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University of Vienna, Dept. of Statistics and Operations Research
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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/
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FAM @ TU Wien: Lecture Series in Financial and Actuarial Mathematics
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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
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Joint Seminar: TU Vienna, University of Vienna and WU Vienna
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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/
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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/
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Pre-Announcement for June
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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
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TU Wien, 2-stündige Vorlesung: "AKFVM Large Deviations
mit Anwendungen in der Finanz- und Versicherungsmathematik"
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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/
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TU Wien, Announcement of Habilitation Talk
at the Institute of Statistics and Mathematical Methods in Economics
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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/
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TU Wien, Seminar of the joint Doctoral Program "Dissipation and
Dispersion in Nonlinear PDEs" of TU Wien and Univ. Wien
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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
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WU Wien, Institute for Statistics and Mathematics
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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
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TU Wien, Seminar of the joint Doctoral Program "Dissipation and
Dispersion in Nonlinear PDEs" of TU Wien and Univ. Wien
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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
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WU Wien, Institute for Statistics and Mathematics
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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
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TU Wien, Announcement of Public PhD Thesis Defense at the Institute of
Statistics and Mathematical Methods in Economics
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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 PhD Thesis Defense)
For further details (including abstracts) see
http://eos.tuwien.ac.at/
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Joint Seminar: TU Vienna, University of Vienna and WU Vienna
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Th., 26.02.2015, 16:30, seminar room SR09
Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Francesc Font Clos (Centre de Recerca Matemàtica, Spain)
http://www.crm.cat/en/About/People/Researchers/fontclos/
"Analysis of survival times for a thresholded birth-death process"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
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Austrian Stochastics Days 2015
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Dear Colleagues,
We would like to invite you to participate in the
4th Austrian Stochastics Days
https://fam.tuwien.ac.at/asd2015/
which will be held in Vienna from 28th to 29th of September 2015.
Our invited speakers will be
Evelyn Buckwar (Johannes Kepler University Linz)
Jiří Černý (University of Vienna)
This event shall especially give young researchers the opportunity to
present their work and to network with other colleagues from or near
Austria. Therefore, we would also ask you to forward this announcement
to doctoral students and postdocs within your research group and
department!
Every participant is invited to submit a talk. The duration of talks is
expected to be about 20 minutes (plus 5 minutes discussion) but
depending upon the number of submissions this may slightly be adjusted
(+/- 5 minutes).
For submission please send title and abstract (plain text) to
austrian.stochasticdays(a)gmail.com
until August 15, 2015.
In order to have time to talk to each other we also plan to meet for
dinner in the evening of the 28th of September.
For more information please visit:
https://fam.tuwien.ac.at/asd2015/
Best regards and looking forward seeing you,
Friedrich Hubalek and Christian Kühn
(Vienna University of Technology)
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Two-Day Seminar "A Benchmark Approach to Investing, Pricing and Hedging"
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Two-Day Seminar
"A Benchmark Approach to Investing, Pricing and Hedging"
by Prof. Dr. Eckhard Platen
(UTS Business School, University of Technology Sydney, Australia)
Location:
Hotel & Palais Strudlhof, Pasteurgasse 1, 1090 Wien, Austria
<http://www.strudlhof.at/en/hotel-strudlhof/>
Dates:
Wednesday/Thursday, April 29-30, 2015
Official announcement and registration:
<http://www.avoe.at/veranstaltungen_avoe.html>
Organized by:
OeFdV GmbH
Actuarial Association of Austria
Language:
Presentation in English, Dialogs in German
Targeted Audience:
------------------
Actuaries and financial experts within the insurance and pension
industry who are valuing insurance or pension liabilities; asset
managers looking for systematic improvements in long-term portfolio
growth; regulators; derivative experts; those interested in innovative
developments in financial and actuarial mathematics.
Financial Support for Students:
-------------------------------
To promote the actuarial profession, a limited number of full-time
Master (in the final phase of their studies) and PhD students interested
in financial and actuarial mathematics may attend the two-day seminar at
a sponsored, substantially reduced price of 240 Euro (which includes 20%
sales tax, lunch and coffee breaks on both days, but doesn't give a CPD
certificate for actuaries).
Interested students are kindly asked to apply for these special seminar
places by sending their curriculum vitae, proof of their status as
Master or PhD student, the topic or research area of their thesis, and
the name and e-mail address of their academic advisor to
<office(a)fam.tuwien.ac.at>. A committee headed by Prof. U. Schmock (TU
Vienna) will start selecting students by the beginning of March until
the available places are filled.
About the Speaker:
------------------
Professor Eckhard Platen holds the Chair in Quantitative Finance at the
University of Technology Sydney. He is the President of the Bachelier
Finance Society, the professional organization for Mathematical Finance
and Quantitative Finance. He initiated and has been chairing the leading
annual international conference series Quantitative Methods in Finance
for more than 20 years. He has a PhD in Mathematics from the Technical
University in Dresden and obtained his Dr. Sc from the Academy of
Sciences in Berlin, where he was heading the Sector Stochastics at the
Weierstrass Institute. He was the Founding Head of the Centre for
Financial Mathematics at the Institute of Advanced Studies at the
Australian National University in Canberra and is Adjunct Professor of
this university. He is an Honorary Professor at the University of Cape Town.
He is co-author of three books on simulation methods, a fourth book on
his innovative benchmark approach, and a fifth book on functionals of
multidimensional diffusions with applications to finance, all at
Springer-Verlag.
He has authored more than 180 papers in finance, insurance and applied
mathematics and serves on the editorial boards of seven international
journals, including Mathematical Finance and Quantitative Finance, and a
Springer book series.
His main interests are in the extension and application of his benchmark
approach, with focus on the valuation and hedging of pension and
insurance liabilities beyond classical approaches. This is closely
linked to his interest in high-growth long-term asset management. He has
been consulting for market leaders in the insurance and finance industry
for more than 20 years.
About the Seminar:
------------------
We would be delighted if you could join us for a two-day seminar
presented by Professor Eckhard Platen (University of Technology Sydney).
Prof. Platen is one of the world's leading academic and industry
research figures in Quantitative Finance and is in high demand as a
presenter and instructor. His seminar will be based on the book "A
Benchmark Approach to Quantitative Finance" by Eckhard Platen and David
Heath (2006) and a series of more recent journal articles.
This mini-course introduces into the benchmark approach, which provides
a general framework for insurance and financial market modelling. It
allows for a unified treatment of portfolio optimization, liability
valuation and hedging, derivative pricing, financial planning, insurance
and risk management. It extends beyond the classical asset pricing
theories, with significant new possibilities emerging for portfolio
optimization and long-dated liabilities. The Law of the Minimal Price
will be presented for minimal possible valuation. A Diversification
Theorem allows forming an extremely well performing proxy for the
numeraire portfolio, the benchmark. The richer modelling framework of
this approach leads to the construction of parsimonious, realistic
long-term models under the real world probability measure. It will be
explained how the approach generalizes classical portfolio optimization,
the standard risk-neutral approach and the actuarial approach. Hands-on
examples about the valuation and hedging of long-term pension and
insurance liabilities will demonstrate the important fact that a range
of liabilities can be less expensively valued and hedged than suggested
by classical theory.
Topics:
--------
1. Best Performing Portfolio as Benchmark
2. Various Approaches to Asset Pricing
3. Valuation and Hedging of Long-Term Liabilities
4. Parsimonious Long-Term Models
5. Benchmarked Risk Minimization
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Joint Seminar: TU Vienna, University of Vienna and WU Vienna
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Th., 05.02.2015, 16:30, seminar room SR09
Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Patrick Beißner (Bielefeld University, DE)
https://www.sites.google.com/site/beissnerpatrick/
"Microeconomic Theory of Financial Markets
under Uncertain Volatility"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/vs-mfp/
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Further talk at University of Vienna
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Fr., 06.02.2015, 15:00, seminar room SR11
Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Ludovic Tangpi (University of Konstanz, DE)
http://www.math.uni-konstanz.de/~tangpi/
"Representation of convex increasing functionals with countably
additive measures and applications to finance"
For further details (including abstracts) see
http://goo.gl/UnB1KC
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University of Vienna, Dept. of Statistics and Operations Research
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Mo., 26.01.2015, 15:30-16:30, ISOR-meeting room (6.511)
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 6th floor
Vincent Guigues (LIP6)
http://webia.lip6.fr/~guigue/wikihomepage/pmwiki.php
"Hypotheses testing on the optimal values of several risk-neutral or
risk-averse convex stochastic programs and application to hypotheses
testing on several risk measure values."
(ISOR Colloquium)
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
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WU Wien, Institute for Statistics and Mathematics
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Workshop on
Operations Research and Stochastics in Economics and Business
Wednesday, January 21, 2015
09:00–10:00: Birgit Rudloff, Princeton University
"Multivariate risks"
11:00–12:00: Hamed Amini, EPFL Lausanne
"Systemic risk in financial networks"
14:00–15:00: Agatha Murgoci, Copenhagen Business School
"A theory of Markovian time-inconsistent
stochastic control"
Wednesday, January 28, 2015
09:00–10:00: Xiang Yu, University of Michigan
"On the market viability unter proportional
transaction costs"
Location: WU Wien, Building D4, Room D4.4.008
For further details (including abstracts) see
http://goo.gl/zSTgC4
or http://www.wu.ac.at/statmath/resseminar
To find the room on the WU Campus search for "D4.4.008" on:
http://gis.wu.ac.at/?roomShow=D4.4.008
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Joint Seminar: TU Vienna, University of Vienna and WU Vienna
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Th., 22.1.2015, 16:30, seminar room SR09
Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Dan Hackmann (York University, CA)
http://www.danhackmann.com/
"Analytical methods for Lévy processes with applications to finance"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/vs-mfp/
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Joint Seminar: TU Vienna, University of Vienna and WU Vienna
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Th., 15.1.2015, 16:30, seminar room SR09
Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Florian Baumgartner (University of Innsbruck, AT)
http://www.uibk.ac.at/mathematik/personal/baumgartner/
"Representations of infinite dimensional Lévy processes
and subordination"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/vs-mfp/
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Joint Seminar: TU Vienna, University of Vienna and WU Vienna
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Th., 18.12.2014, 16:30, seminar room SR09
Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Christoph Temmel (VU University Amsterdam, NL)
http://www.temmel.me/
"Disagreement percolation for simple point processe"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/vs-mfp/
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University of Vienna, Dept. of Statistics and Operations Research
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Mo., 15.12.2014, 17:00-18:00, Skylounge
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Mathias Staudigl (Universität Bielefeld)
http://www.mwpweb.eu/MathiasStaudigl/
"On Dynamic games with incomplete information:
Relations between discrete and continuous-time "
(ISOR Colloquium)
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
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WU Wien, Institute for Finance, Banking and Insurance
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We., 17.12.2014, 12:00, room SR D4.0.127 (EG)
WU, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor
Prof. Ryan Williams (Eller College of Management)
http://finance.eller.arizona.edu/faculty/rwilliams.asp
"Risk Management and Distress: Hedging with Purchase Obligations"
(Finance Brown Bag Seminar)
For further details (including abstracts) see
http://www.wu.ac.at/finance/research/bbs
To find the room on the WU Campus search for "D4.0.127" on:
http://gis.wu.ac.at/?roomShow=D4.0.127
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