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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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reminder for upcoming seminars and talks
by Sandra Trenovatz 26 May '15

26 May '15

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

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

16 May '15

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reminder for upcoming seminars and talks
by Sandra Trenovatz 11 May '15

11 May '15

------------------------------------------------------------------------ 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… ------------------------------------------------------------------------

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