FAM-news

fam-news@fam.tuwien.ac.at

1086 discussions

reminder for upcoming seminars and talks
by Sandra Trenovatz 30 May '18

30 May '18

------------------------------------------------------------------------ Uni Wien, Vortragsreihe "Finanzmathematik und Data Science" ------------------------------------------------------------------------ We., 6.6.2018, 17:45-19:15, lecture hall / Hörsaal 13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Andreas Nemeth (d-fine) "Der Leitzins und die Zinsen auf dem Girokonto" For further details see http://www.mat.univie.ac.at/~mfulmek/kobm2018.shtml ------------------------------------------------------------------------ ÖAW - IST Austria Lecture ------------------------------------------------------------------------ We., 6.6.2018, 18:30-19:30, Festive Hall Austrian Academy of Sciences, 1010 Wien, Dr. Ignaz Seipel-Platz 2 Martin Hairer (Imperial College, UK) https://www.imperial.ac.uk/people/m.hairer "Bridging Scales" Register as soon as possible at https://www.oeaw.ac.at/anmeldung/oeaw-ista-lecture/ For further details (including abstracts) see https://ist.ac.at/index.php?id=2480&event_id=1008 ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 7.6.2018, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red area Lorenzo Mercuri (University of Milan, IT) http://www.unimi.it/chiedove/ENG/schedaPersonaXML.jsp?matricola=17819 "On properties of the Mixed Tempered Stable distribution and its Multivariate Version" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

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VISS 2018 - Machine Learning Methods and Data Analytics in Risk and Insurance
by Sandra Trenovatz 24 May '18

24 May '18

VISS 2018 - Vienna International Summer School "Machine Learning Methods and Data Analytics in Risk and Insurance" =================================================================== DATE: Monday, July 9 - Friday, July 13, 2018 LOCATION: TU Wien (Vienna University of Technology), Karlsplatz 13, 1040 Wien, Austria WEB PAGE: <https://fam.tuwien.ac.at/viss2018/> ORGANIZED BY: FAM @ TU Wien <https://fam.tuwien.ac.at/> SPONSOR(S): Wiener Städtische Versicherung - Vienna Insurance Group (Further sponsors are welcome) MAIN SPEAKERS: Prof. Dr. Gareth W. Peters, Heriot-Watt University, Edinburgh, UK Prof. Dr. Pavel V. Shevchenko, Macquarie University, Sydney, Australia SPECIAL INVITED LECTURES: Prof. Dr. Josef Teichmann, ETH Zurich, Switzerland Prof. Dr. Allan Hanbury, TU Wien, Austria MAIN COURSE: Machine learning and data analytics is an emerging field that is beginning to have a strong influence on the field of actuarial science practice. The onset of big data applications in insurance has driven the profession to explore new ways to understand data and modelling. Unlike in Google and Facebook type technology applications where huge data bases of labelled data are available, in the insurance context we are often considering unsupervised learning methods. This course will address core methodology to tackle unsupervised problems of relevance to insurance applications. SPECIAL INVITED LECTURES: Abstracts will be announced soon. LANGUAGE: English PARTICIPANTS: Practicing actuaries as well as researchers and advanced students with a good general knowledge of probability and statistics. CONTINUING PROFESSIONAL DEVELOPMENT: Actuaries can earn 25-30 CPD points for attendance to this Vienna International Summer School. The number of CPD points will be fixed as soon as the schedule is finalized. EARLY REGISTRATION: For early registrations until June 10, 2018, a discount is allowed. <https://fam.tuwien.ac.at/viss2018/registration.php> For any requests, do not hesitate to write an e-mail to the VISS 2018 secretary: <viss2018(a)fam.tuwien.ac.at>

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reminder for upcoming seminars and talks
by Sandra Trenovatz 22 May '18

22 May '18

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 24.5.2018, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red area Matteo Burzoni (ETH Zürich, CH) https://people.math.ethz.ch/~burzonim/ "Arbitrage, Hedging and all that: lessons learned from the absence of a probability" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ The Thalesians, Vienna ------------------------------------------------------------------------ Mo. 28.5.2018, 18:30-21:00, Hörsaal 4, Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, ground floor Ivan Zhdankin (JPMorgan) "Key Aspects of Machine Learning in Finance" Douglas Vieira (Imperial College London) "Microstructure of Option Prices: Reconciling Small and Long Time Dynamics" (First Thalesian seminar in Vienna) For more information including abstracts visit: https://www.meetup.com/de-DE/thalesians/events/250371951/ The visit of the talks is free, nevertheless a short registration via <richard.warnung(a)thalesians.com> is welcome. ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 11 May '18

11 May '18

------------------------------------------------------------------------ University of Vienna, Dept. of Statistics and Decision Support Systems ------------------------------------------------------------------------ Mo., 14.5.2018, 16:45-17:45, lecture hall HS 7 Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 1st floor Francesco Rinaldi (Università di Padova) http://www.math.unipd.it/~rinaldi/ "First order algorithms for constrained optimization problems in Machine Learning" (ISOR Colloquium) The seminar is preceded by tea and coffee with the speaker in the ISOR meeting room (6.511, 6th floor) at 16.15. For further details (including abstracts) see https://isor.univie.ac.at/isor-colloquium/ ------------------------------------------------------------------------ Uni Wien, Vortragsreihe "Finanzmathematik und Data Science" ------------------------------------------------------------------------ We., 16.5.2018, 17:45-19:15, lecture hall / Hörsaal 13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Peter Schaller (UniCredit Bank Austria) "Stochastische Recovery: Ein Wasserfallmodell mit maximaler Entropie" For further details see http://www.mat.univie.ac.at/~mfulmek/kobm2018.shtml ------------------------------------------------------------------------ Vienna Graduate School of Finance (VGSF) ------------------------------------------------------------------------ Fr., 18.5.2018, 11:00-12:30, room D3.0.225 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor Christian Opp (Wharton Business School) http://finance.wharton.upenn.edu/~opp/ "Over-the-Counter vs. Limit-Order Markets: The Role of Traders’ Expertise" (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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reminder for upcoming seminars and talks
by Sandra Trenovatz 07 May '18

07 May '18

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ We., 9.5.2018, 14:00, seminar room 4 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 1st floor Tahir Choulli (University of Alberta, CA) https://www.math.ualberta.ca/Choulli_T.html "Martingales classification and decomposition for progressively enlarged filtrations with applications to finance and insurance" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Uni Wien, Vortragsreihe "Finanzmathematik und Data Science" ------------------------------------------------------------------------ We., 9.5.2018, 17:45-19:15, lecture hall / Hörsaal 13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Simon Haller (Spängler IQAM Invest) "Quantitative Aktienstrategien und Faktor Investing" For further details see http://www.mat.univie.ac.at/~mfulmek/kobm2018.shtml ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 30 Apr '18

30 Apr '18

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reminder for upcoming seminars and talks
by Sandra Trenovatz 30 Apr '18

30 Apr '18

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reminder for upcoming seminars and talks [and marathons]
by Sandra Trenovatz 20 Apr '18

20 Apr '18

------------------------------------------------------------------------ Vienna City Marathon ------------------------------------------------------------------------ Sunday, 22.4.2018, starting at 9:00 Please keep the finger crossed for the three relay marathon teams of FAM: "speed measure", "random walk" and "expected shortfall". :-) For further details see http://www.vienna-marathon.com/ ------------------------------------------------------------------------ WU Wien, Institute for Finance, Banking and Insurance ------------------------------------------------------------------------ Tu., 24.4.2018, 12:00, room D5.1.003 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D5, 1st floor Giorgia Simion (Ca' Foscari University of Venice, IT) https://sites.google.com/unive.it/giorgiasimion/ "Basel Liquidity Regulation and Credit Risk Market Perception: Evidence from Large European Banks" (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 "D5.1.003" on: http://gis.wu.ac.at/?roomShow=D5.1.003 ------------------------------------------------------------------------ Uni Wien, Vortragsreihe "Finanzmathematik und Data Science" ------------------------------------------------------------------------ We., 25.4.2018, 17:45-19:15, lecture hall / Hörsaal 13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Christopher Summer (BAWAG P.S.K.) "Analytics und Big Data im Marketing einer Bank" For further details see http://www.mat.univie.ac.at/~mfulmek/kobm2018.shtml ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 26.4.2018, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red area Claudio Fontana (Paris Diderot University (Paris VII), FR) https://sites.google.com/site/fontanaclaud/ "The Value of Informational Arbitrage" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 27.4.2018, 09:00, seminar room D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Nicole Bäuerle (Karlsruhe Institute of Technology, DE) http://www.math.kit.edu/stoch/~baeuerle/en "Optimal Control of Partially Observable Piecewise Deterministic Markov Processes" (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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reminder for upcoming seminars and talks
by Sandra Trenovatz 16 Apr '18

16 Apr '18

------------------------------------------------------------------------ University of Vienna, Dept. of Statistics and Decision Support Systems ------------------------------------------------------------------------ Mo., 16.4.2018, 16:45, lecture hall HS 7 Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 1st floor Yarema Okhrin (Universität Augsburg) http://www.wiwi.uni-augsburg.de/bwl/okhrin/team_okhrin/yarema_okhrin/ "Vine-based modelling of (multivariate) realized volatility time series" (ISOR Colloquium) The seminar is preceded by tea and coffee with the speaker in the ISOR meeting room (6.511, 6th floor) at 16.15. For further details (including abstracts) see https://isor.univie.ac.at/isor-colloquium/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ We., 18.4.2018, 12:30, seminar room D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Eric Eisenstat (University of Queensland, Australia) https://economics.uq.edu.au/profile/2138/eric-eisenstat "Efficient Estimation of Structural VARMAs with Stochastic Volatility" (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 ------------------------------------------------------------------------ Uni Wien, Vortragsreihe "Finanzmathematik und Data Science" ------------------------------------------------------------------------ We., 18.4.2018, 17:45-19:15, lecture hall / Hörsaal 13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Ferenc Domes (Universität Wien) http://www.mat.univie.ac.at/~dferi/ "DAGOPT - ein Bindeglied zwischen Wissenschaft und Industrie" For further details see http://www.mat.univie.ac.at/~mfulmek/kobm2018.shtml ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 09 Apr '18

09 Apr '18

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