FAM-news

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1057 discussions

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ University of Vienna, Dept. of Statistics and Decision Support Systems ------------------------------------------------------------------------ Mo., 08.06.2015, 17:00-18:00, ISOR-meeting room (6.511) Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 6th floor Per Mykland (Univ. Chicago) http://galton.uchicago.edu/~mykland/ "Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance" (ISOR Colloquium) For further details (including abstracts) see https://isor.univie.ac.at/colloquia-seminars/ ------------------------------------------------------------------------ Announcement of Public PhD Thesis Defense at TU Wien ------------------------------------------------------------------------ Tu., 09.06.2015, 9:00, seminar room 104 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, green section, 5th floor Jonas Hirz (FAM @ TU Wien) "Advanced Conditional Risk Measurement and Risk Aggregation with Applications to Credit and Life Insurance" (Public PhD Thesis Defense) For further details (including abstracts) see https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ FAM @ TU Wien: Lecture Series in Financial and Actuarial Mathematics ------------------------------------------------------------------------ Tu., 09.06.2015, 16:30, seminar room 107, TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Pavel V. Shevchenko (CSIRO Australia) http://www.risk.net/static/pavel-shevchenko "Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit and capital protection options via stochastic control optimization" (Vortragsreihe in Finanz- und Versicherungsmathematik) For further details (including abstracts) see https://fam.tuwien.ac.at/vr/ ------------------------------------------------------------------------ Book Launch & Workshop "Quantitative Risk Management", 10.6.2015, 15.30 ------------------------------------------------------------------------ We., 10.06.2015, 15:30-18:30, WU, Executive Academy, Foyer 1020, Welthandelsplatz 1, WU Campus, building EA, ground floor Alexander J. McNeil (Heriot-Watt University, UK) http://www.macs.hw.ac.uk/~mcneil/ "Backtesting Trading Book Models Using Estimates of VaR, Expected Shortfall and Realised p-Values" Paul Embrechts (ETH Zurich, CH) https://people.math.ethz.ch/~embrechts/ "How to Model Operational Risk" Find further details (incl. registration) under: http://www.wu.ac.at/statmath/detail-statmath/news/detail/News/quantitative-… Executive Academy, Foyer: http://gis.wu.ac.at/?roomShow=EA.0.024 ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 11.06.2015, 16:30, seminar room 101C TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section Pierre-Francois Rodriguez (ETH Zurich) https://people.math.ethz.ch/~rpierre/ "On near-critical level set-percolation for the Gaussian free field" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

9 years, 7 months

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Book Launch & Workshop "Quantitative Risk Management", 10.6.2015, 15.30 ------------------------------------------------------------------------ We are happy to announce the completion of the second, fully revised edition of our book "Quantitative Risk Management: Concepts, Techniques and Tools" (Princeton University Press) In order to celebrate this event there will be a workshop and book-launch featuring talks by Alex McNeil and Paul Embrechts, a book presentation and a reception. Moreover, it will be possible to buy the new edition of the book at a reduced rate and to have it signed by the authors. Date and venue: Wednesday, June 10, 2015, 15:30-18:30, WU, Executive Academy, Foyer 1020, Welthandelsplatz 1, WU Campus, building EA, ground floor http://gis.wu.ac.at/?roomShow=EA.0.024 Find further details under: http://www.wu.ac.at/statmath/detail-statmath/news/detail/News/quantitative-… Registration: If you want to attend please send an email to Karin Haupt <karin.haupt(a)wu.ac.at> by June 1, 2015. Participation is free of charge. We are looking forward to welcoming you at the event! Rüdiger Frey, Paul Embrechts and Alex McNeil ------------------------------------------------------------------------

9 years, 8 months

reminder for upcoming seminars and talks

by Sandra Trenovatz

9 years, 8 months

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ University of Vienna, Faculty of Mathematics ------------------------------------------------------------------------ Tu., 12.05.2015, 16:15-17:00, Sky-Lounge Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor R. Tyrrell Rockafellar (Univ. of Washington, Seatle / Univ. of Florida) http://www.math.washington.edu/~rtr/mypage.html "Stochastic Variational Inequalities: Singlestage to Multistage" (Ausserordentliches Mathematisches Kolloquium) 15:45 coffee & cake, Sky-Lounge For further details (including abstracts) see http://plone.mat.univie.ac.at/talks/colloquium/view?set_language=en http://plone.mat.univie.ac.at/events/2015/rockafellar_auserordentlichesmath… ------------------------------------------------------------------------

9 years, 8 months

reminder for upcoming seminars and talks

by Sandra Trenovatz

9 years, 9 months

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ WU Wien, Institute for Finance, Banking and Insurance ------------------------------------------------------------------------ We., 28.04.2015, 12:00, room SR D4.0.019 (EG) WU, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor Maria Chaderina (WU) http://www.wu.ac.at/finance/people/faculty/maria-chaderina/en/ "Covenants, Systemic Risk and Discretion in Credit-Line Contracts: Theory and Evidence." (Finance Brown Bag Seminar) For further details (including abstracts) see http://www.wu.ac.at/finance/research/bbs/summer-term-2015/en/ To find the room on the WU Campus search for "D4.0.019" on: http://gis.wu.ac.at/?roomShow=D4.0.019 ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 30.04.2015, 16:30, seminar room 101C TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section Christophe Profeta (Université d'Evry Val d'Essonne, FR) http://www.maths.univ-evry.fr/pages_perso/cprofeta/ "Peacocks and Associated Martingales" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

9 years, 9 months

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Vienna Graduate School of Finance (VGSF) ------------------------------------------------------------------------ Fr., 24.04.2015, 11:00, room D3.0.221 WU, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor Nikolaus Hautsch (University of Vienna) http://homepage.univie.ac.at/nikolaus.hautsch/ "The Hidden Side of the Market Order Exposure and Liquidity Coordination" (Finance Research Seminar) For further details (including abstracts) see http://www.vgsf.ac.at/index.php?id=172 To find the room on the WU Campus search for "D3.0.221" on: http://gis.wu.ac.at/?roomShow=D3.0.221 ======================================================================== ASD 2015 ------------------------------------------------------------------------ 4th Austrian Stochastics Days September 28-29, 2015 Vienna, Austria https://fam.tuwien.ac.at/asd2015/ ======================================================================== VCMF 2016 ------------------------------------------------------------------------ Vienna Congress on Mathematical Finance September 12-14, 2016 VCMF Educational Workshop September 15-16, 2016 Vienna, Austria https://fam.tuwien.ac.at/vcmf2016/ ------------------------------------------------------------------------

9 years, 9 months

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 16.04.2015, 16:30, seminar room 101C TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section David Ruiz Baños (University of Oslo, NO) http://www.mn.uio.no/math/english/people/aca/davidru/ "Construction of higher order differentiable strong solutions of SDEs with discontinuous coefficients driven by fractional Brownian motion" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

9 years, 9 months

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ University of Vienna, Dept. of Statistics and Operations Research ------------------------------------------------------------------------ Mo., 23.03.2015, 17:00-18:00, Skylounge Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor Jorge P. Zubelli (IMPA) http://w3.impa.br/~zubelli/ "Project evaluation and Real Option Analysis: A Hedged Monte Carlo Approach" (ISOR Colloquium) For further details (including abstracts) see https://isor.univie.ac.at/colloquia-seminars/ ------------------------------------------------------------------------

9 years, 10 months

reminder for upcoming seminars and talks

by Sandra Trenovatz

------------------------------------------------------------------------ FAM @ TU Wien: Lecture Series in Financial and Actuarial Mathematics ------------------------------------------------------------------------ Tu., 17.03.2015, 16:30, lecture hall "GM 4 Knoller Hörsaal" TU Wien, 1060, Getreidemarkt 9, building BD, 2nd floor Jonas Hirz (FAM @ TU Wien) "Ein Modell zur Risikoaggregation in Pensions- und Lebensversicherungsportfolios" (Lecture Series in Financial and Actuarial Mathematics / Vortragsreihe in Finanz- und Versicherungsmathematik) For further details (including abstracts) and registration see https://fam.tuwien.ac.at/vr/ For finding the lecture hall "GM 4 Knoller Hörsaal" see: https://fam.tuwien.ac.at/gif/GM4_Knoller_Hoersaal.pdf ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 19.03.2015, 16:30, seminar room 101C TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section Giacomo Scandolo (University of Florence, IT) https://sites.google.com/site/giacomoscandolo/ "Assessing financial model risk and an application to electricity prices" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Th., 19.03.2015, 17:30 (!), seminar room 101C TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section Jorge P. Zubelli (IMPA, Rio de Janeiro, Brazil) http://w3.impa.br/~zubelli/ "Multiscale Models of Commodities and Derivatives on Futures" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ ------------------------------------------------------------------------ Pre-Announcement for June ------------------------------------------------------------------------ We., 10.06.2015, 15:30-18:30, WU Executive Academy "Quantitative Risk Management Workshop and Book Launch" Talks by Alexander J. McNeil & Paul Embrechts (Titles & abstracts tba.) Presentation by Rüdiger Frey Details & registration: http://www.wu.ac.at/statmath/detail-statmath/news/detail/News/quantitative-… Details of the book: Alexander J. McNeil, Rüdiger Frey and Paul Embrechts "Quantitative Risk Management: Concepts, Techniques, and Tools" _Revised Edition:_ Hardcover, 648 pp. | May 2015 | ISBN: 9780691166278 | eBook | ISBN: 9781400866281 | http://press.princeton.edu/titles/10496.html ------------------------------------------------------------------------

9 years, 10 months

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