming week there are no talks at FAM, we refer to a talk at Univ. of Vienna - furthermore we inform about a few *mailing lists*. ----- Mo, January 18, 2010, 13:30-15:00, seminar room D103, UZA 4, Univ. Wien, Faculty of Math., Nordbergstrasse 15, 1090 Wien. Marcel Nutz (ETH Zürich): "Bellman Equation and Risk Aversion Asymptotics for Power Utility Maximization" ----- +------------------- | MAILING LISTS +------------------------------ *FAM-news* mailing list talks and events in the area of financial and actuarial mathematics, everything at FAM (http://www.fam.tuwien.ac.at/events/), additionally sometimes even more. sent once a week. (this mail is sent via the FAM-news mailing list :) *FAM-vr* mailing list talks within the lecture series financial and actuarial mathematics organised by FAM in cooperation with AVÖ (Aktuarvereinigung), GVFW (Österreichische Gesellschaft für Versicherungsfachwissen) UniVie and VIF: http://www.fam.tuwien.ac.at/vr/ . Only a few mails per year - mainly for practitioneers. *FAM-jobs* mailing list job offers in the area of financial and actuarial mathematics in austria (and internship offers for students worldwide): http://www.fam.tuwien.ac.at/jobs/ announcements of job offers are free! (for worldwide jobs we refer to http://www.math-jobs.com/) *VFN-L* - Vienna Finance Newsletter announcements of lectures, conferences (and more) about finance and economics. everybody can post - a moderator decides what is sent to the mailing list: http://www.fam.tuwien.ac.at/mailman/listinfo/vfn-l *VGSF* newsletter talks & announcements of the Vienna Graduate School of Finance http://www.vgsf.ac.at/vgsf/activities/seminar *Math@UniVie, ESI, WPI, WK* if you want to get a weekly announcement of talks & events at the faculty of mathematics (university of vienna), ESI, WPI & WK send an email to: Danijela.Radosavljevic(a)univie.ac.at . find talks/events here: http://plone.mat.univie.ac.at/vortrage

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Jacod/Todorov/Podolskij Talks on Jan 13
by Friedrich Hubalek 12 Jan '10

12 Jan '10

I am very sorry to bother everybody again, but it was necessary to reschedule the Viktor Todorv's talk once more. Below is the updated information for the talks on Jan 13. Friedrich Hubalek We, 13.01.2010, 11:00-12:00, Seminar room C 7.14 (Wofgang Pauli Inst.), (1090 Wien, Nordbergstr. 15, Univ. Wien, UZA4, 7th floor) Jean Jacod (Université Paris VI): "Statistics for high frequency data: some open problems" We, 13.01.2010, 13:15 - 14:15, Seminar room D 1.01 (Mathematik), (1090 Wien, Nordbergstr. 15, Univ. Wien, UZA4, 1st floor) Viktor Todorov (Kellogg School of Management): "Tails, Fears and Risk Premia" We, 13.01.2010, 15:15-16:00 Uhr, Seminar room C 2.09 (1090 Wien, Nordbergstr. 15, Univ. Wien, UZA4, 2nd floor) Mark Podolskij (ETH Zurich) "Stein's Method, Malliavin Calculus and Central Limit Theorems" (Außerordentliches Mathematisches Kolloquium) ---

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reminder, this week's seminars
by Sandra Trenovatz 11 Jan '10

11 Jan '10

Timetable Tu, 12.01.2010, 16:30, Freihaus Hörsaal 3, (1040 Wien, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow section) Pavel V. Shevchenko (CSIRO, Sydney) "Quantitative modelling of financial risks" (Vortragsreihe aus Finanz- und Versicherungsmathematik) http://www.fam.tuwien.ac.at/events/vr/20100112.php Furthermore also announce interesting talks at University of Vienna: We, 13.01.2010, 11:00-12:00, Seminar room C 7.14 (Wofgang Pauli Inst.), (1090 Wien, Nordbergstr. 15, Univ. Wien, UZA4, 7th floor) Jean Jacod (Université Paris VI): "Statistics for high frequency data: some open problems" We, 13.01.2010, 14:00-15:00, Seminar room D 1.01 (Mathematik), (1090 Wien, Nordbergstr. 15, Univ. Wien, UZA4, 1st floor) Viktor Todorov (Kellogg School of Management): "Tails, Fears and Risk Premia" We, 13.01.2010, 15:15-16:00 Uhr, Seminar room C 2.09 (1090 Wien, Nordbergstr. 15, Univ. Wien, UZA4, 2nd floor) Mark Podolskij (ETH Zurich) "Stein's Method, Malliavin Calculus and Central Limit Theorems" (Außerordentliches Mathematisches Kolloquium) These talks and abstracts are (will be) announced on: http://plone.mat.univie.ac.at/talks/calendar

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reminder, this week's seminars
by Sandra Trenovatz 13 Dec '09

13 Dec '09

This week we refer to the following talks: Tu, December 17, 2009, 15:00-16:00 1090 Wien, Nordbergstrasse 15, Seminarraum C 714 (WPI Seminarraum) - Ziehaus Christina (FAM @ TU Wien) "Optimal Risk Sharing for Quasi Convex Risk Measures" - Karlsson Sara (FAM @ TU Wien) "Translation of market information the Levy measure code book" WK Student Seminar. http://www.wpi.ac.at/talks_view.php Fr., December 18, 2009, 15:15-16:00 1090 Wien, Nordbergstrasse 15, Seminarraum C 209, UZA 4 - Josef Teichmann (ETH Zürich) "A dynamic approach to scenario generation for risk management" Außerordentliches Mathematisches Kolloquium. http://plone.mat.univie.ac.at/talks/calendar Fr., December 18, 2009, 15:30-17:00 1190 Wien, Heiligenstädter Strasse 46-48, Seminar Room 1 - Philipp Illeditsch (University of Pennsylvania, Finance Department) "Ambiguous Information, Risk Aversion, and Asset Pricing" VGSF-Seminar: http://www.vgsf.ac.at/activities/seminar

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reminder, this week's seminars
by Sandra Trenovatz 30 Nov '09

30 Nov '09

Timetable Tu, 01.12.2009, 16:30, seminar room 107 (1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section) Laszlo Gyorfi (Budapest University of Technology and Economics) "Portfolio games" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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reminder, this week's seminars
by Sandra Trenovatz 09 Nov '09

09 Nov '09

This week there are no talks at FAM (TU Vienna), but we refer to talks at University of Vienna (Nordbergstrasse 15, 1090 Wien): - Monday, Nov. 2, 2009, 13:30-15:00, D103, UZA 4 Aldo Pratelli (Universita di Pavia, Italy) "On a conjecture by Auerbach" (Seminar Finanzmathematik, W. Schachermayer) - Thursday, Nov. 5, 2009, 15:15-16:30, C 207, UZA 4 Stephan Sturm "Large Deviations and Dirichlet Forms" Furthermore we inform about recruitment talks for the professorship Stochastic Methods in Economics (focusing on problems in mathematical finance and risk management): We, 11.11.2009, 10:30, Rüdiger Frey (Universität Leipzig) We, 11.11.2009, 14:00, Jan Kallsen (Universität Kiel) We, 11.11.2009, 16:15, Syliva Frühwirth-Schnatter (Universität Linz) Th, 12.11.2009, 10:00, Thorsten Schmidt (TU Chemnitz) Th, 12.11.2009, 13:30, Mark Podolskij (ETH Zürich) We, 18.11.2009, 12:00, Paolo Guasoni (Dublin City University) More details will be announced next week. You can find the details on: http://www.fam.tuwien.ac.at/events/

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reminder, this week's seminars
by Sandra Trenovatz 16 Oct '09

16 Oct '09

Timetable Tu, 20.10.2009, 16:30, Freihaus Hörsaal 3 (1040 Wien, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow section) Giovanni Cesari (UBS Investmentbank London) "Modelling, Pricing, and Hedging Counterparty Credit Exposure (Vortragsreihe aus Finanz- und Versicherungsmathematik) http://www.fam.tuwien.ac.at/events/vr/20091020.php Furthermore this time we also announce two interesting talks at University of Vienna: Th, 22.10.2009, 11:15-12:15, Seminarraum S1 (1090 Wien, Althanstrasse 12) Patrick Cheridito (Princeton University) "Processes of class Sigma, last passage times and drawdowns" (Abstract below) Th, 22.10.2009, 13:15, Seminarraum C 209 (1090 Wien, Nordbergstr. 15, UZA 4) Nicolas Vogelpoth (Vienna Institute of Finance) "L^0-convex Analysis and Conditional Risk Measures" http://plone.mat.univie.ac.at/events/2009/defensio-nicolas-vogelpoth.pdf --- Abstract of P. Cheridito's talk: "Processes of class Sigma, last passage times and drawdowns" (joint work with Ashkan Nikeghbali and Eckhard Platen) We propose a general framework to study last passage times, suprema and drawdowns of a large class of stochastic processes. A central role in our approach is played by processes of class Sigma. After investigating convergence properties and a family of transformations that leave processes of class Sigma invariant, we provide three general representation results. The first one allows one to recover a process of class Sigma from its final value and the last time it visited the origin. In many situations this gives access to the distribution of the last time a stochastic process hit a certain level or was equal to its running maximum. It also leads to a formula recently discovered by Madan, Roynette and Yor expressing put option prices in terms of last passage times. Our second representation result is a stochastic integral representation of certain functionals of processes of class Sigma, and the third one gives a formula for their conditional expectations. From the latter one can deduce the laws of a variety of interesting random variables such as running maxima, drawdowns and maximum drawdowns of suitably stopped processes. As an application we discuss the pricing and hedging of options that depend on the running maximum of an underlying price process and are triggered when the underlying drops to a given level or alternatively, when the drawdown or relative drawdown of the underlying attains a given height.

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reminder, this week's seminars
by Sandra Trenovatz 12 Oct '09

12 Oct '09

Timetable Tuesday, 16:30-18:00, Freihaus of TU Wien, green area, 6th floor, seminar room 107. Tu, 13.10.2009 Wolfgang Runggaldier (University of Padua, Italy) "Pricing under incomplete information without equivalent martingale measures" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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reminder, this week's seminars
by Sandra Trenovatz 05 Oct '09

05 Oct '09

Timetable seminars within one week Tu, 06.10.2009, 16:30, HS 7 Schütte-Lihotzky (Karlsplatz 13, main building of TU, stair case 7, ground floor) Mario Wüthrich (ETH Zürich, Switzerland) "Modellierung des Abwicklungsergebnisses im neuen Solvenz-Modell" Vortragsreihe aus Finanz- und Versicherungsmathematik http://www.fam.tuwien.ac.at/events/vr/20091006.php Th, 08.10.2009, 10:30, Hörsaal 4 Hochstetter (Karlsplatz 13, main building of TU, court 1, ground floor) Martin Schweizer (ETH Zürich, Switzerland) "Horizon-dependence in optimal portfolio choice" http://www.fam.tuwien.ac.at/events/index.php?showabstract=20091008

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PRisMa Day 2009 and 22nd Groupe Consultatif Colloquium
by Sandra Trenovatz 22 Sep '09

22 Sep '09

Beside the PRisMa Day 2009 on Monday, September 28: http://www.fam.tuwien.ac.at/events/prisma2009/ (there is no fee, nevertheless we ask for registration) we refer to the 22nd Groupe Consultatif Colloquium "Pensions and Security" organised by Actuarial Association of Austria on Fr., October 23: http://www.avoe.at/veranstaltungen_groupe_consultatif.html Please find details below. Best regards, Sandra Trenovatz ========================================================== 22nd Groupe Consultatif Colloquium "Pensions and Security" ========================================================== Web Page: http://www.avoe.at/veranstaltungen_groupe_consultatif.html Date: Friday, October 23, 2009, 9:00-19:00 Program: http://www.avoe.at/pdf/veranstaltungen/aktuell/GC_2009_Colloquium_brochure_… Registration form: http://www.avoe.at/pdf/veranstaltungen/aktuell/GC_2009_Colloquium_registrat… Registration fee: 390 Euro Closing date for registrations: October 2, 2009 Cancellation up to: October 12, 2009 Contact details: European Actuarial Academy, Hohenstaufenring 47-51 50674 Cologne Germany Phone: +49 221-912554-21 E-mail: contact(a)actuarial-academy.com Organized by the Actuarial Association of Austria http://www.avoe.at/ Location: Vienna University of Technology Lecture Theatre HS 17, Friedrich Hartmann Hörsaal Karlsplatz 13 (Main Building) Stiege VII, 3. Floor 1040 Vienna, Austria http://www.wegweiser.ac.at/static/plaene/pdf/E_HS17_0038_00_1-1.pdf Description of Event: The theme of this year's Colloquium is pensions and security: risks in pension systems and how to secure them. The past decade has brought broad recognition of the importance of pension systems to the economic stability of nations and the security of their ageing populations. As countries around the world grapple with the long-term affordability of their pensions systems, there are also growing demographic and economic pressures that are forcing both developing and developed countries to undertake urgent pension reforms. Most public pension schemes were not designed to deliver current benefit levels when confronted with today's major demographic and economic changes. Therefore, keeping existing systems afloat will require either cutting public spending on health and education, or cutting pensions drastically for the next generations of elderly. The experience with reforms over the past ten years has also shown that no one size fits all. The Colloquium will review a number of the key issues which influence the risks and security of pension systems, from various perspectives. There will be speakers from the World Bank, the pensions industry, the actuarial profession and the European Commission. Program: ======== Thursday, October 22, 2009 19.00-21.30 Welcome reception and registration Friday, October 23, 2009 09.30 Registration and coffee 10.00 Introduction and Welcome Bruce Maxwell - Chairman, Groupe Consultatif Philip Shier - Colloquium Chairman, Chairman of Groupe Consultatif Pensions Committee, Past President of Society of Actuaries in Ireland Christoph Krischanitz - President Aktuarvereinigung Österreichs 10.30 Longevity and Morality Tables Chresten Dengsoe - ATP Group, Denmark 11.30 Break 12.00 Defined Contribution Plans - Risks and Possibilities to Secure or Risks of Employers and of Employees in Different Pension Systems Rokas Gylys - PriceWaterhouse, Lithuania Groupe Consultatif Working Group on Defined Contribution Schemes 13.00 Lunch 14.00 Accounting Rules - A System for Securing Pensions David Cairns - The World Bank, Europe and Central Asia Region 15.00 Reinsurance - A Way to Achieve Security Daria Kachakhidze - SCOR Global Life SE, R&D Centre for Mortality and Longevity 16.00 Break 16.30 Update on Solvency for IORPs Karel van Hulle (to be confirmed) - European Commission Internal Market DG, Insurance and Pensions Unit 17.30 Close of the Colloquium Philip Shier - Colloquium Chairman 17.45 Coach departs for short drive from Technical University 18.30 Colloquium Dinner: Restaurant Oktogon Am Himmel http://www.himmel.at/oktogon/ 22:00 Return to hotels Language: The language of the Colloquium will be English Continuous Professional Development: Participants may claim up to 5 hours CPD for this Colloquium Local Airlines: - Fly Niki <http://www.flyniki.com/> - Austrian Airlines: <http://www.aua.com/> Railway: <http://www.oebb.at/> Nearby Hotels: <http://alm.fam.tuwien.ac.at/hotels.php> See you in Vienna! With best regards, Uwe Schmock -- Prof. Dr. Uwe Schmock Institute for Mathematical Methods in Economics Research Unit: Financial and Actuarial Mathematics Vienna University of Technology Wiedner Hauptstrasse 8-10/105-1 A-1040 Vienna Austria Personal Home Page: <http://www.fam.tuwien.ac.at/~schmock/> Financial and Actuarial Mathematics (FAM) at TU Vienna <http://www.fam.tuwien.ac.at/> CD-Laboratory for Portfolio Risk Management (PRisMa Lab) <http://www.prismalab.at/>

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PRisMa 2009: One-Day Workshop on Portfolio Risk Management
by Sandra Trenovatz 08 Sep '09

08 Sep '09

PRisMa 2009: One-Day Workshop on Portfolio Risk Management ========================================================== WEB PAGE: <http://www.fam.tuwien.ac.at/prisma2009/> ORGANIZED BY: - PRisMa Lab <http://www.prismalab.at/> - FAM @ TU Vienna <http://www.fam.tuwien.ac.at/> DATE: Monday, September 28, 2009, 9:00-19:00 SPONSORED BY: - Christian Doppler Research Association - Bank Austria - Austrian Federal Financing Agency - FJA LOCATION: Vienna University of Technology Karlsplatz 13 (Main Building) 1040 Vienna, Austria Lecture Hall HS 13 Ernst Melan (Court VII, 2nd floor) Participation is free. Everyone is welcome, practitioners are especially encouraged to attend. PROGRAM: 09.00-09.10: Welcome 09.10-10.00: Prof. Dr. Alexander Schied (Universität Mannheim) "Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem" 10.00-10.30: Coffee Break 10.30-11.15: Prof. Dr. Walter Schachermayer (Universität Wien) "Representation Results for Law Invariant Time Consistent Functions" 11.15-12.00: Dr. Beatrice Acciaio (University of Perugia) "Risk Assessment for Cash Flows under Model and Discounting Ambiguity" 12.00-14.00: Lunch Break 14.00-14.45: Dipl.-Math. Barbara Dengler (PRisMa Lab, FAM @ TU Wien) "On the Asymptotic Variance of the Estimator of Kendall's Tau for the t-Distribution" 14.45-15.30: Dipl.-Math. Verena Goldammer (FAM @ TU Wien) "Generalization of the Dybvig-Ingersoll-Ross Theorem and Asymptotic Minimality" 15.30-16.00: Coffee Break 16.00-16.45: Dr. Gregory Temnov (University College Cork) "Natural Exponential Family with Stability Property with Application to Financial Modelling" 16.45-17.30: Dipl.-Ing. Christa Cuchiero (ETH Zürich) "Affine Processes on Positive semidefinite matrices" 17.30-19.00: Bread and Wine ABSTRACTS and LINKS: <http://www.fam.tuwien.ac.at/prisma2009/> REGISTRATION: There is no official registration - nevertheless for administrative reasons we would be happy about a short e-mail to Mr. Christian Gawrilowicz <secr(a)fam.tuwien.ac.at> including your name and organization. CPD: For actuaries, this workshop counts 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 Mr. Christian Gawrilowicz <secr(a)fam.tuwien.ac.at> and sign up when you actually attend the workshop. LOCAL AIRLINES: - Fly Niki <http://www.flyniki.com/> - Austrian Airlines: <http://www.aua.com/> RAILWAY: <http://www.oebb.at/> NEARBY HOTELS: <http://alm.fam.tuwien.ac.at/hotels.php> See you in Vienna! With best regards, Uwe Schmock -- Prof. Dr. Uwe Schmock Institute for Mathematical Methods in Economics Research Unit: Financial and Actuarial Mathematics Vienna University of Technology Wiedner Hauptstrasse 8-10/105-1 A-1040 Vienna Austria Personal Home Page: <http://www.fam.tuwien.ac.at/~schmock/> Financial and Actuarial Mathematics (FAM) at TU Vienna <http://www.fam.tuwien.ac.at/> CD-Laboratory for Portfolio Risk Management (PRisMa Lab) <http://www.prismalab.at/>

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reminder, this week's seminars
by Sandra Trenovatz 31 Aug '09

31 Aug '09

Timetable We, 02.09.2009, 16:30, seminar room 107 Hannes Kazianka (Alpen-Adria Universität Klagenfurt) "Copula-based geostatistical modeling and interpolation" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ +-----------------------------------------------------+ | | | PRisMa 2009 | | "One-Day Workshop on Portfolio Risk Management" | | | | Monday, September 28th, 2009 | | Vienna University of Technology, Austria | | | | http://www.fam.tuwien.ac.at/events/prisma2009/ | | | +-----------------------------------------------------+

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PRisMa 2009
by Sandra Trenovatz 27 Jul '09

27 Jul '09

There are no talks planned during summer time, so i refer to the next FAM-event in September. Best regards, Sandra (FAM-office) +-----------------------------------------------------+ | | | PRisMa 2009 | | "One-Day Workshop on Portfolio Risk Management" | | | | Monday, September 28th, 2009 | | Vienna University of Technology, Austria | | | | http://www.fam.tuwien.ac.at/events/prisma2009/ | | | +-----------------------------------------------------+

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reminder, this week's seminars
by Sandra Trenovatz 06 Jul '09

06 Jul '09

Timetable Thursday, 16:30-18:00, Freihaus of TU Wien, green area, 6th floor, seminar room 107. Th, 09.07.2009 Carlo Sgarra (Politecnico di Milano, Italy) "Risk premium and risk-neutral valuation in electricity markets" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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reminder, this week's seminars
by Sandra Trenovatz 29 Jun '09

29 Jun '09

Timetable Thursday, 16:30, Freihaus of TU Wien, green area, 6th floor, seminar room 107. Th, 02.07.2009 Antonis Papapantoleon (QP-Lab, TU Berlin, Germany) "Towards an "affine LIBOR" model with default risk" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ +------------------------------------------------------------+ | | | A U S S C H R E I B U N G | | einer | | | | (Universitäts-) AssistentInnen-Stelle mit Doktorat | | | | in der Forschungsgruppe | | Finanz- und Versicherungsmathematik | | | | http://fam.tuwien.ac.at/jobs/20090625.php | | | +------------------------------------------------------------+

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reminder, this week's seminars
by Sandra Trenovatz 15 Jun '09

15 Jun '09

Timetable Thursday, 16:30, Freihaus of TU Wien, green area, 6th floor, seminar room 107. Th, 18.06.2009 Laura Ballotta (City University London, UK) "Investment strategies and risk management for participating life insurance contracts" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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reminder, this week's seminar
by Sandra Trenovatz 02 Jun '09

02 Jun '09

Timetable Thursday, 16:30-18:00, TU Vienna, "Freihaus", green area, 6th floor, seminar room 107. Th, 04.06.2009 Andrea Pascucci (University of Bologna, Italy) "Kolmogorov equations and applications to path dependent derivatives" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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reminder, this week's events
by Sandra Trenovatz 25 May '09

25 May '09

As this week there is no FAM event, we announce a seminar of the ÖFdV "Österreichischer Förderungsverein für Versicherungsmathematik": +--------------------------------------------------------+ | | | Donnerstag, 4. Juni 2009, 9:00 - 15:30 | | | | ÖFdV Seminar: | | "Stabilität von Finanzmärkten" | | | | Details und Anmeldung: | | http://www.avoe.at/pdf/temp/Anmeldung-20090604.pdf | | | +--------------------------------------------------------+ See also further events announced by the Actuarial Association of Austria / Aktuarvereinigung Österreichs (AVÖ): http://www.avoe.at/veranstaltungen_kalender.html

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reminder, this week's events
by Sandra Trenovatz 18 May '09

18 May '09

This week we announce a penal discussion, where two colleagues of FAM participate: +-------------------------------------------------+ | | | Dienstag, 19. Mai 2009, 18:00 Uhr | | | | 6. TU-Forum: | | | | "Wirtschafts- und Finanzkrise: | | Woher kommt sie? Wohin kann sie führen?" | | | +-------------------------------------------------+ Längst ist von der Krise nicht mehr nur der Finanzsektor betroffen: Industrieumsätze sinken und Arbeitslosenzahlen steigen. Wie konnte es zu so einer dramatischen Situation kommen? Wie entstehen und platzen Spekulationsblasen? Wie funktionieren die komplexen Finanzderivate, die das ermöglichen? Wie geht es weiter, und welche Strategien gibt es, um aus der Krise wieder herauszukommen? Über solche und ähnliche Fragen sprechen beim 6. TU-Forum: - Prof. Franz X. _Hof_, TU, Ökonomie, - Prof. Uwe _Schmock_, TU, Finanz- und Versicherungsmathematik - Prof. Josef _Teichmann_, TU, Finanz- und Versicherungsmathematik Moderator der Veranstaltung ist: - Christian Müller, Wissenschaftsredakteur der Austria Presse Agentur. Datum/Zeit: Dienstag, 19. Mai 2009, 18:00 Uhr Ort: Prechtl-Saal der TU Wien (Stiege 1, Erdgeschoss, Karlsplatz 13, 1040 Wien) ----------------------------------------------------------------- Ankündigung durch TU: http://www.tuwien.ac.at/aktuelles/news_detail/article/5695/

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reminder, this week's seminars
by Sandra Trenovatz 11 May '09

11 May '09

Timetable Thursday, 16:30, Freihaus of TU Wien, green area, 6th floor, seminar room 107. Th, 14.05.2009 Ronnie Loeffen (RICAM, Linz) "De Finetti's dividend problem with absolutely continuous controls" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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reminder, this week's seminar
by Sandra Trenovatz 04 May '09

04 May '09

Timetable Thursday, 16:30, TU Vienna, "Freihaus", green area, 6th floor, seminar room 107. Th, 07.05.2009 Anja Richter (Humboldt University Berlin, Germany) "Differentiablity of quadratic BSDEs driven by continuous martingales" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ -- Sandra Trenovatz, email sandra(a)fam.tuwien.ac.at, phone +43-1-58801-10511 Financial & Actuarial Mathematics (FAM@TU Wien) http://fam.tuwien.ac.at/ Wiedner Hauptstrasse 8 / E105-1 FAM, 1040 Vienna, Austria (DVR: 0005886)

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reminder, this week's seminars
by Sandra Trenovatz 27 Apr '09

27 Apr '09

Timetable Tuesday and Thursday (different beginning times) Freihaus of TU Wien, green area, 6th floor, seminar room 107. Tu, 28.04.2009, 16:30: Vicky Henderson (Oxford-Man Institute of Quantitative Finance, UK) "Prospect Theory, Partial Liquidation and the Disposition Effect" Th, 30.04.2009, 16:00: Dejan Veluscek (FAM, TU Vienna) "Higher order weak approximation schemes for SDEs" Th, 30.04.2009, 17:00: Sasa Parad (ETH Zurich, Switzerland) Long Run Asset Prices with General Utilities" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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reminder, this week's seminars
by Sandra Trenovatz 20 Apr '09

20 Apr '09

Timetable Time & Location: Tuesdays and Thursdays, 16:30, TU Vienna, "Freihaus", green area, 6th floor, seminar room 107. seminars within one week: Tu, 21.04.2009 Mia Hinnerich (Aarhus University, Denmark) "Inflation-indexed swaps and swaptions" Th, 23.04.2009 Stephan Sturm (TU Berlin, Germany) "A General Approach to Small-Time Large Deviations for Sample Paths of Infinite Dimensional Symmetric Dirichlet Processes with Applications to the Wasserstein Diffusion" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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reminder, this week's seminar
by Sandra Trenovatz 30 Mar '09

30 Mar '09

Timetable Tuesday, 16:30-18:00, Freihaus of TU Wien, green area, 6th floor, seminar room 107. Tu, 31.03.2009 Gregory Temnov (University College of Dublin, Ireland) "Analysis of limit distributions in actuarial modelling" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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reminder, this week's seminars
by Sandra Trenovatz 23 Mar '09

23 Mar '09

Timetable Thursday, 16:30-18:00, Freihaus of TU Wien, green area, 6th floor, seminar room 107. Th, 26.03.2009, Nikos Sfakianakis (Wolfgang Pauli-Institute, Vienna) "Adaptive mesh reconstruction and TVB for Hyperbolic Conservation Laws" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ Further we refer to interesting talks at University of Vienna: see http://plone.mat.univie.ac.at/talks/calendar e.g.: We, 25.03.2009, 15:00, room D103, Nordbergstrasse 15, 1090 Wien: Ivar Ekeland (University of British Columbia) "Do utility functions exist? A geometric approach." http://plone.mat.univie.ac.at/events/2009/do-utility-functions-exist-a-geom…

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Vortragsreihe in Finanz- und Versicherungsmathematik
by Sandra Trenovatz 16 Mar '09

16 Mar '09

Sehr geehrte Damen und Herren, im Rahmen der Vortragsreihe "Finanz- und Versicherungsmathematik" dürfen wir Sie zu folgendem Vortrag einladen: Dienstag, 17. März 2009, 16:30, Technische Universität Wien, 1040 Wien, Wiedner Hauptstrasse 8, Freihaus, 2. OG, grüner Bereich, Freihaus Hörsaal 5: Prof. Dr. Hanspeter Schmidli Universität Köln "On Optimal Dividends and Capital Injections in Risk Theory" http://www.fam.tuwien.ac.at/vr/20090317.php Bei dem letzten Vortrag in der Vortragsreihe von Frau Prof. Angelika May über "CPPI Models for life insurance products with guarantees" am 27.1.2009 wurden Unterlagen versprochen - leider haben wir diese von Frau May immer noch nicht bekommen. Sobald wir diese haben, werden wir einen Link zu den Unterlagen versenden. Mit freundlichen Grüßen, Mag. Christoph Krischanitz Präsident der Aktuarvereinigung Österreichs Präsident des Österr. Förderungsvereins der Versicherungsmathematik Dkfm. Dr. Siegfried Sellitsch Präsident der Österreichische Gesellschaft für Versicherungsfachwissen Univ.-Prof. Dr. Uwe Schmock Finanz- und Versicherungsmathematik (FAM), Technische Universität Wien o.Univ.-Prof. Dr. Walter Schachermayer Institut für Mathematik, Universität Wien Univ.-Prof. Dr. Damir Filipovic Vienna Institute of Finance ----------------------------------------------------------------------- VR Finanz- und Versicherungsmathematik, http://www.fam.tuwien.ac.at/vr/

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reminder, this week's seminars
by Sandra Trenovatz 03 Mar '09

03 Mar '09

Timetable Th, 05.03.2009, 16:30, seminar room 107 Eberhard Mayerhofer (Vienna Institute of Finance) "Affine Diffusion Processes: Theory and Applications" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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reminder, this week's seminars
by Sandra Trenovatz 03 Feb '09

03 Feb '09

Timetable ! Please note, that the time and place of talks changed ! to previous announcements: Th, 05.02.2009, 14:30, seminar room 107: Johannes Muhle-Karbe (TU Munich, Germany) "On asymptotic power utility-based pricing and hedging" Th, 05.02.2009, 16:00, seminar room 107: Peter K. Friz (University of Cambridge, UK) "Minicourse on Stochastic Analysis via Rough Paths (Second of three parts) Seminar room 107: Freihaus of TU Wien, green area, 6th floor. For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ I am sorry, that this weekly reminder is too late for the tuesday talk "Matrix valued orthogonal polynomials satisfying differential equations" from Mirta Castro Smirnova from University of Sevilla, Spain. If you are interested in meeting Mrs Castro Smirnova, please contact Josef Teichmann - Mrs Castro Smirnova is his guest until end of this week.

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reminder, this week's seminars
by Sandra Trenovatz 26 Jan '09

26 Jan '09

Timetable Tu, 27.01.2009, 16:30, Zeichensaal 3 (Freihaus, 7th floor, green section) Angelika May (Universität Oldenburg, Germany) "CPPI Models for life insurance products with guarantees" (Vortragsreihe aus Finanz- und Versicherungsmathematik) Th, 29.01.2009, 16:30, seminar room 107 (FH, 6th floor, green section) J. Teichmann, A. Papapantoleon, M. Keller-Ressel (START-Prize Group, Vienna University of Technology) "A new approach to LIBOR modeling" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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Minicourse beginning this Thursday
by Sandra Trenovatz 21 Jan '09

21 Jan '09

+-------------------------------------------------+ | | | Peter K. Friz (University of Cambridge, UK) | | | | Minicourse on | | "Stochastic Analysis via Rough Paths" | | | +-------------------------------------------------+ Th, 22.01.2009, 16:00, seminar room 107 Th, 05.02.2009, 16:00, seminar room START-Group (Treitlstrasse 1-3, 5th floor) Th, 12.02.2009, 16:00, seminar room 107 (Freihaus, green area, 6th floor) Please find the lecture notes to this minicourse here: http://www.statslab.cam.ac.uk/~peter/Vienna2009/roughpaths.htm Homepage of Peter K. Friz: http://www.statslab.cam.ac.uk/~peter/ ---------------------------------------------------------------------- This Minicourse is organised by FAM @ TU with financial support by EU. For other events of FAM @ TU see: http://www.fam.tuwien.ac.at/events/

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reminder, this week's seminars
by Sandra Trenovatz 12 Jan '09

12 Jan '09

Timetable Thursday, 16:30-18:00, Freihaus of TU Wien, green area, 6th floor, seminar room 107. Th, 15.01.2009 Jose Fajardo (Economics Research Group, IBMEC Business School, Rio de Janeiro) Optimal Insider Strategy with Penalties For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ +------------------------------------------------------------+ | | | "Conference on small time asymptotics, perturbation | | theory and heat kernel methods in mathematical finance" | | | | February 10-12, 2009: | | Wolfgang Pauli Institut, Vienna, Austria | | | | http://www.math.nyu.edu/~laurence/vienna-Sabr-bis.htm | | Please register via email to | | Peter Laurence <laurence(a)mat.uniroma1.it> | | | +------------------------------------------------------------+

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