FAM-news

fam-news@fam.tuwien.ac.at

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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

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

30 Apr '18

------------------------------------------------------------------------ Uni Wien, Vortragsreihe "Finanzmathematik und Data Science" ------------------------------------------------------------------------ We., 2.5.2018, 17:45-19:15, lecture hall / Hörsaal 13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Johannes Morgenbesser (OeNB) "Fundamental Review of the Trading Book" For further details see http://www.mat.univie.ac.at/~mfulmek/kobm2018.shtml ------------------------------------------------------------------------ Vienna Graduate School of Finance (VGSF) ------------------------------------------------------------------------ Fr., 4.5.2018, 11:00, room D3.0.225 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor Svetlana Bryzgalova (Stanford University) https://people.stanford.edu/bryzgals/ "The Consumption Risk of Bonds and Stocks" (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 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

------------------------------------------------------------------------ Uni Wien, Vortragsreihe "Finanzmathematik und Data Science" ------------------------------------------------------------------------ We., 11.4.2018, 17:45-19:15, lecture hall / Hörsaal 13 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor David Wimmesberger (Universität Wien) "Mathematische Modelle in der Lebensversicherung" For further details see http://www.mat.univie.ac.at/~mfulmek/kobm2018.shtml ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 12.4.2018, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red area Christoph Kühn (Johann Wolfgang Goethe-Universität, DE) https://www.math.uni-frankfurt.de/~ismi/kuehn/ "How local in time is the no-arbitrage property under capital gains taxes?" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 16 Mar '18

16 Mar '18

------------------------------------------------------------------------ Announcement of a Habilitation Talk at University of Vienna ------------------------------------------------------------------------ We., 21.03.2018, 14:45-15:45, lecture hall HS 04 Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, ground floor Christa Cuchiero (University of Vienna) http://www.mat.univie.ac.at/~cuchiero/ "Infinite dimensional affine and polynomial processes" (Public Habilitation Talk / Habilitationsvortrag) For further details (including abstracts) see https://mathematik.univie.ac.at/fileadmin/user_upload/f_mathematik/Vortraeg… ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 23.03.2018, 09:00, seminar room D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Cosimo-Andrea Munari (University of Zurich) http://www.bf.uzh.ch/cms/en/munari.cosimo-andrea.html "Existence, uniqueness and stability of optimal portfolios of eligible assets" (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 ------------------------------------------------------------------------ Vienna Graduate School of Finance (VGSF) ------------------------------------------------------------------------ Fr., 23.03.2018, 11:00, room D3.0.225 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor Evgeny Lyandres (Boston University) https://www.bu.edu/questrom/profile/evgeny-lyandres/ "Owners’ portfolio diversification and firm investment: Theory and evidence from private and public firms" (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 12 Mar '18

12 Mar '18

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 15.03.2018, 16:30, seminar room DC rot 07, TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red area Matthias Meiners (University of Innsbruck) https://www.uibk.ac.at/mathematik/personal/meiners/ "Convergence of Biggins' martingales at complex parameters" (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., 16.03.2018, 09:00, seminar room D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Jin Ma (University of Southern California, USA) https://dornsife.usc.edu/jin-ma/ "Optimal Dividend and Investment Problems under Sparre Andersen Model" (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 ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 16.03.2018, 10:30, seminar room D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Andrzej Ruszczynski (Rutgers Business School, USA): http://www.rusz.rutgers.edu/ "Risk-Averse Control of Partially Observable Markov Systems" (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 08 Mar '18

08 Mar '18

------------------------------------------------------------------------ PDE Afternoon (former: DK Seminar) at University of Vienna ------------------------------------------------------------------------ Tu., 6.3.2018, 16:00-16:30, Hörsaal 11, Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor Gudmund Pammer (DK@TU) https://tiss.tuwien.ac.at/person/252924.html "Monotonicity principles in distribution-constrained optimal stopping" (PDE Afternoon) For further details see http://npde.tuwien.ac.at/?open=StatSemSS18 ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 8.3.2018, 16:30, Philipp Grohs (University of Vienna) http://mat.univie.ac.at/~grohs/ "Approximation theory, Numerical Analysis and Deep Learning" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

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