------------------------------------------------------------------------
FAM, TU Vienna & Actuarial Association of Austria (AVÖ)
------------------------------------------------------------------------
EAJ 2014 - 2nd European Actuarial Journal (EAJ)
Conference & Educational Workshop
TU Vienna, September 8-12, 2014
Late registration for the EAJ Conference (Sept. 10-12)
is still possible:
http://www.fam.tuwien.ac.at/eaj2014/registration.php
Special thanks go to our sponsors:
Contributing sponsors:
Vienna Insurance Group
Milliman
Sparkassen Versicherung - VIG
Supporting sponsors:
arithmetica
Drei-Banken Versicherung
fintegral consulting
Gen Re - General Reinsurance
HDI Versicherung
Munich RE - Münchener Rückversicherungs-Gesellschaft
Springer-Verlag
http://www.fam.tuwien.ac.at/eaj2014/sponsors.php
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 11.9.2014, 16:30, seminar room SR09,
Univ. of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Danila Zaev (National Research University, RU)
http://www.hse.ru/en/staff/dzaev
"Monge-Kantorovich problem with additional constraints"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 31.7.2014, 16:30, seminar room 101C,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Elisa Alos Alcalde (Universitat Pompeu Fabra, Barcelona, Spain)
https://sites.google.com/site/juliobackhoff/
"A general method to develop closed-form approximations formulas
and to estimate their error bounds, with applications to the
study of spread options"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
+------------------------------------
|
| 2nd European Actuarial Journal (EAJ) Conference
| Vienna, September 10-12, 2014
|
| EAJ Educational Workshop
| Vienna, September 8-9, 2014
|
| http://www.fam.tuwien.ac.at/eaj2014/
|
+-------------------------------------------------------------------
The 2nd European Actuarial Journal (EAJ) Conference (Vienna, September
10-12, 2014) is an international conference in actuarial science and
insurance mathematics. The aim is to bring together practicing actuaries
and academics to discuss about challenging and current topics in
actuarial science. We invite researchers and practitioners to join the
event in the heart of beautiful Austria.
The EAJ Educational Workshop (Vienna, September 8-9, 2014) is a
satellite event of the 2nd EAJ Conference, aimed at both academics and
practitioners and providing a general overview over the past and current
research results and their practical applications.
We are proud to announce to already have registrations from the
following countries:
Algeria - Argentina - Australia - Austria - Belgium - Brazil - China -
Colombia - Denmark - Finland - France - Germany - Greece - Iceland -
Iran - Israel - Italy - Latvia - Netherlands - Norway - Portugal -
Russia - Singapore - Slovenia - Spain - Sweden - Switzerland - Taiwan -
Turkey - Ukraine - United Kingdom - USA
With best regards from the organisers,
Actuarial Association of Austria
Vienna University of Technology
For early registrations until July 25, a discount of 10% is allowed.
Details and Registration for EAJ 2014: http://fam.tuwien.ac.at/eaj2014/.
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Tu., 1.7.2014, 15:30, seminar room 8,
Univ. of Vienna, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Julio Backhoff (HU Berlin, Germany)
https://sites.google.com/site/juliobackhoff/
"Sensitivity and robustness analysis
of some stochastic optimization problems"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
Th., 3.7.2014, 16:30, seminar room 101C,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Larry Goldstein (Univ. of Southern California, Los Angeles, USA)
http://www-bcf.usc.edu/~larry/
"Applications of Stein Couplings for Concentration of Measure"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
------------------------------------------------------------------------
Wolfgang-Pauli-Institut
------------------------------------------------------------------------
Mo., 23.06.2014, 17:00, WPI seminar room
Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 8th floor
Juraj Kapasny (Masaryk University Brno & Univ. of Vienna)
"Application of PDEs in option pricing:
Black Scholes formula and how it failed"
(Projektseminar 'Angewandte Analysis', Markowich & Mauser)
Juraj will present a short basic explanation of mathematics for pricing
options, the Black Scholes formula, and how it nearly triggered a crash
when the LTCM fund collapsed in 1999 that was based on Black-Scholes
formula and managed by Scholes himself.
------------------------------------------------------------------------
------------------------------------------------------------------------
Announcement of talks organised by FAM @ TU Wien
------------------------------------------------------------------------
Tu., 17.06.2014, 16:30, seminar room 107,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Lars Rösler(WU Wien)
http://www.wu.ac.at/statmath/en/faculty_staff/projects/lroesler
"Contagion Effects and Collateralized CVAs for Credit Default Swaps"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
------------------------------------------------------------------------
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 12.6.2014, 16:30, seminar room 101C,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Pingping Zeng (Hong Kong University of Science & Technology, China)
"Closed-form partial transform of triple joint density for
pricing exotic options and variance derivatives under the 3/2 model"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/vs-mfp/
========================================================================
+------------------------------------
|
| 2nd European Actuarial Journal (EAJ)
| Conference & Educational Workshop
|
| Vienna, September 8-12, 2014
|
| http://www.fam.tuwien.ac.at/eaj2014/
|
+-------------------------------------------------------------------
The 2nd European Actuarial Journal (EAJ) Conference (Vienna, September
10-12, 2014) is an international conference in actuarial science and
insurance mathematics. The aim is to bring together practicing actuaries
and academics to discuss about challenging and current topics in
actuarial science. We invite researchers and practitioners to present
their scientific work - the call for contributed talks and posters is
open until June 15, 2014.
The EAJ Educational Workshop (Vienna, September 8-9, 2014) is a
satellite event of the 2nd EAJ Conference, aimed at both academics and
practitioners and providing a general overview over the past and current
research results and their practical applications.
Details and Registration for EAJ 2014: http://fam.tuwien.ac.at/eaj2014/.
--------------------------------------------------------------------
EAJ Conference 2014
Wednesday, September 10 - Friday, September 12, 2014
EAJ Educational Workshop
Monday, September 8 - Tuesday, September 9, 2014
Conference Website:
http://www.fam.tuwien.ac.at/eaj2014/
Location:
Vienna University of Technology
Wiedner Hauptstr. 8, 1040 Wien, Austria
Organized by:
Actuarial Association of Austria
Vienna University of Technology
Sponsored by (alphabetical order):
arithmetica
Drei-Banken Versicherung
fintegral consulting
HDI Versicherung
Milliman
Munich RE - Münchener Rückversicherungs-Gesellschaft
Sparkassen Versicherung - Vienna Insurance Group
Gen Re - General Reinsurance
Springer-Verlag
(further sponsors are welcome)
http://www.fam.tuwien.ac.at/eaj2014/sponsors.php
Invited Speakers and Talks...
... at the EAJ Conference:
Hansjörg Albrecher (University of Lausanne, CH)
Francesca Biagini (LMU Munich, DE)
Andrew Cairns (Heriot-Watt University, Edinburgh, UK)
Alexander Dotterweich (KPMG, Munich, DE)
Hansjörg Furrer (Swiss Financial Market Supervisory Authority, CH)
Stefan Jaschke (Munich Re, DE)
Claus Mischler (Standard Life, Frankfurt, DE)
Ragnar Norberg (ISFA, Universite Lyon 1, FR)
Daniel Ryan (Swiss Re, London, UK)
Michael Schlögl (Vienna Insurance Group, AT)
Hanspeter Schmidli (University of Cologne, DE)
Mogens Steffensen (University of Copenhagen, DK)
Nele Vandaele (KBC Group, Brussels, BE)
... at the EAJ Educational Workshop:
Carole Bernard (University of Waterloo, CA)
Enrico Biffis (Imperial College Business School, London, UK)
Claudia Czado (Technische Universität München, DE)
Stéphane Loisel (ISFA, Université Lyon 1, FR)
Alfred Müller (University of Siegen, DE)
http://www.fam.tuwien.ac.at/eaj2014/speakers.php
Submission of Contributed Talks & Posters:
The call for contributed talks & posters is open until June 15, 2014.
Acceptance/rejection letters will be sent by July 7 at the latest.
http://www.fam.tuwien.ac.at/eaj2014/contributions.php
Participation and Registration:
Registration is possible until August 15, 2014.
For early registrations until July 15, 2014, a discount
of 10% is allowed.
http://www.fam.tuwien.ac.at/eaj2014/registration.php
CPD:
The attendance at EAJ 2014 (full week, Sept. 8-12) may qualify
for up to 29 CPD credits for those delegates whose national
actuarial organization's CPD requirements recognize EAJ 2014.
The EAJ Educational Workshop (Sept. 8-9, 1014) may qualify for up
to 13 CPD credits and the EAJ Conference (Sept. 10-12, 1014)
may qualify for up to 16 CPD credits. See details on:
http://www.fam.tuwien.ac.at/eaj2014/cpd.php
------------------------------------------------------------------------
University of Vienna, Department of Statistics and Operations Research
------------------------------------------------------------------------
Mo., 2.6.2014, 17:00-18:00, Skylounge
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12. Stock
Nikolaus Hautsch (ISOR, Univ. Wien)
http://homepage.univie.ac.at/nikolaus.hautsch/
"Hochfrequenz auf Finanzmärkten - Fluch oder Segen?"
(Antrittsvorlesung / Inaugural lecture)
Interview im uni:view magazin:
http://medienportal.univie.ac.at/uniview/professuren/detailansicht/artikel/…
------------------------------------------------------------------------
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 22.05.2014, 16:30, seminar room 101C,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Christos E. Kountzakis (Univ. of the Aegean, GR, Univ. of Vienna, AT)
"The Order Form of the Fundamental Theorems of Asset Pricing"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
TU Wien - Mathematikerinnen und Mathematiker in der Berufspraxis
------------------------------------------------------------------------
Di., 27.05.2014, 17:00, Freihaus Hörsaal 8 (Nöbauer Hörsaal),
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 2. Stock, gelber Bereich
Carina Götzen and Onnen Siems (Meyerthole Siems Kohlruss GmbH, DE)
"Mathematik in der Versicherungsbranche - ein Tag
im Leben eines Aktuars in der Beratungsbranche"
Weitere Information unter:
http://fam.tuwien.ac.at/jobs/20140527_berufspraxis.pdf
------------------------------------------------------------------------
========================================================================
EAJ 2014 - 2nd European Actuarial Journal (EAJ)
Conference & Educational Workshop
Vienna University of Technology, September 8-12, 2014
http://www.fam.tuwien.ac.at/eaj2014/
Submission of Contributed Talks & Posters possible until May 31, 2014!
========================================================================
------------------------------------------------------------------------
University of Vienna, Faculty of Mathematics
------------------------------------------------------------------------
Tu., 20.05.2014, 17:00, seminar room 10
Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
José Miguel Zapata (Univ. of Murcia & BBVA asset management, Spain)
http://es.linkedin.com/pub/jose-miguel-zapata/28/46a/578
"Locally L^0-convex modules and conditional risk measures"
Abstract:
Locally L^0-convex modules are thought to be the suitable analytic
foundation for conditional risk measures. With respect this idea, we
review the notion of locally L^0-convex topologies and provide a
characterization theorem of locally L^0-convex topologies induced by a
family of L^0-seminorms, giving a counterexample of a locally L^0-convex
topology which cannot be induced by any family of L^0-seminorms. We also
review some important results drawn from convex analysis and adapted to
L^0-modules: hyperplane separation theorems for L^0-modules as well as
continuity, subdifferentiability and a dual representation of
Fenchel-Moreau type for L^0-convex functions from L^0-modules into L^0.
------------------------------------------------------------------------
------------------------------------------------------------------------
University of Vienna, Faculty of Mathematics
------------------------------------------------------------------------
Mo., 12.05.2014, 17:00-18:00, Sky-Lounge
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Anders Rahbek (Univ. Copenhagen)
http://www.econ.ku.dk/rahbek/
"Bootstrapping Nonstationary Heteroscedastic Vector
Autoregressive Models"
(ISOR Kolloquium)
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 15.5.2014, 16:30, seminar room 101C,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Alexander Fribergh (Université Paul Sabatier, FR)
http://www.cims.nyu.edu/~fribergh/
"Biased random walk on supercritical percolation clusters"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
Vienna Graduate School of Finance (VGSF)
------------------------------------------------------------------------
Fr., 16.05.2014, 11:00, room D3.0.221
WU, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor
Igor Makarov (London Business School)
http://faculty.london.edu/imakarov/
"Arbitrage Trading with Marking-to-market and Price Impact"
(Finance Research Seminar)
For further details (including abstracts) see
http://www.vgsf.ac.at/finance-research-seminar/
To find the room on the WU Campus search for "D3.0.221" on:
http://gis.wu.ac.at/?roomShow=D3.0.221
------------------------------------------------------------------------
========================================================================
EAJ 2014 - 2nd European Actuarial Journal (EAJ)
Conference & Educational Workshop
Vienna University of Technology, September 8-12, 2014
http://www.fam.tuwien.ac.at/eaj2014/
========================================================================
------------------------------------------------------------------------
University of Vienna, Dept. of Statistics and Decision Support Systems
------------------------------------------------------------------------
Mo., 5.5.2014, 17:00-18:00, Skylounge
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Markus Reiß (Humboldt-Universität zu Berlin)
http://www.math.hu-berlin.de/~mreiss/
"Optimal estimation of linear functionals
in irregular nonparametric models"
(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., 8.5.2014, 16:30, seminar room 101C,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Fabio Bellini (University of Milano-Bicocca, IT)
http://www.economia.unimib.it/BELLINI
"Elicitable risk measures and expectiles"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
------------------------------------------------------------------------
Announcement of Public PhD Thesis Defense at TU Wien
------------------------------------------------------------------------
We., 30.04.2014, 17:00, room "Zeichensaal 1",
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, green section, 8th floor
Cordelia Rudolph (FAM @ TU Wien)
"A generalization of Panjer's recursion for dependent claim numbers
and an approximation of Poisson mixture models"
(Public PhD Thesis Defense)
------------------------------------------------------------------------
Sorry, this talk was by mistake not announced earlier.
With best regards, Sandra Trenovatz
------------------------------------------------------------------------
Announcement of talks organised by FAM @ TU Wien
------------------------------------------------------------------------
Tu., 29.04.2014, 16:30, seminar room 107,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Thorsten Schmidt (TU Chemnitz, DE)
http://www.tu-chemnitz.de/mathematik/fima/ag/tschmidt.php
"Default Times not Avoiding Stopping Times: Defaultable Term
Structure Modelling beyond the Intensity-Paradigm"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
------------------------------------------------------------------------
+------------------------------------------
|
| Teenage Think Tank
| http://www.teenagethinktank.at/
|
+------------------------------------------------------
Die Initiative "Teenage Think Tank" startet am 25. April 2014 und hat
sich das Ziel gesetzt interessierten SchülerInnen den praktischen Nutzen
von Mathematik in der Wirtschaft aufzuzeigen. Möglich wird das durch die
Kooperation mit der Technischen Universität Wien, dem Stadtschulrat für
Wien und dem Science Center Netzwerk.Reale Probleme aus Wirtschaft und
Gesellschaft durch innovative Ansätze mit mathematischen Methoden lösen
- nicht weniger ist der Anspruch des Teenage Think Tank. Ermöglicht
werden soll dies durch einen generationenübergreifenden
Wissensaustausch. In den angebotenen Workshops wird die Plattform
geboten, um die Ideen der Teenager zu sammeln und gemeinsam mit
ExpertInnen weiterzuentwickeln. Die Resultate werden im Anschluss auf
Umsetzungsmöglichkeit und Innovationskraft getestet.
**"Die Ideen der Teenager sind unsere Zukunft"**
ist Mitinitiator Bernhard Kronfellner überzeugt.
**Ideen fördern - erarbeiten - testen**
Mathematik zählt noch immer nicht zu den meistgenannten Lieblingsfächern
in der Schule. Dennoch ist der Bedarf an kompetenten MathematikerInnen
in der Wirtschaft hoch. Um ein Bindeglied zwischen Schulmathematik,
interessierten SchülerInnen und Firmen zu schaffen, wurde der Teenage
Think Tank ins Leben gerufen. Anhand praktischer Probleme, die die
Vortragenden aus ihrem Berufsleben beisteuern, wird der Nutzen von
Mathematik im Alltag erlebbar. Gleichzeitig sehen SchülerInnen, in
welche unterschiedlichen Bereiche eine technisch-naturwissenschaftliche
Ausbildung führen kann. Die Vortragenden der Startworkshops arbeiten
z.B. in den Bereichen Bankenwesen, Medizin oder Rechtswissenschaften.
Von Wirtschaftsseite besteht das Interesse an der Meinung der
Jugendlichen zu aktuellen Fragestellungen. Durch gezielte Einbindung der
Teenager sollen adäquate Lösungen gemeinsam entwickelt werden. Der
Schulmathematik bietet sich die Option den Unterricht durch reale
Beispiele zu erweitern und die konkrete Anwendbarkeit des Erlernten zu
demonstrieren.
**Vernetzung erwünscht**
Neben den Workshop-Terminen - in Folge sollen ein bis zwei pro Semester
stattfinden - steht eine App zur Vernetzung zur Verfügung. Diese soll
durchgehenden Kontakt zwischen den Beteiligten ermöglichen. Neue Ideen
können eingereicht werden, bestehende Ideen können bewertet werden und
Rechenbeispiele aus der Praxis werden angeboten. Die Ergebnisse aus den
Workshops werden in White Papers veröffentlicht. SchülerInnen haben
somit Ergebnisse parat, die ihr Engagement dokumentieren.
**Teenage Think Tank - Kick off Veranstaltung**
Freitag, 25. April 2014, 15:00 - 19. 30 Uhr
Festsaal der TU Wien Karlsplatz 13, 1040 Wien
Die Teilnahme ist kostenfrei! (Online-Anmeldung erbeten)
Kurzentschlossene interessierte SchülerInnen der Oberstufe sind herzlich
eingeladen!
Webtipp: http://www.teenagethinktank.at/
**Rückfragehinweise:**
Prof. Manfred Kronfellner
Institut für Diskrete Mathematik und Geometrie
Technische Universität Wien
Wiedner Hauptstraße 8-10, 1040 Wien
M +43-699-19384561
manfred.kronfellner(a)tuwien.ac.at
[Text von
http://www.tuwien.ac.at/aktuelles/news_detail/article/8749/?no_cache=1 ]
------------------------------------------------------------------------
WU Wien, Institute for Finance, Banking and Insurance
------------------------------------------------------------------------
We., 23.04.2014, 12:00, room SR D4.0.019 (EG)
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor
Eberhard Mayerhofer (Dublin City University)
http://www.eberhard-mayerhofer.com/
"The Limits of Leverage"
(Finance Brown Bag Seminar)
For further details (including abstracts) see
http://www.wu.ac.at/finance/research/bbs
To find the room on the WU Campus search for "D4.0.019" on:
http://gis.wu.ac.at/?roomShow=D4.0.019
------------------------------------------------------------------------
FAM @ TU Wien
------------------------------------------------------------------------
Th., 24.04.2014, 15:00, seminar room 101c,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Yosef Rinott (The Hebrew University of Jerusalem, Israel)
http://pluto.huji.ac.il/~rinott/
"On methods for model selection"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 24.04.2014, 16:30, 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/
"Calibration of Stochastic Volatility Models
with Applications to Commodities"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
==========================================================
EAJ 2014: 2nd European Actuarial Journal (EAJ)
Conference & Educational Workshop
Vienna, September 8-12, 2014
==========================================================
EAJ Conference 2014
Wednesday, September 10 - Friday, September 12, 2014
EAJ Educational Workshop
Monday, September 8 - Tuesday, September 9, 2014
Conference Website:
http://www.fam.tuwien.ac.at/eaj2014/
Location:
Vienna University of Technology
Wiedner Hauptstr. 8, 1040 Wien, Austria
Organized by:
Actuarial Association of Austria
Vienna University of Technology
Sponsored by (alphabetical order):
arithmetica
fintegral
HDI Versicherung
Milliman
Munich RE - Münchener Rückversicherungs-Gesellschaft
Sparkassen Versicherung - Vienna Insurance Group
Gen Re - General Reinsurance
Springer-Verlag
(further sponsors are welcome)
Plenary & Invited Speakers...
http://www.fam.tuwien.ac.at/eaj2014/speakers.php
... at the EAJ Conference:
Hansjörg Albrecher (University of Lausanne, CH)
Francesca Biagini (LMU Munich, DE)
Andrew Cairns (Heriot-Watt University, Edinburgh, UK)
Alexander Dotterweich (KPMG, Munich, DE)
Hansjörg Furrer (Swiss Financial Market Supervisory Authority, CH)
Stefan Jaschke (Munich Re, DE)
Claus Mischler (Standard Life, Frankfurt, DE)
Ragnar Norberg (ISFA, Universite Lyon 1, FR)
Daniel Ryan (Swiss Re, London, UK)
Michael Schlögl (Vienna Insurance Group, AT)
Hanspeter Schmidli (University of Cologne, DE)
Mogens Steffensen (University of Copenhagen, DK)
Nele Vandaele (KBC Group, Brussels, BE)
... at the EAJ Educational Workshop:
Carole Bernard (University of Waterloo, CA)
Enrico Biffis (Imperial College Business School, London, UK)
Claudia Czado (Technische Universität München, DE)
Stéphane Loisel (ISFA, Université Lyon 1, FR)
Alfred Müller (University of Siegen, DE)
Submission of Contributed Talks:
The call for contributed talks is open until May 31, 2014.
http://www.fam.tuwien.ac.at/eaj2014/contributed_talks.php
Participation and Registration:
Registration is possible until August 15, 2014.
For early registrations until July 15, 2014, a discount
of 10% is allowed.
http://www.fam.tuwien.ac.at/eaj2014/registration.php
CPD:
The attendence at EAJ 2014 (full week, Sept. 8-12) qualifies
for up to 29 CPD credits for Austrian and German actuaries.
13 CPD credits for the Educational Workshop (Sept. 8-9)
and 16 CPD credits for the EAJ Conference (Sept. 10-12).
Details from other national actuarial associations will follow soon:
http://www.fam.tuwien.ac.at/eaj2014/cpd.php
For any requests, do not hesitate to write an e-mail to the
conference & workshop secretariat: <eaj2014(a)fam.tuwien.ac.at>
------------------------------------------------------------------------
math-space
------------------------------------------------------------------------
Do., 10.04.2014, 19:00, math-space, Ovaltrakt e-5.4
Museumsquartier, 1070, Museumsplatz 1 (beim Durchgang zur Breiten Gasse)
Mathias Beiglböck (Universität Wien) und
Johannes Morgenbesser (Österreichische Nationalbank)
"Von der Black-Scholes-Formel zur Finanzkrise -
Versuch einer mathematischen Vereinfachung"
Veranstaltungsreihe "Mathematik: Kompass zwischen Sein und Schein"
http://math.space.or.at/veranst3/kompass.php
------------------------------------------------------------------------
========================================================================
Jointly organised by AVÖ & TU Wien:
========================================================================
EAJ 2014 - 2nd European Actuarial Journal (EAJ)
Conference & Educational Workshop
Vienna University of Technology, September 8-12, 2014
http://www.fam.tuwien.ac.at/eaj2014/
Registration and Abstract Submission Now Open!
========================================================================
(now the date of talk should be correct - sorry for the wrong mailing)
------------------------------------------------------------------------
Vienna Graduate School of Finance (VGSF)
------------------------------------------------------------------------
Fr., 11.04.2014, 11:00, room D3.0.221
WU, 1020 Wien, Welthandelsplatz 1, WU Campus, building D3, ground floor
Ralph Koijen (London Business School)
http://www.koijen.net/
"Shadow Insurance"
(Finance Research Seminar)
For further details (including abstracts) see
http://www.vgsf.ac.at/finance-research-seminar/
To find the room on the WU Campus search for "D3.0.221" on:
http://gis.wu.ac.at/?roomShow=D3.0.221
------------------------------------------------------------------------
------------------------------------------------------------------------
Vienna Graduate School of Finance (VGSF)
------------------------------------------------------------------------
Fr., 17.01.2014, 11:00, room D3.0.221
WU, 1020 Wien, Welthandelsplatz 1, WU Campus, building D3, ground floor
Ralph Koijen (London Business School)
http://www.koijen.net/index.html
"Shadow Insurance"
(Finance Research Seminar)
For further details (including abstracts) see
http://www.vgsf.ac.at/finance-research-seminar/
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, Faculty of Mathematics
------------------------------------------------------------------------
We., 2.4.2014, 16:15-17:00, Sky-Lounge
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Stefan Gerhold: (FAM @ TU Wien)
http://www.fam.tuwien.ac.at/~sgerhold/
"Disproof of a conjecture by Rademacher on partial fractions"
(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=en
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 3.4.2014, 16:30, seminar room 101C,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Gabor Pete (Technical University of Budapest, HU)
http://www.math.bme.hu/~gabor/
"The scaling limit of the planar Minimal Spanning Tree"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/agfm/
------------------------------------------------------------------------
New lecture (with including exercises) in english language:
------------------------------------------------------------------------
The lecture was already announced once, but the start of the lecture was
shifted to April 3rd:
Applied Counterparty Credit Risk Management
^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
Lecturer:
Mario Schlener, MBA M.A., KBS Capital Partners AG, Baar, CH
Date/time:
Thursday, 03.04.2014 - 26.06.2014, 16:30 - 19:45
Location:
lecture hall FH Hörsaal 2: "Freihaus" building, 2nd floor, yellow area,
TU Wien, Wiedner Hauptstraße 8-10, 1040 Wien
For further details see:
https://tiss.tuwien.ac.at/course/courseDetails.xhtml?courseNr=105666
------------------------------------------------------------------------
------------------------------------------------------------------------
Announcement of talks organised by AVÖ (Aktuarvereinigung Österreichs)
------------------------------------------------------------------------
Tu., 27.03.2014, 16:00, Freihaus Hörsaal 8,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 2nd fl., yellow section
Axel Helmert (COR & FJA)
"Low interest rate challenge: Trends in der Produktgestaltung"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/vr/
------------------------------------------------------------------------
Announcement of talks organised by FAM @ TU Wien
------------------------------------------------------------------------
Tu., 25.03.2014, 16:30, seminar room 107,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 6th fl., green section
Christiane Elgert (Universität Rostock, DE)
"Numerische Lösung der Diffusionsgleichung bei variabler
räumlicher Struktur"
(application talk about master theses)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
-------------------------------------------------------------------------
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 20.3.2014, 16:30, seminar room 101C,
TU, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Mathieu Rosenbaum (University Pierre and Marie Curie, Paris 6, FR)
http://www.crest.fr/ses.php?user=3046
"Limit theorems for nearly unstable Hawkes processes"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/agfm/
------------------------------------------------------------------------
Th., 20.3.2014, 17:30, seminar room 101C,
TU, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Marius Hofert (TU Munich, DE) )
http://www.math.ethz.ch/~hofertj/
"An extreme value approach for modeling operational
risk losses depending on covariates"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/agfm/
------------------------------------------------------------------------
University of Vienna, Dept. of Statistics and Operations Research
------------------------------------------------------------------------
Mo., 17.3.2014, 17:00-18:00, Skylounge
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Robert Stelzer (Universität Ulm)
http://www.uni-ulm.de/en/mawi/finmath/people/stelzer.html
"Stochastic Volatility and Possible Long Memory: The supOU Model"
(ISOR Colloquium)
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
------------------------------------------------------------------------
Vienna Graduate School of Finance (VGSF)
------------------------------------------------------------------------
Fr., 21.03.2014, 11:00, room D3.0.221 (ground floor)
1020 Vienna, Welthandelsplatz 1, WU Campus, Building D3
Alexander Ljungqvist (New York University)
http://pages.stern.nyu.edu/~aljungqv/
"How Constraining Are Limits to Arbitrage?
Evidence from a Recent Financial Innovation"
(Finance Research Seminar)
For further details (including abstracts) see
http://www.vgsf.ac.at/finance-research-seminar/
To find the room on the WU Campus visit:
http://gis.wu.ac.at/?roomShow=D3.0.221
------------------------------------------------------------------------
========================================================================
Scientific talks:
------------------------------------------------------------------------
Mo., 3.3.2014, 17:00-18:00, Skylounge
WU Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Viktor Todorov (Northwestern University)
http://www.kellogg.northwestern.edu/faculty/todorov/htm/
"Inference Theory for Volatility Functional Dependencies"
(ISOR Colloquium)
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
------------------------------------------------------------------------
Th., 6.3.2014, 16:30, seminar room 101C,
TU, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Peter Markowich (University of Cambridge)
http://www.peter-markowich.net/
"Price Formation Modeling with PDE:
From Boltzmann to Free Boundaries"
(Arbeitsgemeinschaft Finanzmathematik)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/agfm/
========================================================================
Teaching @ TU Wien:
------------------------------------------------------------------------
Courses of the research unit FAM @ TU Wien:
http://www.fam.tuwien.ac.at/lehre/lva/
Continuing Professional Development (CPD) for actuaries:
http://www.fam.tuwien.ac.at/cpd/
------------------------------------------------------------------------
New lecture (with including exercises) in english language:
------------------------------------------------------------------------
Applied Counterparty Credit Risk Management
^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
Lecturer:
Mario Schlener, MBA M.A., KBS Capital Partners AG, Baar, CH
Aim/subject of course:
- Students shall understand and be able to apply the learned tools in
real life examples from the financial industry and capital markets
- Students will learn a hands on understanding of real world examples of
how counterparty credit risk is managed and measured
- After this course students will have discussed the following main
points:
- How to calculate counterparty exposure for derivative portfolio
- How to calculate Credit Valuation Adjustment (CVA) and Debt
Valuation Adjustment (DVA)
- What is Funding Value Adjustment (FVA)
- How the Financial Industry manages and hedges counterparty credit
risk (i.e. difference between a Risk Management- and Trading-
Approach)
- How to define a hedging strategy for a sample portfolio to reduce
risk for a sample bank
- How to apply a multi-curve discounting approach compared to a
single curve discounting approach
- What is a CSA and ISDA contract and how are these contracts
negotiated and applied in a financial transaction
- What is a close out valuation
- How can a portfolio be hedged applying a standardized risk-off/VaR
analysis
- How does the regulation of a Central Counterparty change the
financial markets and the day-to-day business of trading activities
of financial institutions
In this course the students will learn how counterparty credit risk:
1. changed the financial markets
2. changed the way risk management departments of global financial
institutions manage risk and
3. how financial institutions measure and hedge counterparty credit
risk
Course methods and organisation:
Lectures will be organized around specific prepared presentation
material and a given set of relevant papers and further book chapters.
Students are not forced to read further papers or books to understand
the topics discussed in class. There will be class assignments and a
final exam for this course. Grading will be based on class
participation, assignments and final exam.
Date/time:
Thursday, 13.03.2014 - 26.06.2014, 16:30 - 18:45
Location:
lecture hall FH Hörsaal 2: "Freihaus" building, 2nd floor, yellow area,
TU Wien, Wiedner Hauptstraße 8-10, 1040 Wien
------------------------------------------------------------------------
------------------------------------------------------------------------
University of Vienna, Faculty of Mathematics
------------------------------------------------------------------------
Th., 30.01.2014, 17:00, seminar room 11
1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Damir Filipovic (Swiss Finance Institute @ EPFL)
http://sfi.epfl.ch/filipovic
"Linear-Rational Term Structure Models"
(Seminar on Mathematical Finance)
For further details see
http://www.fam.tuwien.ac.at/events/ or
http://www.mat.univie.ac.at/~finance_hp/seminarWS13.html
------------------------------------------------------------------------
------------------------------------------------------------------------
Arbeitsgemeinschaft Diskrete Mathematik, TU Wien
------------------------------------------------------------------------
Tu., 21.01.2014, 15:15-16:45, Dissertantenraum
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 8th floor, green section
Stefan Gerhold (FAM @ TU Wien)
http://fam.tuwien.ac.at/~sgerhold/
"Disproof of a conjecture by Rademacher on partial fractions"
(Seminar Arbeitsgemeinschaft Diskrete Mathematik)
For further details (including abstracts) see
http://www.dmg.tuwien.ac.at/nfn/agdm.html
------------------------------------------------------------------------
University of Vienna, Faculty of Mathematics
------------------------------------------------------------------------
Th., 23.01.2014, 17:00, seminar room 11
1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Lingqi Gu (University of Vienna)
"Discussion on the article of G. Benedetti and L. Campi (2011):
'Multivariate utility maximization with
proportional transaction costs and random endowment'"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS13.html
------------------------------------------------------------------------
To Whom it May Concern,
the talk of Mathieu Rosenbaum this Thursday is cancelled.
Mr. Rosenbaum will visit the funeral of the well known frech
mathematician Mark Yor, who passed away last week:
http://www.academie-sciences.fr/academie/membre/Yor_Marc.htm
Below you can find a talk this friday organized by the VGSF which might
also be interesting for mathematicians.
Best regards,
Sandra (Trenovatz)
------------------------------------------------------------------------
CANCELLED:
^^^^^^^^^^
Th., 16.01.2014
Mathieu Rosenbaum (University Pierre and Marie Curie, Paris 6)
"Limit theorems for nearly unstable Hawkes processes"
------------------------------------------------------------------------
------------------------------------------------------------------------
Vienna Graduate School of Finance (VGSF)
------------------------------------------------------------------------
Fr., 17.01.2014, 11:00, room TC.4.27 (4th floor)
1020 Vienna, Welthandelsplatz 1, WU Campus, Building TC
Paul Schneider (University of Lugano)
https://sites.google.com/site/paulgschneider/
"Generalized Risk Premia - The Economic Value of Predictability"
(Finance Research Seminar)
You can find abstract & paper here:
http://www.vgsf.ac.at/fileadmin/user_upload/P/2014_Schneider_Generalized_Ri…
For further details of the seminar see:
http://www.vgsf.ac.at/finance-research-seminar/
To find the room on the new WU Campus search for the room number
"TC.4.27" on: http://gis.wu.ac.at/
------------------------------------------------------------------------
------------------------------------------------------------------------
Announcement of talks organised by FAM @ TU Wien
------------------------------------------------------------------------
Tu., 14.01.2014, 16:30, seminar room 107,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Petra Posedel (Zagreb School of Economics and Management, Croatia)
http://edu.zsem.hr/~pposedel/
"Asymptotic analysis for optimal estimating functions
for a class of stochastic volatility models with jumps"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
------------------------------------------------------------------------
University of Vienna, Faculty of Mathematics
------------------------------------------------------------------------
Th., 16.01.2014, 17:00, seminar room 11
1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Mathieu Rosenbaum (University Pierre and Marie Curie, Paris 6)
http://www.crest.fr/ses.php?user=3046
"Limit theorems for nearly unstable Hawkes processes"
(Seminar on Mathematical Finance)
For further details see
http://www.fam.tuwien.ac.at/events/ or
http://www.mat.univie.ac.at/~finance_hp/seminarWS13.html
------------------------------------------------------------------------
------------------------------------------------------------------------
University of Vienna, Faculty of Mathematics
------------------------------------------------------------------------
Th., 09.01.2014, 17:00, seminar room 11
1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Sebastian Andres (University of Bonn)
http://wt.iam.uni-bonn.de/andres/
"Invariance Principle for the Random Conductance Model
in a degenerate ergodic enviroment"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS13.html
------------------------------------------------------------------------
------------------------------------------------------------------------
Announcement of talks organised by FAM @ TU Wien
------------------------------------------------------------------------
Tu., 03.12.2013, 16:30, seminar room 107,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Christian Kuehn (Analysis und Scientific Computing, TU Wien)
http://www.asc.tuwien.ac.at/~ckuehn/
"A Tour Through Stochastic Multiscale Dynamics via a Model Problem"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
------------------------------------------------------------------------
Announcement of talks organised by ECON @ TU Wien
------------------------------------------------------------------------
Th., 05.12.2013, 16:00, Besprechungsraum Galerie,
1040 Wien, Argentinierstraße 8 (ground floor)
Julia Eisenberg (FAM @ TU Wien)
http://www.fam.tuwien.ac.at/~jeisenbe/
"Optimal Consumption Under Deterministic Income"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
------------------------------------------------------------------------
------------------------------------------------------------------------
FAM @ TU Wien
------------------------------------------------------------------------
Tu., 16.11.2013, 16:30, seminar room 107,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Jonas Hirz (FAM @ TU Wien)
https://tiss.tuwien.ac.at/adressbuch/adressbuch/person/243179
"Introduction to Cointegration with Applications to Finance"
(talk within the seminar about High Frequency Trading)
For further details (literature) see
http://www.fam.tuwien.ac.at/events/
------------------------------------------------------------------------
University of Vienna, Faculty of Mathematics
------------------------------------------------------------------------
Th., 28.11.2013, 17:00, seminar room 11
1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Christian Bayer (TU Berlin)
http://page.math.tu-berlin.de/~bayer/
"t.b.a."
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS13.html
------------------------------------------------------------------------
Announcement of Public PhD Thesis Defense at UniVie
------------------------------------------------------------------------
Fr., 29.11.2013, 11:00-11:30, seminar room 09,
1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Claus Griessler (University of Vienna)
"Model-Independent Finance and Martingale Transport"
(Public PhD Thesis Defense)
------------------------------------------------------------------------
------------------------------------------------------------------------
University of Vienna, Faculty of Mathematics
------------------------------------------------------------------------
Tu., 19.11.2013, 17:00, seminar room 12 (mathematics)
1090 Wien, Oskar-Morgenstern-Platz 1
Miryana Grigorova (Université Paris-Diderot - Paris 7)
http://www.proba.jussieu.fr/perso.php?id=194
"Choquet integrals, stochastic dominance
with respect to a capacity and risk measures"
(Seminar on Probability Theory)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS13_prob.html
------------------------------------------------------------------------
Talk at University of Vienna, Faculty of Mathematics,
Guest of FAM @ TU Wien
------------------------------------------------------------------------
Th., 21.11.2013, 17:00, seminar room 11
1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Stefano Pagliarani (University of Padova)
http://www.math.unipd.it/~stefanop/
"PIDE's expansions in option pricing"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS13.html
------------------------------------------------------------------------
WU Wien, Institute for Statistics and Mathematics
------------------------------------------------------------------------
Fr., 22.11.2013
Opening Symposium "Stochastics, Economics, and Architecture"
http://visitstatmath.wu.ac.at/
------------------------------------------------------------------------
TU Wien, Institute of Management Science
------------------------------------------------------------------------
Fr., 22.11.2013 - Sa., 23.11.2013
28th Workshop of the Austrian Working Group on Banking and Finance 2013
http://www.imw.tuwien.ac.at/fc/awg_2013/
------------------------------------------------------------------------
------------------------------------------------------------------------
Talk at University of Vienna, Faculty of Mathematics
(Guest of FAM @ TU Wien)
------------------------------------------------------------------------
Th., 14.11.2013, 17:00, seminar room 11
1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Michaela Szölgyenyi (JKU Linz)
http://www.finanz.jku.at/index.php?id=86
"Bayesian dividend maximization and associated SDEs"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS13.html
------------------------------------------------------------------------
------------------------------------------------------------------------
University of Vienna, Faculty of Mathematics
------------------------------------------------------------------------
Tu., 05.11.2013, 17:00, seminar room 12 (mathematics)
1090 Wien, Oskar-Morgenstern-Platz 1
Wolfgang Woess (TU Graz)
http://www.math.tugraz.at/~woess/
"Stochastic dynamical systems with weak contractivity properties"
(Seminar on Probability Theory)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS13_prob.html
------------------------------------------------------------------------
------------------------------------------------------------------------
FAM @ TU Wien
------------------------------------------------------------------------
Tu., 29.10.2013, 16:30, seminar room 107,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
First talk within the Seminar about "High Frequency Trading"
speaker: Lukas Fabrykowski (TU Wien)
------------------------------------------------------------------------
We., 30.10.2013, 12:00-13:00, lecture hall FH 3
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow section
Peter Friz (TU Berlin)
http://page.math.tu-berlin.de/~friz/
"On the probability density function of baskets"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
------------------------------------------------------------------------
University of Vienna, Faculty of Mathematics
------------------------------------------------------------------------
Th., 31.10.2013, 17:00, seminar room 11
1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Nicolas Perkowski (HU Berlin)
http://www2.mathematik.hu-berlin.de/~perkowsk/
"Pathwise integration in model free finance"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS13.html
------------------------------------------------------------------------
------------------------------------------------------------------------
University of Vienna, Faculty of Mathematics
------------------------------------------------------------------------
Th., 17.10.2013, 17:00, seminar room 11
1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Yiqing Lin (University of Vienna)
http://plone.mat.univie.ac.at/people/details?memberid=1355
"Discussion on some recent work of robust superhedging"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS13.html
------------------------------------------------------------------------
WU Wien, Institute for Statistics and Mathematics
------------------------------------------------------------------------
The Institute for Statistics and Mathematics is pleased to invite you
to the Opening Symposium "Stochastics, Economics, and Architecture"
at the new WU campus which will take place on Friday, November 22, 2013.
During the symposium, a special session is held in the afternoon in
honour of Helmut Strasser on the occasion of his 65th birthday, with
Arnold Janssen (Heinrich-Heine-Universität Düsseldorf), Ludger
Rüschendorf (Albert-Ludwigs-Universität Freiburg), and Hartmut
Milbrodt (Universität Rostock) as invited speakers.
Additional invited speakers at the symposium are Hans Föllmer
(Humboldt-Universität zu Berlin), Robert Kohn (Australian School of
Business, The University of New South Wales), and Steve Scott (Google
Inc.).
Please visit our website for a detailed program:
http://visitstatmath.wu.ac.at/
The social program includes an architectural walk (a guided tour on
the new campus), a lunch buffet, and a reception in the evening.
Participation is free, but to facilitate the planning of this event,
we kindly request on-line registration prior to November 1, 2013 at
http://visitstatmath.wu.ac.at/registration.php
------------------------------------------------------------------------
------------------------------------------------------------------------
University of Vienna, Faculty of Mathematics
------------------------------------------------------------------------
Th., 10.10.2013, 17:00, seminar room 11
1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Sergio Pulido (Swiss Finance Institute @ EPFL, CH)
https://sites.google.com/site/sergiopulidonino/
"Quadratic BSDEs arising from a price impact model
with exponential utility"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS13.html
------------------------------------------------------------------------
------------------------------------------------------------------------
FAM @ TU Wien
------------------------------------------------------------------------
This winter term the Tuesday's seminar of FAM will deal with:
High Frequency Trading.
Original works to the themes microstructure, volatility and limit order
book will be discussed. You can find references here:
http://fam.tuwien.ac.at/contact/temp/SE_High_Frequency_Trading_1.pdf
The seminar is addressed to final-year Master or a PhD students as well
as for researchers.
Persons who want to attend should write a short email to
Thorsten Rheinlaender <rheinlan(a)fam.tuwien.ac.at>.
------------------------------------------------------------------------
University of Vienna, Faculty of Mathematics
------------------------------------------------------------------------
Th., 03.10.2013, 17:00, seminar room 12 (mathematics)
1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Miklós Rásonyi (University of Edinburgh, UK)
http://www.maths.ed.ac.uk/people/show?person=207
"Superhedging under superlinear liquidity costs"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS13.html
------------------------------------------------------------------------
Other departments @ TU Wien
------------------------------------------------------------------------
Tu., 08.10.2013, 17:00, lecture hall HS 15
1040 Wien, Karlsplatz 13, Hauptgebäude der TU Wien, Stiege III, 3. OG
Dr. Andreas Chai (Griffith Univ. Brisbane, Australia)
http://www.griffith.edu.au/business-government/griffith-business-school/dep…
"What is the Future of Consumption?"
(Public Lecture Series Economic Theory and Policy)
For further details (including abstracts) see
http://www.econ.tuwien.ac.at/events/
Lecture hall HS 15 (map):
http://www.wegweiser.ac.at/tuwien/hoersaal/H15.html
------------------------------------------------------------------------
==========================================================
PRisMa 2013: One-Day Workshop on Portfolio Risk Management
==========================================================
WEB PAGE: <http://www.fam.tuwien.ac.at/prisma2013/>
DATE/TIME:
Friday, September 27th, 2013,
9:20 - 16:30 plus bread & wine afterwards
ORGANIZED BY:
- PRisMa Lab <http://www.prismalab.at/>
SPONSORED BY:
- Christian Doppler Research Association
- Bank Austria
- Austrian Federal Financing Agency (ÖBFA)
- COR&FJA
- Österreichische Kontrollbank (OeKB)
LOCATION:
Vienna University of Technology
Karlsplatz 13, 1040 Vienna, Austria
Lecture Hall 6
(Main Building "Hauptgebäude" of the TU Wien, ground floor)
Participation is free.
Everyone is welcome, practitioners are especially encouraged to attend.
PROGRAM:
9:20 - 9:30
Prof. Dr. Uwe Schmock
Welcome
9:30 - 10:30
Prof. Dr. Andreas Kyprianou
Censored Stable Processes
10:30 - 10:50 Coffee Break
10:50 - 11:30
Dr. Christa Cuchiero
An HJM Approach to Multiple-Curve Modeling
11:30 - 12:00
Sühan Altay, MSc
Yield Curve Scenario Generation with Independent Component Analysis
12:00 - 13:30 Lunch Break
13:30 - 14:15
PD Dr. Stefan Gerhold
Local Volatility Models: Approximation and Regularization
14:15 - 15:00
Jonas Hirz, MSc
Risk Measures: From the Unconditional to the Conditional Case
15:00 - 15:20 Coffee Break
15:20 - 16:00
Dr. Julia Eisenberg
Optimal Consumption Under Deterministic Income
16:00 - 16:30
DI I. Cetin Gülüm
On the Existence of an Equivalent Martingale Measure in the
Dalang-Morton-Willinger Theorem, which Preserves the Dependence Structure
16:30 - 18:00 Bread and Wine
ABSTRACTS and LINKS: <http://www.fam.tuwien.ac.at/prisma2013/>
REGISTRATION: Participation is free, and there is no official
registration - nevertheless for administrative reasons we would be happy
if you write a short email to our secretary (see below) with your name
and university or company.
Everyone is welcome, practitioners are especially encouraged to attend.
For actuaries, this workshop counts up to 5 points for their continuing
professional development (morning and afternoon part each 2.5 points).
For a corresponding certificate, please register in advance for the
morning and/or afternoon part of the workshop by sending an email with
your name and postal address to the workshop secretary (see below) and
sign up when you actually attend the workshop.
Organisers:
- Prof. Dr. Uwe Schmock (FAM @ TU Wien)
- Prof. Dr. Thorsten Rheinländer (FAM @ TU Wien)
Workshop Secretary:
Ms. Sandra Trenovatz and Mr. Martin Trenovatz (FAM @ TU Wien)
Phone: +43-1-58801-10511
E-mail: fam(a)fam.tuwien.ac.at
------------------------------------------------------------------------
Announcement of talks organised by FAM @ TU Wien
------------------------------------------------------------------------
Th., 25.07.2013, 15:00, seminar room 107,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Henry Schellhorn (Claremont Graduate University, California)
http://wfs.cgu.edu/schellhh/web/
"A Representation Theorem For Smooth Brownian Martingales"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
------------------------------------------------------------------------
Th., 25.07.2013, 16:30, lecture hall: Freihaus Hörsaal 3
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow section
Eckhard Platen (UTS Business School, Sydney)
http://cfsites1.uts.edu.au/business/staff/finance/details.cfm?StaffId=75
"The Affine Nature of Aggregate Wealth Dynamics"
(Lecture Series Financial and Actuarial Mathematics)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/vr/http://www.fam.tuwien.ac.at/vr/20130725.php
------------------------------------------------------------------------
------------------------------------------------------------------------
University of Vienna, Faculty of Mathematics
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Mo., 01.07.2013, 11:30-12:30, seminar room D 1.07
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Christian Bender (Saarland University)
http://www.math.uni-sb.de/ag/bender/benderE.html
"A first-order BSPDE for swing option pricing"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarSS13.html
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Sixth European Summer School in Financial Mathematics
University of Vienna, August 26 to 30, 2013
http://www.mat.univie.ac.at/~finance_hp/summer_school_Vienna_2013/
!!! Registration closes on June 30, 2013 !!!
http://www.mat.univie.ac.at/~finance_hp/summer_school_Vienna_2013/registrat…
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Announcement of talks organised by FAM @ TU Wien
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Tu, 18.06.2013, 16:30, seminar room 107,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Eberhard Mayerhofer (Dublin City University, Ireland)
http://www.eberhard-mayerhofer.com/
"Mean Variance Optimisation with Transaction Costs"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
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WU Wien, Institute for Statistics and Mathematics
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Th, 20.06.2013, 15:00-16:00, seminar room of Statistics and Mathematics
1090 Wien, Augasse 2-6, WU Wien, UZA 2, Level 4, 2H415
Kemal Dinçer Dingeç (Boğaziçi University, Istanbul)
"New Control Variates for Levy Processes and Asian Options"
(Research seminar - Statistics and Mathematics)
For further details see
http://www.wu.ac.at/statmath/en/resseminar
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WU Wien, Institute for Statistics and Mathematics
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Fr, 14.06.2013, 9:15, seminar room of 'Statistics and Mathematics'
1090 Wien, Augasse 2-6, WU Wien, UZA 2, Level 4, 2H415
Alex McNeil (Heriot-Watt University, Edinburgh)
http://www.ma.hw.ac.uk/~mcneil/
"Copula Families that Generalise the Archimedean Class"
(Research seminar - Statistics and Mathematics)
For further details see
http://www.wu.ac.at/statmath/en/resseminar or
http://www.wu.ac.at/statmath/resseminar/talks/talkmcneil2
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WPI - Wolfgang Pauli Institute
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Mini-Course on Model Risk
June 19-20, 2013, Wolfgang Pauli Institut
http://www.wpi.ac.at/event_view.php?id_activity=172
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========================================================================
SORRY, THE FOLLOWING WORKSHOP AT WU WIEN WAS ANNOUNCED BY MISTAKEN.
IT ALREADY TOOK PLACE IN APRIL :-/
Workshop on Current Topics in Mathematical Finance 2013
April 18-19, 2013, Vienna University of Economics and Business
http://mafin2013.wu.ac.at/
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WU Wien, Institute for Statistics and Mathematics
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Th, 14.06.2013, 9:15, seminar room of 'Statistics and Mathematics'
1090 Wien, Augasse 2-6, WU Wien, UZA 2, Level 4, 2H415
Alex McNeil (Heriot-Watt University, Edinburgh)
http://www.ma.hw.ac.uk/~mcneil/
"Copula Families that Generalise the Archimedean Class"
(Research seminar - Statistics and Mathematics)
For further details see
http://www.wu.ac.at/statmath/en/resseminar or
http://www.wu.ac.at/statmath/resseminar/talks/talkmcneil2
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WU Wien - Vienna University of Economics and Business
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Workshop on Current Topics in Mathematical Finance 2013
April 18-19, 2013, Vienna University of Economics and Business
http://mafin2013.wu.ac.at/
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WPI - Wolfgang Pauli Institute
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Mini-Course on Model Risk
June 19-20, 2013, Wolfgang Pauli Institut
http://www.wpi.ac.at/event_view.php?id_activity=172
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Additionally to today's Public PhD Thesis Defense of Karin Hirhager
there are two further talks this week - both on Friday.
Please find details (as far as I could figure out) below.
Best regards, Sandra Trenovatz
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Vienna Graduate School of Finance (VGSF)
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Fr., 07.06.2013, 11:00, Seminar Room 1 (ground floor)
1190 Wien, Heiligenstädter Strasse 46-48, WU Wien, Building H46
Damir Filipovic (École Polytechnique Fédérale de Lausanne)
http://sfi.epfl.ch/filipovic
"t.b.a."
(Finance Research Seminar)
For further details see
http://www.vgsf.ac.at/activities/seminars.htm
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FAM @ TU Wien
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Fr., 07.06.2013, 15:15, Freihaus Hörsaal 2
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow section
Thomas Bruss (Université Libre de Bruxelles, Belgium)
http://homepages.ulb.ac.be/~tbruss/
"Überleben und Lebensstandard, oder Grenzen der Gesellschaft -
Schlussfolgerungen aus einem neuen Verzweigungsprozess-Modell"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
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Announcement of Public PhD Thesis Defense at TU Wien
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We., 05.06.2013, 16:00, conference room of the Deanery,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, green section, 9th floor
(8th floor, then staircase in the green area)
Karin Hirhager (FAM @ TU Wien)
"Adapted Dependence with Applications
to Financial and Actuarial Risk Management"
(Public PhD Thesis Defense)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
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Announcement of Public PhD Thesis Defense at TU Wien
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We., 05.06.2013, 16:00, conference room of the Deanery,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, green section, 9th floor
(8th floor, then staircase in the green area)
Karin Hirhager (FAM @ TU Wien)
"Adapted Dependence with Applications
to Financial and Actuarial Risk Management"
(Public PhD Thesis Defense)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
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University of Vienna
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We, 29.05.2013, 17:30-18:30, Olga Taussky-Todd Raum (C 2.09)
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor
Beatrice Acciaio (University of Vienna and University of Perugia)
http://beatrice-acciaio.net/
"Optimal Transport, Model-Independent Pricing
and Trajectorial Inequalities"
(Habilitation presentation)
Abstract:
We will illustrate the recently discovered connection between the
problem of pricing financial derivatives in a model-free context and the
Monge-Kantorovich optimal transport problem. Mathematically the crucial
difference is that in the pricing problem the transport plans are
required to be martingales. This link has already proved to be very
fruitful. In particular, we will see how the duality theorem from
optimal transport leads to new robust super-replication results. This
dual viewpoint also provides new insights on classical martingale
inequalities. For instance, we establish a (new) sharp version of the
classical Doob maximal inequality.
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University of Vienna, Faculty of Mathematics
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Th, 23.05.2013, 17:00, seminar room Olga Taussky-Todd C 2.09
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor
Ivar Ekeland (Université Paris-Dauphine)
http://www.ceremade.dauphine.fr/~ekeland/
"A simple model of a commodity market"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarSS13.html
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Announcement of talks organised by FAM @ TU Wien
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Tu, 14.05.2013, 16:30, seminar room 107,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Jan Widenmann (LMU Mathematics Institute, Munich)
http://www.fm.mathematik.uni-muenchen.de/personen/phd_postdoc/widenmann/
"Pricing and hedging insurance claims in hybrid markets"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
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Furthermore we announce talks of other departments @ TU Wien
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Tu, 14.05.2013, 17:15-18:30, seminar room Argentinierstraße,
1040 Wien, Argentinierstraße 8, ground floor (entry Paniglgasse)
Ivar Ekeland (Université Paris-Dauphine)
http://www.ceremade.dauphine.fr/~ekeland/
"Modelling limited liability"
(Seminar on Operations Research and Control Systems)
For further details (including abstracts) see
http://orcos.tuwien.ac.at/events/
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Furthermore we announce talks at University of Vienna
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We, 15.05.2013, 16:00-17:00, Olga Taussky-Todd Raum (C 2.09)
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor
Ivar Ekeland (Université Paris-Dauphine)
http://www.ceremade.dauphine.fr/~ekeland/
"No turning back: growth theory and sustainable development"
(Mathematisches Kolloquium)
For further details (including abstracts) see
http://plone.mat.univie.ac.at/events/2013/mathkoll-ekeland-2013.pdf
15:30 coffee & cake, Common Room (C 2.06)
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Th, 16.05.2013, 17:00, seminar room Olga Taussky-Todd C 2.09
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor
Yiqing Lin (Université de Rennes 1)
http://perso.univ-rennes1.fr/yiqing.lin/
"A new result for second order BSDEs
with quadratic growth and its applications"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarSS13.html
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WPI-event in June - Change of Date !
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Mini-Course on Model Risk
^^^^^^^^^^^^^^^^^^^^^^^^^
Speaker: Denis Talay (INRIA)
http://www-sop.inria.fr/members/Denis.Talay/me.html)
Date: June 19-20, 2013
The date has changed since the last announcement via FAM-news!
Place: Wolfgang Pauli Institut
1090 Vienna, Norberstrasse 15
Registration:
Registration is free, but is mandatory!
Please register by sending an email to <laurenceWPI(a)gmail.com>
Please send only one email per registree,
i.e. please do not try and register a second person.
Registration will close when all seats are taken.
For further information see:
http://www.wpi.ac.at/event_view.php?id_activity=172
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