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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
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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"
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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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WU Wien, Institute for Statistics and Mathematics
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Fr., 12.4.2019, 09:00, seminar room D4.4.008
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor
Michaela Szölgyenyi (University of Klagenfurt)
https://www.aau.at/en/statistics/team/szoelgyenyi-michaela/
"Convergence order of Euler-type schemes for SDEs
in dependence of the Sobolev regularity of the drift"
(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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Joint Seminar: TU Wien, University of Vienna and WU Vienna
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Th., 4.4.2019, 16:15(!), seminar room DC rot 07
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red area
Hanna Wutte (ETH Zurich)
https://www.math.ethz.ch/the-department/people.html?u=hwutte
"Randomized shallow neural networks
and their use in understanding gradient descent"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
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WU Wien, Institute for Statistics and Mathematics
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Fr., 5.4.2019, 09:00, seminar room D4.4.008
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor
Nadja Klein (School of Business and Economics, HU Berlin)
http://www.wiwi.hu-berlin.de/de/professuren/vwl/statistik/members/personalp…
"Implicit Copulas from Bayesian Regularized Regression Smoothers"
(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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Vienna City Marathon
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Sunday, 7.4.2019, 9:xx - 13:yy, 42.195 km through Vienna,
at the relay category this is: 15.5 + 6.0 + 9.3 + 11.395 km.
FAM starts with 4 relay teams:
FAM@TU speed measure
FAM@TU random walk
FAM@TU expected shortfall
FAM@TU no free lunch
You are welcome to cheer for us :-)
For further details - especially the results afterwards - see
https://www.vienna-marathon.com/
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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/
-----------------------------------------------------
To Whom it May Concern,
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.
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 invited see the conference homepage at
https://fam.tuwien.ac.at/vcmf2019/
Submission and Registration is open:
https://fam.tuwien.ac.at/vcmf2019/registration.php
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
-----------------------------------------------------
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
Gold Sponsor:
Raiffeisen Bank International
(further sponsors are welcome)
Plenary Speakers...
at the Congress:
- Beatrice Acciaio (London School of Economics)
- Fred Espen Benth (University of Oslo)
- Christa Cuchiero (WU Vienna)
- Paul Embrechts (ETH Zurich)
- Antoine Jacquier (Imperial College London)
- Sebastian Jaimungal (University of Toronto)
- Johannes Muhle-Karbe (Imperial College London)
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 (Ecole Polytechnique and Université Paris-Dauphine)
- Damir Filipovic (L'Ecole Polytechnique Fédérale de Lausanne)
- 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)
- Marcel Nutz (Columbia University)
- Luitgard A. M. Veraart (London School of Economics)
- further speakers t.b.a.
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"
Panellists:
- Nikolaus Hautsch
Professor of Finance and Statistics
of University of Vienna
- Jonas Hirz
BELTIOS GmbH (Austria) and
Head of the Data Science Section of
the Actuarial Association of Austria (AVÖ)
- further Panellists t.b.a.
Moderator:
- Josef Teichmann
Full Professor of Financial Mathematics, ETH Zürich
For further details see the program:
https://fam.tuwien.ac.at/vcmf2019/program.php
Important dates and deadlines:
Submission:
The call for contributed talks & posters
is open until April 30, 2019.
Acceptance/rejection letters will be sent
end of May 2019 (June 7, 2019 at the latest).
Registration:
Early registration is possible until June 30, 2019.
Registration is possible until August 15, 2019.
Submission and Registration:
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 Association of Austria.
For any requests, do not hesitate to write an e-mail to the conference &
workshop secretariat: vcmf2019(a)fam.tuwien.ac.at
---
"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)
-----------------------------------------------------
To Whom it May Concern,
additionally to a talk this week we announce a few events of research
and cooperation partners as well as the "Vienna Congress on Mathematical
Finance (VCMF 2019)" co-organised by FAM @ TU Wien.
Best wishes, Sandra (Trenovatz)
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Veranstaltungsreihe "Actuarial Modelling Club"
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Th., 21.3.2019, 17:00, Freihaus Hörsaal 5
TU Wien, 1040, Wiedner Hauptstraße 8-10 , 2. Stock, grüner Bereich
Dr. Gerold Petritsch (EVN)
"Über den aktuariellen Tellerrand hinaus:
Data Science als Erfolgsfaktor in der Energiewirtschaft"
(Actuarial Modelling Club)
For further details (including abstracts) and registration see
https://fam.tuwien.ac.at/vr/
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MathFinance - Frankfurt, April 2019
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MathFinance Conference
Frankfurt, April 8-9, 2019
MathFinance hosts the annual Conference in Frankfurt which is tailored
to the European finance community. Providing cutting-edge research and
brand new practical applications, the conference is intended for
practitioners in the areas of trading, quantitative or derivative
research, risk and asset management, insurance as well as for academics
studying or researching in the field of financial mathematics.
https://www.mathfinance.com/events/mathfinance-conference/
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Optimal Transport - Vienna, May/June 2019
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Thematic Programme "Optimal Transport"
The program brings together researchers working on Optimal Transport in
diverse areas, such as stochastic analysis, mathematical finance,
analysis in singular spaces, geometric inequalities, gradient flows,
optimal random matching, optimal transport for density matrices,
numerical methods, computer vision, and machine learning. The aim of the
proposed ESI programme is to establish interactions, encourage new
collaborations, and identify synergies between these different disciplines.
May 6-10: Introductory School on Optimal Transport
May 13-17: Workshop 1: Optimal Transport: from Geometry to Numerics
June 3-7: Workshop 2: Opt. Transport in Analysis and Probability
http://pub.ist.ac.at/~jmaas/ESI_OT2019/
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AMaMeF - Paris, June 2019
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9th General AMaMeF Conference
Paris, June 11-14, 2019 in Paris
AMaMeF, acronym for Advanced Mathematical Methods in Finance, is a
European network of research promoting the exchange and diffusion of
knowledge in the field of Mathematical Finance. Under the auspices of
AMaMeF numerous conferences, workshops and other scientific activities
have been organized. Among these the General AMaMeF Conferences have
been the biggest, and they are currently organized in a roughly
two-yearly schedule.
https://9amamef.sciencesconf.org
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VCMF 2019 - Vienna, September 2019
------------------------------------------------------------------------
2nd Vienna Congress on Mathematical Finance 2019
& VCMF Educational Workshop
WU Vienna, Mon-Fri, September 9-13, 2019,
jointly organised by WU Wien, TU Wien and University of Vienna
Submission of abstracts as well as registration is already possible:
https://fam.tuwien.ac.at/vcmf2019/
The VCMF 2019 follows the successful previous edition, VCMF 2016, with
240 attendees, 83 talks and 28 poster presentations.
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--------------------------------------------------------------------
Announcement of Public PhD Thesis Defense at TU Wien
--------------------------------------------------------------------
We., 13.3.2019, 14:00, conference room of the Deanery,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, green area, 9th floor
(8th floor, then staircase in the green area)
Christiane Elgert (FAM @ TU Wien)
"Theory of Distribution-Constrained Optimization Problems"
(Public PhD Thesis Defense)
For further details (including abstracts) see
https://fam.tuwien.ac.at/events/
--------------------------------------------------------------------
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PDE Afternoon at TU Wien
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We., 06.03.2019, 15:30 bis 16:00, HS 17 Friedrich,
TU Wien, 1040, Karlsplatz 13, main building, staircase VII, 3rd floor
Gudmund Pammer (TU Wien)
"Stability of the weak transport / continuity
of super-hedging in finance"
(PDE Afternoon)
For further details see
https://www.univie.ac.at/sfb65/#!/public/events/details/?type=1&id=380
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TU ForMath — Forum Mathematik
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Th., 7.3.2019, 18:00 - 19:00, Freihaus Hörsaal 3
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow area
Johannes Morgenbesser (Österreichische Nationalbank)
"Mathematics undercover: Die Mathematik hinter Blockchain und Bitcoin"
For further information see:
https://www.tuformath.at/vortraege/
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Talks at University of Vienna
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Tu., 19.02.2019, 16:30, lecture hall HS13
Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Nicolas Juillet (Université de Strasbourg)
"Excursions and Transport"
Abstract:
Transport on the real line for power of the distance $d^p$ cost is
well-known especially when p>1 where the canonical quantile transport is
the unique optimal transport. For p=1 it is not unique and for p<1 it is
not optimal anymore and there is no uniqueness anymore. However, I will
present a natural transport problem providing a solution that catches in
a canonical way the transport behavior for p<1.
(https://mathematik.univie.ac.at/newsevents/nachrichtenvolldarstellung/news/…)
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