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

09 Oct '15

------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 16.10.2015, 09:00, room SR D4.4.008 WU, 1020, Welthandelsplatz 1, WU Campus, building D4, 4thfloor Andreas Hamel (Freie Universität Bozen, IT) https://www.unibz.it/de/economics/people/StaffDetails.html?personid=33708&h… "From Multi-Utility Representations to Stochastic Orders and Central Regions - A Set Optimization Perspective" (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., 16.10.2015, 11:00, room D3.0.221 WU, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor Mikhail Chernov (UCLA Anderson, USA) http://www.anderson.ucla.edu/faculty/finance/faculty/chernov "Term structures of asset prices and returns" (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 02 Oct '15

02 Oct '15

------------------------------------------------------------------------ University of Vienna, Dept. of Statistics and Decision Support Systems ------------------------------------------------------------------------ Mo., 5.10.2015, 16:45-17:45, Lecture Room 2 Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, ground floor Andrei Kirilenko (Imperial College Business School, UK) "Automated and High Frequency Trading, Latency, and Financial Regulation" (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/colloquia-seminars/ ------------------------------------------------------------------------ University of Vienna, Faculty of Mathematics ------------------------------------------------------------------------ We., 07.10.2015, Sky-Lounge Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor Johannes Muhle-Karbe (ETH Zurich, CH) https://people.math.ethz.ch/~jmuhleka/ 15:00 "Ein mathematisches Modell für Hochfrequenzhandel" (Junior Kolloquium) (15:45 coffee & cake) 16:15 "Equilibrium models with small frictions" (Mathematisches Kolloquium) For further details (including abstracts) see http://mathematik.univie.ac.at/fileadmin/user_upload/f_mathematik/Vortr%C3%… ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 09.10.2015, 09:00, room SR D4.4.008 WU, 1020, Welthandelsplatz 1, WU Campus, building D4, 4thfloor Claudia Klüppelberg (TU Munich, DE) http://www.statistics.ma.tum.de/pers/cklu/ "Modelling, estimation and model assessment of extreme space-time data" (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., 09.10.2015, 11:00, room D3.0.221 WU, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor Hanno Lustig (Stanford Graduate School of Business, USA) https://sites.google.com/site/lustighanno/home "Does Market Incompleteness Help to Explain Exchange Rates?" (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 23 Sep '15

23 Sep '15

To Whom it May Concern: The 4th Austrian Stochstics Days at TU Wien are in _September_, so at the beginning of next week. I am sorry for the wrong date in my last email. You can find the final programm on: https://fam.tuwien.ac.at/asd2015/ASD2015_program.pdf With best regards, Sandra ------------------------------------------------------------------------ TU Wien: ASD 2015 ------------------------------------------------------------------------ Mo. & Tu., 28.09.2015, 11:00 - 29.10.2015, 12:40, Zeichensaal 3 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, green section 4th Austrian Stochastics Days https://fam.tuwien.ac.at/asd2015/ Participation is free. For organisational reasons, we would ask you to register even if you attend only parts of the events or single talks. ------------------------------------------------------------------------ -- Sandra Trenovatz <sandra(a)fam.tuwien.ac.at> phone +43-1-58801-10511, mobile +43-664-5005638 Financial and Actuarial Mathematics (FAM), https://fam.tuwien.ac.at/ Vienna University of Technology Wiedner Hauptstrasse 8/105-1, 1040 Vienna, Austria (DVR: 0005886)

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reminder for upcoming seminars and talks
by Sandra Trenovatz 23 Sep '15

23 Sep '15

------------------------------------------------------------------------ TU Wien: ASD 2015 ------------------------------------------------------------------------ Mo. & Tu., 28.10.2015, 11:00 - 29.10.2015, 12:40, Zeichensaal 3 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, green section 4th Austrian Stochastics Days https://fam.tuwien.ac.at/asd2015/ Participation is free. For organisational reasons, we would ask you to register even if you attend only parts of the events or single talks. ------------------------------------------------------------------------ TU Wien: Veranstaltungsreihe "Actuarial Modelling Club" ------------------------------------------------------------------------ Th., 01.10.2015, 16:30, Freihaus Hörsaal 6 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 2nd floor, green section Mario Kasper (SCOR Global Life SE, Vienna) "Der graue Planet - Einige Gedanken zur Entwicklung der Lebenserwartung" (Actuarial Modelling Club) For further details (including abstracts) and registration see https://fam.tuwien.ac.at/vr/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 02.10.2015, 09:00, room SR D4.4.008 (EG) WU, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor Marius Hofert (University of Waterloo, Canada) https://uwaterloo.ca/statistics-and-actuarial-science/people-profiles/mariu… "Improved Algorithms for Computing Worst Value-at-Risk: Numerical Challenges and the Adaptive Rearrangement Algorithm" (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., 02.10.2015, 11:00, room D3.0.221 WU, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor Ajay Subramanian (Georgia State University) http://robinson.gsu.edu/profile/ajay-subramanian/ "Ownership Structure, Incentives 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 ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 27 Jul '15

27 Jul '15

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

07 Jul '15

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reminder for upcoming seminars and talks
by Sandra Trenovatz 19 Jun '15

19 Jun '15

------------------------------------------------------------------------ University of Vienna, Dept. of Statistics and Decision Support Systems ------------------------------------------------------------------------ Mo., 22.06.2015, 17:00-18:00, Sky Lounge Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor Claudia Czado (TU Munich) http://www.statistics.ma.tum.de/personen/professorinnen/claudia-czado "Systemic stress testing using vine copulas" (ISOR Colloquium) For further details (including abstracts) see https://isor.univie.ac.at/colloquia-seminars/ ------------------------------------------------------------------------ FAM @ TU Wien: Lecture Series in Financial and Actuarial Mathematics ------------------------------------------------------------------------ Tu., 23.06.2015, 16:30, lecture hall: GM 4 Knoller Hörsaal TU Wien, 1060 Wien, Getreidemarkt 9, Bauteil BD Hoftrakt, 2. Stock, Alois Gisler (Departement Mathematik, RiskLab, ETH Zürich) https://people.math.ethz.ch/~agisler/ "Das Chain-Ladder Reserve-Risiko neu betrachtet" (Vortragsreihe in Finanz- und Versicherungsmathematik) For further details (including abstracts) and registration see https://fam.tuwien.ac.at/vr/ GM 4 Knoller Hörsaal http://www.fam.tuwien.ac.at/gif/GM4_Knoller_Hoersaal.pdf ------------------------------------------------------------------------ Veranstaltungsreihe "Actuarial Modelling Club" ------------------------------------------------------------------------ Tu., 25.06.2015, 16:30, lecture hall: Hörsaal 6 TU Wien, 1040, Karlsplatz 13, Hauptgebäude, EG, zwischen Stiege 2 und 7 Thomas Viehmann, Andrea Rauter (B&W Deloitte GmbH) "Negative Zinsen und hohe Volatilität - Herausforderungen für die Kapitalmarktmodellierung" (Actuarial Modelling Club) For further details (including abstracts) and registration see https://fam.tuwien.ac.at/vr/ Hörsaal 6 http://fam.tuwien.ac.at/gif/Hoersaal_6.gif ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 25.06.2015, 16:30, seminar room 101C TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section Umut Cetin (London School of Economics, UK) http://stats.lse.ac.uk/cetin/ "Linear Inverse Problems and Market Microstructure" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 25.06.2015, 17:30, seminar room 101C TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section Antoine Jacquier (Imperial College London, UK) http://www.imperial.ac.uk/people/a.jacquier "Variations on the Heston Theme" (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 ------------------------------------------------------------------------ Th., 26.06.2015, 16:30, room SR D4.0.008 WU, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Evelyn Buckwar (Institut für Stochastik, JKU Linz) https://de.wikipedia.org/wiki/Evelyn_Buckwar "Stochastic numerics and issues in the stability analysis of numerical methods" (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 "D4.0.019" on: http://gis.wu.ac.at/?roomShow=D4.0.008 ------------------------------------------------------------------------

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reminder for upcoming seminars and talks - corrected version
by Sandra Trenovatz 12 Jun '15

12 Jun '15

We appologize for sending a wrong time for the talk on June 19th. The talk of Tilmann Blümmel starts at 12:30. It is corrected below. Best regards, Sandra Trenovatz ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 18.06.2015, 16:30, seminar room 101C TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section Caroline Hillairet (CMAP, École Polytechnique, FR) http://www.cmap.polytechnique.fr/~hillaire/index-en.html "Affine long term yield curves: an application of the Ramsey rule with progressive utility" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 18.06.2015, 17:30, seminar room 101C TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section Rémi Lassalle (Instituto Superior Técnico, University of Lisbon, PT) http://remilassalle.com/ "Some optimal transportation problems related 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., 19.06.2015, 09:00, room SR D4.4.008 WU, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Ralf Wunderlich (Brandenburgische Technische Universität Cottbus) http://www.math.tu-cottbus.de/INSTITUT/lswima/rawu/ "Expert opinions and dynamic portfolio optimization under partial information" (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 ------------------------------------------------------------------------ Announcement of Public PhD Thesis Defense at TU Wien ------------------------------------------------------------------------ Fr., 19.06.2015, 12:30, seminar room 104 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, green section, 5th floor Tilmann Blümmel (FAM @ TU Wien) "Martingalzerlegungssätze und die Struktur von No Arbitrage" (Public PhD Thesis Defense) For further details (including abstracts) see https://fam.tuwien.ac.at/events/ ======================================================================= Additionally we announce two talks of Martin Hairer - Fields Medal 2014 ------------------------------------------------------------------------ Tu., 16.06.2015, 17:00-18:00, Raiffeisen Lecture Hall IST Austria, 3400 Klosterneuburg, Am Campus 1, Central building, 1st fl. Martin Hairer (University of Warwick, UK - Fields Medal 2014) http://www.hairer.org/ "Taming infinities" (IST Special Colloquium) For further details (registration, abstracts) see http://ist.ac.at/events/lectures-talks/the-institute-colloquium/2015/spring… ------------------------------------------------------------------------ Talk of Martin Hairer - Fields Medal 2014 ------------------------------------------------------------------------ We., 17.06.2015, 16:00, Konferenzraum TUtheSky TU Wien, 1060, Getreidemarkt 9, building BA, 11th floor Martin Hairer (University of Warwick, UK - Fields Medal 2014) http://www.hairer.org/ "Modelling a random rubber band" (Distinguished PDE Lecture Series) For further details (including abstracts) see http://viennapde.tuwien.ac.at/events/pdelectures.html ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 12 Jun '15

12 Jun '15

------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 18.06.2015, 16:30, seminar room 101C TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section Caroline Hillairet (CMAP, École Polytechnique, FR) http://www.cmap.polytechnique.fr/~hillaire/index-en.html "Affine long term yield curves: an application of the Ramsey rule with progressive utility" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 18.06.2015, 17:30, seminar room 101C TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section Rémi Lassalle (Instituto Superior Técnico, University of Lisbon, PT) http://remilassalle.com/ "Some optimal transportation problems related 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., 19.06.2015, 09:00, room SR D4.4.008 WU, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Ralf Wunderlich (Brandenburgische Technische Universität Cottbus) http://www.math.tu-cottbus.de/INSTITUT/lswima/rawu/ "Expert opinions and dynamic portfolio optimization under partial information" (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 ------------------------------------------------------------------------ Announcement of Public PhD Thesis Defense at TU Wien ------------------------------------------------------------------------ Fr., 19.06.2015, 19:00, seminar room 104 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, green section, 5th floor Tilmann Blümmel (FAM @ TU Wien) "Martingalzerlegungssätze und die Struktur von No Arbitrage" (Public PhD Thesis Defense) For further details (including abstracts) see https://fam.tuwien.ac.at/events/ ======================================================================= Additionally we announce two talks of Martin Hairer - Fields Medal 2014 ------------------------------------------------------------------------ Tu., 16.06.2015, 17:00-18:00, Raiffeisen Lecture Hall IST Austria, 3400 Klosterneuburg, Am Campus 1, Central building, 1st fl. Martin Hairer (University of Warwick, UK - Fields Medal 2014) http://www.hairer.org/ "Taming infinities" (IST Special Colloquium) For further details (registration, abstracts) see http://ist.ac.at/events/lectures-talks/the-institute-colloquium/2015/spring… ------------------------------------------------------------------------ Talk of Martin Hairer - Fields Medal 2014 ------------------------------------------------------------------------ We., 17.06.2015, 16:00, Konferenzraum TUtheSky TU Wien, 1060, Getreidemarkt 9, building BA, 11th floor Martin Hairer (University of Warwick, UK - Fields Medal 2014) http://www.hairer.org/ "Modelling a random rubber band" (Distinguished PDE Lecture Series) For further details (including abstracts) see http://viennapde.tuwien.ac.at/events/pdelectures.html ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 05 Jun '15

05 Jun '15

------------------------------------------------------------------------ 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/ ------------------------------------------------------------------------

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