-----------------------------------------------------
Vienna Congress on Mathematical Finance (VCMF 2019)
Mon-Wed, September 9-11, 2019
VCMF Educational Workshop
Thu-Fri, September 12-13, 2019
https://fam.tuwien.ac.at/vcmf2019/
-----------------------------------------------------
*Deadline approaching:*
Standard registration ends on August 25, 2019
(from August 26, 2019, late registration fee applies):
https://fam.tuwien.ac.at/vcmf2019/registration.php
-----------------------------------------------------
The second Vienna Congress on Mathematical Finance (VCMF 2019) will be
held from September 9-11, 2019, once again at the new campus of WU
Vienna. The conference will bring together leading experts from various
fields of Mathematical Finance such as:
- Computational Methods and Machine Learning
- Credit Risk and Systemic Risk
- Limit Order Book and High Frequency Trading
- Markets with Frictions and Large Trader Models
- New Financial Markets (Cryptocurrencies,
Electricity, Energy, Securitization)
- Risk Measures and Optimization (Portfolio Optimisation,
Risk Allocation, Risk Aggregation)
- Robust Finance
- Stochastic and Rough Volatility
The conference program will feature plenary lectures, parallel sessions
with invited and contributed talks as well as poster sessions. Moreover,
there will be an attractive social program.
In the framework of a Panel Discussion (September 9, 2019) on the topic
"The big data revolution in mathematical finance" we offer the
conference participants a platform for discussions with a number of
renowned experts.
The conference is followed by a two-day Educational Workshop on
September 12 and 13, 2019, with lectures by internationally recognized
experts that will be a great learning opportunity in particular for
younger scientists.
The VCMF 2019 follows the successful previous edition, VCMF 2016, with
240 attendees, 83 talks and 28 poster presentations.
For further information including details on plenary and invited
speakers see the conference homepage at
https://fam.tuwien.ac.at/vcmf2019/
We are looking forward to meeting you in September in Vienna!
With kind regards from the VCMF 2019 organisers,
Mathias Beiglböck, Rüdiger Frey, Stefan Gerhold,
Friedrich Hubalek, Irene Klein, Thorsten Rheinländer,
Birgit Rudloff, Walter Schachermayer, Uwe Schmock
-----------------------------------------------------
Location:
Campus of WU Wien
Welthandelsplatz 1, 1020 Vienna/Wien, Austria
Organized by:
WU Vienna - Vienna University of Economics & Business
TU Wien - Vienna University of Technology
University of Vienna
Wolfgang Pauli Institute (WPI) Vienna
Gold Sponsor:
Raiffeisen Bank International (RBI)
BAWAG P.S.K.
Silver Sponsor:
B&W Deloitte
EnergieAllianz Austria (EAA)
EY
Meyerthole Siems Kohlruss
UNIQA Insurance Group
Plenary Speakers...
at the Congress:
- Beatrice Acciaio (London School of Economics)
- Fred Espen Benth (University of Oslo)
- Bruno Bouchard (Université Paris-Dauphine)
- Christa Cuchiero (WU Vienna)
- Paul Embrechts (ETH Zurich)
- Antoine Jacquier (Imperial College London)
- Sebastian Jaimungal (University of Toronto)
- Walter Schachermayer (University of Vienna)
at the Educational Workshop:
- Julien Guyon (Bloomberg, Columbia Univ., New York Univ.)
- Huyên Pham (University Paris VII Diderot)
- Josef Teichmann (ETH Zurich)
- Luitgard A. M. Veraart (London School of Economics)
Invited Speakers at the Congress:
- Emmanuel Bacry (École Polytechnique and Université Paris-Dauphine)
- Peter Bank (TU Berlin)
- Zachary Feinstein (Washington University in St. Louis)
- Damir Filipovic (EPFL and Swiss Finance Institute)
- Kathrin Glau (Queen Mary University of London)
- Archil Gulisashvili (Ohio University)
- Julien Guyon (Bloomberg, Columbia Univ., New York Univ.)
- Nikolaus Hautsch (University of Vienna)
- Blanka Horvath (King's College and Imperial College London)
- Ying Jiao (Université Claude Bernard Lyon 1)
- Sigrid Källblad (KTH Royal Institute of Technology)
- Eyal Neuman (Imperial College London)
- Marcel Nutz (Columbia University)
- Miklos Rasonyi (Alfred Renyi Institute of Mathematics)
- Nizar Touzi (École Polytechnique)
- Luitgard A. M. Veraart (London School of Economics)
https://fam.tuwien.ac.at/vcmf2019/speakers.php
Additionally on the first day of the congress there will be a panel
discussion with the title:
"The big data revolution in mathematical finance"
For further details see the program:
https://fam.tuwien.ac.at/vcmf2019/program.php
Registration:
Standard registration is possible until August 25, 2019.
From August 26, 2019, late registration fee applies.
https://fam.tuwien.ac.at/vcmf2019/registration.php
CPD:
The attendance at VCMF 2019 (full week, Sept. 9-13, 2019)
may qualify for up to 30 CPD credits for those delegates
whose national actuarial organization's CPD requirements
recognize VCMF 2019.
18 CPD credits for VCMF Congress (Sep 9-11) and
12 CPD credits for VCMF Educational Workshop (Sep 12-13).
VCMF 2019 is accredited by the AVÖ - Actuarial Assoc. of Austria.
For any requests, do not hesitate to write an e-mail to the conference &
workshop secretariat: vcmf2019(a)fam.tuwien.ac.at
---
"Le congrès danse beaucoup, mais il ne marche pas."
("The congress does not move forward, it dances.")
Prince Charles de Ligne’s famous words
at the Congress of Vienna (1814-1815)
-----------------------------------------------------
Sorry for the late announcement:
------------------------------------------------------------------------
IST Austria: Rough Paths
------------------------------------------------------------------------
Th./Fr., 04. & 05.07.2019, 10:15–11:45, Heinzel Seminar Room
IST Austria, Office Bldg West (I21.EG.101)
Peter Friz (TU Berlin, Germany)
http://page.math.tu-berlin.de/~friz/
Mini-course consisting of two sessions:
"Rough paths, Rough volatility and Regularity Structures"
Day #1 (https://talks-calendar.app.ist.ac.at/generate_invitation/2024):
The lecture is loosely based on the book [F-Hairer, Course on Rough
Paths, with an Introduction to Regularity Structures, Springer 2014] but
I will aim for a balance between introductory/standard material and
advanced topics taken from the 2nd edition (in preparation), hopefully
making the talk accessible to a diverse audience. Among the new material
I will introduce the rough volatility model from quantitative finance as
simple (but not too simple) example of a regularity structures that
exhibits many features also seen in the analysis of singular stochastic
partial differential equations like KPZ.
Day#2 (https://talks-calendar.app.ist.ac.at/generate_invitation/2025):
There will be some flexibility, and I am happy to cater to interests of
the audience. Possible topics include: Rough semimartingales, rough
paths with jumps, applications (of rough paths and regularitystructures)
to large deviations and Laplace method, applications to Multiscale
Systems, Homogenization.
With a printout of the invitations (see links above) you can use the
shuttle between Heiligenstadt and IST Austria for free.
(https://ist.ac.at/de/campus/anreise/)
------------------------------------------------------------------------
VCMF 2019 - Vienna Congress on Mathematical Finance...
------------------------------------------------------------------------
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/
*The early registration was prolonged until July 6, 2019.*
------------------------------------------------------------------------
To Whom it May Concern,
the TU Wien (FAM - Financial and Actuarial Mathematics), WU Vienna,
University of Vienna as well as the Wolfgang Pauli Institute jointly
organise the international event *VCMF 2019*:
Vienna Congress on Mathematical Finance
Mon-Wed, 9-11 September 2019
VCMF Educational Workshop
Thu-Fri, 12-13 September 2019
https://fam.tuwien.ac.at/vcmf2019/
*End of Early Registration:*
Reduced registration fee applies until 30 June 2019:
https://fam.tuwien.ac.at/vcmf2019/registration.php
*Abstracts:*
For the VCMF Educational Workshop all abstracts are online, for the VCMF
Conference the first abstracts are available. See:
https://fam.tuwien.ac.at/vcmf2019/program.php
*"START-Preis":*
Christa Cuchiero - plenary speaker of the VCMF Conferende as well as
(former) employee of TU Wien, University of Vienna and WU Vienna -
received the "START-Preis" of the Austrian Science Fund (FWF). This is
the highest Austrian award for young scientists of any discipline - the
recipients are selected by an international jury of experts. See:
https://fam.tuwien.ac.at/vcmf2019/news.php
*Vienna City Hall:*
The Conference Dinner takes place in the Vienna City Hall - same a the
Vienna Ball of Sciences or the worldwide renowned Life Ball. After the
delicious dinner participants can dance - true to the motto of the VCMF
event: "Mu and Sigma waltzing the Congress":
https://fam.tuwien.ac.at/vcmf2019/mu_sigma.php
With best regards,
Sandra
VCMF 2019 Conference & Workshop Secretariat
Katrin Artner and Sandra Trenovatz
+---------------------
|
| VCMF 2019 - Vienna, Austria
|
| Vienna Congress on Mathematical Finance
| Mon-Wed, September 9-11, 2019
|
| VCMF Educational Workshop
| Thu-Fri, September 12-13, 2019
|
| https://fam.tuwien.ac.at/vcmf2019/
|
+-------------------------------------------------
------------------------------------------------------------------------
Announcement of a Habilitation Talk at TU Wien
------------------------------------------------------------------------
Tu., 18.06.2019, 09:30, seminar room DA gelb 05a
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, yellow area, 5th floor
Julia Eisenberg (TU Wien, Univ. Liverpool)
https://fam.tuwien.ac.at/~jeisenbe/
"A new approach for satisfactory pensions with no guarantees"
(Public Habilitation Talk / Habilitationskolloquium)
For further details (including abstracts) see
http://fam.tuwien.ac.at/contact/temp/Habilkolloquium_Eisenberg.pdf
------------------------------------------------------------------------
Universität Wien - Fachvortrag und Fallbeispiel aus der Beratungspraxis
------------------------------------------------------------------------
Tu., 18.06.2019, 17:30 c.t., Sky Lounge
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Ferdinand Graf (d-fine)
"Künstliche Intelligenz in der Praxis"
David Haberfellner (d-fine)
"Kapitalmarkt und Ordermanagement"
(Mathematik in derUnternehmensberatung -
Fachvortrag und Fallbeispiel aus der Beratungspraxis)
Ausklang des Abends mit Snacks und Getränken.
For further details (including abstracts) see
http://fam.tuwien.ac.at/contact/temp/20190618_dfine.pdf
------------------------------------------------------------------------
Veranstaltungsreihe "Actuarial Modelling Club"
------------------------------------------------------------------------
Mo., 24.06.2019, 17:00, lecture hall 6
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 2nd floor, green area
Frank Schiller (Munich Re, DE)
"Moderne Life-Style Produkte in der Lebensversicherung
mit Big Data und Machine Learning"
(Actuarial Modelling Club)
For further details (including abstracts) and *registration* see
https://fam.tuwien.ac.at/vr/
------------------------------------------------------------------------
------------------------------------------------------------------------
Veranstaltungsreihe "Actuarial Modelling Club"
------------------------------------------------------------------------
We., 12.06.2019, 17:00, lecture hall 5
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 2nd floor, green area
Jan-Philip Gamp, Ehsan Ayatollahi (Milliman, DE)
"IFRS17 - unterschiedliche Bewertungsansätze
in der Lebensversicherung"
(Actuarial Modelling Club)
For further details (including abstracts) and *registration* see
https://fam.tuwien.ac.at/vr/
------------------------------------------------------------------------
Vienna Graduate School of Finance (VGSF)
------------------------------------------------------------------------
Th., 13.6.2019, 11:00-12:30, room D3.0.233
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor
Dimitri Vayanos (London School of Economics)
http://www.lse.ac.uk/Finance/People/Faculty/Vayanos
"Asset Management Contracts and Equilibrium Prices"
(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 "D3.0.233" on:
http://gis.wu.ac.at/?roomShow=D3.0.233
------------------------------------------------------------------------
Announcement of a Habilitation Talk at TU Wien
------------------------------------------------------------------------
Tu., 18.06.2019, 09:30, seminar room DA gelb 05a
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, yellow area, 5th floor
Julia Eisenberg (TU Wien, Univ. Liverpool)
https://fam.tuwien.ac.at/~jeisenbe/
"A new approach for satisfactory pensions with no guarantees"
(Public Habilitation Talk / Habilitationskolloquium)
For further details (including abstracts) see
http://fam.tuwien.ac.at/contact/temp/Habilkolloquium_Eisenberg.pdf
------------------------------------------------------------------------
------------------------------------------------------------------------
Workshop 2 of the Thematic Program "Optimal Transport"
------------------------------------------------------------------------
Mo.-Fr, 03.- 07.05.2109, Boltzmann Lecture Hall, 2nd floor
Uni Wien / ESI, 1090 Wien, Boltzmanngasse 9/2
Workshop 2: Optimal Transport in Analysis and Probability
For further details (including abstracts) see
https://www.esi.ac.at/activities/events/2019/optimal-transport
- - - - - - - - - - - - - - -
To mention one of the talks:
- - - - - - - - - - - - - - -
Mo., 03.05.2109, 15:00-15:45:
Sigrid Källblad (KTH Stockholm)
"Stochastic control of measure-valued martingales
with applications to robust finance"
------------------------------------------------------------------------
Vienna Graduate School of Finance (VGSF)
------------------------------------------------------------------------
Fr., 07.06.2019, 11:00, room D3.0.225
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor
Robert Korajczyk (Northwestern University)
https://www.kellogg.northwestern.edu/faculty/directory/korajczyk_robert.aspx
"Arbitrage Portfolios"
(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
------------------------------------------------------------------------
Veranstaltungsreihe "Actuarial Modelling Club"
------------------------------------------------------------------------
We., 12.06.2019, 17:00, lecture hall 5
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 2nd floor, green area
Jan-Philip Gamp, Ehsan Ayatollahi (Milliman, DE)
"IFRS17 - unterschiedliche Bewertungsansätze
in der Lebensversicherung"
(Actuarial Modelling Club)
For further details (including abstracts) and *registration* see
https://fam.tuwien.ac.at/vr/
------------------------------------------------------------------------
Veranstaltungsreihe "Actuarial Modelling Club"
------------------------------------------------------------------------
Tu., 24.06.2019, 17:00, lecture hall 6
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 2nd floor, green area
Frank Schiller (Munich Re, DE)
"Moderne Life-Style Produkte in der Lebensversicherung
mit Big Data und Machine Learning"
(Actuarial Modelling Club)
For further details (including abstracts) and *registration* see
https://fam.tuwien.ac.at/vr/
------------------------------------------------------------------------
------------------------------------------------------------------------
Announcement of Public PhD Thesis Defense at University of Vienna
------------------------------------------------------------------------
Friday, 17.05.2019, Besprechungszimmer / meeting room 9th floor
Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1
12:30:
Annemarie Grass (Univ. Vienna)
"Multimarginal Solutions to the Skorokhod Embedding Problem
and the Information Paradox in Robust Mathematical Finance"
(Public PhD Thesis Defense)
13:00:
Manuel Eder (Univ. Vienna)
"A synthetic view on stochastic processes"
(Public PhD Thesis Defense)
------------------------------------------------------------------------
VCMF 2019 - Submissions possible until Saturday, May 18, 2019
------------------------------------------------------------------------
Vienna Congress on Mathematical Finance
& VCMF Educational Workshop
Vienna, September 9-13, 2019
https://fam.tuwien.ac.at/vcmf2019/
The submission deadline for contributed talks & posters
is Saturday, May 18, 2019.
https://fam.tuwien.ac.at/vcmf2019/registration.php
------------------------------------------------------------------------
WU Wien, Institute for Statistics and Mathematics
------------------------------------------------------------------------
Fr., 24.05.2019, 09:00, seminar room D4.4.008
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor
Katia Colaneri (University of Leeds, UK)
https://physicalsciences.leeds.ac.uk/staff/1491/dr-katia-colaneri
"A class of recursive optimal stopping problems
with an application to stock trading"
(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 Finance, Banking and Insurance
------------------------------------------------------------------------
Mo., 13.5.2019, 12:00, room D4.0.019
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor
Steven Baker (University of Virginia)
https://www.commerce.virginia.edu/faculty/baker
"Asset Prices and Portfolios with Externalities"
(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 "D4.0.019" on:
http://gis.wu.ac.at/?roomShow=D4.0.019
------------------------------------------------------------------------
------------------------------------------------------------------------
WU Wien, Institute for Finance, Banking and Insurance
------------------------------------------------------------------------
We., 08.05.2019, 11:00, room D4.4.008
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor
Leopold Sögner (IHS)
https://www.ihs.ac.at/de/personen/leopold-soegner/
"Optimal High-Risk Investment"
(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
------------------------------------------------------------------------
VCMF 2019 - Extended Submission Deadline
------------------------------------------------------------------------
2nd Vienna Congress on Mathematical Finance 2019
& VCMF Educational Workshop
(jointly organised by WU Wien, TU Wien, University of Vienna and WPI)
WU Vienna, Mon-Fri, September 9-13, 2019
https://fam.tuwien.ac.at/vcmf2019/
***UPDATE:***
The submission deadline for contributed talks & posters
is extended until Saturday, May 18, 2019.
https://fam.tuwien.ac.at/vcmf2019/registration.php
------------------------------------------------------------------------
------------------------------------------------------------------------
Joint Seminar: TU Wien, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 18.04.2019, 15:45, Boltzmann Lecture Hall, 2nd floor
Uni Wien / ESI, 1090 Wien, Boltzmanngasse 9/2
Josef Teichmann (ETH Zurich, CH)
https://people.math.ethz.ch/~jteichma/
"Machine Learning in Finance"
(Vienna Seminar in Mathematical Finance and Probability)
Please note that time & place is different as usual!
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
This talk is also part of the thematic program "Optimal Transport" - see
below.
------------------------------------------------------------------------
Thematic Program "Optimal Transport"
------------------------------------------------------------------------
Th., 18.04.2019, 13:45-16:45, Boltzmann Lecture Hall, 2nd floor
Uni Wien / ESI, 1090 Wien, Boltzmanngasse 9/2
Eric Carlen (Rutgers Univ.)
"Brascamp Lieb inequalities for fermions
and non-commutative mass transport"
Yvain Bruned (Univ. of Edinburgh)
"Geometric Stochastic Heat Equations"
Josef Teichmann (ETH Zürich)
"Machine Learning in Finance"
Th., 25.04.2019, 15:45-16:45, Boltzmann Lecture Hall, 2nd floor
Uni Wien / ESI, 1090 Wien, Boltzmanngasse 9/2
Mathieu Lewin (CNRS & Univ. Paris-Dauphine)
"Optimal Transport and Density Functional Theory"
May 6-10: Introductory School on Optimal Transport
May 13-17: Workshop 1: Optimal Transport: from Geometry to Numerics
June 3-7: Workshop 2: Optimal Transport in Analysis and Probability
For further details (including abstracts) see
https://www.esi.ac.at/activities/events/2019/optimal-transport
------------------------------------------------------------------------
------------------------------------------------------------------------
WU Wien, Institute for Statistics and Mathematics
------------------------------------------------------------------------
Fr., 12.4.2019, 09:00, seminar room D4.4.008
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor
Michaela Szölgyenyi (University of Klagenfurt)
https://www.aau.at/en/statistics/team/szoelgyenyi-michaela/
"Convergence order of Euler-type schemes for SDEs
in dependence of the Sobolev regularity of the drift"
(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
------------------------------------------------------------------------
------------------------------------------------------------------------
Joint Seminar: TU Wien, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 4.4.2019, 16:15(!), seminar room DC rot 07
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red area
Hanna Wutte (ETH Zurich)
https://www.math.ethz.ch/the-department/people.html?u=hwutte
"Randomized shallow neural networks
and their use in understanding gradient descent"
(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., 5.4.2019, 09:00, seminar room D4.4.008
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor
Nadja Klein (School of Business and Economics, HU Berlin)
http://www.wiwi.hu-berlin.de/de/professuren/vwl/statistik/members/personalp…
"Implicit Copulas from Bayesian Regularized Regression Smoothers"
(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 City Marathon
------------------------------------------------------------------------
Sunday, 7.4.2019, 9:xx - 13:yy, 42.195 km through Vienna,
at the relay category this is: 15.5 + 6.0 + 9.3 + 11.395 km.
FAM starts with 4 relay teams:
FAM@TU speed measure
FAM@TU random walk
FAM@TU expected shortfall
FAM@TU no free lunch
You are welcome to cheer for us :-)
For further details - especially the results afterwards - see
https://www.vienna-marathon.com/
------------------------------------------------------------------------
-----------------------------------------------------
VCMF 2019 - Vienna, Austria
Vienna Congress on Mathematical Finance
Mon-Wed, September 9-11, 2019
VCMF Educational Workshop
Thu-Fri, September 12-13, 2019
https://fam.tuwien.ac.at/vcmf2019/
-----------------------------------------------------
To Whom it May Concern,
The second Vienna Congress on Mathematical Finance (VCMF 2019) will be
held from September 9-11, 2019, once again at the new campus of WU
Vienna. The conference will bring together leading experts from various
fields of Mathematical Finance such as:
- Computational Methods and Machine Learning
- Credit Risk and Systemic Risk
- Limit Order Book and High Frequency Trading
- Markets with Frictions and Large Trader Models
- New Financial Markets (Cryptocurrencies,
Electricity, Energy, Securitization)
- Risk Measures and Optimization (Portfolio Optimisation,
Risk Allocation, Risk Aggregation)
- Robust Finance
- Stochastic and Rough Volatility
The conference program will feature plenary lectures, parallel sessions
with invited and contributed talks as well as poster sessions. Moreover,
there will be an attractive social program.
The conference is followed by a two-day Educational Workshop on
September 12 and 13, 2019, with lectures by internationally recognized
experts that will be a great learning opportunity in particular for
younger scientists.
The VCMF 2019 follows the successful previous edition, VCMF 2016, with
240 attendees, 83 talks and 28 poster presentations.
For further information including details on plenary and invited
speakers invited see the conference homepage at
https://fam.tuwien.ac.at/vcmf2019/
Submission and Registration is open:
https://fam.tuwien.ac.at/vcmf2019/registration.php
We are looking forward to meeting you in September in Vienna!
With kind regards from the VCMF 2019 organisers,
Mathias Beiglböck, Rüdiger Frey, Stefan Gerhold,
Friedrich Hubalek, Irene Klein, Thorsten Rheinländer,
Birgit Rudloff, Walter Schachermayer, Uwe Schmock
-----------------------------------------------------
Location:
Campus of WU Wien
Welthandelsplatz 1, 1020 Vienna/Wien, Austria
Organized by:
WU Vienna - Vienna University of Economics & Business
TU Wien - Vienna University of Technology
University of Vienna
Gold Sponsor:
Raiffeisen Bank International
(further sponsors are welcome)
Plenary Speakers...
at the Congress:
- Beatrice Acciaio (London School of Economics)
- Fred Espen Benth (University of Oslo)
- Christa Cuchiero (WU Vienna)
- Paul Embrechts (ETH Zurich)
- Antoine Jacquier (Imperial College London)
- Sebastian Jaimungal (University of Toronto)
- Johannes Muhle-Karbe (Imperial College London)
at the Educational Workshop:
- Julien Guyon (Bloomberg, Columbia Univ., New York Univ.)
- Huyên Pham (University Paris VII Diderot)
- Josef Teichmann (ETH Zurich)
- Luitgard A. M. Veraart (London School of Economics)
Invited Speakers at the Congress:
- Emmanuel Bacry (Ecole Polytechnique and Université Paris-Dauphine)
- Damir Filipovic (L'Ecole Polytechnique Fédérale de Lausanne)
- Kathrin Glau (Queen Mary University of London)
- Archil Gulisashvili (Ohio University)
- Julien Guyon (Bloomberg, Columbia Univ., New York Univ.)
- Nikolaus Hautsch (University of Vienna)
- Blanka Horvath (King's College and Imperial College London)
- Ying Jiao (Université Claude Bernard Lyon 1)
- Sigrid Källblad (KTH Royal Institute of Technology)
- Marcel Nutz (Columbia University)
- Luitgard A. M. Veraart (London School of Economics)
- further speakers t.b.a.
https://fam.tuwien.ac.at/vcmf2019/speakers.php
Additionally on the first day of the congress there will be a panel
discussion with the title:
"The big data revolution in mathematical finance"
Panellists:
- Nikolaus Hautsch
Professor of Finance and Statistics
of University of Vienna
- Jonas Hirz
BELTIOS GmbH (Austria) and
Head of the Data Science Section of
the Actuarial Association of Austria (AVÖ)
- further Panellists t.b.a.
Moderator:
- Josef Teichmann
Full Professor of Financial Mathematics, ETH Zürich
For further details see the program:
https://fam.tuwien.ac.at/vcmf2019/program.php
Important dates and deadlines:
Submission:
The call for contributed talks & posters
is open until April 30, 2019.
Acceptance/rejection letters will be sent
end of May 2019 (June 7, 2019 at the latest).
Registration:
Early registration is possible until June 30, 2019.
Registration is possible until August 15, 2019.
Submission and Registration:
https://fam.tuwien.ac.at/vcmf2019/registration.php
CPD:
The attendance at VCMF 2019 (full week, Sept. 9-13, 2019)
may qualify for up to 30 CPD credits for those delegates
whose national actuarial organization's CPD requirements
recognize VCMF 2019.
18 CPD credits for VCMF Congress (Sep 9-11) and
12 CPD credits for VCMF Educational Workshop (Sep 12-13).
VCMF 2019 is accredited by the AVÖ - Actuarial Association of Austria.
For any requests, do not hesitate to write an e-mail to the conference &
workshop secretariat: vcmf2019(a)fam.tuwien.ac.at
---
"Le congrès danse beaucoup, mais il ne marche pas."
("The congress does not move forward, it dances.")
Prince Charles de Ligne’s famous words at the Congress of Vienna (1814-1815)
-----------------------------------------------------
To Whom it May Concern,
additionally to a talk this week we announce a few events of research
and cooperation partners as well as the "Vienna Congress on Mathematical
Finance (VCMF 2019)" co-organised by FAM @ TU Wien.
Best wishes, Sandra (Trenovatz)
------------------------------------------------------------------------
Veranstaltungsreihe "Actuarial Modelling Club"
------------------------------------------------------------------------
Th., 21.3.2019, 17:00, Freihaus Hörsaal 5
TU Wien, 1040, Wiedner Hauptstraße 8-10 , 2. Stock, grüner Bereich
Dr. Gerold Petritsch (EVN)
"Über den aktuariellen Tellerrand hinaus:
Data Science als Erfolgsfaktor in der Energiewirtschaft"
(Actuarial Modelling Club)
For further details (including abstracts) and registration see
https://fam.tuwien.ac.at/vr/
------------------------------------------------------------------------
------------------------------------------------------------------------
MathFinance - Frankfurt, April 2019
------------------------------------------------------------------------
MathFinance Conference
Frankfurt, April 8-9, 2019
MathFinance hosts the annual Conference in Frankfurt which is tailored
to the European finance community. Providing cutting-edge research and
brand new practical applications, the conference is intended for
practitioners in the areas of trading, quantitative or derivative
research, risk and asset management, insurance as well as for academics
studying or researching in the field of financial mathematics.
https://www.mathfinance.com/events/mathfinance-conference/
------------------------------------------------------------------------
Optimal Transport - Vienna, May/June 2019
------------------------------------------------------------------------
Thematic Programme "Optimal Transport"
The program brings together researchers working on Optimal Transport in
diverse areas, such as stochastic analysis, mathematical finance,
analysis in singular spaces, geometric inequalities, gradient flows,
optimal random matching, optimal transport for density matrices,
numerical methods, computer vision, and machine learning. The aim of the
proposed ESI programme is to establish interactions, encourage new
collaborations, and identify synergies between these different disciplines.
May 6-10: Introductory School on Optimal Transport
May 13-17: Workshop 1: Optimal Transport: from Geometry to Numerics
June 3-7: Workshop 2: Opt. Transport in Analysis and Probability
http://pub.ist.ac.at/~jmaas/ESI_OT2019/
------------------------------------------------------------------------
AMaMeF - Paris, June 2019
------------------------------------------------------------------------
9th General AMaMeF Conference
Paris, June 11-14, 2019 in Paris
AMaMeF, acronym for Advanced Mathematical Methods in Finance, is a
European network of research promoting the exchange and diffusion of
knowledge in the field of Mathematical Finance. Under the auspices of
AMaMeF numerous conferences, workshops and other scientific activities
have been organized. Among these the General AMaMeF Conferences have
been the biggest, and they are currently organized in a roughly
two-yearly schedule.
https://9amamef.sciencesconf.org
------------------------------------------------------------------------
VCMF 2019 - Vienna, September 2019
------------------------------------------------------------------------
2nd Vienna Congress on Mathematical Finance 2019
& VCMF Educational Workshop
WU Vienna, Mon-Fri, September 9-13, 2019,
jointly organised by WU Wien, TU Wien and University of Vienna
Submission of abstracts as well as registration is already possible:
https://fam.tuwien.ac.at/vcmf2019/
The VCMF 2019 follows the successful previous edition, VCMF 2016, with
240 attendees, 83 talks and 28 poster presentations.
------------------------------------------------------------------------
--------------------------------------------------------------------
Announcement of Public PhD Thesis Defense at TU Wien
--------------------------------------------------------------------
We., 13.3.2019, 14:00, conference room of the Deanery,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, green area, 9th floor
(8th floor, then staircase in the green area)
Christiane Elgert (FAM @ TU Wien)
"Theory of Distribution-Constrained Optimization Problems"
(Public PhD Thesis Defense)
For further details (including abstracts) see
https://fam.tuwien.ac.at/events/
--------------------------------------------------------------------
------------------------------------------------------------------------
PDE Afternoon at TU Wien
------------------------------------------------------------------------
We., 06.03.2019, 15:30 bis 16:00, HS 17 Friedrich,
TU Wien, 1040, Karlsplatz 13, main building, staircase VII, 3rd floor
Gudmund Pammer (TU Wien)
"Stability of the weak transport / continuity
of super-hedging in finance"
(PDE Afternoon)
For further details see
https://www.univie.ac.at/sfb65/#!/public/events/details/?type=1&id=380
------------------------------------------------------------------------
TU ForMath — Forum Mathematik
------------------------------------------------------------------------
Th., 7.3.2019, 18:00 - 19:00, Freihaus Hörsaal 3
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow area
Johannes Morgenbesser (Österreichische Nationalbank)
"Mathematics undercover: Die Mathematik hinter Blockchain und Bitcoin"
For further information see:
https://www.tuformath.at/vortraege/
------------------------------------------------------------------------
------------------------------------------------------------------------
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/…)
------------------------------------------------------------------------
------------------------------------------------------------------------
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/
------------------------------------------------------------------------
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/
------------------------------------------------------------------------
------------------------------------------------------------------------
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/
------------------------------------------------------------------------
------------------------------------------------------------------------
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
------------------------------------------------------------------------
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)
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
---------------------------------------------------------------------
------------------------------------------------------------------------
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/
------------------------------------------------------------------------
------------------------------------------------------------------------
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/
------------------------------------------------------------------------
------------------------------------------------------------------------
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/
------------------------------------------------------------------------
------------------------------------------------------------------------
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
------------------------------------------------------------------------
------------------------------------------------------------------------
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
------------------------------------------------------------------------
------------------------------------------------------------------------
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
------------------------------------------------------------------------
------------------------------------------------------------------------
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
------------------------------------------------------------------------
------------------------------------------------------------------------
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/
------------------------------------------------------------------------
------------------------------------------------------------------------
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
------------------------------------------------------------------------
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/
------------------------------------------------------------------------
------------------------------------------------------------------------
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/
------------------------------------------------------------------------
------------------------------------------------------------------------
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/
------------------------------------------------------------------------
------------------------------------------------------------------------
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/
------------------------------------------------------------------------
------------------------------------------------------------------------
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/
------------------------------------------------------------------------
------------------------------------------------------------------------
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/
------------------------------------------------------------------------
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>
------------------------------------------------------------------------
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.
------------------------------------------------------------------------
------------------------------------------------------------------------
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
------------------------------------------------------------------------
------------------------------------------------------------------------
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
------------------------------------------------------------------------
------------------------------------------------------------------------
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
------------------------------------------------------------------------
------------------------------------------------------------------------
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
------------------------------------------------------------------------
------------------------------------------------------------------------
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
------------------------------------------------------------------------
------------------------------------------------------------------------
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
------------------------------------------------------------------------
------------------------------------------------------------------------
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/
------------------------------------------------------------------------
------------------------------------------------------------------------
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
------------------------------------------------------------------------
------------------------------------------------------------------------
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
------------------------------------------------------------------------
------------------------------------------------------------------------
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/
------------------------------------------------------------------------
