Dear Colleagues and Friends,
we like to bring to your attention that the early registration for VCMF
2016 ends on June 30, 2016:
Vienna Congress on Mathematical Finance
and VCMF Educational Workshop
https://fam.tuwien.ac.at/vcmf2016/ .
Due to many requests we opened again the submission for poster
presentations. Slots for contributed talks are filled and we already
have a waiting list.
For further information see below or visit the conference webpage:
https://fam.tuwien.ac.at/vcmf2016/
We thank you for your interest and are looking forward to welcoming you
in Vienna!
With kind regards from the VCMF 2016 organisers,
Mathias Beiglböck, Christa Cuchiero, Rüdiger Frey,
Stefan Gerhold, Friedrich Hubalek, Irene Klein,
Thorsten Rheinländer, Birgit Rudloff,
Walter Schachermayer, Uwe Schmock
-----------------------------------------------------------------------
This Vienna Congress on Mathematical Finance (September 12-14) will
bring together leading experts from various fields of Mathematical
Finance. The conference program will feature plenary lectures, parallel
sessions with invited and contributed talks as well as poster sessions.
Additionally on the first day of the congress there will be a panel
discussion with the title:
"Role of mathematical models in financial risk management
and regulation (broadly defined)"
Panellist are representatives from the regulators, the industry and the
academic world:
- Gabriela de Raaij
Oesterreichische Nationalbank (OeNB)
- Thomas Steiner
Austrian Treasury (OeBFA)
- Johann Strobl
Raiffeisen Bank International AG (RBI)
- Josef Teichmann
Full Professor of Financial Mathematics, ETH Zürich
Moderator:
- Walter Schachermayer
Senior fellow at Institute for Theoretical Studies, ETH Zürich,
Full Professor of Mathematics, University of Vienna
For further details see the program:
https://fam.tuwien.ac.at/vcmf2016/program.php
The congress is followed by a two-day Educational Workshop (September
15-16) with lectures by internationally recognized experts that will be
a great learning opportunity in particular for younger scientists.
+---------------------
|
| VCMF 2016 - Vienna, Austria
|
| Vienna Congress on Mathematical Finance
| Mon-Wed, September 12-14, 2016
|
| VCMF Educational Workshop
| Thu-Fri, September 15-16, 2016
|
| https://fam.tuwien.ac.at/vcmf2016/
|
+-------------------------------------------------
Location:
Campus of WU Wien
Library & Learning Center (LC) and Teaching Center (TC)
Welthandelsplatz 1, 1020 Vienna/Wien, Austria
Organized by:
WU Wien - Vienna University of Economics and Business
TU Wien - Vienna University of Technology
University of Vienna
Gold Sponsors (alphabetical order):
Deloitte
Erste Group Bank AG
KPMG Austria
Raiffeisen Bank International AG (RBI)
Silver Sponsor:
Raiffeisen Capital Management (RCM)
(further sponsors are welcome)
Plenary Speakers...
... at the Congress:
Freddy Delbaen (ETH Zurich, CH)
Hans Föllmer (Humboldt-Universität zu Berlin, DE)
Peter Friz (Technische Universität Berlin, DE)
Emmanuel Gobet (École Polytechnique, FR)
Mathieu Rosenbaum (École Polytechnique & UPMC, FR)
Josef Teichmann (ETH Zurich, CH)
Almut Veraart (Imperial College London, UK)
... at the Educational Workshop:
Nicole Bäuerle (Karlsruhe Institute of Technology, DE)
Alexander McNeil (Heriot-Watt University, UK)
Johannes Muhle-Karbe (University of Michigan, US)
Peter Tankov (Université Paris-Diderot (Paris 7), FR)
https://fam.tuwien.ac.at/vcmf2016/speakers.php
Invited Speakers...
... at the Congress:
Elisa Alos (Universitat Pompeu Fabra Barcelona, ES)
Christian Bayer (WIAS, DE)
Agostino Capponi (Columbia University, US)
Patrick Cheridito (Princeton University, US)
Ulrich Horst (Humboldt-Universität zu Berlin, DE)
Jan Kallsen (Christian-Albrechts-Universität zu Kiel, DE)
Rüdiger Kiesel (Universität Duisburg-Essen, DE)
Dörte Kreher (Humboldt-Universität zu Berlin, DE)
Antonis Papapantoleon (TU Berlin, DE)
Philipp Schönbucher (Financialytic GmbH, DE)
Jorge P. Zubelli (IMPA, BR)
https://fam.tuwien.ac.at/vcmf2016/speakers.php
Submission of Poster Presenations:
The call for poster presenations is open until July 15, 2016.
Acceptance/rejection letters will be sent as soon as possible,
but at end of July 2016 at the latest.
https://fam.tuwien.ac.at/vcmf2016/registration.php
Participation and Registration:
Early registration is possible until June 30, 2016.
Standard registration is possible until August 15, 2016.
https://fam.tuwien.ac.at/vcmf2016/registration.php
Online registration & Submission:
http://www.conftool.net/vcmf2016
CPD:
The attendance at VCMF 2016 (full week, Sept. 12-16, 2016) may
qualifies for up to 31 CPD credits for those delegates whose national
actuarial organization's CPD requirements recognize VCMF 2016.
20 CPD credits for Vienna Congress on Mathematical Finance (Sep 12-14)
and 11 CPD credits for VCMF Educational Workshop (Sep 15-16).
VCMF 2016 is accredited by the AVÖ - Actuarial Association of Austria.
Save the Date:
==============
IME 2017 -
21st International Congress on Insurance: Mathematics and Economics
TU Wien, Mon-Wed, July 3-5, 2017
https://fam.tuwien.ac.at/ime2017/
------------------------------------------------------------------------
WU Wien, Institute for Statistics and Mathematics
------------------------------------------------------------------------
Th., 16.06.2016, 14:30(-15:30), room SR D4.0.127
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor
Johanna Nešlehová (McGill University, Montréal, Canada)
http://www.math.mcgill.ca/neslehova/
Christian Genest (McGill University, Montréal, Canada)
http://www.math.mcgill.ca/cgenest/
"Estimating extremal dependence using B-splines"
(Research seminar - Statistics and Mathematics)
For further details (including abstracts) see
http://www.wu.ac.at/en/statmath/resseminar/
To find the room on the WU Campus search for "D4.0.127" on:
http://gis.wu.ac.at/?roomShow=D4.0.127
------------------------------------------------------------------------
TU Wien, Veranstaltungsreihe "Actuarial Modelling Club"
------------------------------------------------------------------------
Th., 16.06.2016, 16:00, Freihaus Hörsaal 3
TU Wien, 1040, Wiedner Hauptstr 8, Freihaus, 2. Stock, gelber Bereich
Ronald Laszlo (Vienna Insurance Group),
Karin Nowak (B&W Deloitte)
"Herausforderung Immobilien unter Solvency II"
(Actuarial Modelling Club)
For further details (including abstracts) and registration see
https://fam.tuwien.ac.at/vr/
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 16.06.2016, 16:30, seminar room FH grün 04,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Mathias Pohl (University of Vienna)
http://stochopt.univie.ac.at/researchers/mathias-pohl/
"An Applied Take on Dependence Uncertainty"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 02.06.2016, 16:30, seminar room FH grün 04,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Stefan Ankirchner (University of Jena, Germany)
http://www.stochastik.uni-jena.de/Mitarbeiter/Prof_+Dr_+S_+Ankirchner.html
"Play safe if ahead, take risk if behind"
(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., 23.5.2016, 16:45-17:45, Lecture Hall 12
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 2nd floor
Milos Kopa (Charles University Prague)
http://www.karlin.mff.cuni.cz/~kopa/
"Robustness in stochastic programs
with decision dependent randomness"
(ISOR Colloquium)
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
========================================================================
Additionally this time we refer to a Summer School in Italy as the Nobel
laureate (and Austrian mathematician) Martin Hairer gives a mini course
there:
------------------------------------------------------------------------
CIME-EMS Summer School in applied mathematics in Centaro/Italy
------------------------------------------------------------------------
"Singular Random Dynamics"
August 22 - August 27, 2016
Cetraro, Italy
http://web.math.unifi.it/users/cime/
Mini Courses:
Massimiliano Gubinelli (IAM, Bonn)
"Applications of controlled paths to problems
in stochastic analysis"
Martin Hairer (Univ. Warwick)
"Stochastic PDEs and Renormalisation"
Panagiotis Souganidis (Univ. Chicago)
"Hamilton-Jacobi partial differential equations and
conservation laws with rough time signals and applications"
Nikolay Tzvetkov (Univ. Cergy-Pontoise)
"On Hamiltonian partial differential equations
with random initial conditions"
Registration is open until end May:
http://php.math.unifi.it/users/cime/Courses/2016/course.php?codice=20162
Place:
http://php.math.unifi.it/users/cime/Cetraro/Cetraro.htmlhttps://goo.gl/maps/ve4vb6Cg6w32
========================================================================
------------------------------------------------------------------------
University of Vienna, Dept. of Statistics and Decision Support Systems
------------------------------------------------------------------------
Mo., 09.05.2016, 16:45-17:45, Sky Lounge
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Josef Teichmann (ETH Zurich)
https://people.math.ethz.ch/~jteichma/
"Affine processes and non-linear differential equations"
(joint work with Georg Grafendorfer and Christa Cuchiero)
(ISOR Colloquium)
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 12.05.2016, 16:30, seminar room FH grün 04,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Roberto Renò (University of Verona, Italy)
http://dse.univr.it/reno/
"The drift burst hypothesis"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
------------------------------------------------------------------------
DIANA Research Group - DIfferential Algebras and Nonlinear Analysis
------------------------------------------------------------------------
Fr., 06.05.2016, 10:00, Besprechungsraum 3 (03.136)
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 3rd floor
Eberhard Mayerhofer (Dublin City University)
http://www.eberhard-mayerhofer.eu/
"Option Portfolios on Multiple Assets"
(joint work with Paolo Guasoni)
(The DIANA seminar)
For further details (including abstracts) see
http://www.mat.univie.ac.at/~nigsch/diana/
========================================================================
VCMF 2016
------------------------------------------------------------------------
Submission Deadline: May 15, 2016
^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
Vienna Congress on Mathematical Finance
& VCMF Educational Workshop
September 12-16, 2016
Vienna, Austria
https://fam.tuwien.ac.at/vcmf2016/
========================================================================
ASD 2016
------------------------------------------------------------------------
Submission Deadline: May 15, 2016
^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
5th Austrian Stochastic Days
June 30 - July 1, 2016
TU Graz, Austria
http://www.math.tugraz.at/mathc/stochdays/
========================================================================
SOfA 2016
------------------------------------------------------------------------
Submission Deadline: June 3, 2016
^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
Set-Optimization for Applications
Third International Conference on Set-Valued Variational Analysis and
Set Optimization with Applications in Economics, Finance, Statistics and
Game Theory
September 19-23, 2016
WU Wien, Austria
http://sofa2016.wu.ac.at/
========================================================================
HFT 2016
------------------------------------------------------------------------
High Frequency Trading - Curse or Blessing?
September 22-23, 2016
Vienna, Austria
http://hft2016.univie.ac.at/
------------------------------------------------------------------------
Maybe the following talk this Thursday is interesting for some people on
the FAM-news mailinglist:
------------------------------------------------------------------------
University of Vienna, Faculty of Physics
------------------------------------------------------------------------
Th., 21.04.2016, 14:00-15:00, Seminarraum A
Uni Wien, 1090 Vienna, Währingerstr. 17, 2nd floor
Yann Brenier (CNRS, CMLS, Ecole Polytechnique, France)
http://www.cmls.polytechnique.fr/perso/brenier/
"Large deviations, optimal transport and Newtonian gravitation"
(Vienna relativity seminar)
For further details (including abstracts) see
https://physik.univie.ac.at/uploads/media/YannBrenier_21.04.2016.pdf
(http://gravity.univie.ac.at/seminars-research-publications/)
------------------------------------------------------------------------
------------------------------------------------------------------------
University of Vienna, Dept. of Statistics and Decision Support Systems
------------------------------------------------------------------------
Mo., 18.04.2016, 16:45-17:45, Sky Lounge
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Ariel Neufeld (ETH Zurich)
https://people.math.ethz.ch/~aneufeld/
"On Asymptotic Exponential Arbitrage "
(ISOR Colloquium)
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
------------------------------------------------------------------------
------------------------------------------------------------------------
University of Vienna, Dept. of Statistics and Decision Support Systems
------------------------------------------------------------------------
Mo., 11.04.2016, 16:45-17:45, Sky Lounge
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Christa Cuchiero (Univ. Vienna)
http://www.mat.univie.ac.at/~cuchiero/
"Polynomial Processes in Stochastic Portfolio Theory"
(ISOR Colloquium)
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 14.04.2016, 16:30, seminar room FH grün 04,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
David Belius (University of Zurich, Switzerland)
http://user.math.uzh.ch/belius/
"Some log-correlated random fields and their extrema"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (abstract should follow soon) see
https://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
WU Wien, Institute for Statistics and Mathematics
------------------------------------------------------------------------
Fr., 15.04.2015, 09:00, room SR D4.4.008
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor
Andreas Löhne (Friedrich-Schiller-Universität Jena)
http://www.optimierung-loehne.uni-jena.de/
"On the Dual of the Solvency Cone"
(joint work with Birgit Rudloff, WU Wien)
(Research seminar - Statistics and Mathematics)
For further details (including abstracts) see
http://www.wu.ac.at/en/statmath/resseminar/
To find the room on the WU Campus search for "D4.4.008" on:
http://gis.wu.ac.at/?roomShow=D4.4.008
------------------------------------------------------------------------
------------------------------------------------------------------------
Workshop of the Wolfgang Pauli Institute (WPI)
------------------------------------------------------------------------
Monday, April 4. - Thursday, April 7, 2016, Seminar Room 08.135
WPI / Univ. of Vienna, 1090 Vienna, Oskar-Morgenstern-Platz 1
Workshop on
"Pathwise methods, Functional Calculus
and applications in Mathematical Finance"
For further details (including abstracts) see
http://www.wpi.ac.at/event_view.php?id_activity=212
------------------------------------------------------------------------
WU Wien, Institute for Statistics and Mathematics
------------------------------------------------------------------------
Fr., 08.04.2016, 09:00, room SR D4.4.008
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor
Gunther Leobacher (Johannes Kepler Universität Linz)
http://www.finanz.jku.at/index.php?id=leobacher&L=2
"QMC methods in quantitative finance, tradition and perspectives"
(Research seminar - Statistics and Mathematics)
For further details (including abstracts) see
http://www.wu.ac.at/en/statmath/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 Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
We., 30.03.2016, seminar room FH grün 04 (TU Wien),
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
14:00
Martin Keller-Ressel (TU Dresden, Germany)
http://www.math.tu-dresden.de/~mkeller/
"Implied Volatilities from Strict Local Martingales"
(Vienna Seminar in Mathematical Finance and Probability)
15:00
Michael Kupper (Universität Konstanz, Germany)
http://cms.uni-konstanz.de/math/kupper/
"Duality formulas for robust pricing and hedging in discrete time"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 17.03.2016, 16:30, seminar room FH grün 04,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Miklos Rasonyi (Renyi Institute, Hungarian Academy of Sciences)
http://renyi.mta.hu/~rasonyi/
"Optimal investment in the APM of Ross"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
========================================================================
ASD 2016
------------------------------------------------------------------------
5th Austrian Stochastic Days
June 30 - July 1, 2016
TU Graz, Austria
http://www.math.tugraz.at/mathc/stochdays/
========================================================================
VCMF 2016
------------------------------------------------------------------------
Vienna Congress on Mathematical Finance
& VCMF Educational Workshop
September 12-14 & 15-16, 2016
Vienna, Austria
https://fam.tuwien.ac.at/vcmf2016/
========================================================================
SOfA 2016
------------------------------------------------------------------------
Set-Optimization for Applications
Third International Conference on Set-Valued Variational Analysis and
Set Optimization with Applications in Economics, Finance, Statistics and
Game Theory
September 19-23, 2016
WU Wien, Austria
http://sofa2016.wu.ac.at/
========================================================================
HFT 2016
------------------------------------------------------------------------
High Frequency Trading - Curse or Blessing?
September 22-23, 2016
Vienna, Austria
http://hft2016.univie.ac.at/
-----------------------------------------------------------------------
------------------------------------------------------------------------
Announcement of Public PhD Thesis Defense at TU Wien
------------------------------------------------------------------------
Mo., 07.03.2016, 10:00, Freihaus, Zeichensaal 3,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, green section, 7th floor
Cetin Gülüm (FAM @ TU Wien)
"Consistency of Option Prices under Bid-Ask Spreads
and Implied Volatility Slope Asymptotics"
(Public PhD Thesis Defense)
For further details (including abstracts) see
https://fam.tuwien.ac.at/events/?showabstract=20160307
------------------------------------------------------------------------
Uni Wien, lecture on Regularity structures
------------------------------------------------------------------------
We., 09.03.2016-27.04.2016, 9:00-11:15 & 11.30-13.00, seminar room 1
University of Vienna, 1090, Oskar-Morgenstern-Platz 1, ground floor
Josef Teichmann (ETH Zurich)
lecture "Regularity structures"
For further details see:
https://people.math.ethz.ch/~jteichma/index.php?content=teach_regularitystr…
------------------------------------------------------------------------
WU Wien, Institute for Finance, Banking and Insurance
------------------------------------------------------------------------
We., 09.03.2016, 12:00, room SR D4.0.136
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor
Otto Randl (WU Wien)
https://www.wu.ac.at/en/finance/people/faculty/otto-randl/
"Dividend Risk Premia"
(Finance Brown Bag Seminar)
For further details (including abstracts) see
http://www.wu.ac.at/finance/research/bbs/summer-term-2015/en/
To find the room on the WU Campus search for "D4.0.136" on:
http://gis.wu.ac.at/?roomShow=D4.0.136
------------------------------------------------------------------------
------------------------------------------------------------------------
Seminar Talks @ IST Austria
------------------------------------------------------------------------
Mo., 29.02.2016, 09:45, Seminar room, Lab Building West, ground floor
Institute for Science and Technology, Am Campus 1, 3400 Klosterneuburg
Anthony Lee (University of Warwick, UK)
http://www2.warwick.ac.uk/fac/sci/statistics/staff/academic-research/lee/
"Particle filters for hidden Markov models"
Invitation and abstract (also valid ticket for IST-Shutle):
http://ist.ac.at/fileadmin/user_upload/pdfs/Talks/2016/02/Talk_Lee.pdf
------------------------------------------------------------------------
WU Gutmann Center Public Lecture
------------------------------------------------------------------------
Th., 03.03.2016, 16:00,
Bank Gutmann, Schwarzenbergplatz 16, 1010 Vienna
Sunil Wahal (Arizona State University, U.S.A.)
https://apps.wpcarey.asu.edu/directory/people/profile.cfm?person=2179569
"The demand for diversification in incomplete markets"
(WU Gutmann Center Public Lecture)
For further details (including abstracts) see
http://www.gutmann-center.at/gc/whatwedo/bridging/lectures/
------------------------------------------------------------------------
WU Wien, Institute for Statistics and Mathematics
------------------------------------------------------------------------
Fr., 04.03.2016, 09:00, room SR D4.4.008
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor
Çağın Ararat (Bilkent University, Turkey)
http://www.ie.bilkent.edu.tr/ieweb2012/en/faculty_member/cagin
"Measuring systemic risk via model uncertainty"
(Research seminar - Statistics and Mathematics)
For further details (including abstracts) see
http://www.wu.ac.at/en/statmath/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., 04.03.2016, 11:00, room D3.0.221
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor
Sunil Wahal (Arizona State University, U.S.A.)
https://apps.wpcarey.asu.edu/directory/people/profile.cfm?person=2179569
"The Demand for Diversification in Incomplete Markets"
(Finance Research Seminar)
For further details (including abstracts) see
http://www.vgsf.ac.at/index.php?id=172
To find the room on the WU Campus search for "D3.0.221" on:
http://gis.wu.ac.at/?roomShow=D3.0.221
------------------------------------------------------------------------
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 18.02.2016, 16:30, seminar room FH grün 04 (TU Wien),
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Tongseok Lim (University of British Columbia, Vancouver, Canada)
http://www.math.ubc.ca/~lds/
"On the structure of underlying assets under marginal constraints,
which maximize / minimize the price of an option"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
========================================================================
VCMF 2016
------------------------------------------------------------------------
Vienna Congress on Mathematical Finance
September 12-14, 2016
VCMF Educational Workshop
September 15-16, 2016
Vienna, Austria
https://fam.tuwien.ac.at/vcmf2016/ - REGISTRATION OPEN NOW!
========================================================================
HFT 2016
------------------------------------------------------------------------
High Frequency Trading - Curse or Blessing?
September 22-23, 2016
Vienna, Austria
http://hft2016.univie.ac.at/
========================================================================
ASD 2016
------------------------------------------------------------------------
5th Austrian Stochastic Days
June 30 - July 1, 2016
TU Graz, Austria
See preliminary information (german & english) below.
----
Subject: Austrian Stochastic Days, Vorinformation (preliminary info)
From: ASD2016 <austrian.stochasticdays(a)gmail.com>
Liebe Kolleginnen und Kollegen !
Dies ist eine Vor-Information:
in diesem Jahre werden die Austrian Stochastic Days
von Wolfgang Woess + N.N. an der
TU Graz organisiert.
Termine: Donnerstag 30.6. und Freitag 1.7.2016
(Die 2. Septemberhälfte ist durch andere Ereignisse ausgefüllt.)
Webseite, Hauptredner/innen und alle weiteren Details folgen später.
Es wird hilfreich sein, die folgenden Prä-Registrierungs-
Daten (je bälder desto besser) an die email-Adresse
austrian.stochasticdays(a)gmail.com
zu erhalten:
- Nachname Vorname
- wissenschaftliche Einrichtung (Uni,...)
- Absicht, einen Vortrag zu halten
Herzliche Grüße, Wolfgang Woess
----
Dear colleagues,
this is a preliminary information:
this year, the Austrian Stochastic Days are going to be
organised by Wolfgang Woess + N.N. at TU Graz.
They will take place on Thursday June 30 + Friday July 1.
(The 2nd half of September is filled by other activities).
Webpage, keynote speaker(s) and all further details
will be provided later on.
It will be helpful to receive (the sooner the better !)
the following pre-registration data to the email address
austrian.stochasticdays(a)gmail.com
- Name + first name
- scientific organisation
- intention to give a talk
Thank you, with best regards
Wolfgang Woess
------------------------------------------------------------------------
------------------------------------------------------------------------
University of Vienna, Dept. of Statistics and Decision Support Systems
------------------------------------------------------------------------
Mo., 11.01.2016, 16:45-17:45, Sky Lounge
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Holger Dette (Ruhr University Bochum)
http://www.ruhr-uni-bochum.de/mathematik3/dette.html
"Quantile spectral analysis"
(ISOR Colloquium)
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 14.01.2016, 16:30, seminar room SR09
University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Martin Herdegen (ETH Zurich, Switzerland)
https://people.math.ethz.ch/~martherd/
"Equilibrium models with small transaction costs"
(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., 15.01.2016, 09:00, room SR D4.4.008
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor
Omiros Papaspiliopoulos (Universitat Pompeu Fabra)
http://www.econ.upf.edu/~omiros/
"Building MCMC "
(Research seminar - Statistics and Mathematics)
For further details (including abstracts) see
http://www.wu.ac.at/statmath/resseminar/en/
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., 15.01.2016, 11:00, room D3.0.221
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor
Ernst-Ludwig von Thadden (University of Mannheim)
http://vonthadden.vwl.uni-mannheim.de/
"A Corporate Governance Asset Pricing Model: Theory and Evidence"
(Finance Research Seminar)
For further details (including abstracts) see
http://www.vgsf.ac.at/index.php?id=172
To find the room on the WU Campus search for "D3.0.221" on:
http://gis.wu.ac.at/?roomShow=D3.0.221
------------------------------------------------------------------------
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 07.01.2016, 16:30, seminar room SR09
University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Blanka Horvath (ETH Zurich, Switzerland)
https://people.math.ethz.ch/~horvathb/
"Mass at Zero and small-strike implied volatility expansion
in the SABR Model"
(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., 08.01.2016, 09:00, room SR D4.4.008
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4thfloor
Ivan Mizera (University of Alberta, Canada)
http://www.stat.ualberta.ca/~mizera/index.html
"Borrowing Strength from Experience: Empirical Bayes Methods and
Convex Optimization"
(Research seminar - Statistics and Mathematics)
For further details (including abstracts) see
http://www.wu.ac.at/statmath/resseminar/en/
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 Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 17.12.2015, 16:30, seminar room SR09
University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Kevin Schnelli (Institute of Science and Technology, Klosterneuburg)
http://pub.ist.ac.at/~kschnell/
"Local law of addition of random matrices on optimal scale"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
Vienna Graduate School of Finance (VGSF)
------------------------------------------------------------------------
Fr., 18.12.2015, 11:00, room D3.0.221
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor
Frederico Belo (University of Minnesota, US)
http://www.tc.umn.edu/~fbelo/
"External Equity Financing Shocks, Financial Flows, and Asset Prices"
(Finance Research Seminar)
For further details (including abstracts) see
http://www.vgsf.ac.at/index.php?id=172
To find the room on the WU Campus search for "D3.0.221" on:
http://gis.wu.ac.at/?roomShow=D3.0.221
------------------------------------------------------------------------
Announcement of a Habilitation Talk at WU Wien
------------------------------------------------------------------------
Fr., 18.12.2015, 12:00, room D4.0.022
WU Wien, 1020, Welthandelsplatz 1, building D4, ground floor
Birgit Rudloff (WU Wien)
https://www.wu.ac.at/statmath/faculty-staff/faculty/birgit-rudloff/
"Multivariate Risks"
(Habilitation Talk)
To find the room on the WU Campus search for "D4.0.022" on:
http://gis.wu.ac.at/?roomShow=D4.0.022
Abstract:
The talk addresses the question how to measure the risk of a
multivariate random variable X, representing e.g. the vector of risky
holdings of banks in a system of d banks or a portfolio with random
outcomes in d assets. In the past literature, one often applies an
aggregation function to the vector X, then a classical scalar risk
measure can be used and the problem is reduced to a scalar problem. The
aim of the habilitation thesis is to discuss shortcomings of the
aggregation approach in various situations, to develop an alternative
theory with a economic meaningful interpretation and provide
computational methods to implement the alternative. It is based on the
idea that for a multivariate input X, the output of a risk measure can
(and often should) also be multivariate (e.g. a vector of capital
requirements of the d banks). As the vector of initial
capitals/portfolios that makes X acceptable will in generally not be
unique anymore, this leads naturally to set-valued risk measures. The
theory of set-valued functions and their optimization has seen rapid
development within the last decade and provides for the first time the
mathematical tools that are needed to understand and work with
set-valued risk measures. In the thesis, a mathematical theory of
dynamic set-valued risk measures is developed. Somewhat surprisingly,
many results (e.g. on equivalent characterizations of time consistency,
dual representations) known for scalar risk measures have a counterpart
in the the set-valued case. We show that the computation of set-valued
risk measures is linked to vector optimization and new and improved
algorithms to solve linear and convex vector optimization problems are
developed that are also of independent interest in the optimization
community. Furthermore, we provide a connection between the computation
of time consistent dynamic risk measures and a set-valued dynamic
programming principle, which also enables the computation of time
consistent scalar multivariate risk measures like the scalar super
hedging price in markets with transaction costs.
------------------------------------------------------------------------
------------------------------------------------------------------------
University of Vienna, Dept. of Statistics and Decision Support Systems
------------------------------------------------------------------------
Mo., 07.12.2015, 16:45-17:45, Sky Lounge
University of Vienna, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
André Lucas (VU Amsterdam)
http://personal.vu.nl/a.lucas/
"Spillover Dynamics for Systemic Risk Measurement
using Spatial Financial Time Series Models "
(ISOR Colloquium)
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
------------------------------------------------------------------------
University of Vienna, Dept. of Finance
------------------------------------------------------------------------
We., 09.12.2015, 11:45-13:00, seminar room 6
University of Vienna, 1090 Wien, Oskar-Morgenstern-Platz 1,
Marlene Haas (VGSF)
www.vgsf.ac.at/students/students/student/detail/haas-marlene/
"Equity Short Sales and Options: Complements or Substitutes?"
(Brown Bag Seminar)
For further details see
http://finance.univie.ac.at/en/research/brown-bag-seminar/
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 10.12.2015, 16:30, seminar room SR09
University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
I. Cetin Gülüm (FAM @ TU Wien)
https://tiss.tuwien.ac.at/person/56774
"A Variant of Strassen's Theorem"
(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., 30.11.2015, 16:45-17:45, Sky Lounge
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Birgit Rudloff (WU Vienna)
http://www.wu.ac.at/statmath/faculty-staff/faculty/birgit-rudloff/
"Systemic risk and beyond: scalar versus multivariate approaches"
(ISOR Colloquium)
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
------------------------------------------------------------------------
University of Vienna, Faculty of Mathematics
------------------------------------------------------------------------
We., 02.12.2015, Sky Lounge
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Jan Maas (IST Austria)
http://www.janmaas.org/
15:00
"Optimal transport and the isoperimetric inequality"
(Junior Kolloquium)
(15:45 coffee & cake)
16:15
"Optimal transport in discrete probability"
(Mathematisches Kolloquium)
For further details (including abstracts) see
http://mathematik.univie.ac.at/fileadmin/user_upload/f_mathematik/Vortr%C3%…
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 03.12.2015, 16:30, seminar room SR09
Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Kim Weston (Carnegie Mellon University, Pittsburgh, US)
http://www.andrew.cmu.edu/user/kimberly/
"When is the dual optimizer a martingale?"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 26.11.2015, seminar room SR09
Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
16:30:
Ruodu Wang (University of Waterloo, Canada)
http://sas.uwaterloo.ca/~wang/
"Recent advances in risk aggregation and dependence uncertainty"
(Vienna Seminar in Mathematical Finance and Probability)
17:30:
Christian Bayer (WIAS Berlin, Germany)
https://www.wias-berlin.de/~bayerc/
"Pricing under 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., 27.10.2015, 16:30, room SR D4.4.008
WU, 1020, Welthandelsplatz 1, WU Campus, building D4, 4thfloor
Yee Whye Teh (University of Oxford, UK)
http://www.stats.ox.ac.uk/~teh/
"Bayesian Nonparametrics in Mixture and Admixture Modelling"
(Research seminar - Statistics and Mathematics)
For further details (including abstracts) see
http://www.wu.ac.at/statmath/resseminar/en/
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 - Press articles concerning Dr. Jonas Hirz, FAM @ TU Wien
------------------------------------------------------------------------
2015-11-20: "Mit Risiko muss man rechnen", TU Wien
http://www.tuwien.ac.at/aktuelles/news_detail/article/9798/
2015-11-17: "Sub auspiciis Promotionen an der TU Wien", TU Wien
https://www.tuwien.ac.at/aktuelles/news_detail/article/9785/
------------------------------------------------------------------------
------------------------------------------------------------------------
Announcement of a talk organised by the Lions Club Wien Ambassador
------------------------------------------------------------------------
We., 18.11.2015, 19:00, Zeichensaal 3,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, green section
Thorsten Rheinländer (FAM @ TU Wien)
https://www.fam.tuwien.ac.at/~rheinlan/
"Flash Crashes an den Börsen und automatisierter Hochfrequenzhandel"
For further details (including abstracts) see
https://fam.tuwien.ac.at/events/abstracts/20151118_LionsClub_Rheinlaender.p…
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 19.11.2015, 16:30, seminar room SR09
Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Francesco Caravenna (University of Milano-Bicocca, Italy)
http://www.matapp.unimib.it/~fcaraven/
"Multi-linear Central Limit Theorems and Scaling Limits
of Disordered Systems"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
Spängler IQAM Research Center
------------------------------------------------------------------------
Mo., 23.11.2015, 14:00-19:00, Reitersaal
OeKB, 1010, Strauchgasse 3, Reitersaal, ground floor
Investment Seminar
Spängler IQAM Research Center
For further details (including abstracts) see
http://www.si-researchcenter.at/events/investment-seminar
Registration per E-Mail an investment.seminar(a)si-researchcenter.at
necessary until 16.11.2015 (today)!
------------------------------------------------------------------------
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 12.11.2015, 16:30, seminar room SR09
Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Maren Schmeck (University of Cologne, DE)
http://www.mi.uni-koeln.de/~mschmeck/
"Pricing options on forwards in energy markets: the role of mean
reversion's speed"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
------------------------------------------------------------------------
WU Wien, Research Institute for Regulatory Economics
------------------------------------------------------------------------
Tu., 10.11.2015, 08:30-17:30, Clubraum / LC (Library & Learning Center)
WU, 1020, Welthandelsplatz 1, WU Campus, building D4, 4thfloor
Workshop
"Energiemärkte im Wandel - Aktuelle Entwicklungen
bei Regelenergie, Market Coupling und X-Faktor"
For further details (including programm) see
http://www.wu.ac.at/regulation/news/en/
Registration until 02.11.2015!
To find the room on the WU Campus search for "LC.2.400" on:
http://gis.wu.ac.at/?roomShow=LC.2.400
------------------------------------------------------------------------
Pre-announcement of future events:
------------------------------------------------------------------------
WU Wien, Research Institute for Regulatory Economics
------------------------------------------------------------------------
Tu., 10.11.2015, 08:30-17:30, Clubraum / LC (Library & Learning Center)
WU, 1020, Welthandelsplatz 1, WU Campus, building D4, 4thfloor
Workshop
"Energiemärkte im Wandel - Aktuelle Entwicklungen
bei Regelenergie, Market Coupling und X-Faktor"
For further details (including programm) see
http://www.wu.ac.at/regulation/news/en/
Registration until 02.11.2015!
To find the room on the WU Campus search for "LC.2.400" on:
http://gis.wu.ac.at/?roomShow=LC.2.400
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
4 talks starting on 12.11.2015:
https://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
Announcement of a talk organised by the Lions Club Wien Ambassador
------------------------------------------------------------------------
Tu., 18.11.2015, 16:30, Zeichensaal 3,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, green section
Thorsten Rheinländer (FAM @ TU Wien)
https://www.fam.tuwien.ac.at/~rheinlan/
"Flash Crashes an den Börsen und automatisierter Hochfrequenzhandel"
For further details (including abstracts) see
https://fam.tuwien.ac.at/events/abstracts/20151118_LionsClub_Rheinlaender.p…
------------------------------------------------------------------------
Spängler IQAM Research Center
------------------------------------------------------------------------
Mo., 23.11.2015, 14:00-19:00, Reitersaal
OeKB, 1010, Strauchgasse 3, Reitersaal, ground floor
Investment Seminar
Spängler IQAM Research Center
For further details (including abstracts) see
http://www.si-researchcenter.at/events/investment-seminar
Registration until until 16.11.2015!
------------------------------------------------------------------------
Austrian Working Group on Banking and Finance
------------------------------------------------------------------------
Fr., 27.11.2015 and Sa., 28.11.2015, Graz
30. Workshop
AWG ‐ Austrian Working Group on Banking and Finance
For further details see:
http://www.bwg.at/bwg/bwg_v4.nsf/sysPages/30workshopawg.html/$file/Programm…
Registration:
http://goo.gl/forms/rwCNin9HK4
------------------------------------------------------------------------
------------------------------------------------------------------------
WU Wien, Institute for Statistics and Mathematics
------------------------------------------------------------------------
Fr., 23.10.2015, 09:00, room SR D4.4.008
WU, 1020, Welthandelsplatz 1, WU Campus, building D4, 4thfloor
Nicolas Chopin (CREST-ENSAE ParisTech)
https://sites.google.com/site/nicolaschopinstatistician/
"Sequential quasi-Monte Carlo and extensions"
(Research seminar - Statistics and Mathematics)
For further details (including abstracts) see
http://www.wu.ac.at/statmath/resseminar/en/
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., 23.10.2015, 11:00, room D3.0.221
WU, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor
Guillaume Vuillemey (HEC)
https://sites.google.com/site/guillaumevuillemey/
"Derivatives and interest rate risk management by commercial banks"
(Finance Research Seminar)
For further details (including abstracts) see
http://www.vgsf.ac.at/index.php?id=172
To find the room on the WU Campus search for "D3.0.221" on:
http://gis.wu.ac.at/?roomShow=D3.0.221
------------------------------------------------------------------------
------------------------------------------------------------------------
WU Wien, Institute for Statistics and Mathematics
------------------------------------------------------------------------
Fr., 16.10.2015, 09:00, room SR D4.4.008
WU, 1020, Welthandelsplatz 1, WU Campus, building D4, 4thfloor
Andreas Hamel (Freie Universität Bozen, IT)
https://www.unibz.it/de/economics/people/StaffDetails.html?personid=33708&h…
"From Multi-Utility Representations to Stochastic Orders
and Central Regions - A Set Optimization Perspective"
(Research seminar - Statistics and Mathematics)
For further details (including abstracts) see
http://www.wu.ac.at/statmath/resseminar/en/
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., 16.10.2015, 11:00, room D3.0.221
WU, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor
Mikhail Chernov (UCLA Anderson, USA)
http://www.anderson.ucla.edu/faculty/finance/faculty/chernov
"Term structures of asset prices and returns"
(Finance Research Seminar)
For further details (including abstracts) see
http://www.vgsf.ac.at/index.php?id=172
To find the room on the WU Campus search for "D3.0.221" on:
http://gis.wu.ac.at/?roomShow=D3.0.221
------------------------------------------------------------------------
------------------------------------------------------------------------
University of Vienna, Dept. of Statistics and Decision Support Systems
------------------------------------------------------------------------
Mo., 5.10.2015, 16:45-17:45, Lecture Room 2
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, ground floor
Andrei Kirilenko (Imperial College Business School, UK)
"Automated and High Frequency Trading, Latency,
and Financial Regulation"
(ISOR Colloquium)
The seminar is preceded by tea and coffee with the speaker in the
ISOR meeting room (6.511, 6th floor) at 16.15.
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
------------------------------------------------------------------------
University of Vienna, Faculty of Mathematics
------------------------------------------------------------------------
We., 07.10.2015, Sky-Lounge
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Johannes Muhle-Karbe (ETH Zurich, CH)
https://people.math.ethz.ch/~jmuhleka/
15:00
"Ein mathematisches Modell für Hochfrequenzhandel"
(Junior Kolloquium)
(15:45 coffee & cake)
16:15
"Equilibrium models with small frictions"
(Mathematisches Kolloquium)
For further details (including abstracts) see
http://mathematik.univie.ac.at/fileadmin/user_upload/f_mathematik/Vortr%C3%…
------------------------------------------------------------------------
WU Wien, Institute for Statistics and Mathematics
------------------------------------------------------------------------
Fr., 09.10.2015, 09:00, room SR D4.4.008
WU, 1020, Welthandelsplatz 1, WU Campus, building D4, 4thfloor
Claudia Klüppelberg (TU Munich, DE)
http://www.statistics.ma.tum.de/pers/cklu/
"Modelling, estimation and model assessment of extreme
space-time data"
(Research seminar - Statistics and Mathematics)
For further details (including abstracts) see
http://www.wu.ac.at/statmath/resseminar/en/
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., 09.10.2015, 11:00, room D3.0.221
WU, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor
Hanno Lustig (Stanford Graduate School of Business, USA)
https://sites.google.com/site/lustighanno/home
"Does Market Incompleteness Help to Explain Exchange Rates?"
(Finance Research Seminar)
For further details (including abstracts) see
http://www.vgsf.ac.at/index.php?id=172
To find the room on the WU Campus search for "D3.0.221" on:
http://gis.wu.ac.at/?roomShow=D3.0.221
------------------------------------------------------------------------
To Whom it May Concern:
The 4th Austrian Stochstics Days at TU Wien are in _September_,
so at the beginning of next week.
I am sorry for the wrong date in my last email.
You can find the final programm on:
https://fam.tuwien.ac.at/asd2015/ASD2015_program.pdf
With best regards,
Sandra
------------------------------------------------------------------------
TU Wien: ASD 2015
------------------------------------------------------------------------
Mo. & Tu., 28.09.2015, 11:00 - 29.10.2015, 12:40, Zeichensaal 3
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, green section
4th Austrian Stochastics Days
https://fam.tuwien.ac.at/asd2015/
Participation is free.
For organisational reasons, we would ask you to register
even if you attend only parts of the events or single talks.
------------------------------------------------------------------------
--
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/
Vienna University of Technology
Wiedner Hauptstrasse 8/105-1, 1040 Vienna, Austria
(DVR: 0005886)
------------------------------------------------------------------------
TU Wien: ASD 2015
------------------------------------------------------------------------
Mo. & Tu., 28.10.2015, 11:00 - 29.10.2015, 12:40, Zeichensaal 3
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, green section
4th Austrian Stochastics Days
https://fam.tuwien.ac.at/asd2015/
Participation is free.
For organisational reasons, we would ask you to register
even if you attend only parts of the events or single talks.
------------------------------------------------------------------------
TU Wien: Veranstaltungsreihe "Actuarial Modelling Club"
------------------------------------------------------------------------
Th., 01.10.2015, 16:30, Freihaus Hörsaal 6
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 2nd floor, green section
Mario Kasper (SCOR Global Life SE, Vienna)
"Der graue Planet - Einige Gedanken
zur Entwicklung der Lebenserwartung"
(Actuarial Modelling Club)
For further details (including abstracts) and registration see
https://fam.tuwien.ac.at/vr/
------------------------------------------------------------------------
WU Wien, Institute for Statistics and Mathematics
------------------------------------------------------------------------
Fr., 02.10.2015, 09:00, room SR D4.4.008 (EG)
WU, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor
Marius Hofert (University of Waterloo, Canada)
https://uwaterloo.ca/statistics-and-actuarial-science/people-profiles/mariu…
"Improved Algorithms for Computing Worst Value-at-Risk:
Numerical Challenges and the Adaptive Rearrangement Algorithm"
(Research seminar - Statistics and Mathematics)
For further details (including abstracts) see
http://www.wu.ac.at/statmath/resseminar/en/
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., 02.10.2015, 11:00, room D3.0.221
WU, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor
Ajay Subramanian (Georgia State University)
http://robinson.gsu.edu/profile/ajay-subramanian/
"Ownership Structure, Incentives and Asset Prices"
(Finance Research Seminar)
For further details (including abstracts) see
http://www.vgsf.ac.at/index.php?id=172
To find the room on the WU Campus search for "D3.0.221" on:
http://gis.wu.ac.at/?roomShow=D3.0.221
------------------------------------------------------------------------
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 30.07.2015, 16:30, seminar room FH grün 04 (former room 101C)
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Lars Rösler (WU Wien)
http://www.wu.ac.at/statmath/faculty-staff/faculty/lroesler/
"Pricing of Contingent Capital Notes in a Structural Credit Risk
Model with Incomplete Information"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 09.07.2015, 16:30, seminar room SR09 (!!!)
Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Sigrid Kallblad (École Polytechnique, Paris, FR)
"Model-independent bounds for Asian options:
a dynamic programming principle"
(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., 22.06.2015, 17:00-18:00, Sky Lounge
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Claudia Czado (TU Munich)
http://www.statistics.ma.tum.de/personen/professorinnen/claudia-czado
"Systemic stress testing using vine copulas"
(ISOR Colloquium)
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
------------------------------------------------------------------------
FAM @ TU Wien: Lecture Series in Financial and Actuarial Mathematics
------------------------------------------------------------------------
Tu., 23.06.2015, 16:30, lecture hall: GM 4 Knoller Hörsaal
TU Wien, 1060 Wien, Getreidemarkt 9, Bauteil BD Hoftrakt, 2. Stock,
Alois Gisler (Departement Mathematik, RiskLab, ETH Zürich)
https://people.math.ethz.ch/~agisler/
"Das Chain-Ladder Reserve-Risiko neu betrachtet"
(Vortragsreihe in Finanz- und Versicherungsmathematik)
For further details (including abstracts) and registration see
https://fam.tuwien.ac.at/vr/
GM 4 Knoller Hörsaal
http://www.fam.tuwien.ac.at/gif/GM4_Knoller_Hoersaal.pdf
------------------------------------------------------------------------
Veranstaltungsreihe "Actuarial Modelling Club"
------------------------------------------------------------------------
Tu., 25.06.2015, 16:30, lecture hall: Hörsaal 6
TU Wien, 1040, Karlsplatz 13, Hauptgebäude, EG, zwischen Stiege 2 und 7
Thomas Viehmann, Andrea Rauter (B&W Deloitte GmbH)
"Negative Zinsen und hohe Volatilität -
Herausforderungen für die Kapitalmarktmodellierung"
(Actuarial Modelling Club)
For further details (including abstracts) and registration see
https://fam.tuwien.ac.at/vr/
Hörsaal 6
http://fam.tuwien.ac.at/gif/Hoersaal_6.gif
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 25.06.2015, 16:30, seminar room 101C
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Umut Cetin (London School of Economics, UK)
http://stats.lse.ac.uk/cetin/
"Linear Inverse Problems and Market Microstructure"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 25.06.2015, 17:30, seminar room 101C
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Antoine Jacquier (Imperial College London, UK)
http://www.imperial.ac.uk/people/a.jacquier
"Variations on the Heston Theme"
(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
------------------------------------------------------------------------
Th., 26.06.2015, 16:30, room SR D4.0.008
WU, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor
Evelyn Buckwar (Institut für Stochastik, JKU Linz)
https://de.wikipedia.org/wiki/Evelyn_Buckwar
"Stochastic numerics and issues in the stability analysis of
numerical methods"
(Research seminar - Statistics and Mathematics)
For further details (including abstracts) see
http://www.wu.ac.at/statmath/resseminar/en/
To find the room on the WU Campus search for "D4.0.019" on:
http://gis.wu.ac.at/?roomShow=D4.0.008
------------------------------------------------------------------------
We appologize for sending a wrong time for the talk on June 19th.
The talk of Tilmann Blümmel starts at 12:30. It is corrected below.
Best regards, Sandra Trenovatz
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 18.06.2015, 16:30, seminar room 101C
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Caroline Hillairet (CMAP, École Polytechnique, FR)
http://www.cmap.polytechnique.fr/~hillaire/index-en.html
"Affine long term yield curves: an application of the Ramsey rule
with progressive utility"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 18.06.2015, 17:30, seminar room 101C
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Rémi Lassalle (Instituto Superior Técnico, University of Lisbon, PT)
http://remilassalle.com/
"Some optimal transportation problems related to stochastic
differential equations"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
WU Wien, Institute for Statistics and Mathematics
------------------------------------------------------------------------
Fr., 19.06.2015, 09:00, room SR D4.4.008
WU, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor
Ralf Wunderlich (Brandenburgische Technische Universität Cottbus)
http://www.math.tu-cottbus.de/INSTITUT/lswima/rawu/
"Expert opinions and dynamic portfolio optimization
under partial information"
(Research seminar - Statistics and Mathematics)
For further details (including abstracts) see
http://www.wu.ac.at/statmath/resseminar/en/
To find the room on the WU Campus search for "D4.4.008" on:
http://gis.wu.ac.at/?roomShow=D4.4.008
------------------------------------------------------------------------
Announcement of Public PhD Thesis Defense at TU Wien
------------------------------------------------------------------------
Fr., 19.06.2015, 12:30, seminar room 104
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, green section, 5th floor
Tilmann Blümmel (FAM @ TU Wien)
"Martingalzerlegungssätze und die Struktur von No Arbitrage"
(Public PhD Thesis Defense)
For further details (including abstracts) see
https://fam.tuwien.ac.at/events/
=======================================================================
Additionally we announce two talks of Martin Hairer - Fields Medal 2014
------------------------------------------------------------------------
Tu., 16.06.2015, 17:00-18:00, Raiffeisen Lecture Hall
IST Austria, 3400 Klosterneuburg, Am Campus 1, Central building, 1st fl.
Martin Hairer (University of Warwick, UK - Fields Medal 2014)
http://www.hairer.org/
"Taming infinities"
(IST Special Colloquium)
For further details (registration, abstracts) see
http://ist.ac.at/events/lectures-talks/the-institute-colloquium/2015/spring…
------------------------------------------------------------------------
Talk of Martin Hairer - Fields Medal 2014
------------------------------------------------------------------------
We., 17.06.2015, 16:00, Konferenzraum TUtheSky
TU Wien, 1060, Getreidemarkt 9, building BA, 11th floor
Martin Hairer (University of Warwick, UK - Fields Medal 2014)
http://www.hairer.org/
"Modelling a random rubber band"
(Distinguished PDE Lecture Series)
For further details (including abstracts) see
http://viennapde.tuwien.ac.at/events/pdelectures.html
------------------------------------------------------------------------
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 18.06.2015, 16:30, seminar room 101C
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Caroline Hillairet (CMAP, École Polytechnique, FR)
http://www.cmap.polytechnique.fr/~hillaire/index-en.html
"Affine long term yield curves: an application of the Ramsey rule
with progressive utility"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 18.06.2015, 17:30, seminar room 101C
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Rémi Lassalle (Instituto Superior Técnico, University of Lisbon, PT)
http://remilassalle.com/
"Some optimal transportation problems related to stochastic
differential equations"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
WU Wien, Institute for Statistics and Mathematics
------------------------------------------------------------------------
Fr., 19.06.2015, 09:00, room SR D4.4.008
WU, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor
Ralf Wunderlich (Brandenburgische Technische Universität Cottbus)
http://www.math.tu-cottbus.de/INSTITUT/lswima/rawu/
"Expert opinions and dynamic portfolio optimization
under partial information"
(Research seminar - Statistics and Mathematics)
For further details (including abstracts) see
http://www.wu.ac.at/statmath/resseminar/en/
To find the room on the WU Campus search for "D4.4.008" on:
http://gis.wu.ac.at/?roomShow=D4.4.008
------------------------------------------------------------------------
Announcement of Public PhD Thesis Defense at TU Wien
------------------------------------------------------------------------
Fr., 19.06.2015, 19:00, seminar room 104
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, green section, 5th floor
Tilmann Blümmel (FAM @ TU Wien)
"Martingalzerlegungssätze und die Struktur von No Arbitrage"
(Public PhD Thesis Defense)
For further details (including abstracts) see
https://fam.tuwien.ac.at/events/
=======================================================================
Additionally we announce two talks of Martin Hairer - Fields Medal 2014
------------------------------------------------------------------------
Tu., 16.06.2015, 17:00-18:00, Raiffeisen Lecture Hall
IST Austria, 3400 Klosterneuburg, Am Campus 1, Central building, 1st fl.
Martin Hairer (University of Warwick, UK - Fields Medal 2014)
http://www.hairer.org/
"Taming infinities"
(IST Special Colloquium)
For further details (registration, abstracts) see
http://ist.ac.at/events/lectures-talks/the-institute-colloquium/2015/spring…
------------------------------------------------------------------------
Talk of Martin Hairer - Fields Medal 2014
------------------------------------------------------------------------
We., 17.06.2015, 16:00, Konferenzraum TUtheSky
TU Wien, 1060, Getreidemarkt 9, building BA, 11th floor
Martin Hairer (University of Warwick, UK - Fields Medal 2014)
http://www.hairer.org/
"Modelling a random rubber band"
(Distinguished PDE Lecture Series)
For further details (including abstracts) see
http://viennapde.tuwien.ac.at/events/pdelectures.html
------------------------------------------------------------------------
------------------------------------------------------------------------
University of Vienna, Dept. of Statistics and Decision Support Systems
------------------------------------------------------------------------
Mo., 08.06.2015, 17:00-18:00, ISOR-meeting room (6.511)
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 6th floor
Per Mykland (Univ. Chicago)
http://galton.uchicago.edu/~mykland/
"Assessment of Uncertainty in High Frequency Data:
The Observed Asymptotic Variance"
(ISOR Colloquium)
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
------------------------------------------------------------------------
Announcement of Public PhD Thesis Defense at TU Wien
------------------------------------------------------------------------
Tu., 09.06.2015, 9:00, seminar room 104
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, green section, 5th floor
Jonas Hirz (FAM @ TU Wien)
"Advanced Conditional Risk Measurement and Risk Aggregation
with Applications to Credit and Life Insurance"
(Public PhD Thesis Defense)
For further details (including abstracts) see
https://fam.tuwien.ac.at/events/
------------------------------------------------------------------------
FAM @ TU Wien: Lecture Series in Financial and Actuarial Mathematics
------------------------------------------------------------------------
Tu., 09.06.2015, 16:30, seminar room 107,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Pavel V. Shevchenko (CSIRO Australia)
http://www.risk.net/static/pavel-shevchenko
"Valuation of variable annuities with Guaranteed Minimum Withdrawal
Benefit and capital protection options via stochastic control
optimization"
(Vortragsreihe in Finanz- und Versicherungsmathematik)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vr/
------------------------------------------------------------------------
Book Launch & Workshop "Quantitative Risk Management", 10.6.2015, 15.30
------------------------------------------------------------------------
We., 10.06.2015, 15:30-18:30, WU, Executive Academy, Foyer
1020, Welthandelsplatz 1, WU Campus, building EA, ground floor
Alexander J. McNeil (Heriot-Watt University, UK)
http://www.macs.hw.ac.uk/~mcneil/
"Backtesting Trading Book Models Using Estimates of VaR,
Expected Shortfall and Realised p-Values"
Paul Embrechts (ETH Zurich, CH)
https://people.math.ethz.ch/~embrechts/
"How to Model Operational Risk"
Find further details (incl. registration) under:
http://www.wu.ac.at/statmath/detail-statmath/news/detail/News/quantitative-…
Executive Academy, Foyer:
http://gis.wu.ac.at/?roomShow=EA.0.024
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 11.06.2015, 16:30, seminar room 101C
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Pierre-Francois Rodriguez (ETH Zurich)
https://people.math.ethz.ch/~rpierre/
"On near-critical level set-percolation for the Gaussian free field"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
------------------------------------------------------------------------
Book Launch & Workshop "Quantitative Risk Management", 10.6.2015, 15.30
------------------------------------------------------------------------
We are happy to announce the completion of the second, fully revised
edition of our book
"Quantitative Risk Management:
Concepts, Techniques and Tools"
(Princeton University Press)
In order to celebrate this event there will be a workshop and
book-launch featuring talks by Alex McNeil and Paul Embrechts, a book
presentation and a reception. Moreover, it will be possible to buy the
new edition of the book at a reduced rate and to have it signed by the
authors.
Date and venue:
Wednesday, June 10, 2015, 15:30-18:30,
WU, Executive Academy, Foyer
1020, Welthandelsplatz 1, WU Campus, building EA, ground floor
http://gis.wu.ac.at/?roomShow=EA.0.024
Find further details under:
http://www.wu.ac.at/statmath/detail-statmath/news/detail/News/quantitative-…
Registration:
If you want to attend please send an email to
Karin Haupt <karin.haupt(a)wu.ac.at> by June 1, 2015.
Participation is free of charge.
We are looking forward to welcoming you at the event!
Rüdiger Frey, Paul Embrechts and Alex McNeil
------------------------------------------------------------------------
------------------------------------------------------------------------
University of Vienna, Dept. of Statistics and Decision Support Systems
------------------------------------------------------------------------
Mo., 18.5.2015, 17:00, ISOR-meeting room (6.511)
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 6th floor
Florentina Paraschiv (Univ. St. Gallen)
http://www.iorcf.unisg.ch/de/institut/mitarbeiterinnen/florentina+paraschiv
"Optimization of hydro storage systems and indifference pricing
of power contracts"
(ISOR Colloquium)
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
------------------------------------------------------------------------
Veranstaltungsreihe "Actuarial Modelling Club"
------------------------------------------------------------------------
Tu., 19.05.2015, 16:30, lecture hall: Böcklsaal
TU Wien, 1040, Karlsplatz 13, Hauptgebäude der TU Wien, Stiege 1, 1. OG
René Knapp (UNIQA, Vienna)
"Bestandsmanagement in der Lebensversicherung - ein Praxisbericht"
(Actuarial Modelling Club)
For further details (including abstracts) and registration see
https://fam.tuwien.ac.at/vr/
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 21.05.2015, 16:30, seminar room 101C
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Artem Sapozhnikov (Universität Leipzig, DE)
http://www.math.uni-leipzig.de/~sapozhnikov/
"Large-scale invariance in percolation models
(with strong correlations)"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
------------------------------------------------------------------------
University of Vienna, Faculty of Mathematics
------------------------------------------------------------------------
Tu., 12.05.2015, 16:15-17:00, Sky-Lounge
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
R. Tyrrell Rockafellar (Univ. of Washington, Seatle / Univ. of Florida)
http://www.math.washington.edu/~rtr/mypage.html
"Stochastic Variational Inequalities: Singlestage to Multistage"
(Ausserordentliches Mathematisches Kolloquium)
15:45 coffee & cake, Sky-Lounge
For further details (including abstracts) see
http://plone.mat.univie.ac.at/talks/colloquium/view?set_language=enhttp://plone.mat.univie.ac.at/events/2015/rockafellar_auserordentlichesmath…
------------------------------------------------------------------------
------------------------------------------------------------------------
University of Vienna, Dept. of Statistics and Decision Support Systems
------------------------------------------------------------------------
Mo., 04.05.2015, 16:15 (!) - 17:15, Sky Lounge
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Rama Cont (Imperial College London)
http://www.imperial.ac.uk/people/r.cont
"Fire sales, endogenous risk and price-mediated contagion:
modeling, monitoring and regulation"
(ISOR Colloquium)
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 07.05.2015, 16:30, seminar room 101C
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Ulrich Horst (Humboldt-Universität zu Berlin, DE)
http://www2.math.hu-berlin.de/Math-Net/members/horstu.rdf.html
"A Functional Limit Theorem for Limit Order Books
with State Dependent Price Dynamics"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
------------------------------------------------------------------------
WU Wien, Institute for Finance, Banking and Insurance
------------------------------------------------------------------------
We., 28.04.2015, 12:00, room SR D4.0.019 (EG)
WU, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor
Maria Chaderina (WU)
http://www.wu.ac.at/finance/people/faculty/maria-chaderina/en/
"Covenants, Systemic Risk and Discretion in Credit-Line Contracts:
Theory and Evidence."
(Finance Brown Bag Seminar)
For further details (including abstracts) see
http://www.wu.ac.at/finance/research/bbs/summer-term-2015/en/
To find the room on the WU Campus search for "D4.0.019" on:
http://gis.wu.ac.at/?roomShow=D4.0.019
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 30.04.2015, 16:30, seminar room 101C
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Christophe Profeta (Université d'Evry Val d'Essonne, FR)
http://www.maths.univ-evry.fr/pages_perso/cprofeta/
"Peacocks and Associated Martingales"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
------------------------------------------------------------------------
Vienna Graduate School of Finance (VGSF)
------------------------------------------------------------------------
Fr., 24.04.2015, 11:00, room D3.0.221
WU, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor
Nikolaus Hautsch (University of Vienna)
http://homepage.univie.ac.at/nikolaus.hautsch/
"The Hidden Side of the Market Order Exposure
and Liquidity Coordination"
(Finance Research Seminar)
For further details (including abstracts) see
http://www.vgsf.ac.at/index.php?id=172
To find the room on the WU Campus search for "D3.0.221" on:
http://gis.wu.ac.at/?roomShow=D3.0.221
========================================================================
ASD 2015
------------------------------------------------------------------------
4th Austrian Stochastics Days
September 28-29, 2015
Vienna, Austria
https://fam.tuwien.ac.at/asd2015/
========================================================================
VCMF 2016
------------------------------------------------------------------------
Vienna Congress on Mathematical Finance
September 12-14, 2016
VCMF Educational Workshop
September 15-16, 2016
Vienna, Austria
https://fam.tuwien.ac.at/vcmf2016/
------------------------------------------------------------------------
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 16.04.2015, 16:30, seminar room 101C
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
David Ruiz Baños (University of Oslo, NO)
http://www.mn.uio.no/math/english/people/aca/davidru/
"Construction of higher order differentiable strong solutions
of SDEs with discontinuous coefficients driven
by fractional Brownian motion"
(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 Operations Research
------------------------------------------------------------------------
Mo., 23.03.2015, 17:00-18:00, Skylounge
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Jorge P. Zubelli (IMPA)
http://w3.impa.br/~zubelli/
"Project evaluation and Real Option Analysis:
A Hedged Monte Carlo Approach"
(ISOR Colloquium)
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
------------------------------------------------------------------------
------------------------------------------------------------------------
FAM @ TU Wien: Lecture Series in Financial and Actuarial Mathematics
------------------------------------------------------------------------
Tu., 17.03.2015, 16:30, lecture hall "GM 4 Knoller Hörsaal"
TU Wien, 1060, Getreidemarkt 9, building BD, 2nd floor
Jonas Hirz (FAM @ TU Wien)
"Ein Modell zur Risikoaggregation
in Pensions- und Lebensversicherungsportfolios"
(Lecture Series in Financial and Actuarial Mathematics /
Vortragsreihe in Finanz- und Versicherungsmathematik)
For further details (including abstracts) and registration see
https://fam.tuwien.ac.at/vr/
For finding the lecture hall "GM 4 Knoller Hörsaal" see:
https://fam.tuwien.ac.at/gif/GM4_Knoller_Hoersaal.pdf
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 19.03.2015, 16:30, seminar room 101C
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Giacomo Scandolo (University of Florence, IT)
https://sites.google.com/site/giacomoscandolo/
"Assessing financial model risk and
an application to electricity prices"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
Th., 19.03.2015, 17:30 (!), seminar room 101C
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Jorge P. Zubelli (IMPA, Rio de Janeiro, Brazil)
http://w3.impa.br/~zubelli/
"Multiscale Models of Commodities and Derivatives on Futures"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
------------------------------------------------------------------------
Pre-Announcement for June
------------------------------------------------------------------------
We., 10.06.2015, 15:30-18:30, WU Executive Academy
"Quantitative Risk Management
Workshop and Book Launch"
Talks by Alexander J. McNeil & Paul Embrechts (Titles & abstracts tba.)
Presentation by Rüdiger Frey
Details & registration:
http://www.wu.ac.at/statmath/detail-statmath/news/detail/News/quantitative-…
Details of the book:
Alexander J. McNeil, Rüdiger Frey and Paul Embrechts
"Quantitative Risk Management: Concepts, Techniques, and Tools"
_Revised Edition:_
Hardcover, 648 pp. | May 2015 | ISBN: 9780691166278 |
eBook | ISBN: 9781400866281 |
http://press.princeton.edu/titles/10496.html
------------------------------------------------------------------------
------------------------------------------------------------------------
TU Wien, 2-stündige Vorlesung: "AKFVM Large Deviations
mit Anwendungen in der Finanz- und Versicherungsmathematik"
------------------------------------------------------------------------
Vortragender:
Stefan Gerhold (FAM @ TU Wien)
Ziele der Lehrveranstaltung:
Verständnis der Grundlagen eines klassischen Gebiets der Stochastik,
einschließlich Anwendungen im Risikomanagement und in der Optionsbewertung.
Inhalt der Lehrveranstaltung:
Die Theorie der large deviations (Große Abweichungen) behandelt
"seltene" Ereignisse, die in Abhängigkeit von einem Parameter
exponentiell kleine Wahrscheinlichkeiten haben. Ein klassisches Beispiel
sind Stichprobenmittel, die trotz "großem" Stichprobenumfang "weit" vom
tatsächlichen Erwartungswert entfernt sind. Konkrete Lehrinhalte der
allgemeinen Theorie: Satz von Cramer, Satz von Gärtner-Ellis,
allgemeines LDP (Large Deviation Principle), Lemma von Varadhan,
Grundlagen der Freidlin-Wentzell-Theorie über LDPs für stochastische
Prozesse. Anwendungen: Optionsbewertung mit Monte-Carlo-Simulation
(Importance Sampling), Große Verluste im Kreditrisikomanagement,
Asymptotik von Optionspreisen für kleine Laufzeiten.
Termine & Ort:
jeweils Montag, von 14:00-16:00, Beginn, 2. März 2015,
Seminarraum 107 (TU Wien, Freihaus, 7.OG, grün)
Webseiten zu allen Lehrveranstaltungen der Forschungsgruppe FAM @ TU:
https://fam.tuwien.ac.at/lehre/lva/
------------------------------------------------------------------------
TU Wien, Announcement of Habilitation Talk
at the Institute of Statistics and Mathematical Methods in Economics
------------------------------------------------------------------------
Mo., 02.03.2015, 10:00, conference room of the Deanery,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, green section, 9th floor
(8th floor, then staircase in the green area)
Dr. Ulrike Schneider (EOS @ TU Wien)
"Konfidenzmengen basierend auf dem Lasso-Schätzer: Neue Resultate"
(Public Habilitation Talk / Habilitationskolloquium)
For further details (including abstracts) see
http://eos.tuwien.ac.at/
------------------------------------------------------------------------
TU Wien, Seminar of the joint Doctoral Program "Dissipation and
Dispersion in Nonlinear PDEs" of TU Wien and Univ. Wien
------------------------------------------------------------------------
We., 04.03.2015, 14:00, seminar room 101C,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, green section, 4th floor
Nils Berglund (Université d'Orléans)
http://www.univ-orleans.fr/mapmo/membres/berglund/
"An Eyring-Kramers formula for parabolic SPDEs
with space-time white noise "
(DK Seminar)
For further details see
http://npde.tuwien.ac.at/?open=StatSemSS15
------------------------------------------------------------------------
WU Wien, Institute for Statistics and Mathematics
------------------------------------------------------------------------
Fr., 06.03.2015, 09:00, room SR D4.4.008
WU, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor
Jörn Saß (University of Kaiserslautern):
http://www.mathematik.uni-kl.de/~sass/
"Continuous-time regime switching models, portfolio optimization
and filter-based volatility"
(Research seminar - Statistics and Mathematics)
For further details (including abstracts) see
http://www.wu.ac.at/statmath/resseminar/en/
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, Seminar of the joint Doctoral Program "Dissipation and
Dispersion in Nonlinear PDEs" of TU Wien and Univ. Wien
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We., 04.03.2015, 14:00, seminar room 101C,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, green section, 4th floor
Nils Berglund (Université d'Orléans)
http://www.univ-orleans.fr/mapmo/membres/berglund/
"An Eyring-Kramers formula for parabolic SPDEs
with space-time white noise "
(DK Seminar)
For further details see
http://npde.tuwien.ac.at/?open=StatSemSS15
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WU Wien, Institute for Statistics and Mathematics
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Fr., 06.03.2015, 09:00, room SR D4.4.008
WU, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor
Jörn Saß (University of Kaiserslautern):
http://www.mathematik.uni-kl.de/~sass/
"Continuous-time regime switching models, portfolio optimization
and filter-based volatility"
(Research seminar - Statistics and Mathematics)
For further details (including abstracts) see
http://www.wu.ac.at/statmath/resseminar/en/
To find the room on the WU Campus search for "D4.4.008" on:
http://gis.wu.ac.at/?roomShow=D4.4.008
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TU Wien, Announcement of Public PhD Thesis Defense at the Institute of
Statistics and Mathematical Methods in Economics
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Mo., 02.03.2015, 10:00, conference room of the Deanery,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, green section, 9th floor
(8th floor, then staircase in the green area)
Dr. Ulrike Schneider (EOS @ TU Wien)
"Konfidenzmengen basierend auf dem Lasso-Schätzer: Neue Resultate"
(Public PhD Thesis Defense)
For further details (including abstracts) see
http://eos.tuwien.ac.at/
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Joint Seminar: TU Vienna, University of Vienna and WU Vienna
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Th., 26.02.2015, 16:30, seminar room SR09
Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Francesc Font Clos (Centre de Recerca Matemàtica, Spain)
http://www.crm.cat/en/About/People/Researchers/fontclos/
"Analysis of survival times for a thresholded birth-death process"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
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Austrian Stochastics Days 2015
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Dear Colleagues,
We would like to invite you to participate in the
4th Austrian Stochastics Days
https://fam.tuwien.ac.at/asd2015/
which will be held in Vienna from 28th to 29th of September 2015.
Our invited speakers will be
Evelyn Buckwar (Johannes Kepler University Linz)
Jiří Černý (University of Vienna)
This event shall especially give young researchers the opportunity to
present their work and to network with other colleagues from or near
Austria. Therefore, we would also ask you to forward this announcement
to doctoral students and postdocs within your research group and
department!
Every participant is invited to submit a talk. The duration of talks is
expected to be about 20 minutes (plus 5 minutes discussion) but
depending upon the number of submissions this may slightly be adjusted
(+/- 5 minutes).
For submission please send title and abstract (plain text) to
austrian.stochasticdays(a)gmail.com
until August 15, 2015.
In order to have time to talk to each other we also plan to meet for
dinner in the evening of the 28th of September.
For more information please visit:
https://fam.tuwien.ac.at/asd2015/
Best regards and looking forward seeing you,
Friedrich Hubalek and Christian Kühn
(Vienna University of Technology)
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Two-Day Seminar "A Benchmark Approach to Investing, Pricing and Hedging"
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Two-Day Seminar
"A Benchmark Approach to Investing, Pricing and Hedging"
by Prof. Dr. Eckhard Platen
(UTS Business School, University of Technology Sydney, Australia)
Location:
Hotel & Palais Strudlhof, Pasteurgasse 1, 1090 Wien, Austria
<http://www.strudlhof.at/en/hotel-strudlhof/>
Dates:
Wednesday/Thursday, April 29-30, 2015
Official announcement and registration:
<http://www.avoe.at/veranstaltungen_avoe.html>
Organized by:
OeFdV GmbH
Actuarial Association of Austria
Language:
Presentation in English, Dialogs in German
Targeted Audience:
------------------
Actuaries and financial experts within the insurance and pension
industry who are valuing insurance or pension liabilities; asset
managers looking for systematic improvements in long-term portfolio
growth; regulators; derivative experts; those interested in innovative
developments in financial and actuarial mathematics.
Financial Support for Students:
-------------------------------
To promote the actuarial profession, a limited number of full-time
Master (in the final phase of their studies) and PhD students interested
in financial and actuarial mathematics may attend the two-day seminar at
a sponsored, substantially reduced price of 240 Euro (which includes 20%
sales tax, lunch and coffee breaks on both days, but doesn't give a CPD
certificate for actuaries).
Interested students are kindly asked to apply for these special seminar
places by sending their curriculum vitae, proof of their status as
Master or PhD student, the topic or research area of their thesis, and
the name and e-mail address of their academic advisor to
<office(a)fam.tuwien.ac.at>. A committee headed by Prof. U. Schmock (TU
Vienna) will start selecting students by the beginning of March until
the available places are filled.
About the Speaker:
------------------
Professor Eckhard Platen holds the Chair in Quantitative Finance at the
University of Technology Sydney. He is the President of the Bachelier
Finance Society, the professional organization for Mathematical Finance
and Quantitative Finance. He initiated and has been chairing the leading
annual international conference series Quantitative Methods in Finance
for more than 20 years. He has a PhD in Mathematics from the Technical
University in Dresden and obtained his Dr. Sc from the Academy of
Sciences in Berlin, where he was heading the Sector Stochastics at the
Weierstrass Institute. He was the Founding Head of the Centre for
Financial Mathematics at the Institute of Advanced Studies at the
Australian National University in Canberra and is Adjunct Professor of
this university. He is an Honorary Professor at the University of Cape Town.
He is co-author of three books on simulation methods, a fourth book on
his innovative benchmark approach, and a fifth book on functionals of
multidimensional diffusions with applications to finance, all at
Springer-Verlag.
He has authored more than 180 papers in finance, insurance and applied
mathematics and serves on the editorial boards of seven international
journals, including Mathematical Finance and Quantitative Finance, and a
Springer book series.
His main interests are in the extension and application of his benchmark
approach, with focus on the valuation and hedging of pension and
insurance liabilities beyond classical approaches. This is closely
linked to his interest in high-growth long-term asset management. He has
been consulting for market leaders in the insurance and finance industry
for more than 20 years.
About the Seminar:
------------------
We would be delighted if you could join us for a two-day seminar
presented by Professor Eckhard Platen (University of Technology Sydney).
Prof. Platen is one of the world's leading academic and industry
research figures in Quantitative Finance and is in high demand as a
presenter and instructor. His seminar will be based on the book "A
Benchmark Approach to Quantitative Finance" by Eckhard Platen and David
Heath (2006) and a series of more recent journal articles.
This mini-course introduces into the benchmark approach, which provides
a general framework for insurance and financial market modelling. It
allows for a unified treatment of portfolio optimization, liability
valuation and hedging, derivative pricing, financial planning, insurance
and risk management. It extends beyond the classical asset pricing
theories, with significant new possibilities emerging for portfolio
optimization and long-dated liabilities. The Law of the Minimal Price
will be presented for minimal possible valuation. A Diversification
Theorem allows forming an extremely well performing proxy for the
numeraire portfolio, the benchmark. The richer modelling framework of
this approach leads to the construction of parsimonious, realistic
long-term models under the real world probability measure. It will be
explained how the approach generalizes classical portfolio optimization,
the standard risk-neutral approach and the actuarial approach. Hands-on
examples about the valuation and hedging of long-term pension and
insurance liabilities will demonstrate the important fact that a range
of liabilities can be less expensively valued and hedged than suggested
by classical theory.
Topics:
--------
1. Best Performing Portfolio as Benchmark
2. Various Approaches to Asset Pricing
3. Valuation and Hedging of Long-Term Liabilities
4. Parsimonious Long-Term Models
5. Benchmarked Risk Minimization
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Joint Seminar: TU Vienna, University of Vienna and WU Vienna
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Th., 05.02.2015, 16:30, seminar room SR09
Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Patrick Beißner (Bielefeld University, DE)
https://www.sites.google.com/site/beissnerpatrick/
"Microeconomic Theory of Financial Markets
under Uncertain Volatility"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/vs-mfp/
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Further talk at University of Vienna
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Fr., 06.02.2015, 15:00, seminar room SR11
Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Ludovic Tangpi (University of Konstanz, DE)
http://www.math.uni-konstanz.de/~tangpi/
"Representation of convex increasing functionals with countably
additive measures and applications to finance"
For further details (including abstracts) see
http://goo.gl/UnB1KC
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