FAM-news

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reminder for upcoming seminars and talks
by FAM-Office (Franziska Wohlmuth) 23 Apr '21

23 Apr '21

------------------------------------------------------------------------ Oxford Stochastic Analysis and Mathematical Finance Seminar ------------------------------------------------------------------------ Mo., 26.4.2021, 17:00-18:00 (UTC +2:00 = CEST), online talk Thaleia Zariphopoulou (University of Texas) "Human-machine interaction models and robo-advising" For further details see https://mathseminars.org/seminar/OxfordStochasticAnalysis ------------------------------------------------------------------------ World Online Seminars on Machine Learning in Finance ------------------------------------------------------------------------ Tu., 27.4.2021, 19:00 (UTC +2:00 = CEST), online talk Iuliia Manziuk (Ecole Polytechnique) "Adaptive Trading Strategies Across Liquidity Pools" For further (including abstract & log-in link) see https://sites.google.com/view/mlfinance/ ------------------------------------------------------------------------ Research Seminar Series ------------------------------------------------------------------------ We., 28.4.2021, 18:15-19:45 (UTC +2:00 = CEST), online talk Ronnie Sircar (Princeton University) "Cryptocurrencies, Mining & Mean Field Games" For further details (including abstract & log-in link) see https://www.wu.ac.at/en/statmath/research/resseminar/ ------------------------------------------------------------------------ Talks in Financial and Insurance Mathematics ------------------------------------------------------------------------ Th., 29.4.2021, 17:00-18:00 (UTC +2:00 = CEST), online talk Sara Svaluto-Ferro (Universität Wien) "From Signature-Based Models to Affine and Polynomial Processes and back" For further details see https://math.ethz.ch/imsf/courses/talks-in-imsf.html?s=fs21 ------------------------------------------------------------------------ SIAG Financial Mathematics and Engineering virtual seminars series ------------------------------------------------------------------------ Th., 29.4.2021, 19:00-20:00 (UTC +2:00 = CEST), online talk Huyen Pham (Université de Paris) "DeepSet and their derivative networks for solving symmetric problems" For further details see http://wiki.siam.org/siag-fm/index.php/Current_events ------------------------------------------------------------------------ Vienna Seminar in Mathematical Finance and Probability ------------------------------------------------------------------------ Th., 29.4.2021, 15:30-18:30 (UTC +1:00 = CET), online talk Link for the live stream (Zoom) will be announced after registration for the event. Friedrich Hubalek (TU Wien) "Comparing binomial and Gaussian tails with an application to utility maximization" Benjamin Robinson (University of Vienna) "Optimal control of martingales in a radially symmetric environment" Zach Feinstein (Stevens Institute of Technology) "Equilibrium Inverse Demand Functions" For further details (including abstracts) and registration see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Actuarial Science and Financial Mathematics Seminar Series ------------------------------------------------------------------------ Fr., 30.4.2021, 17:00 (UTC +2:00 = CEST), online talk Mike Ludkovski (University of California) "Multi-population longevity modeling with Gaussian Processes" For further details see https://uwaterloo.ca/statistics-and-actuarial-science/events/actuarial-scie… ------------------------------------------------------------------------ Online Conference Beyond the Boundaries ------------------------------------------------------------------------ Beyond the Boundaries: New Directions in Financial and Actuarial Mathematics Tue-Fri, May 4-7, 2021, online conference by University of Leeds https://www.miryanagrigorova.com/conference-beyond-the-boundaries Registration is free! - Registration Deadline: April 29, 2021 Have a look at the impressive list of the invited speakers: https://www.miryanagrigorova.com/speakers ======================================================================== See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ UTC +2:00 = CEST = Central European Summertime, https://time.is/en/CEST ------------------------------------------------------------------------ --

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reminder for upcoming seminars and talks
by FAM-Office (Franziska Wohlmuth) 16 Apr '21

16 Apr '21

------------------------------------------------------------------------ One World Actuarial Research Seminar ------------------------------------------------------------------------ We., 21.4.2021, 11:00 (UTC +2:00 = CEST), online talk Rui Zhou (University of Melbourne) "The Role of Longevity Annuities in Different Socioeconomic Classes: A Canadian Case Study" For further details see http://www.maths.usyd.edu.au/u/munir/owars/ ------------------------------------------------------------------------ Bachelier Finance Society One World Seminars ------------------------------------------------------------------------ Th., 22.4.2021, 19:00 (UTC +2:00 = CEST), online talk Darrell Duffie (Stanford University) "TBA" For further details see https://www.bachelierfinance.org/bachelier-finance-society-world-seminars-o… ------------------------------------------------------------------------ Talks in Financial and Insurance Mathematics ------------------------------------------------------------------------ Th., 22.2.2021, 17:00-18:00 (UTC +2:00 = CEST), online talk Julio Backhoff (Universität Wien) "The Mean Field Schrödinger Problem" For further details see https://math.ethz.ch/imsf/courses/talks-in-imsf.html?s=fs21 ------------------------------------------------------------------------ Actuarial Science and Financial Mathematics Seminar Series ------------------------------------------------------------------------ Fr., 23.4.2021, 16:30-18:00 (UTC +2:00 = CEST), online talk Etienne Marceau (Laval University) "Lundberg–Aumann–Serrano index of riskiness and ruin-based risk measures" 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 ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by FAM-Office (Franziska Wohlmuth) 09 Apr '21

09 Apr '21

------------------------------------------------------------------------ World Online Seminars on Machine Learning in Finance ------------------------------------------------------------------------ Tu., 13.4.2021, 19:00 (UTC +2:00 = CEST), online talk Josef Teichmann (ETH Zurich) "Consistent Recalibration Models, Deep Calibration and Learning of Constraint Dynamics" For further (including abstract & log-in link) see: https://sites.google.com/view/mlfinance/ ------------------------------------------------------------------------ Actuarial Science and Financial Mathematics Seminar Series ------------------------------------------------------------------------ Fr., 16.4.2021, 16:30-18:00 (UTC +2:00 = CEST), online talk Patrick Cheridito (ETH Zurich) "Assessing asset-liability risk and the numerical approximation of conditional expectations" For further details see https://uwaterloo.ca/statistics-and-actuarial-science/events/actuarial-scie… ------------------------------------------------------------------------ AMaMeF 2021 ------------------------------------------------------------------------ 10th General AMaMeF Conference June 22-25, 2021, Padova, Italy hybrid or online event (depending on Covid19 situation) https://events.math.unipd.it/AMAMEF2021/ AMaMeF, acronym for Advanced Mathematical Methods for Finance, is a European network of research promoting the exchange and diffusion of knowledge in the field of Mathematical Finance. The AMaMeF Conferences are organized in a roughly two-yearly schedule. The 10th General AMaMeF conference is organized by the Department of Mathematics "Tullio Levi-Civita" at the University of Padova (Italy). The program consists of 8 plenary lectures, 9 invited and several contributed sessions addressing a full range of topics in mathematical finance and its applications. Each contributed talk will be allocated a 30 minutes time slot (25 min. presentation + 5 min. Q&A). Submission Deadline: Monday, May 3, 2021. ======================================================================== See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ UTC +2:00 = CEST = Central European Summertime, https://time.is/en/CEST ------------------------------------------------------------------------ --

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reminder for upcoming seminars and talks
by Franziska Wohlmuth 02 Apr '21

02 Apr '21

------------------------------------------------------------------------ WU Wien research seminar series ------------------------------------------------------------------------ Fr., 7.4.2021, 09:00 (UTC +2:00 = CEST), online talk Luitgard A. M. Veraart (London School of Economics and Political Science) "When Does Portfolio Compression Reduce Systemic Risk?" For further details (including abstract & log-in link) see: https://www.wu.ac.at/en/statmath/research/resseminar/ ------------------------------------------------------------------------ Online seminars on Optimal Stopping and Related Topics ------------------------------------------------------------------------ We., 7.4.2021, 17:00 (UTC +2:00 = CEST), online talk Kazutoshi Yamazaki (Kansai University) "Double continuation regions for American options under Poisson exercise opportunities" For further details see https://sites.google.com/view/optimalstopping/home ------------------------------------------------------------------------ Bachelier Finance Society One World Seminars ------------------------------------------------------------------------ Th., 8.4.2021, 19:00 (UTC +2:00 = CEST), online talk Tomoyuki Ichiba (University of California Santa Barbara) "Relative arbitrage among investors" For further details see https://www.bachelierfinance.org/bachelier-finance-society-world-seminars-o… ======================================================================== See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ UTC +2:00 = CEST = Central European Summertime, https://time.is/en/CEST ------------------------------------------------------------------------ --

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reminder for upcoming seminars and talks
by FAM-Office (Franziska Wohlmuth) 26 Mar '21

26 Mar '21

------------------------------------------------------------------------ SIAG Financial Mathematics and Engineering virtual seminars series ------------------------------------------------------------------------ Th., 1.4.2021, 19:00-20:00 (UTC +2:00 = CEST), online talk Xiaofei Shi (Columbia University) "Equilibrium Asset Pricing with Liquidity Risk" Mathieu Laurière (Princeton University) "Deep learning for Mean Field Games, and applications to finance" For further details see http://wiki.siam.org/siag-fm/index.php/Current_events ======================================================================== See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ UTC +2:00 = CEST = Central European Summertime, https://time.is/en/CEST ------------------------------------------------------------------------ --

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reminder for upcoming seminars and talks
by FAM-office (Franziska Wohlmuth) 19 Mar '21

19 Mar '21

------------------------------------------------------------------------ ISOR Colloquium ------------------------------------------------------------------------ Mo., 22.3.2021, 16:45 - 17:45 (UTC +1:00 = CET), online talk Gilles Stupfler (ENSAI France) "Asymmetric least squares techniques for extreme risk estimation" For further details (including abstract & log-in link) see: https://univienna.zoom.us/j/95698652741?pwd=MnZaZVpLa2ZsQkpLdXdtTy9WQUsrdz0… or https://isor.univie.ac.at/isor-colloquium/current-talks/ ------------------------------------------------------------------------ Online seminars on Optimal Stopping and Related Topics ------------------------------------------------------------------------ We., 24.3.2021, 18:00 (UTC +1:00 = CET), online talk Erik Ekstrom (Uppsala University) "Stochastic games with unknown competition" For further details (including abstracts) see https://sites.google.com/view/optimalstopping/home ------------------------------------------------------------------------ LTI@UniTO Webinar Series in Finance ------------------------------------------------------------------------ We., 24.3.2021, 12:00 - 13:15 (UTC +1:00 = CET), webinar Fabio Trojani (University of Geneva) "Smart Stochastic Discount Factors" For further details (including abstract & log-in link) see: https://us02web.zoom.us/j/84414842010?pwd=WFFudm1ITDU1aWQ2Y0ttRFRXOGFVQT09 or https://www.carloalberto.org/events/category/ltiunito-webinar-series-in-fin… ------------------------------------------------------------------------ Talks in Financial and Insurance Mathematics ------------------------------------------------------------------------ Th., 25.2.2021, 17:00-18:00 (UTC +1:00 = CET), online talk Thibaut Mastrolia (École Polytechnique) "Some Recent Developments of Auction Design in Financial Markets" For further details (including abstracts) see https://math.ethz.ch/imsf/courses/talks-in-imsf.html?s=fs21 ------------------------------------------------------------------------ Bachelier Finance Society One World Seminars ------------------------------------------------------------------------ Th., 25.3.2021, 17:00-18:00 (UTC +1:00 = CET), online talk Filip Lindskog (Stockholm University) "Market-Consistent Multiple-Priors Valuation of Cash Flows Subject to Capital Requirements" For further details (including abstract & log-in link) see: https://ethz.zoom.us/meeting/register/tJEpcOqqrjIuHNegJ9NINRKM53Z7DwjBYlYt or https://www.bachelierfinance.org/bachelier-finance-society-world-seminars-o… ------------------------------------------------------------------------ Vienna Seminar in Mathematical Finance and Probability ------------------------------------------------------------------------ Th., 25.3.2021, 15:30-18:30 (UTC +1:00 = CET), online talk Link for the live stream (Zoom) will be announced after registration for the event. Birgit Rudloff (WU Vienna) "Multivariate dynamic programming- from dynamic Nash games to the Mean-Risk problem" Stefan Gerhold (TU Wien) "Asymptotic pricing of VIX options under rough volatility" Walter Schachermayer (University of Vienna) "Faking Brownian Motion with continuous Markov martingales" For further details (including abstracts) and registration see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ World Online Seminars on Machine Learning in Finance ------------------------------------------------------------------------ We are pleased to announce the World Online Seminars on Machine Learning in Finance which will start on March 30th. The seminars will be held on a bi-weekly basis via Zoom at 7PM CET/10AM PST/1PM EST. Every two weeks, we will invite a speaker to cover a topic at the interface of machine learning and finance. Our opening speaker is Manuela Veloso from JP Morgan AI Research and CMU. More detailed information, in particular on the subsequent speakers can be found on our webpage https://sites.google.com/view/mlfinance/home. We also have a mailing list which can be subscribed through https://docs.google.com/forms/d/e/1FAIpQLSc--nB0dPRxLv_1qEMdjbrFdivaEHrzFSr…. The seminar announcements and the Zoom links will be sent via this mailing list, but you can also register for the zoom link on our webpage. Please bring the announcement to the attention of other researchers who may be interested. We are looking forward to seeing you at the seminars. Best regards, The organizers Christa Cuchiero, Ruimeng Hu, Sara Svaluto-Ferro, Renyuan Xu ======================================================================== See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ UTC +1:00 = CET = Central European Time, https://time.is/en/CET ------------------------------------------------------------------------ -- Franziska Wohlmuth (Secretary) secr(a)fam.tuwien.ac.at Financial and Actuarial Mathematics (FAM) https://fam.tuwien.ac.at/ TU Wien, Wiedner Hauptstrasse 8/105-01 & -05, 1040 Vienna, Austria

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reminder for upcoming seminars and talks
by FAM-office (Franziska Wohlmuth) 12 Mar '21

12 Mar '21

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reminder for upcoming seminars and talks
by FAM-Office (Franziska Wohlmuth) 05 Mar '21

05 Mar '21

------------------------------------------------------------------------ Oxford Stochastic Analysis and Mathematical Finance Seminar ------------------------------------------------------------------------ Mo., 8.3.2021, 17:00 (UTC +1:00 = CET), online talk Pierre Del Moral (INRIA (France)) "A backward Ito-Ventzell formula with an application to stochastic interpolation" For further details (including abstracts) see https://mathseminars.org/seminar/OxfordStochasticAnalysis ------------------------------------------------------------------------ Online seminars on Optimal Stopping and Related Topics ------------------------------------------------------------------------ We., 10.3.2021, 18:00 (UTC +1:00 = CET), online talk Mike Ludkovski (UC Santa-Barbara) "mlOSP: Towards a Unified Implementation of Regression Monte Carlo Algorithms" For further details (including abstracts) see https://sites.google.com/view/optimalstopping/home ------------------------------------------------------------------------ Bachelier Finance Society One World Seminars ------------------------------------------------------------------------ Th., 11.3.2021, 19:00 (UTC +1:00 = CET), online talk Tom Hurd (McMaster University) "COVID-19: Modelling Another Global Systemic Phenomenon" For further details (including abstract & log-in link) see: https://ethz.zoom.us/meeting/register/tJUqdOqsrTkuHNF3wgjlUz4_lsaxUqvfAzrN or https://www.bachelierfinance.org/bachelier-finance-society-world-seminars-o… ------------------------------------------------------------------------ Talks in Financial and Insurance Mathematics ------------------------------------------------------------------------ Th., 11.3.2021, 17:00-18:00 (UTC +1:00 = CET), online talk Christian Robert (ISFA Lyon) "Conditional Mean Risk Sharing in the Individual Model with Graphical Dependencies" For further details (including abstracts) see https://math.ethz.ch/imsf/courses/talks-in-imsf.html?s=fs21 ------------------------------------------------------------------------ Actuarial Science and Financial Mathematics Seminar Series ------------------------------------------------------------------------ Fr., 12.3.2021, 16:00-17:30 (UTC +1:00 = CET), online talk Michel Denuit (Université catholique de Louvain) "Risk reduction by conditional mean risk sharing" For further details (including abstracts) see https://uwaterloo.ca/statistics-and-actuarial-science/events/actuarial-scie… ======================================================================== ------------------------------------------------------------------------ IME 2021 - Call for abstracts ------------------------------------------------------------------------ 24th International Congress on Insurance: Mathematics and Economics Mon-Fri, July 5-9, 2021, online event SUBMISSION is open until April 30, 2021, at 11:59 p.m. (UTC-5) https://publish.illinois.edu/ime-conf-2021/call-for-abstracts/ ------------------------------------------------------------------------ EAJ 2021 - Call for papers ------------------------------------------------------------------------ 5th European Actuarial Journal Conference Wed-Thu, September 8-9, 2021, Lisbon, Portugal SUBMISSION is open until April 10, 2021 (WEST, UTC +1) http://eaj2020lisbon.org/index.php/program/call-for-papers ------------------------------------------------------------------------ ASD 2021 - Abstract Submssion ------------------------------------------------------------------------ 9th Austrian Stochastics Days Thu-Fri, September 9-10, 2021, Leoben, Austria http://institute.unileoben.ac.at/amat/asd2021/ SUBMISSION preferably before August 20, 2021 Send abstract in LaTeX to austrian.stochasticdays(a)gmail.com ------------------------------------------------------------------------ BFS 2021 - Abstract Submission ------------------------------------------------------------------------ 11th World Congress of the Bachelier Finance Society (BFS 2020) Mon-Fri, December 13-17, 2021, Hong Kong, China SUBMISSION is open until June 30, 2021 (11:59pm HKT, UTC +8). http://www1.se.cuhk.edu.hk/~bfs2020/cfp/cfp.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 ------------------------------------------------------------------------ --

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reminder for upcoming seminars and talks
by FAM-Office (Franziska Wohlmuth) 26 Feb '21

26 Feb '21

------------------------------------------------------------------------ LTI@UniTO Webinar Series in Finance ------------------------------------------------------------------------ Mo., 1.3.2021, 17:00-18:00 (UTC +1:00 = CET), webinar Massimiliano Caporin (University of Padova) "Do jumps matter in Realized Volatility modeling and forecasting? Empirical evidence and a new model" For further details (registration and abstract) see https://www.carloalberto.org/event/massimiliano-caporin-university-of-padov… or https://www.carloalberto.org/events/category/ltiunito-webinars-in-finance/l… ------------------------------------------------------------------------ LTI@UniTO Webinar Series in Finance ------------------------------------------------------------------------ Tu., 2.3.2021, 12:00-13:15 (UTC +1:00 = CET), online talk Roberto Renò (University of Verona) “V-shapes” For further details (registration and abstract) see https://www.carloalberto.org/event/roberto-reno-university-of-verona-webina… or https://www.carloalberto.org/events/category/ltiunito-webinars-in-finance/l… ------------------------------------------------------------------------ SIAG Financial Mathematics and Engineering virtual seminars series ------------------------------------------------------------------------ Th., 4.3.2021, 19:00 (UTC +1:00 = CET), online talk Marcel Nutz (Columbia University) "Entropic Optimal Transport " For abstract and further details (registration necessary due to security reasons) see: https://siam.zoom.us/webinar/register/WN_s8rIcHwiS-uPM3Dkuok-Wg or http://wiki.siam.org/siag-fm/index.php/Current_events ======================================================================== See also: https://mathseminars.org/ and https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ UTC +1:00 = CET = Central European Time, https://time.is/en/CET ------------------------------------------------------------------------ --

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reminder for upcoming seminars and talks
by FAM-Office (Franziska Wohlmuth) 19 Feb '21

19 Feb '21

------------------------------------------------------------------------ Online seminars on Optimal Stopping and Related Topics ------------------------------------------------------------------------ We., 24.2.2021, 18:00 (UTC +1:00 = CET), online talk Renyuan Xu (University of Oxford) "Interbank lending with benchmark rates: a singular control game" For further details (including abstracts) see https://sites.google.com/view/optimalstopping/home ------------------------------------------------------------------------ One World Actuarial Research Seminar ------------------------------------------------------------------------ We., 24.2.2021, 10:00 (UTC +1:00 = CET), online talk An Chen (Ulm University, Germany) "Linking risk management under expected shortfall to loss-averse behavior" For further details (including abstracts) see http://www.maths.usyd.edu.au/u/munir/owars/ ------------------------------------------------------------------------ Talks in Financial and Insurance Mathematics ------------------------------------------------------------------------ Th., 25.2.2021, 17:00-18:00 (UTC +1:00 = CET), online talk Thibaut Mastrolia (École Polytechnique) "Some Recent Developments of Auction Design in Financial Markets" For further details (including abstracts) see https://math.ethz.ch/imsf/courses/talks-in-imsf.html?s=fs21 ------------------------------------------------------------------------ Bachelier Finance Society One World Seminars ------------------------------------------------------------------------ Th., 25.2.2021, 13:00 (UTC +1:00 = CET), online talk Shige Peng (Shandong University) "TBA" For further details (including abstract & log-in link) see: ??https://ethz.zoom.us/meeting/register/tJ0kfu6trD0oGtHBTVyMkSJDp-XRy1tblo3d or https://www.bachelierfinance.org/bachelier-finance-society-world-seminars-o… ------------------------------------------------------------------------ Actuarial Science and Financial Mathematics Seminar Series ------------------------------------------------------------------------ Fr., 26.2.2021, 16:00-17:00 (UTC +1:00 = CET), online talk Ludger Ruschendorf (University of Freiburg) "Evaluation of risks under dependence uncertainty" For further details (including abstracts) 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 ------------------------------------------------------------------------

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