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Vienna Congress on Mathematical Finance (VCMF 2019)
Mon-Wed, September 9-11, 2019
VCMF Educational Workshop
Thu-Fri, September 12-13, 2019
https://fam.tuwien.ac.at/vcmf2019/
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*Deadline approaching:*
Standard registration ends on August 25, 2019
(from August 26, 2019, late registration fee applies):
https://fam.tuwien.ac.at/vcmf2019/registration.php
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The second Vienna Congress on Mathematical Finance (VCMF 2019) will be
held from September 9-11, 2019, once again at the new campus of WU
Vienna. The conference will bring together leading experts from various
fields of Mathematical Finance such as:
- Computational Methods and Machine Learning
- Credit Risk and Systemic Risk
- Limit Order Book and High Frequency Trading
- Markets with Frictions and Large Trader Models
- New Financial Markets (Cryptocurrencies,
Electricity, Energy, Securitization)
- Risk Measures and Optimization (Portfolio Optimisation,
Risk Allocation, Risk Aggregation)
- Robust Finance
- Stochastic and Rough Volatility
The conference program will feature plenary lectures, parallel sessions
with invited and contributed talks as well as poster sessions. Moreover,
there will be an attractive social program.
In the framework of a Panel Discussion (September 9, 2019) on the topic
"The big data revolution in mathematical finance" we offer the
conference participants a platform for discussions with a number of
renowned experts.
The conference is followed by a two-day Educational Workshop on
September 12 and 13, 2019, with lectures by internationally recognized
experts that will be a great learning opportunity in particular for
younger scientists.
The VCMF 2019 follows the successful previous edition, VCMF 2016, with
240 attendees, 83 talks and 28 poster presentations.
For further information including details on plenary and invited
speakers see the conference homepage at
https://fam.tuwien.ac.at/vcmf2019/
We are looking forward to meeting you in September in Vienna!
With kind regards from the VCMF 2019 organisers,
Mathias Beiglböck, Rüdiger Frey, Stefan Gerhold,
Friedrich Hubalek, Irene Klein, Thorsten Rheinländer,
Birgit Rudloff, Walter Schachermayer, Uwe Schmock
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Location:
Campus of WU Wien
Welthandelsplatz 1, 1020 Vienna/Wien, Austria
Organized by:
WU Vienna - Vienna University of Economics & Business
TU Wien - Vienna University of Technology
University of Vienna
Wolfgang Pauli Institute (WPI) Vienna
Gold Sponsor:
Raiffeisen Bank International (RBI)
BAWAG P.S.K.
Silver Sponsor:
B&W Deloitte
EnergieAllianz Austria (EAA)
EY
Meyerthole Siems Kohlruss
UNIQA Insurance Group
Plenary Speakers...
at the Congress:
- Beatrice Acciaio (London School of Economics)
- Fred Espen Benth (University of Oslo)
- Bruno Bouchard (Université Paris-Dauphine)
- Christa Cuchiero (WU Vienna)
- Paul Embrechts (ETH Zurich)
- Antoine Jacquier (Imperial College London)
- Sebastian Jaimungal (University of Toronto)
- Walter Schachermayer (University of Vienna)
at the Educational Workshop:
- Julien Guyon (Bloomberg, Columbia Univ., New York Univ.)
- Huyên Pham (University Paris VII Diderot)
- Josef Teichmann (ETH Zurich)
- Luitgard A. M. Veraart (London School of Economics)
Invited Speakers at the Congress:
- Emmanuel Bacry (École Polytechnique and Université Paris-Dauphine)
- Peter Bank (TU Berlin)
- Zachary Feinstein (Washington University in St. Louis)
- Damir Filipovic (EPFL and Swiss Finance Institute)
- Kathrin Glau (Queen Mary University of London)
- Archil Gulisashvili (Ohio University)
- Julien Guyon (Bloomberg, Columbia Univ., New York Univ.)
- Nikolaus Hautsch (University of Vienna)
- Blanka Horvath (King's College and Imperial College London)
- Ying Jiao (Université Claude Bernard Lyon 1)
- Sigrid Källblad (KTH Royal Institute of Technology)
- Eyal Neuman (Imperial College London)
- Marcel Nutz (Columbia University)
- Miklos Rasonyi (Alfred Renyi Institute of Mathematics)
- Nizar Touzi (École Polytechnique)
- Luitgard A. M. Veraart (London School of Economics)
https://fam.tuwien.ac.at/vcmf2019/speakers.php
Additionally on the first day of the congress there will be a panel
discussion with the title:
"The big data revolution in mathematical finance"
For further details see the program:
https://fam.tuwien.ac.at/vcmf2019/program.php
Registration:
Standard registration is possible until August 25, 2019.
From August 26, 2019, late registration fee applies.
https://fam.tuwien.ac.at/vcmf2019/registration.php
CPD:
The attendance at VCMF 2019 (full week, Sept. 9-13, 2019)
may qualify for up to 30 CPD credits for those delegates
whose national actuarial organization's CPD requirements
recognize VCMF 2019.
18 CPD credits for VCMF Congress (Sep 9-11) and
12 CPD credits for VCMF Educational Workshop (Sep 12-13).
VCMF 2019 is accredited by the AVÖ - Actuarial Assoc. of Austria.
For any requests, do not hesitate to write an e-mail to the conference &
workshop secretariat: vcmf2019(a)fam.tuwien.ac.at
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"Le congrès danse beaucoup, mais il ne marche pas."
("The congress does not move forward, it dances.")
Prince Charles de Ligne’s famous words
at the Congress of Vienna (1814-1815)
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Sorry for the late announcement:
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IST Austria: Rough Paths
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Th./Fr., 04. & 05.07.2019, 10:15–11:45, Heinzel Seminar Room
IST Austria, Office Bldg West (I21.EG.101)
Peter Friz (TU Berlin, Germany)
http://page.math.tu-berlin.de/~friz/
Mini-course consisting of two sessions:
"Rough paths, Rough volatility and Regularity Structures"
Day #1 (https://talks-calendar.app.ist.ac.at/generate_invitation/2024):
The lecture is loosely based on the book [F-Hairer, Course on Rough
Paths, with an Introduction to Regularity Structures, Springer 2014] but
I will aim for a balance between introductory/standard material and
advanced topics taken from the 2nd edition (in preparation), hopefully
making the talk accessible to a diverse audience. Among the new material
I will introduce the rough volatility model from quantitative finance as
simple (but not too simple) example of a regularity structures that
exhibits many features also seen in the analysis of singular stochastic
partial differential equations like KPZ.
Day#2 (https://talks-calendar.app.ist.ac.at/generate_invitation/2025):
There will be some flexibility, and I am happy to cater to interests of
the audience. Possible topics include: Rough semimartingales, rough
paths with jumps, applications (of rough paths and regularitystructures)
to large deviations and Laplace method, applications to Multiscale
Systems, Homogenization.
With a printout of the invitations (see links above) you can use the
shuttle between Heiligenstadt and IST Austria for free.
(https://ist.ac.at/de/campus/anreise/)
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VCMF 2019 - Vienna Congress on Mathematical Finance...
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2nd Vienna Congress on Mathematical Finance 2019
& VCMF Educational Workshop
(jointly organised by WU Wien, TU Wien and University of Vienna)
WU Vienna, Mon-Fri, September 9-13, 2019
https://fam.tuwien.ac.at/vcmf2019/
*The early registration was prolonged until July 6, 2019.*
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To Whom it May Concern,
the TU Wien (FAM - Financial and Actuarial Mathematics), WU Vienna,
University of Vienna as well as the Wolfgang Pauli Institute jointly
organise the international event *VCMF 2019*:
Vienna Congress on Mathematical Finance
Mon-Wed, 9-11 September 2019
VCMF Educational Workshop
Thu-Fri, 12-13 September 2019
https://fam.tuwien.ac.at/vcmf2019/
*End of Early Registration:*
Reduced registration fee applies until 30 June 2019:
https://fam.tuwien.ac.at/vcmf2019/registration.php
*Abstracts:*
For the VCMF Educational Workshop all abstracts are online, for the VCMF
Conference the first abstracts are available. See:
https://fam.tuwien.ac.at/vcmf2019/program.php
*"START-Preis":*
Christa Cuchiero - plenary speaker of the VCMF Conferende as well as
(former) employee of TU Wien, University of Vienna and WU Vienna -
received the "START-Preis" of the Austrian Science Fund (FWF). This is
the highest Austrian award for young scientists of any discipline - the
recipients are selected by an international jury of experts. See:
https://fam.tuwien.ac.at/vcmf2019/news.php
*Vienna City Hall:*
The Conference Dinner takes place in the Vienna City Hall - same a the
Vienna Ball of Sciences or the worldwide renowned Life Ball. After the
delicious dinner participants can dance - true to the motto of the VCMF
event: "Mu and Sigma waltzing the Congress":
https://fam.tuwien.ac.at/vcmf2019/mu_sigma.php
With best regards,
Sandra
VCMF 2019 Conference & Workshop Secretariat
Katrin Artner and Sandra Trenovatz
+---------------------
|
| VCMF 2019 - Vienna, Austria
|
| Vienna Congress on Mathematical Finance
| Mon-Wed, September 9-11, 2019
|
| VCMF Educational Workshop
| Thu-Fri, September 12-13, 2019
|
| https://fam.tuwien.ac.at/vcmf2019/
|
+-------------------------------------------------
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Announcement of a Habilitation Talk at TU Wien
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Tu., 18.06.2019, 09:30, seminar room DA gelb 05a
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, yellow area, 5th floor
Julia Eisenberg (TU Wien, Univ. Liverpool)
https://fam.tuwien.ac.at/~jeisenbe/
"A new approach for satisfactory pensions with no guarantees"
(Public Habilitation Talk / Habilitationskolloquium)
For further details (including abstracts) see
http://fam.tuwien.ac.at/contact/temp/Habilkolloquium_Eisenberg.pdf
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Universität Wien - Fachvortrag und Fallbeispiel aus der Beratungspraxis
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Tu., 18.06.2019, 17:30 c.t., Sky Lounge
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Ferdinand Graf (d-fine)
"Künstliche Intelligenz in der Praxis"
David Haberfellner (d-fine)
"Kapitalmarkt und Ordermanagement"
(Mathematik in derUnternehmensberatung -
Fachvortrag und Fallbeispiel aus der Beratungspraxis)
Ausklang des Abends mit Snacks und Getränken.
For further details (including abstracts) see
http://fam.tuwien.ac.at/contact/temp/20190618_dfine.pdf
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Veranstaltungsreihe "Actuarial Modelling Club"
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Mo., 24.06.2019, 17:00, lecture hall 6
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 2nd floor, green area
Frank Schiller (Munich Re, DE)
"Moderne Life-Style Produkte in der Lebensversicherung
mit Big Data und Machine Learning"
(Actuarial Modelling Club)
For further details (including abstracts) and *registration* see
https://fam.tuwien.ac.at/vr/
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Veranstaltungsreihe "Actuarial Modelling Club"
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We., 12.06.2019, 17:00, lecture hall 5
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 2nd floor, green area
Jan-Philip Gamp, Ehsan Ayatollahi (Milliman, DE)
"IFRS17 - unterschiedliche Bewertungsansätze
in der Lebensversicherung"
(Actuarial Modelling Club)
For further details (including abstracts) and *registration* see
https://fam.tuwien.ac.at/vr/
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Vienna Graduate School of Finance (VGSF)
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Th., 13.6.2019, 11:00-12:30, room D3.0.233
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor
Dimitri Vayanos (London School of Economics)
http://www.lse.ac.uk/Finance/People/Faculty/Vayanos
"Asset Management Contracts and Equilibrium Prices"
(Finance Research Seminar)
For further details (including abstracts) see
http://www.vgsf.ac.at/events/finance-research-seminar/
To find the room on the WU Campus search for "D3.0.233" on:
http://gis.wu.ac.at/?roomShow=D3.0.233
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Announcement of a Habilitation Talk at TU Wien
------------------------------------------------------------------------
Tu., 18.06.2019, 09:30, seminar room DA gelb 05a
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, yellow area, 5th floor
Julia Eisenberg (TU Wien, Univ. Liverpool)
https://fam.tuwien.ac.at/~jeisenbe/
"A new approach for satisfactory pensions with no guarantees"
(Public Habilitation Talk / Habilitationskolloquium)
For further details (including abstracts) see
http://fam.tuwien.ac.at/contact/temp/Habilkolloquium_Eisenberg.pdf
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Workshop 2 of the Thematic Program "Optimal Transport"
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Mo.-Fr, 03.- 07.05.2109, Boltzmann Lecture Hall, 2nd floor
Uni Wien / ESI, 1090 Wien, Boltzmanngasse 9/2
Workshop 2: Optimal Transport in Analysis and Probability
For further details (including abstracts) see
https://www.esi.ac.at/activities/events/2019/optimal-transport
- - - - - - - - - - - - - - -
To mention one of the talks:
- - - - - - - - - - - - - - -
Mo., 03.05.2109, 15:00-15:45:
Sigrid Källblad (KTH Stockholm)
"Stochastic control of measure-valued martingales
with applications to robust finance"
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Vienna Graduate School of Finance (VGSF)
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Fr., 07.06.2019, 11:00, room D3.0.225
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor
Robert Korajczyk (Northwestern University)
https://www.kellogg.northwestern.edu/faculty/directory/korajczyk_robert.aspx
"Arbitrage Portfolios"
(Finance Research Seminar)
For further details (including abstracts) see
http://www.vgsf.ac.at/events/finance-research-seminar/
To find the room on the WU Campus search for "D3.0.225" on:
http://gis.wu.ac.at/?roomShow=D3.0.225
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Veranstaltungsreihe "Actuarial Modelling Club"
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We., 12.06.2019, 17:00, lecture hall 5
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 2nd floor, green area
Jan-Philip Gamp, Ehsan Ayatollahi (Milliman, DE)
"IFRS17 - unterschiedliche Bewertungsansätze
in der Lebensversicherung"
(Actuarial Modelling Club)
For further details (including abstracts) and *registration* see
https://fam.tuwien.ac.at/vr/
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Veranstaltungsreihe "Actuarial Modelling Club"
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Tu., 24.06.2019, 17:00, lecture hall 6
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 2nd floor, green area
Frank Schiller (Munich Re, DE)
"Moderne Life-Style Produkte in der Lebensversicherung
mit Big Data und Machine Learning"
(Actuarial Modelling Club)
For further details (including abstracts) and *registration* see
https://fam.tuwien.ac.at/vr/
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------------------------------------------------------------------------
Announcement of Public PhD Thesis Defense at University of Vienna
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Friday, 17.05.2019, Besprechungszimmer / meeting room 9th floor
Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1
12:30:
Annemarie Grass (Univ. Vienna)
"Multimarginal Solutions to the Skorokhod Embedding Problem
and the Information Paradox in Robust Mathematical Finance"
(Public PhD Thesis Defense)
13:00:
Manuel Eder (Univ. Vienna)
"A synthetic view on stochastic processes"
(Public PhD Thesis Defense)
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VCMF 2019 - Submissions possible until Saturday, May 18, 2019
------------------------------------------------------------------------
Vienna Congress on Mathematical Finance
& VCMF Educational Workshop
Vienna, September 9-13, 2019
https://fam.tuwien.ac.at/vcmf2019/
The submission deadline for contributed talks & posters
is Saturday, May 18, 2019.
https://fam.tuwien.ac.at/vcmf2019/registration.php
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WU Wien, Institute for Statistics and Mathematics
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Fr., 24.05.2019, 09:00, seminar room D4.4.008
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor
Katia Colaneri (University of Leeds, UK)
https://physicalsciences.leeds.ac.uk/staff/1491/dr-katia-colaneri
"A class of recursive optimal stopping problems
with an application to stock trading"
(Research seminar - Statistics and Mathematics)
For further details (including abstracts) see
https://www.wu.ac.at/en/statmath/research/resseminar/
To find the room on the WU Campus search for "D4.4.008" on:
http://gis.wu.ac.at/?roomShow=D4.4.008
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WU Wien, Institute for Finance, Banking and Insurance
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Mo., 13.5.2019, 12:00, room D4.0.019
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor
Steven Baker (University of Virginia)
https://www.commerce.virginia.edu/faculty/baker
"Asset Prices and Portfolios with Externalities"
(Finance Brown Bag Seminar)
For further details (including abstracts) see
https://www.wu.ac.at/en/finance/research/brown-bag-seminar/
To find the room on the WU Campus search for "D4.0.019" on:
http://gis.wu.ac.at/?roomShow=D4.0.019
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WU Wien, Institute for Finance, Banking and Insurance
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We., 08.05.2019, 11:00, room D4.4.008
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor
Leopold Sögner (IHS)
https://www.ihs.ac.at/de/personen/leopold-soegner/
"Optimal High-Risk Investment"
(Finance Brown Bag Seminar)
For further details (including abstracts) see
https://www.wu.ac.at/en/finance/research/brown-bag-seminar/
To find the room on the WU Campus search for "D4.4.008" on:
http://gis.wu.ac.at/?roomShow=D4.4.008
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VCMF 2019 - Extended Submission Deadline
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2nd Vienna Congress on Mathematical Finance 2019
& VCMF Educational Workshop
(jointly organised by WU Wien, TU Wien, University of Vienna and WPI)
WU Vienna, Mon-Fri, September 9-13, 2019
https://fam.tuwien.ac.at/vcmf2019/
***UPDATE:***
The submission deadline for contributed talks & posters
is extended until Saturday, May 18, 2019.
https://fam.tuwien.ac.at/vcmf2019/registration.php
------------------------------------------------------------------------
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Joint Seminar: TU Wien, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 18.04.2019, 15:45, Boltzmann Lecture Hall, 2nd floor
Uni Wien / ESI, 1090 Wien, Boltzmanngasse 9/2
Josef Teichmann (ETH Zurich, CH)
https://people.math.ethz.ch/~jteichma/
"Machine Learning in Finance"
(Vienna Seminar in Mathematical Finance and Probability)
Please note that time & place is different as usual!
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
This talk is also part of the thematic program "Optimal Transport" - see
below.
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Thematic Program "Optimal Transport"
------------------------------------------------------------------------
Th., 18.04.2019, 13:45-16:45, Boltzmann Lecture Hall, 2nd floor
Uni Wien / ESI, 1090 Wien, Boltzmanngasse 9/2
Eric Carlen (Rutgers Univ.)
"Brascamp Lieb inequalities for fermions
and non-commutative mass transport"
Yvain Bruned (Univ. of Edinburgh)
"Geometric Stochastic Heat Equations"
Josef Teichmann (ETH Zürich)
"Machine Learning in Finance"
Th., 25.04.2019, 15:45-16:45, Boltzmann Lecture Hall, 2nd floor
Uni Wien / ESI, 1090 Wien, Boltzmanngasse 9/2
Mathieu Lewin (CNRS & Univ. Paris-Dauphine)
"Optimal Transport and Density Functional Theory"
May 6-10: Introductory School on Optimal Transport
May 13-17: Workshop 1: Optimal Transport: from Geometry to Numerics
June 3-7: Workshop 2: Optimal Transport in Analysis and Probability
For further details (including abstracts) see
https://www.esi.ac.at/activities/events/2019/optimal-transport
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