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reminder for upcoming seminars and talks
by Sandra Trenovatz 09 Oct '17

09 Oct '17

------------------------------------------------------------------------ FAM @ TU Wien: Lecture Series in Financial and Actuarial Mathematics ------------------------------------------------------------------------ Tu., 10.10.2017, 16:30, Böcklsaal TU Wien, 1040, Karlsplatz 13, Hauptgebäude, Stiege 1, 1. Stock Sabrina Mulinacci (University of Bologna, IT) https://www.unibo.it/sitoweb/sabrina.mulinacci/ "Generalizations of the Marshall-Olkin distribution and applications" (Vortragsreihe in Finanz- und Versicherungsmathematik) Due to limited space we ask for registration! For further details (including abstracts) see: https://fam.tuwien.ac.at/vr/ ------------------------------------------------------------------------ TU Wien: Colloquium in Statistics and Mathematical Methods in Economics ------------------------------------------------------------------------ We., 11.10.2017, 16:30, seminar room DB gelb 04 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, yellow area Sabrina Mulinacci (University of Bologna, IT) https://www.unibo.it/sitoweb/sabrina.mulinacci/ "C-convolution based stochastic processes in discrete time and financial prices dynamics" (Colloquium in Statistics and Mathematical Methods in Economics) For further details (including abstracts) see https://swm.tuwien.ac.at/colloquium.php ------------------------------------------------------------------------ TU Wien: Colloquium in Statistics and Mathematical Methods in Economics ------------------------------------------------------------------------ Th., 12.10.2017, 10:00, lecture hall FH Hörsaal 7 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow area Hannu Oja (University of Turku, FI) http://users.utu.fi/hfvoja/ "Independent component analysis using third and fourth cumulants" (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., 12.10.2017, 16:30, seminar room SR11 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Gaoyue Guo (University of Oxford, UK) https://www.maths.ox.ac.uk/people/gaoyue.guo "Numerical computation of martingale optimal transportation" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Recruitment talks for professorhip 'Stochastics' at Univ. of Vienna ------------------------------------------------------------------------ Fr., 13.10.2017 - Di., 19.10.2017, Sky Lounge University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 12th floor Hendrik Weber (Univ. of Warwick) Mykhaylo Shkolnikov (Princeton) Vadim Kaloshin (University of Maryland) Nicolas Perkowski (Humboldt-Universität zu Berlin) For all details including abstracts see https://mathematik.univie.ac.at/fileadmin/user_upload/f_mathematik/Vortraeg… ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 29 Sep '17

29 Sep '17

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 05.10.2017, 16:30, seminar room SR11 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Oleg I. Klesov and Elena Timoshenko (National Technical University of Ukraine) http://matan.kpi.ua/en/people/klesov/ "Generalized renewal processes with applications to stochastic differential equations" (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., 6.10.2017, 09:00, seminar room D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Efstathia Bura (TU Wien) http://astat.tuwien.ac.at/bura/ "Near-equivalence in Forecasting Accuracy of Linear Dimension Reduction Methods in Large Panels of Macro-variables" (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 ======================================================================== A week later ... ======================================================================== FAM @ TU Wien: Lecture Series in Financial and Actuarial Mathematics ------------------------------------------------------------------------ Tu., 10.10.2017, 16:30, Seminarraum DB gelb 03 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 3rd floor, yellow section Sabrina Mulinacci (University of Bologna, IT) https://www.unibo.it/sitoweb/sabrina.mulinacci/ "Generalizations of the Marshall-Olkin distribution and applications" (Vortragsreihe in Finanz- und Versicherungsmathematik) Due to limited space we ask for registration! For further details (including abstracts) see: https://fam.tuwien.ac.at/vr/ ------------------------------------------------------------------------ Erwin Schrödinger Int. Institute for Mathematics and Physics (ESI) ------------------------------------------------------------------------ Mo.-Fr., October 9-13, 2017, ESI, Boltzmanngasse 9, 1090 Wien Workshop 2 - Tractability of high dimensional problems A few of the talks might be interesting for people in the area of financial mathematics, e.g., David Krieg "Optimal Monte Carlo Methods for L2-Approximation" (10.10.2017, 16:00-16:30) Michaela Szölgyenyi "Strong convergence of the Euler-Maruyama scheme for SDEs with discontinuous drift" (11.10.2017, 10:30-11:00) Andreas Neuenkirch "An adaptive Euler scheme for SDEs with discontinuous drift coefficients" (11.10.2017, 11:00-11:30) Arnulf Jentzen "Stochastic approximation algorithms for second-order parabolic partial differential equations" (12.10.2017, 11:30-12:00) Paweł Przybyłowicz "Recent developments in optimal global approximation of solutions of jump-diffusion SDEs" (12.10.2017, 16:00-16:30) For program (all talks) please see: https://esi2017.wordpress.com/participants-workshop-2/ There is no official registration, but due to limited space we suggest to write an email to secr(a)esi.ac.at and tell which talk(s) you will attend. ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 18 Sep '17

18 Sep '17

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reminder for upcoming seminars and talks
by Sandra Trenovatz 17 Jul '17

17 Jul '17

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ We., 19.7.2017, 11:00-12:00, seminar room DB gelb 04 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, yellow section, 4th floor Peter Friz (TU Berlin, DE) http://page.math.tu-berlin.de/~friz/ "General semimartingales and rough paths" [The talk is intended to be a rough paths teaser for non-specialists] (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 25 Jun '17

25 Jun '17

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reminder for upcoming seminars and talks
by Sandra Trenovatz 16 Jun '17

16 Jun '17

------------------------------------------------------------------------ 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) ------------------------------------------------------------------------

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reminder for upcoming events
by Sandra Trenovatz 10 Jun '17

10 Jun '17

------------------------------------------------------------------------ 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/… ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 06 Jun '17

06 Jun '17

------------------------------------------------------------------------ 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 -------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 26 May '17

26 May '17

------------------------------------------------------------------------ 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. ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 19 May '17

19 May '17

------------------------------------------------------------------------ University of Vienna, Dept. of Statistics and Decision Support Systems ------------------------------------------------------------------------ Mo., 22.5.2017, 16.45-17.45, Lecture Hall 7 (HS 7 OMP1, #01.303) Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 1st floor Siem Jan Koopman (VU Amsterdam) http://sjkoopman.net/ "Dynamic Discrete Copula Models for High Frequency Stock Price Changes" (ISOR Colloquium) The seminar is preceded by tea and coffee with the speaker in the ISOR meeting room (6th floor, #6.511) at 16.15. For further details (including abstracts) see https://isor.univie.ac.at/colloquia-seminars/ ------------------------------------------------------------------------

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