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PhD Seminar of QUARIMAFI
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Mon., 24.04.2023, 13:15 CEST, Seminarraum 19 or online via Zoom
University of Vienna, 1090 Wien, Kolingasse 14-16
Sam Cohen (University of Oxford)
"Estimation of Hawkes processes and models of limit order books"
Abstract: Self exciting point processes are the workhorse model for ultra-high frequency financial data. However, these models are not Markov (except under restrictive assumptions), so computing a likelihood comes at superlinear (typically quadratic) cost. When you have a serious amount of data, this makes exact calibration of these models impractical. In this talk we will consider a class of estimation methods for linear Hawkes models (with general excitation kernels and time dependence) which can be calibrated using a stochastic gradient method, for large data sets. We will see that this provides novel insights into the interactions of orders of different types in equity markets, at a high-frequency scale.
Zoom details: https://univienna.zoom.us/j/67590403281?pwd=NU53YUh6SlBXdUFYbm1NRnQzTkN4Zz09
meeting ID: 67590403281, password: 942912
For further information, contact QUARIMAFI: https://quarimafi.univie.ac.at/
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World Online Seminars on Machine Learning in Finance
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Tue., 25.04.2023, 19:00 CEST, online talk
Des Higham (University of Edinburgh)
"Deep Learning: What Could Go Wrong?"
For further (including abstract & log-in link) see
https://sites.google.com/view/mlfinance/
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Women in Data Science and Mathematics - Seminar Launch Event
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Wed., 26.04.2023, 14:30 CEST (13:30 BST), online talk
Prof. Dr. Gitta Kutyniok (LMU Munich)
"The Modern Mathematics of Artificial Intelligence: From Reliable AI to Quantum Computing"
For further details (including abstract & log-in link) see
https://windsmath-seminar.github.io/
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One World Actuarial Research Seminar
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Wed., 26.04.2023, 17:00 CEST, online talk
María del Carmen Boado-Penas (Heriot-Watt University)
"Automatic balancing mechanisms for public pension schemes: Past, present and future"
For further details see
https://owars.info/
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Bachelier Finance Society One World Seminars
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Thu., 27.04.2023, 19:00 CEST, online talk
Kostas Kardaras (LSE)
"Portfolio choice under taxation and expected market time constraint"
For further details see
https://www.bachelierfinance.org/bachelier-finance-society-world-seminars-o…
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WU Wien, Institute for Statistics and Mathematics
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Fri., 28.04.2023, 10:30-12:00 CEST, seminar room D4.0.127
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4
Mathias Drton (Technical University of Munich)
"Consistent Tests of Independence via Rank Statistics"
For further details see
https://www.wu.ac.at/en/statmath/research/resseminar/summer-term-2023/
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See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/
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CEST = Central European Summer Time = UTC +2:00, https://time.is/en/CEST
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WU Wien, Institute for Statistics and Mathematics
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Fr., 21.04.2023, 10:30-12:00 CEST, seminar room D4.4.127
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor
Sam Cohen (University of Oxford)
"Approximating PDEs With Wide Neural Networks"
For further details see
https://www.wu.ac.at/en/statmath/research/resseminar/https://campus.wu.ac.at/de/?q=D4.4.127
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International Seminar on SDEs and Related Topics
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Fri., 21.4.2023, 13:30 CEST, online talk
René Schilling (TU Dresden)
"On Liouville's Theorem for Nonlocal Operators"
For further details see
http://users.jyu.fi/~chgeiss/seminar-on-sdes.html
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See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/
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CEST = Central European Summer Time = UTC +2:00, https://time.is/en/CEST
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One World Probability Seminar
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Wed., 12.4.2023, 17:00-19:00 CEST, online talks
Fabio Toninelli (TU Wien)
"Out-of-equilibrium phenomena, stochastic PDEs and Gaussian limits"
Giuseppe Cannizzaro (University of Warwick)
"Weak coupling scaling of critical SPDEs"
For further details see
https://www.owprobability.org/one-world-probability-seminar
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SIAG Financial Mathematics and Engineering virtual seminars series
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Thu., 13.4.2023, 20:00-21:00 CEST (Remark: 1PM-2PM (EST!!) according to the seminar's website), online talk
tba
"tba"
For further details see
http://wiki.siam.org/siag-fm/index.php/Current_events
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International Seminar on SDEs and Related Topics
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Fri., 14.4.2023, 13:30 CEST, online talk
Konstantinos Dareiotis (University of Leeds)
"Regularisation of differential equations by multiplicative fractional noises"
For further details see
http://users.jyu.fi/~chgeiss/seminar-on-sdes.html
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See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/
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CEST = Central European Summer Time = UTC +2:00, https://time.is/en/CEST
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Vienna Seminar in Mathematical Finance and Probability
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Thu., 30.3.2023, 15:30-17:30 CEST, seminar room DB gelb 07
TU Wien, Wiedner Hauptstraße 8, 1040 Wien, "Freihaus" building, yellow section, 7th floor
Alfred Müller (University of Siegen)
"Decisions under uncertainty: sufficient conditions for almost stochastic dominance"
Birgit Rudloff (WU Vienna)
"Epic Math Battles: Nash vs Pareto - news for convex games"
For further details (including abstracts) see
https://fam.tuwien.ac.at/events/vs-mfp/
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One World Actuarial Research Seminar
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Wed., 29.3.2023, 10:00 CEST, online talk
Salvatore Scognamiglio (University of Naples Parthenope, Italy)
"Accurate and Explainable Mortality Forecasting with the LocalGLMnet"
For further details see
https://owars.info/
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Bachelier Finance Society One World Seminars
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Thu., 30.3.2023, 20:00 CEST, online talk
Stefano de Marco (Ecole Polytechnique)
"Fractional forward variance models – volatility surfaces and other features"
For further details see
https://www.bachelierfinance.org/bachelier-finance-society-world-seminars-o…
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International Seminar on SDEs and Related Topics
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Fri., 31.3.2023, 13:30 CEST, online talk
Andreas Neuenkirch (University on Mannheim)
"Strong approximation of the CIR process: A never ending story?"
For further details see
http://users.jyu.fi/~chgeiss/seminar-on-sdes.html
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See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/
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CEST = Central European Summer Time = UTC +2:00, https://time.is/en/CEST
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WU Wien, Research Seminar - Statistics and Mathematics
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Fri., 24.3.2023, 10:30-12:00 CET, D4.0.127
WU Wien, Welthandelsplatz 1, 1020 Vienna, D4 building
Olivier Wintenberger (Sorbonne Université)
"Multivariate Sparse Clustering for Extremes"
For further details see
https://www.wu.ac.at/en/statmath/research/resseminar/summer-term-2023/
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International Seminar on SDEs and Related Topics
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Fri., 24.3.2023, 13:30 CET, online talk
Antoine Lejay (Université de Lorraine)
"Estimation of the parameter of the Skew Brownian motion"
For further details see
http://users.jyu.fi/~chgeiss/seminar-on-sdes.html
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See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/
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CET = Central European Time = UTC +1:00, https://time.is/en/CET
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One World Probability Seminar
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Wed., 15.3.2023, 16:00-18:00 CET, online talks
Amandine Veber (Université Paris Cité)
"Modelling the evolution of genetic diversity in a population living in a spatial continuum"
Apolline Louvet (University of Bath)
"Constructing a stochastic population genetics process for populations expanding in a spatial continuum"
For further details see
https://www.owprobability.org/one-world-probability-seminar
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See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/
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CET = Central European Time = UTC +1:00, https://time.is/en/CET
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International Seminar on SDEs and Related Topics
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Fri., 10.3.2023, 13:30 CET, online talk
Christa Cuchiero (University of Vienna)
"From Lévy's stochastic area formula to universality of affine and polynomial processes"
For further details see
http://users.jyu.fi/~chgeiss/seminar-on-sdes.html
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SIAG Financial Mathematics and Engineering virtual seminars series
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Thu., 9.3.2023, 19:00-20:00 CET, online talk
Sebastian Jaimungal (University of Toronto)
"Risk-Aware Reinforcement Learning for Finance"
For further details see
http://wiki.siam.org/siag-fm/index.php/Current_events
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Oxford Stochastic Analysis and Mathematical Finance Seminar
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Mon., 6.3.2023, 16:30-17:30 CET, livestream access available
Ellen Powell (Durham)
"Brownian excursions, conformal loop ensembles and critical Liouville quantum gravity"
For further details see
https://researchseminars.org/seminar/OxfordStochasticAnalysis
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Course at TU Wien: "Introduction to Financial Networks"
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Starting Wed., 8.3.2023, 14:00 CET, seminar room DA grün (green) 06A
TU Wien, 1040 Wien, Wiedner Hauptstraße 8-10
Jan Korbel (MedUniv Wien)
"Introduction to Financial Networks"
Lecture with exercises, 2 semester hours / 3 ECTS
On Wednesdays, 14:00-16:00, in summer term 2023.
Participation is possible without registration.
If students from other Austrian universites than TU Wien want to get a certificate, they have to co-register (please start the procedure as fast as possible):
https://www.tuwien.at/en/studies/admission/co-registration
See details and all appointments on:
https://tiss.tuwien.ac.at/course/courseDetails.xhtml?courseNr=105762&semest…
Seminar room DA grün 06A https://tuw-maps.tuwien.ac.at/?q=DA06E10
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See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/
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CET = Central European Time = UTC +1:00, https://time.is/en/CET
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Oxford Stochastic Analysis and Mathematical Finance Seminar
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Mon., 27.2.2023, 16:30-17:30 CET, livestream access available
Peter Bank (TU Berlin)
"Trading on a noisy signal: explicit solution to an infinite-dimensional stochastic optimal control problem"
For further details see
https://researchseminars.org/seminar/OxfordStochasticAnalysis
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Actuarial Modelling Club
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Tue., 28.2.2023, 17:00 CET, Freihaus building lecture hall 8
TU Wien, 1040 Wien, Wiedner Hauptstraße 8-10
Matthias Widman (d-fine Austria GmbH)
"Aktivseitige, risikoneutrale Modellierung in einem Versicherungsunternehmen"
For further details see
https://fam.tuwien.ac.at/events/vr/20230228.php
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One World Actuarial Research Seminar
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Wed., 1.3.2023, 9:00 CET, online talk
Peter Hieber (HEC Lausanne, Switzerland)
"Designing mutual insurance schemes of heterogeneous risks"
For further details see
https://owars.info/
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Vienna Probability Seminar
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Wed., 1.3.2023, 15:45-17:45 CET, Sahulka Hörsaal EI 3
TU Wien, 1040 Wien, Gußhausstraße 25-29
Julio Backhoff Veraguas (University of Vienna)
"On the existence and structure of Bass martingales"
Fabio Toninelli (TU Wien)
"An SPDE version of (W)ASEP in dimension d\ge2"
For further details see
https://backend.univie.ac.at/index.php?id=86310&L=0/vienna-probability-semi…
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See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/
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CET = Central European Time = UTC +1:00, https://time.is/en/CET
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Bachelier Finance Society One World Seminars
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Thu., 23.2.2023, 19:00 CET, online talk
Dylan Possamaï (ETH Zurich)
"Moral hazard for time-inconsistent agents, BSVIEs and stochastic targets"
For further details see
https://www.bachelierfinance.org/bachelier-finance-society-world-seminars-o…
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International Seminar on SDEs and Related Topics
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Fri., 24.2.2023, 13:30 CET, online talk
Andreas Neuenkirch (University on Mannheim)
"Strong approximation of the CIR process: A never ending story?"
For further details see
http://users.jyu.fi/~chgeiss/seminar-on-sdes.html
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See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/
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CET = Central European Time = UTC +1:00, https://time.is/en/CET
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One World Actuarial Research Seminar
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Wed., 15.2.2023, 17:00 CET, online talk
Montserrat Guillen (University of Barcelona)
"An Efficient Simulation Scheme for the Valuation of Large Heterogeneous Insurance Portfolios"
For further details see
https://owars.info/
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Oxford Stochastic Analysis and Mathematical Finance Seminar
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Mon., 13.2.2023, 16:30-17:30 CET, livestream access available
Nikolas Tapia (Weierstrass Institute Berlin)
"Stability of deep residual neural networks via discrete rough paths"
For further details see
https://researchseminars.org/seminar/OxfordStochasticAnalysis
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A glut of courses next semester
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From: Nathanael Berestycki, nberestycki(a)gmail.com
Dear all,
There will be a good number of very interesting probability courses next semester, which should be of interest to PhD and good master students.
I am forwarding this (which is only what I am aware of, there may even be more for instance at IST) as I think this may be of interest, and
should be advertised as widely as possible:
- Large Deviations, Wednesdays and Thursdays 9am-11am, TU Wien, by Fabio and Marcin
- Random Walks on graphs, Mondays 9:00-11:30, TU Wien, by Fabio
- SLE, Mondays and Friday 1.15pm - 2.45pm, Uni Wien, by myself.
Further details here
https://www.tiss.tuwien.ac.at/course/courseDetails.xhtml?dswid=2632&dsrid=3…https://www.tiss.tuwien.ac.at/course/courseDetails.xhtml?dswid=2632&dsrid=5…https://ufind.univie.ac.at/en/course.html?lv=250140&semester=2023S
Best wishes,
Nathanael
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See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/
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CET = Central European Time = UTC +1:00, https://time.is/en/CET
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