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TODAY: talk of Peter Friz --- 2022: ASD

by Sandra Trenovatz

To whom it may concern, we would like to draw your attention to TODAY'a talk of Peter Friz, which was missing at the last FAM-news mailing. Additonally we suggest to save the date for the 10th Austrian Stochastics Days! Best wishes, Sandra ------------------------------------------------------------------------ Informal Probability Seminar ------------------------------------------------------------------------ We., 17.11.2021, 13:30-15:30 (UTC +1:00 = CET) Oskar-Morgenstern-Platz 1, 2nd floor, Meeting room 2 (BZ 2) Peter K. Friz (TU Berlin) "The Liouville Brownian rough path" For further details see https://mathematik.univie.ac.at/eventsnews/nachrichtenvolldarstellung/news/… ------------------------------------------------------------------------ ASD 2022 - Save the date ------------------------------------------------------------------------ 10th Austrian Stochastics Days 2022 Th.-Fr., September 8-9, 2022, Vienna, Austria https://stochastics-days.at/ Organised by Julio Backhoff (Univ. of Vienna) ------------------------------------------------------------------------ For further events of this week see: https://fam.tuwien.ac.at/events/#upcoming_talksevents

3 years, 5 months

reminder for upcoming seminars and talks

by FAM-Office (Franziska Wohlmuth)

------------------------------------------------------------------------ Vienna Seminar in Mathematical Finance and Probability ------------------------------------------------------------------------ Th., 18.11.2021 lecture hall 14, Oskar-Morgenstern-Platz 1, 2nd floor 16:45-17:30 (UTC+1 = CET) Gabriela Kováĉova (WU Vienna) "Time consistency of mean-risk problem and a set-valued Bellman's principle" 17:30-18:15 (UTC+1 = CET) Stefan Rigger (University of Vienna) "Optimal bailout strategies and the drift-controlled probabilistic supercooled Stefan problem" For further details see https://fam.tuwien.ac.at/vs-mfp/ ======================================================================== ------------------------------------------------------------------------ Online seminars on Optimal Stopping and Related Topics ------------------------------------------------------------------------ We., 17.11.2021, 13:00 (UTC +1:00 = CET), online talk Anna Aksamit (The University of Sydney) "Generalized BSDEs with random time horizon in a progressively enlarged filtration" For further details see https://sites.google.com/view/optimalstopping/home ------------------------------------------------------------------------ Talks in Financial and Insurance Mathematics ------------------------------------------------------------------------ Th., 18.11.2021, 17:15-18:15 (UTC +1:00 = CET), online talk Sergio Pulido (ENSIIE) "American Options in the Rough Heston Model" For further details see https://math.ethz.ch/imsf/courses/talks-in-imsf.html ------------------------------------------------------------------------ One World Probability Seminar ------------------------------------------------------------------------ Th., 18.11.2021, 15:00-15:45 (UTC +1:00 = CET), online talk Ivan Nourdin (University of Luxembourg) "The Breuer-Major theorem: old and new" For further details see https://www.owprobability.org/one-world-probability-seminar ======================================================================== See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ UTC +1:00 = CET = Central European Time, https://time.is/en/CET ------------------------------------------------------------------------

3 years, 5 months

reminder for upcoming seminars and talks

by FAM-Office (Franziska Wohlmuth)

------------------------------------------------------------------------ Oxford Stochastic Analysis and Mathematical Finance Seminar ------------------------------------------------------------------------ Mo., 8.11.2021, 17:00 (UTC +1:00 = CET), online talk David Proemel (Mannheim) "Model-free portfolio theory: a rough path approach" For further details see https://mathseminars.org/seminar/OxfordStochasticAnalysis ------------------------------------------------------------------------ Talks in Financial and Insurance Mathematics ------------------------------------------------------------------------ Th., 11.11.2021, 17:15-18:15 (UTC +1:00 = CET), online talk Gudmund Pammer (ETH Zürich) "TBA" For further details see https://math.ethz.ch/imsf/courses/talks-in-imsf.html ------------------------------------------------------------------------ Actuarial Science and Financial Mathematics Seminar Series ------------------------------------------------------------------------ Fr., 12.11.2021, 15:00-16:30 (UTC +1:00 = CET), online talk Łukasz Delong (Warsaw School of Economics) "Gamma Mixture Density Networks and their application to modelling insurance claim amounts" For further details see https://uwaterloo.ca/statistics-and-actuarial-science/events/actuarial-scie… ======================================================================== See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ UTC +1:00 = CET = Central European Time, https://time.is/en/CET ------------------------------------------------------------------------

3 years, 5 months

reminder for upcoming seminars and talks

by FAM-Office (Franziska Wohlmuth)

------------------------------------------------------------------------ Oxford Stochastic Analysis and Mathematical Finance Seminar ------------------------------------------------------------------------ Mo., 1.11.2021, 17:00-18:00 (UTC +1:00 = CET), online talk Yvain Bruned (University of Edinburgh) "Locality for singular stochastic PDEs" For further details see https://researchseminars.org/seminar/OxfordStochasticAnalysis ------------------------------------------------------------------------ SIAG Financial Mathematics and Engineering virtual seminars series ------------------------------------------------------------------------ Th., 4.11.2021, 19:00-20:00 (UTC +1:00 = CET), online talk Beatrice Acciaio (ETH Zurich) "Adapted Wasserstein distances in mathematical finance" For further details see http://wiki.siam.org/siag-fm/index.php/Current_events ------------------------------------------------------------------------ Talks in Financial and Insurance Mathematics ------------------------------------------------------------------------ Th., 4.11.2021, 17:15-18:15 (UTC +1:00 = CET), online talk Hansjörg Albrecher (Université de Lausanne) "On the Profitability of Selfish Blockchain Mining under Consideration of Ruin" For further details see https://math.ethz.ch/imsf/courses/talks-in-imsf.html ======================================================================== See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ UTC +1:00 = CET = Central European Time, https://time.is/en/CET ------------------------------------------------------------------------

3 years, 5 months

reminder for upcoming seminars and talks

by FAM-Office (Franziska Wohlmuth)

------------------------------------------------------------------------ World Online Seminars on Machine Learning in Finance ------------------------------------------------------------------------ Tu., 26.10.2021, 19:00 (UTC +2:00 = CEST), online talk Charles-Albert Lehalle (ADIA) "Some Control Problems On Financial Markets And How Their Solutions Can Be Learned" For further (including abstract & log-in link) see https://sites.google.com/view/mlfinance/ ------------------------------------------------------------------------ Bachelier Finance Society One World Seminars ------------------------------------------------------------------------ Th., 28.10.2021, 19:00 (UTC +2:00 = CEST), online talk Hoi Ying Wong (Chinese University of Hong Kong) "Primal return ambiguity and dual risk ambiguity" For further details see https://www.bachelierfinance.org/bachelier-finance-society-world-seminars-o… ------------------------------------------------------------------------ Talks in Financial and Insurance Mathematics ------------------------------------------------------------------------ Th., 28.10.2021, 17:15-18:15 (UTC +2:00 = CEST), online talk David Prömel (Universität Mannheim) "Model-free Portfolio Theory: A Rough Path Approach" For further details see https://math.ethz.ch/imsf/courses/talks-in-imsf.html ======================================================================== See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ UTC +2:00 = CEST = Central European Summertime, https://time.is/en/CEST ------------------------------------------------------------------------ --

3 years, 6 months

reminder for upcoming seminars and talks

by FAM-Office (Franziska Wohlmuth)

3 years, 6 months

reminder for upcoming seminars and talks

by FAM-Office (Franziska Wohlmuth)

------------------------------------------------------------------------ Vienna Seminar in Mathematical Finance and Probability ------------------------------------------------------------------------ Th., 14.10.2021 15:45-16:30 (UTC +2:00 = CEST), lecture hall 8 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 1nd floor Julia Eisenberg (TU Wien) "Dividend maximisation with negative and positive preference rates: a behaviouristic interpretation" 16:45-17:30 (UTC +2:00 = CEST), lecture hall 5 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, ground floor Francesca Primavera (University of Vienna) "Lévy type signature models" For further details see https://fam.tuwien.ac.at/vs-mfp/ ======================================================================== ------------------------------------------------------------------------ Oxford Stochastic Analysis and Mathematical Finance Seminar ------------------------------------------------------------------------ Mo., 11.10.2021, 17:00-18:00 (UTC +2:00 = CEST), online talk Samuel Cohen (University of Oxford) "Arbitrage-free market models via neural SDEs" For further details see https://researchseminars.org/seminar/OxfordStochasticAnalysis ------------------------------------------------------------------------ World Online Seminars on Machine Learning in Finance ------------------------------------------------------------------------ Tu., 12.10.2021, 19:00 (UTC +2:00 = CEST), online talk Sebastian Jaimungal (University of Toronto) "Risk-Aware Reinforcement Learning for Financial Modeling" For further (including abstract & log-in link) see https://sites.google.com/view/mlfinance/ ------------------------------------------------------------------------ Actuarial Science and Financial Mathematics Seminar Series ------------------------------------------------------------------------ Fr., 15.10.2021, 16:00-17:30 (UTC +2:00 = CEST), online talk Steven Vanduffel (Vrije Universiteit Brussel (VUB)) "The optimal payoff for a Yaari investor" For further details see https://uwaterloo.ca/statistics-and-actuarial-science/events/actuarial-scie… ======================================================================== See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ UTC +2:00 = CEST = Central European Summertime, https://time.is/en/CEST ------------------------------------------------------------------------ --

3 years, 6 months

reminder for upcoming seminars and talks

by FAM-Office (Franziska Wohlmuth)

------------------------------------------------------------------------ SIAG Financial Mathematics and Engineering virtual seminars series ------------------------------------------------------------------------ Th., 7.10.2021, 19:00-20:00 (UTC +2:00 = CEST), online talk Ibrahim Ekren (Florida State University) "Optimal Transport and Risk Aversion in Kyle's Model of Informed Trading" For further details see http://wiki.siam.org/siag-fm/index.php/Current_events ------------------------------------------------------------------------ Talks in Financial and Insurance Mathematics ------------------------------------------------------------------------ Th., 7.10.2021, 17:00-18:00 (UTC +2:00 = CEST), online talk Mathieu Rosenbaum (École Polytechnique) "AHEAD : Ad-Hoc Electronic Auction Design" For further details see https://math.ethz.ch/imsf/courses/talks-in-imsf.html ------------------------------------------------------------------------ Research Seminar Series ------------------------------------------------------------------------ Fr., 8.10.2021, 09:00-10:30 (UTC +2:00 = CEST), online talk Thorsten Schmidt (University of Freiburg) "Abritrage Principles in Insurance" For further details (including abstract & log-in link) see https://www.wu.ac.at/en/statmath/research/resseminar/ ======================================================================== See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ UTC +2:00 = CEST = Central European Summertime, https://time.is/en/CEST ------------------------------------------------------------------------

3 years, 6 months

reminder for upcoming seminars and talks

by FAM-Office (Franziska Wohlmuth)

------------------------------------------------------------------------ LTI@UniTO Webinar Series in Finance ------------------------------------------------------------------------ Mo., 27.9.2021, 12:00-13:00 (UTC +2:00 = CEST), online talk Andrea Orame (Bank of Italy) "Quantitative Easing, Bank Lending, and Competition" For further details see https://www.carloalberto.org/events/category/ltiunito-webinars-in-finance/l… ------------------------------------------------------------------------ World Online Seminars on Machine Learning in Finance ------------------------------------------------------------------------ Tu., 28.9.2021, 19:00 (UTC +2:00 = CEST), online talk Xin Guo (University of California, Berkeley) "Generative Adversarial Network (GANs): Game and Control Perspectives" For further (including abstract & log-in link) see https://sites.google.com/view/mlfinance/ ------------------------------------------------------------------------ One World Actuarial Research Seminar ------------------------------------------------------------------------ We., 29.9.2021, 19:00 (UTC +2:00 = CEST), online talk Daniel Bauer (University of Wisconsin–Madison) "The Marginal Cost of Risk and Capital Allocation in a Property and Casualty Insurance Company" For further details see https://owars.info/ ------------------------------------------------------------------------ Bachelier Finance Society One World Seminars ------------------------------------------------------------------------ Th., 30.9.2021, 19:00 (UTC +2:00 = CEST), online talk Marco Frittelli (University of Milan) "Entropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Duality" For further details see https://www.bachelierfinance.org/bachelier-finance-society-world-seminars-o… ------------------------------------------------------------------------ Talks in Financial and Insurance Mathematics ------------------------------------------------------------------------ Th., 30.9.2021, 17:00-18:00 (UTC +2:00 = CEST), online talk Walter Schachermayer (University Vienna) "TBA" For further details see https://math.ethz.ch/imsf/courses/talks-in-imsf.html ------------------------------------------------------------------------ Monte-Carlo Methods - course at TU Wien ------------------------------------------------------------------------ In winter term 2021/2022 Dr. Junjian Yang from FAM offers the online-course "Monte-Carlo Methods" https://tiss.tuwien.ac.at/course/courseDetails.xhtml?courseNr=105734 The course is a lecture combined with exercises and will bei given via Zoom every Friday 9:30-12:30 (around 14 times, Oct.-Jan). - Students from TU Wien can register through the course page (link above). - Students from Austrian universities other than TU Wien have to co-register / "mitbelegen" at TU Wien (https://www.tuwien.at/en/?id=1486 / https://www.tuwien.at/?id=1486) first. They can get a certificate at the end of the course. In case of interest from universities abroad we might offer access to the course documents and Zoom meetings. Please send your request to the lecturer or to FAM-office and consider that there is no certificate possible without registering as student of TU Wien. Please contact FAM-office (Sandra) fam(a)fam.tuwien.ac.at in case of questions. ======================================================================== See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ UTC +2:00 = CEST = Central European Summertime, https://time.is/en/CEST ------------------------------------------------------------------------

3 years, 6 months

reminder for upcoming seminars and talks

by FAM-Office (Franziska Wohlmuth)

------------------------------------------------------------------------ Online seminars on Optimal Stopping and Related Topics ------------------------------------------------------------------------ We., 22.9.2021, 18:00 (UTC +2:00 = CEST), online talk Damien Lamberton, Université Gustave Eiffel "On the American put in the Heston model" For further details see https://sites.google.com/view/optimalstopping/home ------------------------------------------------------------------------ Talks in Financial and Insurance Mathematics ------------------------------------------------------------------------ Th., 23.9.2021, 17:00-18:00 (UTC +2:00 = CEST), online talk Mathias Beiglböck (University of Vienna) "The Wasserstein space of stochastic processes" For further details see https://math.ethz.ch/imsf/courses/talks-in-imsf.html ------------------------------------------------------------------------ Actuarial Science and Financial Mathematics Seminar Series ------------------------------------------------------------------------ Fr., 24.9.2021, 16:00 (UTC +2:00 = CEST), online talk Christian Y. Robert (ENSAE) "Conditional mean risk sharing in the individual model for dependent losses" For further details see https://uwaterloo.ca/statistics-and-actuarial-science/events/actuarial-scie… ======================================================================== See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ UTC +2:00 = CEST = Central European Summertime, https://time.is/en/CEST ------------------------------------------------------------------------

3 years, 7 months

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