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reminder for upcoming seminars and talks
by Sandra Trenovatz 11 Jan '16

11 Jan '16

------------------------------------------------------------------------ University of Vienna, Dept. of Statistics and Decision Support Systems ------------------------------------------------------------------------ Mo., 11.01.2016, 16:45-17:45, Sky Lounge Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor Holger Dette (Ruhr University Bochum) http://www.ruhr-uni-bochum.de/mathematik3/dette.html "Quantile spectral analysis" (ISOR Colloquium) For further details (including abstracts) see https://isor.univie.ac.at/colloquia-seminars/ ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 14.01.2016, 16:30, seminar room SR09 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Martin Herdegen (ETH Zurich, Switzerland) https://people.math.ethz.ch/~martherd/ "Equilibrium models with small transaction costs" (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., 15.01.2016, 09:00, room SR D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Omiros Papaspiliopoulos (Universitat Pompeu Fabra) http://www.econ.upf.edu/~omiros/ "Building MCMC " (Research seminar - Statistics and Mathematics) For further details (including abstracts) see http://www.wu.ac.at/statmath/resseminar/en/ 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., 15.01.2016, 11:00, room D3.0.221 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor Ernst-Ludwig von Thadden (University of Mannheim) http://vonthadden.vwl.uni-mannheim.de/ "A Corporate Governance Asset Pricing Model: Theory and Evidence" (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 ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 06 Jan '16

06 Jan '16

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reminder for upcoming seminars and talks
by Sandra Trenovatz 14 Dec '15

14 Dec '15

------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 17.12.2015, 16:30, seminar room SR09 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Kevin Schnelli (Institute of Science and Technology, Klosterneuburg) http://pub.ist.ac.at/~kschnell/ "Local law of addition of random matrices on optimal scale" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Vienna Graduate School of Finance (VGSF) ------------------------------------------------------------------------ Fr., 18.12.2015, 11:00, room D3.0.221 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor Frederico Belo (University of Minnesota, US) http://www.tc.umn.edu/~fbelo/ "External Equity Financing Shocks, Financial Flows, and Asset Prices" (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 ------------------------------------------------------------------------ Announcement of a Habilitation Talk at WU Wien ------------------------------------------------------------------------ Fr., 18.12.2015, 12:00, room D4.0.022 WU Wien, 1020, Welthandelsplatz 1, building D4, ground floor Birgit Rudloff (WU Wien) https://www.wu.ac.at/statmath/faculty-staff/faculty/birgit-rudloff/ "Multivariate Risks" (Habilitation Talk) To find the room on the WU Campus search for "D4.0.022" on: http://gis.wu.ac.at/?roomShow=D4.0.022 Abstract: The talk addresses the question how to measure the risk of a multivariate random variable X, representing e.g. the vector of risky holdings of banks in a system of d banks or a portfolio with random outcomes in d assets. In the past literature, one often applies an aggregation function to the vector X, then a classical scalar risk measure can be used and the problem is reduced to a scalar problem. The aim of the habilitation thesis is to discuss shortcomings of the aggregation approach in various situations, to develop an alternative theory with a economic meaningful interpretation and provide computational methods to implement the alternative. It is based on the idea that for a multivariate input X, the output of a risk measure can (and often should) also be multivariate (e.g. a vector of capital requirements of the d banks). As the vector of initial capitals/portfolios that makes X acceptable will in generally not be unique anymore, this leads naturally to set-valued risk measures. The theory of set-valued functions and their optimization has seen rapid development within the last decade and provides for the first time the mathematical tools that are needed to understand and work with set-valued risk measures. In the thesis, a mathematical theory of dynamic set-valued risk measures is developed. Somewhat surprisingly, many results (e.g. on equivalent characterizations of time consistency, dual representations) known for scalar risk measures have a counterpart in the the set-valued case. We show that the computation of set-valued risk measures is linked to vector optimization and new and improved algorithms to solve linear and convex vector optimization problems are developed that are also of independent interest in the optimization community. Furthermore, we provide a connection between the computation of time consistent dynamic risk measures and a set-valued dynamic programming principle, which also enables the computation of time consistent scalar multivariate risk measures like the scalar super hedging price in markets with transaction costs. ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 07 Dec '15

07 Dec '15

------------------------------------------------------------------------ University of Vienna, Dept. of Statistics and Decision Support Systems ------------------------------------------------------------------------ Mo., 07.12.2015, 16:45-17:45, Sky Lounge University of Vienna, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor André Lucas (VU Amsterdam) http://personal.vu.nl/a.lucas/ "Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models " (ISOR Colloquium) For further details (including abstracts) see https://isor.univie.ac.at/colloquia-seminars/ ------------------------------------------------------------------------ University of Vienna, Dept. of Finance ------------------------------------------------------------------------ We., 09.12.2015, 11:45-13:00, seminar room 6 University of Vienna, 1090 Wien, Oskar-Morgenstern-Platz 1, Marlene Haas (VGSF) www.vgsf.ac.at/students/students/student/detail/haas-marlene/ "Equity Short Sales and Options: Complements or Substitutes?" (Brown Bag Seminar) For further details see http://finance.univie.ac.at/en/research/brown-bag-seminar/ ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 10.12.2015, 16:30, seminar room SR09 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor I. Cetin Gülüm (FAM @ TU Wien) https://tiss.tuwien.ac.at/person/56774 "A Variant of Strassen's Theorem" (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 30 Nov '15

30 Nov '15

------------------------------------------------------------------------ University of Vienna, Dept. of Statistics and Decision Support Systems ------------------------------------------------------------------------ Mo., 30.11.2015, 16:45-17:45, Sky Lounge Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor Birgit Rudloff (WU Vienna) http://www.wu.ac.at/statmath/faculty-staff/faculty/birgit-rudloff/ "Systemic risk and beyond: scalar versus multivariate approaches" (ISOR Colloquium) For further details (including abstracts) see https://isor.univie.ac.at/colloquia-seminars/ ------------------------------------------------------------------------ University of Vienna, Faculty of Mathematics ------------------------------------------------------------------------ We., 02.12.2015, Sky Lounge Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor Jan Maas (IST Austria) http://www.janmaas.org/ 15:00 "Optimal transport and the isoperimetric inequality" (Junior Kolloquium) (15:45 coffee & cake) 16:15 "Optimal transport in discrete probability" (Mathematisches Kolloquium) For further details (including abstracts) see http://mathematik.univie.ac.at/fileadmin/user_upload/f_mathematik/Vortr%C3%… ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 03.12.2015, 16:30, seminar room SR09 Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Kim Weston (Carnegie Mellon University, Pittsburgh, US) http://www.andrew.cmu.edu/user/kimberly/ "When is the dual optimizer a martingale?" (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 23 Nov '15

23 Nov '15

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reminder for upcoming seminars and talks
by Sandra Trenovatz 16 Nov '15

16 Nov '15

------------------------------------------------------------------------ Announcement of a talk organised by the Lions Club Wien Ambassador ------------------------------------------------------------------------ We., 18.11.2015, 19:00, Zeichensaal 3, TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, green section Thorsten Rheinländer (FAM @ TU Wien) https://www.fam.tuwien.ac.at/~rheinlan/ "Flash Crashes an den Börsen und automatisierter Hochfrequenzhandel" For further details (including abstracts) see https://fam.tuwien.ac.at/events/abstracts/20151118_LionsClub_Rheinlaender.p… ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 19.11.2015, 16:30, seminar room SR09 Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Francesco Caravenna (University of Milano-Bicocca, Italy) http://www.matapp.unimib.it/~fcaraven/ "Multi-linear Central Limit Theorems and Scaling Limits of Disordered Systems" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Spängler IQAM Research Center ------------------------------------------------------------------------ Mo., 23.11.2015, 14:00-19:00, Reitersaal OeKB, 1010, Strauchgasse 3, Reitersaal, ground floor Investment Seminar Spängler IQAM Research Center For further details (including abstracts) see http://www.si-researchcenter.at/events/investment-seminar Registration per E-Mail an investment.seminar(a)si-researchcenter.at necessary until 16.11.2015 (today)! ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 09 Nov '15

09 Nov '15

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reminder for upcoming seminars and talks
by Sandra Trenovatz 28 Oct '15

28 Oct '15

Pre-announcement of future events: ------------------------------------------------------------------------ WU Wien, Research Institute for Regulatory Economics ------------------------------------------------------------------------ Tu., 10.11.2015, 08:30-17:30, Clubraum / LC (Library & Learning Center) WU, 1020, Welthandelsplatz 1, WU Campus, building D4, 4thfloor Workshop "Energiemärkte im Wandel - Aktuelle Entwicklungen bei Regelenergie, Market Coupling und X-Faktor" For further details (including programm) see http://www.wu.ac.at/regulation/news/en/ Registration until 02.11.2015! To find the room on the WU Campus search for "LC.2.400" on: http://gis.wu.ac.at/?roomShow=LC.2.400 ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ 4 talks starting on 12.11.2015: https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Announcement of a talk organised by the Lions Club Wien Ambassador ------------------------------------------------------------------------ Tu., 18.11.2015, 16:30, Zeichensaal 3, TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, green section Thorsten Rheinländer (FAM @ TU Wien) https://www.fam.tuwien.ac.at/~rheinlan/ "Flash Crashes an den Börsen und automatisierter Hochfrequenzhandel" For further details (including abstracts) see https://fam.tuwien.ac.at/events/abstracts/20151118_LionsClub_Rheinlaender.p… ------------------------------------------------------------------------ Spängler IQAM Research Center ------------------------------------------------------------------------ Mo., 23.11.2015, 14:00-19:00, Reitersaal OeKB, 1010, Strauchgasse 3, Reitersaal, ground floor Investment Seminar Spängler IQAM Research Center For further details (including abstracts) see http://www.si-researchcenter.at/events/investment-seminar Registration until until 16.11.2015! ------------------------------------------------------------------------ Austrian Working Group on Banking and Finance ------------------------------------------------------------------------ Fr., 27.11.2015 and Sa., 28.11.2015, Graz 30. Workshop AWG ‐ Austrian Working Group on Banking and Finance For further details see: http://www.bwg.at/bwg/bwg_v4.nsf/sysPages/30workshopawg.html/$file/Programm… Registration: http://goo.gl/forms/rwCNin9HK4 ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 17 Oct '15

17 Oct '15

------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 23.10.2015, 09:00, room SR D4.4.008 WU, 1020, Welthandelsplatz 1, WU Campus, building D4, 4thfloor Nicolas Chopin (CREST-ENSAE ParisTech) https://sites.google.com/site/nicolaschopinstatistician/ "Sequential quasi-Monte Carlo and extensions" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see http://www.wu.ac.at/statmath/resseminar/en/ 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., 23.10.2015, 11:00, room D3.0.221 WU, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor Guillaume Vuillemey (HEC) https://sites.google.com/site/guillaumevuillemey/ "Derivatives and interest rate risk management by commercial banks" (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 ------------------------------------------------------------------------

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