FAM-news

fam-news@fam.tuwien.ac.at

1 participants
1069 discussions

Start a nNew thread

reminder for upcoming seminars and talks

by Sandra Trenovatz

7 years, 9 months

reminder for upcoming seminars and talks

by Sandra Trenovatz

7 years, 10 months

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Announcement of Public PhD Thesis Defense at TU Wien ------------------------------------------------------------------------ Mo., 19.6.2017, 12:00, seminar room DA grün 05, TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, green section, 5th floor Arpad Pinter (FAM @ TU Wien) "Small-Time Asymptotics, Moment Explosion and the Moderate Deviations Regime" (Public PhD Thesis Defense) For further details (including abstracts) see https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Tu., 20.6.2017, 16:30, seminar room DA grün 06A TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Alexander Steinicke (University of Graz, Austria) https://www.uibk.ac.at/mathematik/personal/steinicke/steinicke.html "Backward Stochastic Differential Equations and Applications" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 22.6.2017, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section Châu Ngọc Huy (Alfréd Rényi Institute of Mathematics, HU) https://sites.google.com/site/chaungochuyvn/ "On fixed gain recursive estimators with discontinuity in the parameters" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ======================================================================== ÖMG-DMV Congress in Salzburg ------------------------------------------------------------------------ 19th ÖMG Congress oand Annual DMV Meeting Paris-Lodron University of Salzburg September 11-15, 2017 ---- Public lecture by Walter Schachermayer http://oemg-dmv-2017.sbg.ac.at/index.php/program/public-lecture Sections: S13. Probability Theory: (organised by Mathias Beiglböck & Peter Friz) S15. Financial and Actuarial Mathematics (organised by Gerhard Larcher & Jan Kallsen) http://oemg-dmv-2017.sbg.ac.at/index.php/program/sections ---- SUBMISSION possible until June 30, 2017 through the online registration system: https://cats.host/oemg-dmv2017/cats2/cats21/src/login/ (http://oemg-dmv-2017.sbg.ac.at/index.php/registration-abstract-submission) ------------------------------------------------------------------------

7 years, 10 months

reminder for upcoming events

by Sandra Trenovatz

------------------------------------------------------------------------ TU Wien & AVÖ: IME 2017 ------------------------------------------------------------------------ 21st International Congress on Insurance: Mathematics and Economics Vienna, July 3-5, 2017 IME Educational Workshop Vienna, July 6-7, 2017 REGISTRATION DEADLINE: June 20, 2017 For details see: https://fam.tuwien.ac.at/ime2017/ ------------------------------------------------------------------------ Wolfgang Pauli Institute (WPI) ------------------------------------------------------------------------ Second Conference on the Mathematics of Energy Markets Vienna, July 4-6, 2017 Pre-Conference Intensive Course by Prof. Almut Veraart Vienna, July 3, 2017 REGISTRATION DEADLINE: June 15, 2017 For details see: http://www.mn.uio.no/math/english/research/groups/store/events/conferences/… ------------------------------------------------------------------------

7 years, 10 months

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Tu., 6.6.2017, 16:30, seminar room DA grün 06A TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Marcel Nutz (Columbia University, USA) http://www.math.columbia.edu/~mnutz/ "A Mean-Field Competition" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Finance, Banking and Insurance ------------------------------------------------------------------------ Tu., 6.6.2017, 12:00, room SR D4.0.133 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor Philipp Illeditsch (Univ. of Pennsylvania, US) https://fnce.wharton.upenn.edu/profile/pille/ "Disagreement about Inflation and the Yield Curve" (Brown Bag Seminar) For further details (including abstracts) see https://www.wu.ac.at/en/finance/research/brown-bag-seminar/summer-term-2017/ To find the room on the WU Campus search for "D4.0.133" on: http://gis.wu.ac.at/?roomShow=D4.0.133 ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 8.6.2017, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section Alexander Drewitz (Universität zu Köln, DE) http://www.mi.uni-koeln.de/~drewitz/ "Sign clusters of the Gaussian free field percolate on ℤ^d, d ≥ 3" (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., 9.6.2017, 09:00, room SR D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Tobias Fissler (University of Bern) http://www.imsv.unibe.ch/ueber_uns/personen/dr_fissler_tobias/ "Testing the maximal rank of the volatility process for continuous diffusions observed with noise" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see http://www.wu.ac.at/en/statmath/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 -------------------------------------------------------------------------

7 years, 10 months

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ WU Wien, Institute for Finance, Banking and Insurance ------------------------------------------------------------------------ Tu., 30.6.2017, 12:00, seminar room TC.5.04 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor Yuri Tserlukevich (Arizona State University) https://isearch.asu.edu/profile/1451080 "Embracing Risk: Hedging Policy for Firms with Real Options" (Brown Bag Seminar) For further details (including abstracts) see https://www.wu.ac.at/en/finance/research/brown-bag-seminar/summer-term-2017/ To find the room on the WU Campus search for "TC.5.04" on: http://gis.wu.ac.at/?roomShow=TC.5.04 ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 1.6.2017, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section Giovanni Conforti (Université Lille 1, FR) https://sites.google.com/site/giovanniconfort/ "The bridges of the Langevin dynamics" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 1.6.2017, 17:15, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section Daniel Lacker (Brown University, USA) http://www.dam.brown.edu/people/dlacker/ "Mean field games of timing and models for bank runs" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Gastvortrag in Student_innen-Seminar im Bereich Ökonomie ------------------------------------------------------------------------ Fr., 9.6.2017, 12:00 - max. 13:30, Seminarraum DB gelb 09 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 9. Stock, gelber Bereich Alexander Haider (zeb - Managementberatung im Bereich Financial Services, Wien) "Versicherungsvertrieb der Zukunft – ein Simulationsmodell" Abstract: Die Versicherungswelt befindet sich aufgrund mehrerer gleichzeitig wirkender Megatrends unter erheblichem Druck – eine bereits sehr lange andauernde Niedrigzinsphase, FinTech Start-Ups, immer weitreichendere und handlungsspielraumminimierende regulatorische Anforderungen aber auch insbesondere die demografisch Entwicklung in Österreich bedrängen das Versicherungsgeschäft. Eine klare, transparente Quantifizierung dieser Entwicklungen ist daher unabdingbar für Versicherungsunternehmen, um als relevanter Marktteilnehmer bestehen zu können. Das von zeb entwickelte Simulationsmodell ist ein Tool, welches Versicherungsunternehmen hilft, die Auswirkungen dieser Megatrends auf das eigene Geschäftsmodell in die Zukunft zu projizieren. Notwendige Handlungsbedarfe werden dadurch offengelegt und Strategien für eine zukunftsorientierte Entwicklung können abgeleitet werden. Den Kern dieses Simulationsmodells stellt die Projektion der demografischen Entwicklung des Kundenstamms dar: Entlang der demografischen Entwicklung von Deutschland und Österreich wird die demografische Entwicklung des Kundenstamms einer Versicherung simuliert. Die Simulation der Bevölkerung bzw. des Kundenstamms kann durch Variation von Parametern für Migration, Geburtenraten, Kundengewinnund Kundenabgangsquoten adjustiert werden. Darüber hinaus werden zur Modellierung der Geschäftsstruktur auch die Produktnutzung, Prämieneinnahmen sowie Provisionen in die Simulation des Versicherungsvertriebs miteinbezogen. Die Auswertung kann dabei individuell pro Vertriebsweg aber auch aggregiert über das Gesamtunternehmen erfolgen. ------------------------------------------------------------------------

7 years, 11 months

reminder for upcoming seminars and talks

by Sandra Trenovatz

7 years, 11 months

reminder for upcoming seminars and talks

by Sandra Trenovatz

To Whom it May Concern: yesterday another talk was fixed for this week's Vienna Seminar in Mathematical Finance and Probability. I am very sorry for the short notice. Kind regards, Sandra ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 18.05.2017, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section Ting-Kam Leonard Wong (University of Southern California, USA) http://www-bcf.usc.edu/~tingkamw/ "From optimal rebalancing to information geometry" Abstract: What is the optimal frequency to rebalance a portfolio? For the class of functionally generated portfolios in stochastic portfolio theory, we show that the answer is given in terms of a "dualistic" Pythagorean theorem. Along the way, we establish fascinating connections with optimal transport and information geometry - the differential geometry of probability distributions. A key role is played by the concept of L-divergence which generalizes the diversification return (aka excess growth rate) of a portfolio. Our results extend the classical information geometry of Bregman divergence developed by Amari and others. This is joint work with Soumik Pal. Vienna Seminar in Mathematical Finance and Probability https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 19.05.2017, 09:00, room SR D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Johanna Nešlehová & Christian Genest (McGill Univ., Canada) http://www.math.mcgill.ca/neslehova/ http://www.math.mcgill.ca/cgenest/ "Modeling clusters of extremes" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see http://www.wu.ac.at/en/statmath/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------

7 years, 11 months

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ University of Vienna, Dept. of Statistics and Decision Support Systems ------------------------------------------------------------------------ Mo., 15.5.2017, 16.45-17.45, Lecture Hall 7 (Hörsaal 7) Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 1st floor Kim Christensen (Aarhus University, Denmark) http://pure.au.dk/portal/en/persons/id%2851486b6c-9bf2-4468-8be2-0fa1c28be8… "The Drift Burst Hypothesis" (ISOR Colloquium) The seminar is preceded by tea and coffee with the speaker in the ISOR meeting room (6th floor) at 16.15. For further details (including abstracts) see https://isor.univie.ac.at/colloquia-seminars/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 19.05.2017, 09:00, room SR D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Johanna Nešlehová & Christian Genest (McGill Univ., Canada) http://www.math.mcgill.ca/neslehova/ http://www.math.mcgill.ca/cgenest/ "Modeling clusters of extremes" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see http://www.wu.ac.at/en/statmath/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------

7 years, 11 months

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ TU Wien: Colloquium in Statistics and Mathematical Methods in Economics ------------------------------------------------------------------------ Tu., 9.5.2017, 16:30, seminar room DB gelb 04 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, yellow section Bernt Øksendal (University of Oslo) http://www.mn.uio.no/math/english/people/aca/oksendal/ "Optimal insider control of stochastic partial differential equations, with applications to optimal harvesting and optimal insider portfolio under noisy observations" (Colloquium in Statistics and Mathematical Methods in Economics) For further details (including abstracts) see https://swm.tuwien.ac.at/colloquium.php ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 11.5.2017, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section Ales Cerny (Cass Business School, UK) https://www.martingales.sk/ "Convex duality and Orlicz spaces in expected utility maximization" (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., 12.05.2017, 09:00, room SR D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Nikolaus Hautsch (Universität Wien) https://homepage.univie.ac.at/nikolaus.hautsch/ "Volatility, Information Feedback and Market Microstructure Noise: A Tale of Two Regimes" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see http://www.wu.ac.at/en/statmath/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------

7 years, 11 months

Jump to page:

2025

2024

2023

2022

2021

2020

2019

2018

2017

2016

2015

2014

2013

2012

2011

2010

2009

2008

2007

2006

2005

2004

2003

2002

2001

2000

FAM-news