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Announcement of talks organised by FAM @ TU Wien
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Tu., 03.12.2013, 16:30, seminar room 107,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Christian Kuehn (Analysis und Scientific Computing, TU Wien)
http://www.asc.tuwien.ac.at/~ckuehn/
"A Tour Through Stochastic Multiscale Dynamics via a Model Problem"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
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Announcement of talks organised by ECON @ TU Wien
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Th., 05.12.2013, 16:00, Besprechungsraum Galerie,
1040 Wien, Argentinierstraße 8 (ground floor)
Julia Eisenberg (FAM @ TU Wien)
http://www.fam.tuwien.ac.at/~jeisenbe/
"Optimal Consumption Under Deterministic Income"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
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FAM @ TU Wien
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Tu., 16.11.2013, 16:30, seminar room 107,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Jonas Hirz (FAM @ TU Wien)
https://tiss.tuwien.ac.at/adressbuch/adressbuch/person/243179
"Introduction to Cointegration with Applications to Finance"
(talk within the seminar about High Frequency Trading)
For further details (literature) see
http://www.fam.tuwien.ac.at/events/
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University of Vienna, Faculty of Mathematics
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Th., 28.11.2013, 17:00, seminar room 11
1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Christian Bayer (TU Berlin)
http://page.math.tu-berlin.de/~bayer/
"t.b.a."
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS13.html
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Announcement of Public PhD Thesis Defense at UniVie
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Fr., 29.11.2013, 11:00-11:30, seminar room 09,
1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Claus Griessler (University of Vienna)
"Model-Independent Finance and Martingale Transport"
(Public PhD Thesis Defense)
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University of Vienna, Faculty of Mathematics
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Tu., 19.11.2013, 17:00, seminar room 12 (mathematics)
1090 Wien, Oskar-Morgenstern-Platz 1
Miryana Grigorova (Université Paris-Diderot - Paris 7)
http://www.proba.jussieu.fr/perso.php?id=194
"Choquet integrals, stochastic dominance
with respect to a capacity and risk measures"
(Seminar on Probability Theory)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS13_prob.html
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Talk at University of Vienna, Faculty of Mathematics,
Guest of FAM @ TU Wien
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Th., 21.11.2013, 17:00, seminar room 11
1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Stefano Pagliarani (University of Padova)
http://www.math.unipd.it/~stefanop/
"PIDE's expansions in option pricing"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS13.html
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WU Wien, Institute for Statistics and Mathematics
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Fr., 22.11.2013
Opening Symposium "Stochastics, Economics, and Architecture"
http://visitstatmath.wu.ac.at/
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TU Wien, Institute of Management Science
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Fr., 22.11.2013 - Sa., 23.11.2013
28th Workshop of the Austrian Working Group on Banking and Finance 2013
http://www.imw.tuwien.ac.at/fc/awg_2013/
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Talk at University of Vienna, Faculty of Mathematics
(Guest of FAM @ TU Wien)
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Th., 14.11.2013, 17:00, seminar room 11
1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Michaela Szölgyenyi (JKU Linz)
http://www.finanz.jku.at/index.php?id=86
"Bayesian dividend maximization and associated SDEs"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS13.html
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University of Vienna, Faculty of Mathematics
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Tu., 05.11.2013, 17:00, seminar room 12 (mathematics)
1090 Wien, Oskar-Morgenstern-Platz 1
Wolfgang Woess (TU Graz)
http://www.math.tugraz.at/~woess/
"Stochastic dynamical systems with weak contractivity properties"
(Seminar on Probability Theory)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS13_prob.html
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FAM @ TU Wien
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Tu., 29.10.2013, 16:30, seminar room 107,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
First talk within the Seminar about "High Frequency Trading"
speaker: Lukas Fabrykowski (TU Wien)
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We., 30.10.2013, 12:00-13:00, lecture hall FH 3
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow section
Peter Friz (TU Berlin)
http://page.math.tu-berlin.de/~friz/
"On the probability density function of baskets"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
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University of Vienna, Faculty of Mathematics
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Th., 31.10.2013, 17:00, seminar room 11
1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Nicolas Perkowski (HU Berlin)
http://www2.mathematik.hu-berlin.de/~perkowsk/
"Pathwise integration in model free finance"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS13.html
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University of Vienna, Faculty of Mathematics
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Th., 17.10.2013, 17:00, seminar room 11
1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Yiqing Lin (University of Vienna)
http://plone.mat.univie.ac.at/people/details?memberid=1355
"Discussion on some recent work of robust superhedging"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS13.html
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WU Wien, Institute for Statistics and Mathematics
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The Institute for Statistics and Mathematics is pleased to invite you
to the Opening Symposium "Stochastics, Economics, and Architecture"
at the new WU campus which will take place on Friday, November 22, 2013.
During the symposium, a special session is held in the afternoon in
honour of Helmut Strasser on the occasion of his 65th birthday, with
Arnold Janssen (Heinrich-Heine-Universität Düsseldorf), Ludger
Rüschendorf (Albert-Ludwigs-Universität Freiburg), and Hartmut
Milbrodt (Universität Rostock) as invited speakers.
Additional invited speakers at the symposium are Hans Föllmer
(Humboldt-Universität zu Berlin), Robert Kohn (Australian School of
Business, The University of New South Wales), and Steve Scott (Google
Inc.).
Please visit our website for a detailed program:
http://visitstatmath.wu.ac.at/
The social program includes an architectural walk (a guided tour on
the new campus), a lunch buffet, and a reception in the evening.
Participation is free, but to facilitate the planning of this event,
we kindly request on-line registration prior to November 1, 2013 at
http://visitstatmath.wu.ac.at/registration.php
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University of Vienna, Faculty of Mathematics
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Th., 10.10.2013, 17:00, seminar room 11
1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Sergio Pulido (Swiss Finance Institute @ EPFL, CH)
https://sites.google.com/site/sergiopulidonino/
"Quadratic BSDEs arising from a price impact model
with exponential utility"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS13.html
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FAM @ TU Wien
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This winter term the Tuesday's seminar of FAM will deal with:
High Frequency Trading.
Original works to the themes microstructure, volatility and limit order
book will be discussed. You can find references here:
http://fam.tuwien.ac.at/contact/temp/SE_High_Frequency_Trading_1.pdf
The seminar is addressed to final-year Master or a PhD students as well
as for researchers.
Persons who want to attend should write a short email to
Thorsten Rheinlaender <rheinlan(a)fam.tuwien.ac.at>.
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University of Vienna, Faculty of Mathematics
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Th., 03.10.2013, 17:00, seminar room 12 (mathematics)
1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Miklós Rásonyi (University of Edinburgh, UK)
http://www.maths.ed.ac.uk/people/show?person=207
"Superhedging under superlinear liquidity costs"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS13.html
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Other departments @ TU Wien
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Tu., 08.10.2013, 17:00, lecture hall HS 15
1040 Wien, Karlsplatz 13, Hauptgebäude der TU Wien, Stiege III, 3. OG
Dr. Andreas Chai (Griffith Univ. Brisbane, Australia)
http://www.griffith.edu.au/business-government/griffith-business-school/dep…
"What is the Future of Consumption?"
(Public Lecture Series Economic Theory and Policy)
For further details (including abstracts) see
http://www.econ.tuwien.ac.at/events/
Lecture hall HS 15 (map):
http://www.wegweiser.ac.at/tuwien/hoersaal/H15.html
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==========================================================
PRisMa 2013: One-Day Workshop on Portfolio Risk Management
==========================================================
WEB PAGE: <http://www.fam.tuwien.ac.at/prisma2013/>
DATE/TIME:
Friday, September 27th, 2013,
9:20 - 16:30 plus bread & wine afterwards
ORGANIZED BY:
- PRisMa Lab <http://www.prismalab.at/>
SPONSORED BY:
- Christian Doppler Research Association
- Bank Austria
- Austrian Federal Financing Agency (ÖBFA)
- COR&FJA
- Österreichische Kontrollbank (OeKB)
LOCATION:
Vienna University of Technology
Karlsplatz 13, 1040 Vienna, Austria
Lecture Hall 6
(Main Building "Hauptgebäude" of the TU Wien, ground floor)
Participation is free.
Everyone is welcome, practitioners are especially encouraged to attend.
PROGRAM:
9:20 - 9:30
Prof. Dr. Uwe Schmock
Welcome
9:30 - 10:30
Prof. Dr. Andreas Kyprianou
Censored Stable Processes
10:30 - 10:50 Coffee Break
10:50 - 11:30
Dr. Christa Cuchiero
An HJM Approach to Multiple-Curve Modeling
11:30 - 12:00
Sühan Altay, MSc
Yield Curve Scenario Generation with Independent Component Analysis
12:00 - 13:30 Lunch Break
13:30 - 14:15
PD Dr. Stefan Gerhold
Local Volatility Models: Approximation and Regularization
14:15 - 15:00
Jonas Hirz, MSc
Risk Measures: From the Unconditional to the Conditional Case
15:00 - 15:20 Coffee Break
15:20 - 16:00
Dr. Julia Eisenberg
Optimal Consumption Under Deterministic Income
16:00 - 16:30
DI I. Cetin Gülüm
On the Existence of an Equivalent Martingale Measure in the
Dalang-Morton-Willinger Theorem, which Preserves the Dependence Structure
16:30 - 18:00 Bread and Wine
ABSTRACTS and LINKS: <http://www.fam.tuwien.ac.at/prisma2013/>
REGISTRATION: Participation is free, and there is no official
registration - nevertheless for administrative reasons we would be happy
if you write a short email to our secretary (see below) with your name
and university or company.
Everyone is welcome, practitioners are especially encouraged to attend.
For actuaries, this workshop counts up to 5 points for their continuing
professional development (morning and afternoon part each 2.5 points).
For a corresponding certificate, please register in advance for the
morning and/or afternoon part of the workshop by sending an email with
your name and postal address to the workshop secretary (see below) and
sign up when you actually attend the workshop.
Organisers:
- Prof. Dr. Uwe Schmock (FAM @ TU Wien)
- Prof. Dr. Thorsten Rheinländer (FAM @ TU Wien)
Workshop Secretary:
Ms. Sandra Trenovatz and Mr. Martin Trenovatz (FAM @ TU Wien)
Phone: +43-1-58801-10511
E-mail: fam(a)fam.tuwien.ac.at