------------------------------------------------------------------------
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
------------------------------------------------------------------------
------------------------------------------------------------------------
University of Vienna, Dept. of Statistics and Decision Support Systems
------------------------------------------------------------------------
Mo., 18.5.2015, 17:00, ISOR-meeting room (6.511)
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 6th floor
Florentina Paraschiv (Univ. St. Gallen)
http://www.iorcf.unisg.ch/de/institut/mitarbeiterinnen/florentina+paraschiv
"Optimization of hydro storage systems and indifference pricing
of power contracts"
(ISOR Colloquium)
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
------------------------------------------------------------------------
Veranstaltungsreihe "Actuarial Modelling Club"
------------------------------------------------------------------------
Tu., 19.05.2015, 16:30, lecture hall: Böcklsaal
TU Wien, 1040, Karlsplatz 13, Hauptgebäude der TU Wien, Stiege 1, 1. OG
René Knapp (UNIQA, Vienna)
"Bestandsmanagement in der Lebensversicherung - ein Praxisbericht"
(Actuarial Modelling Club)
For further details (including abstracts) and registration see
https://fam.tuwien.ac.at/vr/
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
Th., 21.05.2015, 16:30, seminar room 101C
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Artem Sapozhnikov (Universität Leipzig, DE)
http://www.math.uni-leipzig.de/~sapozhnikov/
"Large-scale invariance in percolation models
(with strong correlations)"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
------------------------------------------------------------------------
------------------------------------------------------------------------
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=enhttp://plone.mat.univie.ac.at/events/2015/rockafellar_auserordentlichesmath…
------------------------------------------------------------------------
------------------------------------------------------------------------
University of Vienna, Dept. of Statistics and Decision Support Systems
------------------------------------------------------------------------
Mo., 04.05.2015, 16:15 (!) - 17:15, Sky Lounge
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Rama Cont (Imperial College London)
http://www.imperial.ac.uk/people/r.cont
"Fire sales, endogenous risk and price-mediated contagion:
modeling, monitoring and regulation"
(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., 07.05.2015, 16:30, seminar room 101C
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Ulrich Horst (Humboldt-Universität zu Berlin, DE)
http://www2.math.hu-berlin.de/Math-Net/members/horstu.rdf.html
"A Functional Limit Theorem for Limit Order Books
with State Dependent Price Dynamics"
(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
------------------------------------------------------------------------
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/
------------------------------------------------------------------------
------------------------------------------------------------------------
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/
------------------------------------------------------------------------
------------------------------------------------------------------------
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/
------------------------------------------------------------------------
------------------------------------------------------------------------
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/
------------------------------------------------------------------------
------------------------------------------------------------------------
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
------------------------------------------------------------------------
------------------------------------------------------------------------
TU Wien, 2-stündige Vorlesung: "AKFVM Large Deviations
mit Anwendungen in der Finanz- und Versicherungsmathematik"
------------------------------------------------------------------------
Vortragender:
Stefan Gerhold (FAM @ TU Wien)
Ziele der Lehrveranstaltung:
Verständnis der Grundlagen eines klassischen Gebiets der Stochastik,
einschließlich Anwendungen im Risikomanagement und in der Optionsbewertung.
Inhalt der Lehrveranstaltung:
Die Theorie der large deviations (Große Abweichungen) behandelt
"seltene" Ereignisse, die in Abhängigkeit von einem Parameter
exponentiell kleine Wahrscheinlichkeiten haben. Ein klassisches Beispiel
sind Stichprobenmittel, die trotz "großem" Stichprobenumfang "weit" vom
tatsächlichen Erwartungswert entfernt sind. Konkrete Lehrinhalte der
allgemeinen Theorie: Satz von Cramer, Satz von Gärtner-Ellis,
allgemeines LDP (Large Deviation Principle), Lemma von Varadhan,
Grundlagen der Freidlin-Wentzell-Theorie über LDPs für stochastische
Prozesse. Anwendungen: Optionsbewertung mit Monte-Carlo-Simulation
(Importance Sampling), Große Verluste im Kreditrisikomanagement,
Asymptotik von Optionspreisen für kleine Laufzeiten.
Termine & Ort:
jeweils Montag, von 14:00-16:00, Beginn, 2. März 2015,
Seminarraum 107 (TU Wien, Freihaus, 7.OG, grün)
Webseiten zu allen Lehrveranstaltungen der Forschungsgruppe FAM @ TU:
https://fam.tuwien.ac.at/lehre/lva/
------------------------------------------------------------------------
TU Wien, Announcement of Habilitation Talk
at the Institute of Statistics and Mathematical Methods in Economics
------------------------------------------------------------------------
Mo., 02.03.2015, 10:00, conference room of the Deanery,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, green section, 9th floor
(8th floor, then staircase in the green area)
Dr. Ulrike Schneider (EOS @ TU Wien)
"Konfidenzmengen basierend auf dem Lasso-Schätzer: Neue Resultate"
(Public Habilitation Talk / Habilitationskolloquium)
For further details (including abstracts) see
http://eos.tuwien.ac.at/
------------------------------------------------------------------------
TU Wien, Seminar of the joint Doctoral Program "Dissipation and
Dispersion in Nonlinear PDEs" of TU Wien and Univ. Wien
------------------------------------------------------------------------
We., 04.03.2015, 14:00, seminar room 101C,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, green section, 4th floor
Nils Berglund (Université d'Orléans)
http://www.univ-orleans.fr/mapmo/membres/berglund/
"An Eyring-Kramers formula for parabolic SPDEs
with space-time white noise "
(DK Seminar)
For further details see
http://npde.tuwien.ac.at/?open=StatSemSS15
------------------------------------------------------------------------
WU Wien, Institute for Statistics and Mathematics
------------------------------------------------------------------------
Fr., 06.03.2015, 09:00, room SR D4.4.008
WU, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor
Jörn Saß (University of Kaiserslautern):
http://www.mathematik.uni-kl.de/~sass/
"Continuous-time regime switching models, portfolio optimization
and filter-based volatility"
(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
------------------------------------------------------------------------