- FAM-news - TU FAM Mailing lists

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Talks at University of Vienna ------------------------------------------------------------------------ Tu., 19.02.2019, 16:30, lecture hall HS13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Nicolas Juillet (Université de Strasbourg) "Excursions and Transport" Abstract: Transport on the real line for power of the distance $d^p$ cost is well-known especially when p>1 where the canonical quantile transport is the unique optimal transport. For p=1 it is not unique and for p<1 it is not optimal anymore and there is no uniqueness anymore. However, I will present a natural transport problem providing a solution that catches in a canonical way the transport behavior for p<1. (https://mathematik.univie.ac.at/newsevents/nachrichtenvolldarstellung/news/…) ------------------------------------------------------------------------

6 years, 4 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 24.01.2019, 16:30, lecture hall HS13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Nathael Gozlan (Université Paris 5 - René Descartes) https://sites.google.com/view/nathaelgozlanmath "Optimal transport for barycentric transport costs" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

6 years, 5 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

To whom it may concern, I appologize for the second mailing this week, but I forgot to send out the public PhD theses defense of Sühan Altay today at 10:00 at TU Wien. Additionally todays talks within the Vienna Probability Seminar start later than I have announced yesterday. Best wishes, Sandra (FAM-office) ------------------------------------------------------------------------ Announcement of Public PhD Thesis Defense at TU Wien ------------------------------------------------------------------------ Tu., 15.01.2019, 10:00, conference room of the Deanery, TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, green area, 9th floor (8th floor, then staircase in the green area) Sühan Altay (FAM @ TU Wien) "Interest Rate Modeling and Optimal Trading Portfolios with Dependence and Partial Information" (Public PhD Thesis Defense) For further details (including abstracts) see https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ Uni Wien & IST Austria: Vienna Probability Seminar ------------------------------------------------------------------------ Tu., 15.01.2019, 16:30-18:30, room "Besprechungszimmer 2" Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor 16:30 David Garcia-Zelada (Paris Dauphine, FR) "A large deviation principle for empirical measures on Polish spaces" 17:30 (or 5 min later): Chiranjib Mukherjee (Universität Münster, DE) "Compactness, large deviations and some applications" For further details of the Vienna Probability Seminar (including abstracts) see https://mathematik.univie.ac.at/forschung/stochastik-und-finanzmathematik/v… ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 17.01.2019, 16:30, lecture hall HS13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Maike Klein (FAM @ TU Wien) https://fam.tuwien.ac.at/~klein/ "Optimal Stopping Problems with Expectation Constraints" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

6 years, 5 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Uni Wien & IST Austria: Vienna Probability Seminar ------------------------------------------------------------------------ Tu., 15.01.2019, room "Besprechungszimmer 2" Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor 15:30-16:30 David Garcia-Zelada (Paris Dauphine, FR) "A large deviation principle for empirical measures on Polish spaces" 17:00 - 18:00 Chiranjib Mukherjee (Universität Münster, DE) "Compactness, large deviations and some applications" For further details of the Vienna Probability Seminar (including abstracts) see https://mathematik.univie.ac.at/forschung/stochastik-und-finanzmathematik/v… ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 17.01.2019, 16:30, lecture hall HS13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Maike Klein (FAM @ TU Wien) https://fam.tuwien.ac.at/~klein/ "Optimal Stopping Problems with Expectation Constraints" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

6 years, 5 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ WU Public Lecture ------------------------------------------------------------------------ Tu., 8.1.2019, 18:00, Ceremonial Hall 1 / Festsaal 1 WU Wien, 1020, Welthandelsplatz 1, Building LC, ground floor "The Cost of Destroying the Death Star" (WU Public Lecture) Keynote speaker & panellist: Zach Feinstein (Washington University in St. Louis, US) Further panellists: Birgit Rudloff (WU Vienna, AT) Martin Summer (OeNB, AT) Moderator: Stefan Pichler (vice rector, WU Vienna, AT) For abstract and registration see: https://wu.at/matters-deathstar or https://www.facebook.com/events/284338275717020/ To find the room on the WU Campus search for "LC.0.100" on: http://gis.wu.ac.at/?roomShow=LC.0.100 ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 10.1.2019, 16:30, lecture hall HS13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Christian Bayer (WIAS Berlin, DE) https://www.wias-berlin.de/people/bayerc/ "A regularity structure for rough volatility" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 11.01.2019, 09:00, seminar room D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Zach Feinstein (Washington University in St. Louis, US) https://engineering.wustl.edu/Profiles/Pages/Zachary-Feinstein.aspx "Pricing debt in an Eisenberg-Noe interbank network with comonotonic endowments" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see https://www.wu.ac.at/en/statmath/research/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------ TU Wien, recruitment talks "Mathematische Stochastik" ------------------------------------------------------------------------ As already sent out before christmas holidays, the recruitment talks for the full professorship in robability Theory and Mathematical Statistics ("Universitätsprofessur für Mathematische Stochastik") continue from today to this Wednesday. For details, including abstract see: https://fam.tuwien.ac.at/contact/temp/Berufungsvortraege_MSTOCH.pdf ------------------------------------------------------------------------

6 years, 5 months

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Vienna Probability Seminar

by Sandra Trenovatz

Dear colleagues, the researchers - Mathias Beiglböck and - Nathanael Berestycki from University of Vienna and - Laszlo Erdös and - Jan Maas from IST Austria start a new seminar: Vienna Probability Seminar ^^^^^^^^^^^^^^^^^^^^^^^^^^ See: https://mathematik.univie.ac.at/forschung/stochastik-und-finanzmathematik/v… Talks of this seminar will usually not be posted on the FAM-news mailinglist (unless talks are within the area of Financial and Actuarial Mathematics). In case you are interested in these talks you can subscribe yourself to the corresponding mailinglist: https://lists.univie.ac.at/mailman/listinfo/vps Best wishes, Sandra -- Sandra Trenovatz <sandra(a)fam.tuwien.ac.at> phone +43-1-58801-10511, mobile +43-664-5005638 Financial and Actuarial Mathematics (FAM), https://fam.tuwien.ac.at/ TU Wien, Wiedner Hauptstrasse 8/105-1, 1040 Vienna, Austria (DVR: 0005886)

6 years, 6 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

Dear friends of FAM & subscribers of FAM-news, this week seems to be a quiet week for talks in the area of financial and actuarial mathematics - nevertheless it will not be quiet at all. The recruitment talks for the full professorship in Probability Theory and Mathematical Statistics ("Universitätsprofessur für Mathematische Stochastik") at TU Wien start this Tuesday. Stochastics/Probability theory is important for many different fields of science and technology - therefore we announce these talks. As the next two weeks there will be (most probably) no talks I already now wish you a Merry Christmas and a prosperous New Year 2019! Sandra (Sandra Trenovatz, FAM, http://fam.tuwien.ac.at/) --------------------------------------------------------------------- TU Wien, recruitment talks "Mathematische Stochastik" --------------------------------------------------------------------- Tu., 18.12.2018, 10:30-12:30, lecture hall HS 17 Friedrich Hartmann TU Wien, 1040, Karlsplatz 13, staircase 7, 3rd floor Alexandre Stauffer (University of Bath) https://sites.google.com/site/alexandrestauffer/ "Random aggregation processes: Long-time behavior, phase transition and dendritic formation" For details, including abstract see: https://fam.tuwien.ac.at/contact/temp/Berufungsvortraege_MSTOCH.pdf To find the lecture hall HS17 in the main building of TU Wien see: https://fam.tuwien.ac.at/contact/temp/HS17.png ----- Overview of all recruitment talks for the full professorship in Probability Theory and Mathematical Statistics ("Universitätsprofessur für Mathematische Stochastik"): Tu., 18.12.2018, HS 17: 10:30 Alexandre Stauffer Mo., 07.01.2019, FH 3: 08:30 Omer Angel 10:30 Mykhaylo Shkolnikov 14:00 Erika Hausenblas 16:00 Johannes Muhle-Karbe Tu., 08.01.2019, FH 2: 10:00 Nicolas Perkowski 13:30 Fabio Toninelli 16:00 Arnulf Jentzen We., 09.01.2019, FH 3: 08:30 Noam Berger 10:30 Matthias Erbar ---------------------------------------------------------------------

6 years, 6 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ University of Vienna, Dept. of Statistics and Decision Support Systems ------------------------------------------------------------------------ Mo., 10.12.2018, 16:45, lecture hall HS 7 (#1.303) Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 1st floor Damian Kozbur (Universität Zurich) https://www.econ.uzh.ch/en/people/faculty/kozbur.html "Inference for Dependent Data with Cluster Learning" (ISOR Colloquium) The seminar is preceded by tea and coffee with the speaker in the ISOR meeting room (#6.511, 6th floor) at 16.15. For further details (including abstracts) see https://isor.univie.ac.at/isor-colloquium/ ------------------------------------------------------------------------ WU Wien, Institute for Finance, Banking and Insurance ------------------------------------------------------------------------ We., 12.12.2018, 11:00-12:15, room D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor Paul Pelzl (VU Amsterdam & Tinbergen Institute) https://research.vu.nl/en/persons/paul-pelzl "Capital Regulations and Credit Line Management during Crisis Times" (Finance Brown Bag Seminar) For further details (including abstracts) see https://www.wu.ac.at/en/finance/research/brown-bag-seminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------- University of Vienna, Deptartment of Finance ------------------------------------------------------------------------ We., 12.12.2018, 11:45-12:45, seminar room 6 Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 1st floor Guillaume Vuillemey (HEC Paris) https://sites.google.com/site/guillaumevuillemey/ "Completing Markets with Contracts: Evidence from the First Central Clearing Counterparty" (Brown Bag Seminar) For further details (including abstracts) see http://finance.univie.ac.at/en/research/brown-bag-seminar/ ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 13.12.2018, 16:30, lecture hall HS13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Oleg I. Klesov (National Technical University of Ukraine) http://matan.kpi.ua/en/people/klesov/ "Law of the iterated logarithm for inverse subordinators and some applications in risk models" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

6 years, 6 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ University of Vienna, Dept. of Statistics and Decision Support Systems ------------------------------------------------------------------------ Mo., 10.12.2018, 16:45, lecture hall HS 7 (#1.303) Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 1st floor Damian Kozbur (Universität Zurich) https://www.econ.uzh.ch/en/people/faculty/kozbur.html "Inference for Dependent Data with Cluster Learning" (ISOR Colloquium) The seminar is preceded by tea and coffee with the speaker in the ISOR meeting room (#6.511, 6th floor) at 16.15. For further details (including abstracts) see https://isor.univie.ac.at/isor-colloquium/ ------------------------------------------------------------------------ WU Wien, Institute for Finance, Banking and Insurance ------------------------------------------------------------------------ We., 12.12.2018, 11:00-12:15, room D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor Paul Pelzl (VU Amsterdam & Tinbergen Institute) https://research.vu.nl/en/persons/paul-pelzl "Capital Regulations and Credit Line Management during Crisis Times" (Finance Brown Bag Seminar) For further details (including abstracts) see https://www.wu.ac.at/en/finance/research/brown-bag-seminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------- University of Vienna, Deptartment of Finance ------------------------------------------------------------------------ We., 12.12.2018, 11:45-12:45, seminar room 6 Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 1st floor Guillaume Vuillemey (HEC Paris) http://www.hec.edu/Faculty-Research/Faculty-Directory/VUILLEMEY-Guillaume "Completing Markets with Contracts: Evidence from the First Central Clearing Counterparty" (Brown Bag Seminar) For further details (including abstracts) see http://finance.univie.ac.at/en/research/brown-bag-seminar/ ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 13.12.2018, 16:30, lecture hall HS13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Oleg I. Klesov (National Technical University of Ukraine) http://matan.kpi.ua/en/people/klesov/ "Law of the iterated logarithm for inverse subordinators and some applications in risk models" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

6 years, 6 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ University of Vienna, Dept. of Statistics and Decision Support Systems ------------------------------------------------------------------------ Mo., 3.12.2018, 16:45, lecture room 7 (#1.303) Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 1st floor Mathias Pohl (University of Vienna) https://fec.univie.ac.at/researchers/mathias-pohl/ "Robust risk aggregation with neural networks" (joint work with Stephan Eckstein and Michael Kupper) (ISOR Colloquium) The seminar is preceded by tea and coffee with the speaker in the ISOR meeting room (#6.511, 6th floor) at 16.15. For further details (including abstracts) see https://isor.univie.ac.at/isor-colloquium/ ------------------------------------------------------------------------ Veranstaltungsreihe "Actuarial Modelling Club" ------------------------------------------------------------------------ Tu., 04.12.2018, 16:30, lecture hall: GM 3 Vortmann Hörsaal TU Wien, 1060, Getreidemarkt 9, Plus Energie Büro Hochhaus, 2. Stock Onnen Siems, Carina Götzen (Meyerthole Siems Kohlruss, DE) Praxisbericht "Aktuarielle Analyse von großen Telematikdatenmengen (Big Data)" (Actuarial Modelling Club) For further details (including abstracts) and registration see https://fam.tuwien.ac.at/vr/ ------------------------------------------------------------------------ University of Vienna, Deptartment of Finance ------------------------------------------------------------------------ We., 5.12.2018, 11:45-12:45, seminar room 6 Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 1st floor Anton van Boxtel (University of Vienna) https://sites.google.com/site/antonvanboxtel/ "Credit Market Competition and Liquidity" (Brown Bag Seminar) For further details (including abstracts) see http://finance.univie.ac.at/en/research/brown-bag-seminar/ ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 06.12.2018, 16:30, lecture hall HS13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Halil Mete Soner (ETH Zürich, CH) https://people.math.ethz.ch/~hmsoner/ "Pricing-hedging Duality" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ TU Wien, Faculty of Mathematics and Geoinformation ------------------------------------------------------------------------ Fr., 07.12.2018, 11:00, seminar room DA grün 05, TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 5th floor, green area Julia Eisenberg (TU Wien, AT & Univ. Liverpool, UK) https://fam.tuwien.ac.at/~jeisenbe/ "The time value of money in the actuarial framework" (Vorstellungsvortrag vor angestrebter Habilitation) For further details (including abstracts) see https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------

6 years, 6 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 29.11.2018, 16:30, lecture hall HS13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Andrey Pilipenko (National Technical University of Ukraine) https://www.imath.kiev.ua/~apilip/ "Functional limit theorems for perturbed random walks" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 30.11.2018, 09:00, seminar room D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Alexander McNeil (University of York, UK) https://www.york.ac.uk/management/staff/amcneil/ "Spectral backtests of forecast distributions with application to risk management" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see https://www.wu.ac.at/en/statmath/research/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------

6 years, 7 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ University of Vienna, Dept. of Statistics and Decision Support Systems ------------------------------------------------------------------------ Mo., 19.11.2018, 16:45, lecture hall HS 7 Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 1st floor Peter Filzmoser (TU Wien) http://file.statistik.tuwien.ac.at/filz/ "Robust estimators of maximum association" (ISOR Colloquium) The seminar is preceded by tea and coffee with the speaker in the ISOR meeting room (6.511, 6th floor) at 16.15. For further details (including abstracts) see https://isor.univie.ac.at/isor-colloquium/ ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 22.11.2018, 16:30, lecture hall HS13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Thilo Meyer-Brandis (LMU Munich, DE) http://www.fm.mathematik.uni-muenchen.de/personen/professors/meyer_brandis/ "Contagion and Systemic Risk in Heterogeneous Financial Networks" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 23.11.2018, 9:00, seminar room D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Johannes Heiny (University of Aarhus, DK) "Assessing the dependence of high-dimensional time series via autocovariances and autocorrelations" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see https://www.wu.ac.at/en/statmath/research/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------

6 years, 7 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 16.11.2018, 09:00, seminar room D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Clara Grazian (University of Oxford) https://sites.google.com/site/claragrazian/home "Bayesian analysis of semiparametric copula models" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see https://www.wu.ac.at/en/statmath/research/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 16.11.2018, 11:00, seminar room D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Christa Cuchiero (University of Vienna) https://www.mat.univie.ac.at/~cuchiero/ "Contemporary stochastic volatility modeling - theory and empirics" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see https://www.wu.ac.at/en/statmath/research/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------ Vienna Graduate School of Finance (VGSF) ------------------------------------------------------------------------ Fr., 16.11.2018, 11:00, room D3.0.225 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor Adrian Buss (INSEAD) https://www.insead.edu/faculty-research/faculty/adrian-buss "The Implications of Financial Innovation for Capital Markets and Household Welfare" (Finance Research Seminar) For further details (including abstracts) see http://www.vgsf.ac.at/events/finance-research-seminar/ To find the room on the WU Campus search for "D3.0.225" on: http://gis.wu.ac.at/?roomShow=D3.0.225 ------------------------------------------------------------------------

6 years, 7 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Announcement of Public PhD Thesis Defense at University of Vienna ------------------------------------------------------------------------ Mo., 2.7.2018, 11:00, seminar room 2 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 1st floor Mathias Pohl (University of Vienna) "Robust Portfolio Optimization and Dimensional Analysis in Finance" (Public PhD Thesis Defense) For further details see https://fam.tuwien.ac.at/contact/temp/20180702_phd-defense_pohl.pdf ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 4.7.2018, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red area Khaled Bahlali (Université de Toulon) https://www.hindawi.com/28918560/ "t.b.a." (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ TU Wien - VISS 2018 - registration ends on Monday, July 2 ------------------------------------------------------------------------ VISS 2018 - Vienna International Summer School "Machine Learning Methods and Data Analytics in Risk and Insurance" TU Wien, Mon-Fri, July 9 - 13, 2018 https://fam.tuwien.ac.at/viss2018/ Main speakers: Prof. Dr. Gareth W. PETERS, Heriot-Watt University, Edinburgh Prof. Dr. Pavel V. SHEVCHENKO, Macquarie University, Sydney Special invited lectures: Prof. Dr. Josef TEICHMANN, ETH Zurich Prof. Dr. Allan HANBURY, TU Wien Registration possible until Monday, July 2 https://fam.tuwien.ac.at/viss2018/registration.php ------------------------------------------------------------------------

6 years, 7 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 25.10.2018, 16:30, lecture hall HS13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Dominik Norgilas (University of Warwick, UK) https://warwick.ac.uk/fac/sci/statistics/staff/research_students/norgilas/ "The left-curtain martingale coupling and the American put in the presence of atoms" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

6 years, 8 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 18.10.2018, 16:30, seminar room SR11 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Johannes Wiesel (University of Oxford, UK) https://www.maths.ox.ac.uk/people/johannes.wiesel "Statistical estimation of superhedging prices" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 19.10.2018, 09:00, seminar room D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Matthias Fengler (University of St. Gallen, CH) https://www.alexandria.unisg.ch/persons/2894 "Textual Sentiment, Option Characteristics, and Stock Return Predictability" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see https://www.wu.ac.at/en/statmath/research/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------ Vienna Graduate School of Finance (VGSF) ------------------------------------------------------------------------ Fr., 19.10.2018, 11:00, room D3.0.225 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor Suleyman Basak (London Business School, UK) http://www.suleymanbasak.com "Asset Prices and No-Dividend Stocks" (Finance Research Seminar) For further details (including abstracts) see http://www.vgsf.ac.at/events/finance-research-seminar/ To find the room on the WU Campus search for "D3.0.225" on: http://gis.wu.ac.at/?roomShow=D3.0.225 ------------------------------------------------------------------------

6 years, 8 months

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reminder for upcoming seminars and talks

by Sandra Trenovatz

To Whom it May Concern: after a summer break FAM-news will again regularly announce talks & events in the area of Financial and Actuarial Mathematics (FAM) in Vienna. Sometimes also a few others. In case you have new colleagues who might be intersted in the FAM-news mailinglist please forward this e-mail to them, so they can subscribe: https://fam.tuwien.ac.at/mailman/listinfo/fam-news Best wishes, Sandra (Sandra Trenovatz, FAM-office, fam(a)fam.tuwien.ac.at) ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 12.10.2018, 09:00, seminar room D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Walter Farkas (University of Zurich) https://people.math.ethz.ch/~farkas/ "Intrinsic Risk Measures" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see https://www.wu.ac.at/en/statmath/research/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------ IST Austria, talk of new professor for Stochastics of Univ. of Vienna ------------------------------------------------------------------------ Tu., 09.10.2018, 16:00, Big Seminar room I21.EG.101 (ground floor) IST Austria, 3400 Klosterneuburg, Am Campus 1, Office Building West Nathanael Berestycki (University of Vienna) https://homepage.univie.ac.at/nathanael.berestycki/ "Dimers and Imaginary Geometry" (Formal Sciences Seminar) For further details (including abstracts) see https://ist.ac.at/index.php?id=2480&event_id=1399 Shuttle bus from U4 Heiligenstadt to IST Austria: https://ist.ac.at/campus-life/shuttle-bus/ ------------------------------------------------------------------------

6 years, 8 months

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reminder for upcoming events

by Sandra Trenovatz

------------------------------------------------------------------------ WU Vienna - Austrian Stochastics Days ------------------------------------------------------------------------ 7th Austrian Stochastics Days 2018 WU Vienna, Thu-Fri, September 13-14, 2018 http://asd2018.wu.ac.at/ Submission is possible until August 15th, 2018 (earlier submission is very welcome). Registration is madatory but free and possible until August 25th, 2018. ------------------------------------------------------------------------ TU Wien - Praxistage 2018 ------------------------------------------------------------------------ Praxis der Finanz- und Versicherungsmathematik 2018 (inkl. Berufsständisches Seminar der AVÖ) TU Wien, Di.-Mi., 25.-26. September 2018 https://fam.tuwien.ac.at/events/praxisFVM2018/ ------------------------------------------------------------------------ Save the date / next year: VCMF 2019 ------------------------------------------------------------------------ 2nd Vienna Congress on Mathematical Finance 2019 & VCMF Educational Workshop (jointly organised by WU Wien, TU Wien and University of Vienna) WU Vienna, Mon-Fri, September 9-13, 2019 https://fam.tuwien.ac.at/vcmf2019/ ------------------------------------------------------------------------

6 years, 11 months

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Uni Wien, Vortragsreihe "Finanzmathematik und Data Science" ------------------------------------------------------------------------ We., 27.6.2018, 17:45-19:15, lecture hall / Hörsaal 13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Christoph Krischanitz (Arithmetica) "Die vielfältigen Anwendungen von Datenanalyse und Simulationstechniken in der Wirtschaft" For further details see http://www.mat.univie.ac.at/~mfulmek/kobm2018.shtml ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 28.6.2018, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red area Archil Gulisashvili (Ohio University, US) https://www.ohio.edu/cas/math/contact/profiles.cfm?profile=gulisash "Volterra type fractional stochastic volatility models. Small-noise and small-time asymptotic formulas for the implied volatility" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

7 years

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Uni Wien, Vortragsreihe "Finanzmathematik und Data Science" ------------------------------------------------------------------------ We., 20.6.2018, 17:45-19:15, lecture hall / Hörsaal 13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Ulrike Freisleben-Hof (RLB NÖ-Wien) "Banken ein Jahrzehnt nach der Finanzkrise im Zeitalter der Digitalisierung. Ein Bericht aus der Praxis" For further details see http://www.mat.univie.ac.at/~mfulmek/kobm2018.shtml ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 21.6.2018, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red area Oleg Szehr (University of Vienna) "Supervised learning and optimal transport" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

7 years

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Uni Wien, Vortragsreihe "Finanzmathematik und Data Science" ------------------------------------------------------------------------ We., 13.6.2018, 17:45-19:15, lecture hall / Hörsaal 13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Richard Warnung (BAWAG P.S.K) "Kreditrisikomodellierung mit Illustrationen in R" For further details see http://www.mat.univie.ac.at/~mfulmek/kobm2018.shtml ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 14.6.2018, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red area Stephan Eckstein (University of Konstanz, DE) https://www.mathematik.uni-konstanz.de/kupper/team/stephan-eckstein/ "Superhedging and distributionally robust optimization with Neural Networks" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

7 years

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Uni Wien, Vortragsreihe "Finanzmathematik und Data Science" ------------------------------------------------------------------------ We., 6.6.2018, 17:45-19:15, lecture hall / Hörsaal 13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Andreas Nemeth (d-fine) "Der Leitzins und die Zinsen auf dem Girokonto" For further details see http://www.mat.univie.ac.at/~mfulmek/kobm2018.shtml ------------------------------------------------------------------------ ÖAW - IST Austria Lecture ------------------------------------------------------------------------ We., 6.6.2018, 18:30-19:30, Festive Hall Austrian Academy of Sciences, 1010 Wien, Dr. Ignaz Seipel-Platz 2 Martin Hairer (Imperial College, UK) https://www.imperial.ac.uk/people/m.hairer "Bridging Scales" Register as soon as possible at https://www.oeaw.ac.at/anmeldung/oeaw-ista-lecture/ For further details (including abstracts) see https://ist.ac.at/index.php?id=2480&event_id=1008 ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 7.6.2018, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red area Lorenzo Mercuri (University of Milan, IT) http://www.unimi.it/chiedove/ENG/schedaPersonaXML.jsp?matricola=17819 "On properties of the Mixed Tempered Stable distribution and its Multivariate Version" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

7 years

1
0

VISS 2018 - Machine Learning Methods and Data Analytics in Risk and Insurance

by Sandra Trenovatz

VISS 2018 - Vienna International Summer School "Machine Learning Methods and Data Analytics in Risk and Insurance" =================================================================== DATE: Monday, July 9 - Friday, July 13, 2018 LOCATION: TU Wien (Vienna University of Technology), Karlsplatz 13, 1040 Wien, Austria WEB PAGE: <https://fam.tuwien.ac.at/viss2018/> ORGANIZED BY: FAM @ TU Wien <https://fam.tuwien.ac.at/> SPONSOR(S): Wiener Städtische Versicherung - Vienna Insurance Group (Further sponsors are welcome) MAIN SPEAKERS: Prof. Dr. Gareth W. Peters, Heriot-Watt University, Edinburgh, UK Prof. Dr. Pavel V. Shevchenko, Macquarie University, Sydney, Australia SPECIAL INVITED LECTURES: Prof. Dr. Josef Teichmann, ETH Zurich, Switzerland Prof. Dr. Allan Hanbury, TU Wien, Austria MAIN COURSE: Machine learning and data analytics is an emerging field that is beginning to have a strong influence on the field of actuarial science practice. The onset of big data applications in insurance has driven the profession to explore new ways to understand data and modelling. Unlike in Google and Facebook type technology applications where huge data bases of labelled data are available, in the insurance context we are often considering unsupervised learning methods. This course will address core methodology to tackle unsupervised problems of relevance to insurance applications. SPECIAL INVITED LECTURES: Abstracts will be announced soon. LANGUAGE: English PARTICIPANTS: Practicing actuaries as well as researchers and advanced students with a good general knowledge of probability and statistics. CONTINUING PROFESSIONAL DEVELOPMENT: Actuaries can earn 25-30 CPD points for attendance to this Vienna International Summer School. The number of CPD points will be fixed as soon as the schedule is finalized. EARLY REGISTRATION: For early registrations until June 10, 2018, a discount is allowed. <https://fam.tuwien.ac.at/viss2018/registration.php> For any requests, do not hesitate to write an e-mail to the VISS 2018 secretary: <viss2018(a)fam.tuwien.ac.at>

7 years, 1 month

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 24.5.2018, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red area Matteo Burzoni (ETH Zürich, CH) https://people.math.ethz.ch/~burzonim/ "Arbitrage, Hedging and all that: lessons learned from the absence of a probability" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ The Thalesians, Vienna ------------------------------------------------------------------------ Mo. 28.5.2018, 18:30-21:00, Hörsaal 4, Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, ground floor Ivan Zhdankin (JPMorgan) "Key Aspects of Machine Learning in Finance" Douglas Vieira (Imperial College London) "Microstructure of Option Prices: Reconciling Small and Long Time Dynamics" (First Thalesian seminar in Vienna) For more information including abstracts visit: https://www.meetup.com/de-DE/thalesians/events/250371951/ The visit of the talks is free, nevertheless a short registration via <richard.warnung(a)thalesians.com> is welcome. ------------------------------------------------------------------------

7 years, 1 month

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ University of Vienna, Dept. of Statistics and Decision Support Systems ------------------------------------------------------------------------ Mo., 14.5.2018, 16:45-17:45, lecture hall HS 7 Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 1st floor Francesco Rinaldi (Università di Padova) http://www.math.unipd.it/~rinaldi/ "First order algorithms for constrained optimization problems in Machine Learning" (ISOR Colloquium) The seminar is preceded by tea and coffee with the speaker in the ISOR meeting room (6.511, 6th floor) at 16.15. For further details (including abstracts) see https://isor.univie.ac.at/isor-colloquium/ ------------------------------------------------------------------------ Uni Wien, Vortragsreihe "Finanzmathematik und Data Science" ------------------------------------------------------------------------ We., 16.5.2018, 17:45-19:15, lecture hall / Hörsaal 13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Peter Schaller (UniCredit Bank Austria) "Stochastische Recovery: Ein Wasserfallmodell mit maximaler Entropie" For further details see http://www.mat.univie.ac.at/~mfulmek/kobm2018.shtml ------------------------------------------------------------------------ Vienna Graduate School of Finance (VGSF) ------------------------------------------------------------------------ Fr., 18.5.2018, 11:00-12:30, room D3.0.225 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor Christian Opp (Wharton Business School) http://finance.wharton.upenn.edu/~opp/ "Over-the-Counter vs. Limit-Order Markets: The Role of Traders’ Expertise" (Finance Research Seminar) For further details (including abstracts) see http://www.vgsf.ac.at/events/finance-research-seminar/ To find the room on the WU Campus search for "D3.0.225" on: http://gis.wu.ac.at/?roomShow=D3.0.225 ------------------------------------------------------------------------

7 years, 1 month

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ We., 9.5.2018, 14:00, seminar room 4 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 1st floor Tahir Choulli (University of Alberta, CA) https://www.math.ualberta.ca/Choulli_T.html "Martingales classification and decomposition for progressively enlarged filtrations with applications to finance and insurance" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Uni Wien, Vortragsreihe "Finanzmathematik und Data Science" ------------------------------------------------------------------------ We., 9.5.2018, 17:45-19:15, lecture hall / Hörsaal 13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Simon Haller (Spängler IQAM Invest) "Quantitative Aktienstrategien und Faktor Investing" For further details see http://www.mat.univie.ac.at/~mfulmek/kobm2018.shtml ------------------------------------------------------------------------

7 years, 1 month

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Uni Wien, Vortragsreihe "Finanzmathematik und Data Science" ------------------------------------------------------------------------ We., 2.5.2018, 17:45-19:15, lecture hall / Hörsaal 13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Johannes Morgenbesser (OeNB) "Fundamental Review of the Trading Book" For further details see http://www.mat.univie.ac.at/~mfulmek/kobm2018.shtml ------------------------------------------------------------------------ Vienna Graduate School of Finance (VGSF) ------------------------------------------------------------------------ Fr., 4.5.2018, 11:00, room D3.0.225 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor Svetlana Bryzgalova (Stanford University) https://people.stanford.edu/bryzgals/ "The Consumption Risk of Bonds and Stocks" (Finance Research Seminar) For further details (including abstracts) see http://www.vgsf.ac.at/events/finance-research-seminar/ To find the room on the WU Campus search for "D3.0.225" on: http://gis.wu.ac.at/?roomShow=D3.0.225 ------------------------------------------------------------------------

7 years, 1 month

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Uni Wien, Vortragsreihe "Finanzmathematik und Data Science" ------------------------------------------------------------------------ We., 2.5.2018, 17:45-19:15, lecture hall / Hörsaal 13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Johannes Morgenbesser (OeNB) "Fundamental Review of the Trading Book" For further details see http://www.mat.univie.ac.at/~mfulmek/kobm2018.shtml ------------------------------------------------------------------------ Vienna Graduate School of Finance (VGSF) ------------------------------------------------------------------------ Fr., 4.5.2018, 11:00, room D3.0.225 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor Svetlana Bryzgalova (Stanford University) https://people.stanford.edu/bryzgals/ "The Consumption Risk of Bonds and Stocks" (Finance Research Seminar) For further details (including abstracts) see http://www.vgsf.ac.at/events/finance-research-seminar/ To find the room on the WU Campus search for "D3.0.225" on: http://gis.wu.ac.at/?roomShow=D3.0.225 ------------------------------------------------------------------------

7 years, 1 month

1
0

reminder for upcoming seminars and talks [and marathons]

by Sandra Trenovatz

------------------------------------------------------------------------ Vienna City Marathon ------------------------------------------------------------------------ Sunday, 22.4.2018, starting at 9:00 Please keep the finger crossed for the three relay marathon teams of FAM: "speed measure", "random walk" and "expected shortfall". :-) For further details see http://www.vienna-marathon.com/ ------------------------------------------------------------------------ WU Wien, Institute for Finance, Banking and Insurance ------------------------------------------------------------------------ Tu., 24.4.2018, 12:00, room D5.1.003 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D5, 1st floor Giorgia Simion (Ca' Foscari University of Venice, IT) https://sites.google.com/unive.it/giorgiasimion/ "Basel Liquidity Regulation and Credit Risk Market Perception: Evidence from Large European Banks" (Finance Brown Bag Seminar) For further details (including abstracts) see https://www.wu.ac.at/en/finance/research/brown-bag-seminar/ To find the room on the WU Campus search for "D5.1.003" on: http://gis.wu.ac.at/?roomShow=D5.1.003 ------------------------------------------------------------------------ Uni Wien, Vortragsreihe "Finanzmathematik und Data Science" ------------------------------------------------------------------------ We., 25.4.2018, 17:45-19:15, lecture hall / Hörsaal 13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Christopher Summer (BAWAG P.S.K.) "Analytics und Big Data im Marketing einer Bank" For further details see http://www.mat.univie.ac.at/~mfulmek/kobm2018.shtml ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 26.4.2018, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red area Claudio Fontana (Paris Diderot University (Paris VII), FR) https://sites.google.com/site/fontanaclaud/ "The Value of Informational Arbitrage" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 27.4.2018, 09:00, seminar room D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Nicole Bäuerle (Karlsruhe Institute of Technology, DE) http://www.math.kit.edu/stoch/~baeuerle/en "Optimal Control of Partially Observable Piecewise Deterministic Markov Processes" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see https://www.wu.ac.at/en/statmath/research/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------

7 years, 2 months

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ University of Vienna, Dept. of Statistics and Decision Support Systems ------------------------------------------------------------------------ Mo., 16.4.2018, 16:45, lecture hall HS 7 Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 1st floor Yarema Okhrin (Universität Augsburg) http://www.wiwi.uni-augsburg.de/bwl/okhrin/team_okhrin/yarema_okhrin/ "Vine-based modelling of (multivariate) realized volatility time series" (ISOR Colloquium) The seminar is preceded by tea and coffee with the speaker in the ISOR meeting room (6.511, 6th floor) at 16.15. For further details (including abstracts) see https://isor.univie.ac.at/isor-colloquium/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ We., 18.4.2018, 12:30, seminar room D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Eric Eisenstat (University of Queensland, Australia) https://economics.uq.edu.au/profile/2138/eric-eisenstat "Efficient Estimation of Structural VARMAs with Stochastic Volatility" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see https://www.wu.ac.at/en/statmath/research/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------ Uni Wien, Vortragsreihe "Finanzmathematik und Data Science" ------------------------------------------------------------------------ We., 18.4.2018, 17:45-19:15, lecture hall / Hörsaal 13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Ferenc Domes (Universität Wien) http://www.mat.univie.ac.at/~dferi/ "DAGOPT - ein Bindeglied zwischen Wissenschaft und Industrie" For further details see http://www.mat.univie.ac.at/~mfulmek/kobm2018.shtml ------------------------------------------------------------------------

7 years, 2 months

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Uni Wien, Vortragsreihe "Finanzmathematik und Data Science" ------------------------------------------------------------------------ We., 11.4.2018, 17:45-19:15, lecture hall / Hörsaal 13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor David Wimmesberger (Universität Wien) "Mathematische Modelle in der Lebensversicherung" For further details see http://www.mat.univie.ac.at/~mfulmek/kobm2018.shtml ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 12.4.2018, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red area Christoph Kühn (Johann Wolfgang Goethe-Universität, DE) https://www.math.uni-frankfurt.de/~ismi/kuehn/ "How local in time is the no-arbitrage property under capital gains taxes?" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

7 years, 2 months

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Announcement of a Habilitation Talk at University of Vienna ------------------------------------------------------------------------ We., 21.03.2018, 14:45-15:45, lecture hall HS 04 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, ground floor Christa Cuchiero (University of Vienna) http://www.mat.univie.ac.at/~cuchiero/ "Infinite dimensional affine and polynomial processes" (Public Habilitation Talk / Habilitationsvortrag) For further details (including abstracts) see https://mathematik.univie.ac.at/fileadmin/user_upload/f_mathematik/Vortraeg… ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 23.03.2018, 09:00, seminar room D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Cosimo-Andrea Munari (University of Zurich) http://www.bf.uzh.ch/cms/en/munari.cosimo-andrea.html "Existence, uniqueness and stability of optimal portfolios of eligible assets" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see https://www.wu.ac.at/en/statmath/research/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------ Vienna Graduate School of Finance (VGSF) ------------------------------------------------------------------------ Fr., 23.03.2018, 11:00, room D3.0.225 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor Evgeny Lyandres (Boston University) https://www.bu.edu/questrom/profile/evgeny-lyandres/ "Owners’ portfolio diversification and firm investment: Theory and evidence from private and public firms" (Finance Research Seminar) For further details (including abstracts) see http://www.vgsf.ac.at/events/finance-research-seminar/ To find the room on the WU Campus search for "D3.0.225" on: http://gis.wu.ac.at/?roomShow=D3.0.225 ------------------------------------------------------------------------

7 years, 3 months

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 15.03.2018, 16:30, seminar room DC rot 07, TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red area Matthias Meiners (University of Innsbruck) https://www.uibk.ac.at/mathematik/personal/meiners/ "Convergence of Biggins' martingales at complex parameters" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 16.03.2018, 09:00, seminar room D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Jin Ma (University of Southern California, USA) https://dornsife.usc.edu/jin-ma/ "Optimal Dividend and Investment Problems under Sparre Andersen Model" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see https://www.wu.ac.at/en/statmath/research/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 16.03.2018, 10:30, seminar room D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Andrzej Ruszczynski (Rutgers Business School, USA): http://www.rusz.rutgers.edu/ "Risk-Averse Control of Partially Observable Markov Systems" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see https://www.wu.ac.at/en/statmath/research/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------

7 years, 3 months

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ PDE Afternoon (former: DK Seminar) at University of Vienna ------------------------------------------------------------------------ Tu., 6.3.2018, 16:00-16:30, Hörsaal 11, Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Gudmund Pammer (DK@TU) https://tiss.tuwien.ac.at/person/252924.html "Monotonicity principles in distribution-constrained optimal stopping" (PDE Afternoon) For further details see http://npde.tuwien.ac.at/?open=StatSemSS18 ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 8.3.2018, 16:30, Philipp Grohs (University of Vienna) http://mat.univie.ac.at/~grohs/ "Approximation theory, Numerical Analysis and Deep Learning" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

7 years, 3 months

1
1

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Veranstaltungsreihe "Actuarial Modelling Club" ------------------------------------------------------------------------ Di., 13.02.2017, 16:30, Freihaus Hörsaal 8 (Nöbauer Hörsaal) TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 2.OG, gelber Bereich Klaus Wegenkittl (ERGO Versicherung) "PRIIP Basisinformationsblätter in der Lebensversicherung - Inhalt und Berechnungsmethoden" (Actuarial Modelling Club) Details zu Vortrag und _Anmeldung_ siehe: https://fam.tuwien.ac.at/vr/ ------------------------------------------------------------------------ Save the date: VCMF 2019 ------------------------------------------------------------------------ 2nd Vienna Congress on Mathematical Finance 2019 & VCMF Educational Workshop (jointly organised by TU Wien, University of Vienna and WU Vienna) WU Vienna, Monday-Friday, September 9-13, 2019 https://fam.tuwien.ac.at/vcmf2019/ ------------------------------------------------------------------------

7 years, 4 months

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ University of Vienna, Dept. of Statistics and Decision Support Systems ------------------------------------------------------------------------ Mo., 22.01.2018, 16:45, lecture hall HS 7 Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 1st floor Jean-Michel Zakoian (CREST, Paris) http://www.crest.fr/ses.php?user=3078 "Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models" (ISOR Colloquium) The seminar is preceded by tea and coffee with the speaker in the ISOR meeting room (6.511, 6th floor) at 16.15. For further details (including abstracts) see https://isor.univie.ac.at/colloquia-seminars/ ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 25.01.2018, 16:30, seminar room SR11 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Omar El-Euch (Univ. Pierre et Marie Curie - Paris 6) https://fr.linkedin.com/in/omar-el-euch-2a699746 "Multi-factor approximation of rough volatility models" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

7 years, 5 months

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ University of Vienna, Faculty of Mathematics ------------------------------------------------------------------------ We., 10.1.2018, 16:15-17:15, Sky Lounge Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor Mathieu Rosenbaum (Ecole Polytechnique) http://www.crest.fr/ses.php?user=3046 "Understanding the nature of volatility" (Mathematisches Kolloquium) 15:45 coffee & cake, Sky-Lounge bread & wine after the talk For further details (including abstracts) see http://mathematik.univie.ac.at/fileadmin/user_upload/f_mathematik/Vortraege… ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 11.01.2018, 16:30, seminar room SR11 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Matthias Meiners (University of Innsbruck) https://stochastics-mathematics.uibk.ac.at/index.php/staff/scientificstaff/… "Convergence of Biggins' martingales at complex parameters" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 12.01.2018, 09:00, seminar room D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Eric Finn Schaanning (ETH Zürich) https://www.math.ethz.ch/the-department/people.html?u=ericsc "Measuring systemic risk: The Indirect Contagion Index" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see https://www.wu.ac.at/en/statmath/research/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------ Oesterreichische Nationalbank ------------------------------------------------------------------------ Fr., 12.01.2018, 11:00, Veranstaltungssaal Österreichische Nationalbank, Otto-Wagner-Platz 3, 1090 Vienna Bernhard Haslhofer (Austrian Institute of Technology) http://bernhardhaslhofer.info/ "O Bitcoin, Where Art Thou? Insight into Large-Scale Transaction Graphs" OeNB Research seminar: https://www.oenb.at/en/Monetary-Policy/Research/research-seminars.html ------------------------------------------------------------------------

7 years, 5 months

1
1

upcoming talk (tomorrow/Wednesday)

by Sandra Trenovatz

------------------------------------------------------------------- Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------- Wednesday(!), 20.12.2017, 16:30, seminar room SR11 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Alexander Cox (University of Bath, UK) http://people.bath.ac.uk/mapamgc/ "Measure-value martingales (or martingale measures), and financial applications" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ -------------------------------------------------------------------

7 years, 6 months

1
0

talk tomorrow/Friday

by Sandra Trenovatz

------------------------------------------------------------------------ Vienna Graduate School of Finance (VGSF) ------------------------------------------------------------------------ Fr., 15.12.2017, 11:00, room D3.0.225 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor Jean-Pierre Zigrand (London School of Economics, UK) http://www.lse.ac.uk/Finance/People/Faculty/Zigrand "Systemic Risk and the Dynamics of Temporary Financial Networks" (Finance Research Seminar) For further details (including abstracts) see http://www.vgsf.ac.at/index.php?id=172 To find the room on the WU Campus search for "D3.0.225" on: http://gis.wu.ac.at/?roomShow=D3.0.225 ------------------------------------------------------------------------ Season's greetings and best wishes for the New Year from the FAM-ily (FAM @ TU Wien) http://fam.tuwien.ac.at/

7 years, 6 months

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ We., 13.12.2017, 12:30, seminar room D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Stefan Weber (Leibniz Universität Hannover, DE) https://www.stochastik.uni-hannover.de/weber.html "Pricing of Cyber Insurance Contracts in a Network Model" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see https://www.wu.ac.at/en/statmath/research/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------ TU Wien: Colloquium in Statistics and Mathematical Methods in Economics ------------------------------------------------------------------------ We., 13.12.2017, 16:30, seminar room DB gelb 05 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 5th floor, yellow area Martin Kerndler (TU Wien) http://www.econ.tuwien.ac.at/mkerndler/ "Contracting Frictions and Inefficient Layoffs of Older Workers" (Colloquium in Statistics and Mathematical Methods in Economics) For further details (including abstracts) see https://swm.tuwien.ac.at/colloquium.php ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 14.12.2017, 16:30, seminar room SR11 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Ilya Molchanov (University of Bern, CH) http://www.imsv.unibe.ch/about_us/staff/prof_dr_molchanov_ilya/ "The semigroup of metric measure spaces and its infinitely divisible measure" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ ------------------------------------------------------------------------ Save the date (next year) ------------------------------------------------------------------------ 7th Austrian Stochastics Days 2018 WU Vienna Thursday-Friday, September 13-14, 2018 ------------------------------------------------------------------------ Save the date (in two years) ------------------------------------------------------------------------ 2nd Vienna Congress on Mathematical Finance 2019 & VCMF Educational Workshop (jointly organised by TU Wien, University of Vienna and WU Vienna) WU Vienna Monday-Friday, September 9-13, 2019(!) ------------------------------------------------------------------------

7 years, 6 months

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Announcement of a Habilitation Talk at WU Wien ------------------------------------------------------------------------ Th., 07.12.2017, 14:00, Sitzungssaal 2 (AD.0.122) WU Wien, 1020, Welthandelsplatz 1, Building AD, ground floor Zehra Eksi (WU Wien) https://www.wu.ac.at/statmath/faculty-staff/faculty/zeksi/ "Continuous-time Partial Information Models in Finance: Inference and Applications" (Public Habilitation Talk / Habilitationskolloquium) To find the room on the WU Campus search for "AD.0.122" on: http://gis.wu.ac.at/?roomShow=AD.0.122 ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 07.12.2017, 16:30, seminar room SR11 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Tongseok Lim (University of Oxford, UK) https://www.maths.ox.ac.uk/people/tongseok.lim "Dual attainment problem for Martingale Optimal Transport" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

7 years, 6 months

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Announcement of Public PhD Thesis Defense at Univ. Wien ------------------------------------------------------------------------ Th., 30.11.2017, 10:00, Besprechungszimmer University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 9th floor Anastasiia Zalashko (University of Vienna) "Causal optimal transport: theory and applications" (Public PhD Thesis Defense) For further details (including abstracts) see http://mathematik.univie.ac.at/fileadmin/user_upload/f_mathematik/Vortraege… ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 30.11.2017, 16:30, seminar room SR11 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Julio Backhoff (TU Wien) https://sites.google.com/site/juliobackhoff/ "Martingale Benamou-Brenier: a probabilistic perspective" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ======================================================================== Additionally to talks of this week this time I refer to regular research seminars in Vienna, webpages with events announcements, mailing lists and further information. ------------------------------------------------------------------------ VS-MFP - Vienna Seminar in Mathematical Finance and Probability (FAM & MSTOCH @ TU Wien, MFP @ UniVie, StatMath @ WU Vienna) https://fam.tuwien.ac.at/vs-mfp/ Research Seminar - Statistics and Mathematics (Institute for Statistics and Mathematics, WU Vienna) https://www.wu.ac.at/en/statmath/research/resseminar/ Finance Research Seminar of the VGSF (Vienna Graduate School of Finance) http://www.vgsf.ac.at/events/finance-research-seminar/ Finance Brown Bag Seminar (Institute for Finance, Banking and Insurance, WU Wien, and VGSF) https://www.wu.ac.at/en/finance/research/brown-bag-seminar/ Brown Bag Seminar (Department of Finance, University of Vienna) http://finance.univie.ac.at/en/research/brown-bag-seminar/ ISOR Colloquium (Department of Statistics and Operations Research, University of Vienna) https://isor.univie.ac.at/colloquia-seminars/ OeNB Research Seminars (Oesterreichische Nationalbank) http://www.oenb.at/en/Monetary-Policy/Research/research-seminars.html SWM Colloqium (Statistics and Mathematical Methods in Economics, TU Wien) https://swm.tuwien.ac.at/colloquium.php WPI-Events (Wolfgang Pauli Institute, Vienna) http://www.wpi.ac.at/activities_view.php?s=event PDE Afternoon - former: DK Seminar (Doctoral Program Dissipation and Dispersion in Nonlinear PDEs) http://npde.tuwien.ac.at/?open=StatSem SFB5 Events (Special Research Program F65 "Taming Complexity in Partial Differential Systems) https://www.univie.ac.at/sfb65/public/events/ [current topics: Nonlinear Evolution PDEs, Stochastic Processes and Stochastic Differential Equations, Optimal Transportation] ESI Activities (Erwin Schrödinger Institute, Vienna) https://www.esi.ac.at/activities Continuing Professional Development (CPD) for actuaries [mainly german] (FAM @ TU Wien) https://fam.tuwien.ac.at/cpd/ Corresponding mailing list: https://fam.tuwien.ac.at/mailman/listinfo/fam-vr Vienna Finance Newsletter (VFN-L) ... is a mailing list for announcements of lectures, conferences (and more) about finance and economics with a focus on Vienna, Austria. https://fam.tuwien.ac.at/mailman/listinfo/vfn-l FAM-jobs - Job-offers in the area of Financial and Actuarial Mathematics in Austria http://fam.tuwien.ac.at/jobs/ Corresponding mailing list: https://fam.tuwien.ac.at/mailman/listinfo/fam-jobs ------------------------------------------------------------------------ You got this email because you are subscribed to the mailing list FAM-news. The FAM-news mailing list announces talks and events in the area of financial and actuarial mathematics of the Research Unit Financial and Actuarial Mathematics (FAM) at TU Wien and other departments, universities & institutions in Vienna. There is usually one email per week with the upcoming events. If you have new colleagues who might be interested in this weekly information please tell that they can subscribe (and unsubscribe) on their own: https://fam.tuwien.ac.at/mailman/listinfo/fam-news For any questions concerning the FAM-news mailing list please do not hesitate to contact me (Sandra Trenovatz <sandra(a)fam.tuwien.ac.at>). ------------------------------------------------------------------------

7 years, 7 months

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 17.11.2017, 09:00, room SR D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Johanna F. Ziegel (University of Bern, CH) http://www.imsv.unibe.ch/about_us/staff/prof_dr_ziegel_johanna_f/ "Elicitability and backtesting: Perspectives for banking regulation" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see https://www.wu.ac.at/en/statmath/research/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------

7 years, 7 months

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ TU Wien, Reserach Unit Computational Statistics ------------------------------------------------------------------------ Mo., 6.11.2017, 10:30, seminar room 107/1 TU Wien, 1040, Wiedner Hauptstr. 7, "Goldenes Lamm", 1st floor Tim Verdonck (KU Leuven) https://www.kuleuven.be/wieiswie/c/en/person/00071962 "Robust methods for claims reserving" For further details (including abstracts) see https://institute.tuwien.ac.at/fileadmin/t/compstat/upload/vortr_verdonck.p… ------------------------------------------------------------------------ University of Vienna, Dept. of Statistics and Decision Support Systems ------------------------------------------------------------------------ Mo., 6.11.2017, 16:45, lecture hall HS 7 Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 1st floor René Henrion (WIAS Berlin) http://www.wias-berlin.de/people/henrion/ "Probabilistic Constraints in infinite dimensions" (ISOR Colloquium) The seminar is preceded by tea and coffee with the speaker in the ISOR meeting room (6.511, 6th floor) at 16.15. For further details (including abstracts) see https://isor.univie.ac.at/colloquia-seminars/ ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 09.11.2017, 16:30, seminar room SR11 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Walter Schachermayer (University of Vienna) https://www.mat.univie.ac.at/~schachermayer/ "The amazing power of dimensional analysis: Quantifying market impact" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ TU Wien: 50 Years Statistics and Probability Theory ------------------------------------------------------------------------ Fr., 10.11.2017, 09:00-13:00, Festsaal (Festival Hall), Main Building of TU Wien, staircase 1, 1st floor, Karlsplatz 13, 1040 Wien "50 Years Statistics and Probability Theory" Organisers: Mathias Beiglböck (MSTOCH @ TU Wien) Efstathia Bura (ASTAT @ TU Wien) Peter Filzmoser (CSTAT @ TU Wien) Keynote Speakers: Prof. Max von Renesse (University of Leipzig) Prof. Peter Rousseeuw (KU Leuven) For further programm & registration(!) see http://cstat.tuwien.ac.at/filz/fest50/ or https://fam.tuwien.ac.at/events/temp/invitation50.pdf [Fast registration is highly appreciated.] ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 10.11.2017, 09:00, room SR D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Natesh S. Pillai (Harvard University, USA) http://www.people.fas.harvard.edu/~pillai/ "Bayesian Factor Models in High Dimensions" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see https://www.wu.ac.at/en/statmath/research/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------ Vienna Graduate School of Finance (VGSF) ------------------------------------------------------------------------ Fr., 10.11.2017, 11:00, room D3.0.225 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor David Lando (Copenhagen Business School) https://sf.cbs.dk/dlando "t.b.a." (Finance Research Seminar) For further details (including abstracts) see http://www.vgsf.ac.at/index.php?id=172 To find the room on the WU Campus search for "D3.0.225" on: http://gis.wu.ac.at/?roomShow=D3.0.225 ------------------------------------------------------------------------

7 years, 7 months

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 19.10.2017, 16:30, seminar room SR11 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Beatrice Acciaio (London School of Economics, UK) http://beatrice-acciaio.net/ "Dynamic Cournot-Nash equilibrium via non-anticipative optimal transport" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 20.10.2017, 09:00, room SR D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Josef Teichmann (ETH Zürich) https://people.math.ethz.ch/~jteichma/ "Machine Learning in Finance" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see https://www.wu.ac.at/en/statmath/research/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------

7 years, 8 months

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ FAM @ TU Wien: Lecture Series in Financial and Actuarial Mathematics ------------------------------------------------------------------------ Tu., 10.10.2017, 16:30, Böcklsaal TU Wien, 1040, Karlsplatz 13, Hauptgebäude, Stiege 1, 1. Stock Sabrina Mulinacci (University of Bologna, IT) https://www.unibo.it/sitoweb/sabrina.mulinacci/ "Generalizations of the Marshall-Olkin distribution and applications" (Vortragsreihe in Finanz- und Versicherungsmathematik) Due to limited space we ask for registration! For further details (including abstracts) see: https://fam.tuwien.ac.at/vr/ ------------------------------------------------------------------------ TU Wien: Colloquium in Statistics and Mathematical Methods in Economics ------------------------------------------------------------------------ We., 11.10.2017, 16:30, seminar room DB gelb 04 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, yellow area Sabrina Mulinacci (University of Bologna, IT) https://www.unibo.it/sitoweb/sabrina.mulinacci/ "C-convolution based stochastic processes in discrete time and financial prices dynamics" (Colloquium in Statistics and Mathematical Methods in Economics) For further details (including abstracts) see https://swm.tuwien.ac.at/colloquium.php ------------------------------------------------------------------------ TU Wien: Colloquium in Statistics and Mathematical Methods in Economics ------------------------------------------------------------------------ Th., 12.10.2017, 10:00, lecture hall FH Hörsaal 7 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow area Hannu Oja (University of Turku, FI) http://users.utu.fi/hfvoja/ "Independent component analysis using third and fourth cumulants" (Colloquium in Statistics and Mathematical Methods in Economics) For further details (including abstracts) see https://swm.tuwien.ac.at/colloquium.php ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 12.10.2017, 16:30, seminar room SR11 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Gaoyue Guo (University of Oxford, UK) https://www.maths.ox.ac.uk/people/gaoyue.guo "Numerical computation of martingale optimal transportation" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Recruitment talks for professorhip 'Stochastics' at Univ. of Vienna ------------------------------------------------------------------------ Fr., 13.10.2017 - Di., 19.10.2017, Sky Lounge University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 12th floor Hendrik Weber (Univ. of Warwick) Mykhaylo Shkolnikov (Princeton) Vadim Kaloshin (University of Maryland) Nicolas Perkowski (Humboldt-Universität zu Berlin) For all details including abstracts see https://mathematik.univie.ac.at/fileadmin/user_upload/f_mathematik/Vortraeg… ------------------------------------------------------------------------

7 years, 8 months

1
1

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 05.10.2017, 16:30, seminar room SR11 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Oleg I. Klesov and Elena Timoshenko (National Technical University of Ukraine) http://matan.kpi.ua/en/people/klesov/ "Generalized renewal processes with applications to stochastic differential equations" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 6.10.2017, 09:00, seminar room D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Efstathia Bura (TU Wien) http://astat.tuwien.ac.at/bura/ "Near-equivalence in Forecasting Accuracy of Linear Dimension Reduction Methods in Large Panels of Macro-variables" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see https://www.wu.ac.at/en/statmath/research/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ======================================================================== A week later ... ======================================================================== FAM @ TU Wien: Lecture Series in Financial and Actuarial Mathematics ------------------------------------------------------------------------ Tu., 10.10.2017, 16:30, Seminarraum DB gelb 03 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 3rd floor, yellow section Sabrina Mulinacci (University of Bologna, IT) https://www.unibo.it/sitoweb/sabrina.mulinacci/ "Generalizations of the Marshall-Olkin distribution and applications" (Vortragsreihe in Finanz- und Versicherungsmathematik) Due to limited space we ask for registration! For further details (including abstracts) see: https://fam.tuwien.ac.at/vr/ ------------------------------------------------------------------------ Erwin Schrödinger Int. Institute for Mathematics and Physics (ESI) ------------------------------------------------------------------------ Mo.-Fr., October 9-13, 2017, ESI, Boltzmanngasse 9, 1090 Wien Workshop 2 - Tractability of high dimensional problems A few of the talks might be interesting for people in the area of financial mathematics, e.g., David Krieg "Optimal Monte Carlo Methods for L2-Approximation" (10.10.2017, 16:00-16:30) Michaela Szölgyenyi "Strong convergence of the Euler-Maruyama scheme for SDEs with discontinuous drift" (11.10.2017, 10:30-11:00) Andreas Neuenkirch "An adaptive Euler scheme for SDEs with discontinuous drift coefficients" (11.10.2017, 11:00-11:30) Arnulf Jentzen "Stochastic approximation algorithms for second-order parabolic partial differential equations" (12.10.2017, 11:30-12:00) Paweł Przybyłowicz "Recent developments in optimal global approximation of solutions of jump-diffusion SDEs" (12.10.2017, 16:00-16:30) For program (all talks) please see: https://esi2017.wordpress.com/participants-workshop-2/ There is no official registration, but due to limited space we suggest to write an email to secr(a)esi.ac.at and tell which talk(s) you will attend. ------------------------------------------------------------------------

7 years, 9 months

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ WU Wien, Institute for Finance, Banking and Insurance ------------------------------------------------------------------------ Mo., 18.09.2017, 16:00-17:15, 12:00, room D4.0.039 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor Lasse H. Pedersen (Copenhagen Business School) http://www.lhpedersen.com/ "Efficiently Inefficient Markets for Assets and Asset Management" (Finance Brown Bag Seminar) For further details (including abstracts) see https://www.wu.ac.at/en/finance/research/brown-bag-seminar/ To find the room on the WU Campus search for "D4.0.039" on: http://gis.wu.ac.at/?roomShow=D4.0.039 ------------------------------------------------------------------------ University of Vienna, guest of W. Schachermayer ------------------------------------------------------------------------ Tu., 19.09.2017, 16:30, 'Besprechungszimmer 2' University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Mikio Kato (Kyushu Institute of Technology, JP) https://www.researchgate.net/profile/Mikio_Kato "Some inequalities in the Banach space geometry" For abstract see http://mathematik.univie.ac.at/fileadmin/user_upload/f_mathematik/Vortraege… ------------------------------------------------------------------------ Recruitment talks for professorhip 'Stochastics' at Univ. of Vienna ------------------------------------------------------------------------ We., 20.9.2017 - Fr., 22.9.2017, 'Dekanatsbesprechungszimmer' University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 11th floor Noam Berger (TU München) Nathanaël Berestycki (University of Cambridge) Andreas Kyprianou (University of Bath) Erika Hausenblas (Montanuniversität Leoben) Martina Hofmanová (TU Berlin) For all details including abstracts see https://mathematik.univie.ac.at/fileadmin/user_upload/f_mathematik/Vortraeg… ------------------------------------------------------------------------ TU Wien, "Actuarial Modelling Club" (nächste Woche - U.A.w.g.) ------------------------------------------------------------------------ Di., 26.9.2017, 16:30, Freihaus Hörsaal 8 (Nöbauer Hörsaal) TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 2.OG, gelber Bereich Marc Linde (BELTIOS P&C GmbH, Köln) "Erfahrungen mit der versicherungsmathematischen Funktion in Schaden/Unfall" (Actuarial Modelling Club) Details zu Vortrag und Anmeldung siehe: https://fam.tuwien.ac.at/vr/20170926.php ------------------------------------------------------------------------

7 years, 9 months

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ We., 19.7.2017, 11:00-12:00, seminar room DB gelb 04 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, yellow section, 4th floor Peter Friz (TU Berlin, DE) http://page.math.tu-berlin.de/~friz/ "General semimartingales and rough paths" [The talk is intended to be a rough paths teaser for non-specialists] (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

7 years, 11 months

1
0

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 29.6.2017, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section Elisa Alos (Universitat Pompeu Fabra, Barcelona, ES) https://econ.upf.edu/es/entry/-/-/11640/403/elisa-al%C3%B2s "On the relationship between implied volatilities and volatility swaps: a Malliavin calculus approach" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 29.6.2017, 17:15, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section Ramin Okhrati (University of Southampton, GB) http://www.southampton.ac.uk/maths/about/staff/ro1d12.page "Hedging of defaultable securities under partial asset observation" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

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