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Announcement of talks organised by FAM @ TU Wien
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Tu, 09.04.2013, 16:30, seminar room 107,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Johanna Nešlehová (McGill University, Montréal, Canada)
http://www.math.mcgill.ca/neslehova/
"Wie kann man Abhängigkeiten zwischen diskreten
und gemischten Risiken aufdecken?"
(Lecture Series Financial and Actuarial Mathematics)
Tu, 09.04.2013, 17:30, seminar room 107,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Christian Genest (McGill University, Montréal, Canada)
http://www.math.mcgill.ca/cgenest/
"Accounting for extreme-value dependence in multivariate data"
(Lecture Series Financial and Actuarial Mathematics)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/vr/
For actuaries these talks count 2 points for their continuing
professional development (1 point each talk). For a corresponding
certificate, please register in advance.
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University of Vienna, Faculty of Mathematics
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Th, 21.03.2013, 17:00, seminar room Olga Taussky-Todd C 2.09
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor
Pietro Siorpaes (University of Vienna)
http://mat.univie.ac.at/~siorpap2/
"Uniform integrability with respect to a semimartingale"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarSS13.html
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University of Vienna, Faculty of Mathematics
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Th, 14.03.2013, 17:00, seminar room Olga Taussky-Todd C 2.09
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor
Marcel Nutz (Columbia University)
http://www.math.columbia.edu/~mnutz/
"Arbitrage and Duality in Nondominated Discrete-Time Models"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarSS13.html
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========================================================================
Announcement of events
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Workshop on Current Topics in Mathematical Finance 2013,
Vienna, April 18 and 19, 2013.
Confirmed Invited Speakers:
Michal Barski, Universität Leipzig
Dirk Becherer, HU Berlin
Tomas Björk, Stockholm School of Economics
Rama Cont, Imperial College London
Stephane Crepey, Université d'Evry
Martin Larsson EPFL Lausanne
Eva Lütkebohmert, Universität Freiburg
Andrea Macrina, University College London
Michael Monoyios, University of Oxford
Agatha Murgoci, Copenhagen Business School
Walter Schachermayer, Universität Wien
Thorsten Schmidt, TU Chemnitz
Location: WU Vienna University of Economics and Business,
Department of Finance, Accounting and Statistics,
Heiligenstädter Str 46,
A-1190 Vienna
Conference Chair: Prof. Rüdiger Frey
Organisational details:
Participation is free but there is a mandatory registration.
Interested participants have the opportunity to present a poster.
Further information can be found at the workshop homepage:
http://mafin2013.wu.ac.at
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26th International Summer School of the Swiss Association of Actuaries
Topic:
Enterprise Risk Management
Teachers:
Prof. Stéphane Loisel and David N Ingram, CERA, FRM, PRM, FSA, MAAA
Location:
University of Lausanne, Switzerland
Dates:
June 3-7, 2013
Registration is now open on the web site
http://www.saa-iss.ch/
SAA ISS Organizing Director:
François Dufresne
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Sixth European Summer School in Financial Mathematics
August 26 to 30, 2013
University of Vienna (Campus)
Registration is now open.
Important deadlines: For financial support applications should
be submitted by April 15, 2013. Registration closes on June 30, 2013.
All the details are on the web site
http://www.mat.univie.ac.at/~finance_hp/summer_school_Vienna_2013/
The organizing committee:
Beatrice Acciaio, Mathias Beiglböck, Christa Cuchiero, Christoph
Czichowsky, Walter Schachermayer, Pietro Siorpaes
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Workshop on Current Topics in Mathematical Finance 2013
Vienna, April 18-19, 2013.
Confirmed Invited Speakers:
Michal Barski, Universität Leipzig
Dirk Becherer, HU Berlin
Tomas Björk, Stockholm School of Economics
Rama Cont, Imperial College London
Stephane Crepey, Université d'Evry
Martin Larsson EPFL Lausanne
Eva Lütkebohmert, Universität Freiburg
Andrea Macrina, University College London
Michael Monoyios, University of Oxford
Agatha Murgoci, Copenhagen Business School
Walter Schachermayer, Universität Wien
Thorsten Schmidt, TU Chemnitz
Location: WU Vienna University of Economics and Business,
Department of Finance, Accounting and Statistics,
Heiligenstädter Str 46,
A-1190 Vienna
Conference Chair: Prof. Rüdiger Frey
Organisational details:
Participation is free but there is a mandatory registration.
Interested participants have the opportunity to present a poster.
Further information can be found at the workshop homepage:
http://mafin2013.wu.ac.at/
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26th International Summer School of the Swiss Association of Actuaries
Topic:
Enterprise Risk Management
Teachers:
Prof. Stéphane Loisel and David N. Ingram, CERA, FRM, PRM, FSA, MAAA
Location:
University of Lausanne, Switzerland
Dates:
June 3-7, 2013
Registration is now open on the web site:
http://www.saa-iss.ch/
With best regards from
François Dufresne
SAA ISS Organizing Director
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Announcement of talks organised by FAM @ TU Wien
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Tu, 29.01.2013, 15:15, Dissertantenraum
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 8th floor, green section
Stefan Gerhold (FAM @ TU Wien)
http://www.fam.tuwien.ac.at/~sgerhold/
"Some traces of discrete mathematics in mathematical finance"
(Seminar Arbeitsgemeinschaft Diskrete Mathematik)
For further details (including abstracts) see
http://www.dmg.tuwien.ac.at/nfn/agdm.html
or http://www.fam.tuwien.ac.at/events/
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Talks at University of Vienna, Faculty of Mathematics
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Th, 31.01.2013, 14:00, seminar room D 1.01
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Augusto Teixeira (IMPA, Brazil)
http://w3.impa.br/~augusto/
"Soft local times, and decoupling of random interlacements"
(Seminar on Probability Theory)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS12_prob.html
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Talks of other departments / research groups @ TU Wien
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Th, 31.01.2013, 15:00, EI 1 Petritsch Hörsaal
1040 Wien, Gußhausstraße 25, Altes EI, Stiege VIII (Hauptstiege), 2. OG
Pasquale Tridico (Università di "Roma Tre")
http://host.uniroma3.it/docenti/tridico/
"Transforming Central Europe.
Repairing a Ship on the Open Sea in Stormy Weather"
(Public Lecture Series Economic Theory and Policy)
For further details (including abstracts) see
http://www.econ.tuwien.ac.at/events/
EI 1 Petritsch Hörsaal (map):
http://www.wegweiser.ac.at/tuwien/hoersaal/E1.html
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========================================================================
Announcement of conferences
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CSASC 2013
Joint Mathematical Conference of the
- Catalan Mathematical Society
- Slovenian Mathematical Society,
- Austrian Mathematical Society,
- Slovak Mathematical Society, and
- Czech Mathematical Society,
Koper, Slovenia, June 9-13, 2013
http://conferences2.imfm.si/conferenceDisplay.py?confId=14
IME 2013
17th International Congress on Insurance Mathematics and Economics
University of Copenhagen, Denmark, July 1-3, 2013
http://www.math.ku.dk/~rsk789/ime2013/
ÖMG-DMV 2013
18th ÖMG Congress and Annual DMV Meeting
University Innsbruck, September 23-27, 2013
http://math-oemg-dmv-2013.uibk.ac.at/
PRisMa 2013
Extended Portfolio Risk Management Conference 2013
Vienna University of Technology, September 26-28, 2013
(details & webpage following soon)
EAJ 2013
2nd European Actuarial Journal Conference 2014
Vienna University of Technology, September 10-12, 2014
(details & webpage following soon)
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University of Vienna, Faculty of Mathematics
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Mo, 21.01.2013, 17:00, seminar room D 1.01
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Alexander Drewitz (ETH Zurich)
http://www.math.ethz.ch/~drewitza/
"A new rearrangement inequality around infinity
and applications to Lévy processes"
(Seminar on Probability Theory)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS12_prob.html
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We, 23.01.2013, 16:15, Olga Taussky-Todd Raum (C 2.09)
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor
Hans Föllmer (HU Berlin)
http://www2.mathematik.hu-berlin.de/~foellmer/
"Risk and Knightian Uncertainty:
On the Role of Probability in Finance"
(Mathematisches Kolloquium)
Abstract:
Over the last decades advanced probabilistic methods have played an
increasing role in Finance, both in Academia and in the financial
industry. In view of the recent financial crisis it has been asked to
which extent the use of such methods has been part of the problem. We
review some of the arguments and then focus on the foundational issue of
model uncertainty, also called "Knightian uncertainty". This will be
illustrated by the interplay between "historical measures" and
"martingale measures" in the standard framework of Mathematical Finance
and also by the problem of quantifying financial risk.
15:45-16:15 coffee & cake, Common Room (C 2.06)
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Th, 24.01.2013, 17:00, seminar room D 1.01
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Hans Föllmer (HU Berlin)
http://www2.mathematik.hu-berlin.de/~foellmer/
"Shifting martingale measures and the birth of a bubble"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS12.html
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Announcement of a talk organised by FAM @ TU Wien
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Tu, 15.01.2013, 16:30, seminar room 107,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Andreas Kyprianou (University of Bath)
http://www.maths.bath.ac.uk/~ak257/
"Multi-level Wiener-Hopf Monte-Carlo simulation for Lévy processes"
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, 13.12.2012, 17:00, seminar room D 1.01
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Paolo Guasoni (Dublin City University)
http://www.dcu.ie/info/staff_member.php?id_no=3877
"t.b.a."
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS12.html
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WU Wien, Institute for Statistics and Mathematics
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Fr, 14.12.2012, seminar room of 'Statistics and Mathematics'
1090 Wien, Augasse 2-6, WU Wien, UZA 2, Level 4, 2H415
9:15:
Karl Bang Christensen (University of Copenhagen)
http://publichealth.ku.dk/staff/beskrivelse/?id=64551
"Item response theory models for measuring level and
change in latent variables"
(Research seminar - Statistics and Mathematics)
10:30:
Wolfgang Runggaldier (University of Padua)
http://www.math.unipd.it/~runggal/
"Variance reduction by conditioning in a pricing problem where
the underlying is a continuous-time finite state Markov process"
(Research seminar - Statistics and Mathematics)
For further details see
http://www.wu.ac.at/statmath/en/resseminar
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University of Vienna, Faculty of Mathematics
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Mo, 26.11.2012, 17:00, seminar room D 1.01
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Noam Berger (The Hebrew University of Jerusalem)
http://www.ma.huji.ac.il/~berger/
"Random walk and percolation in balanced random environments"
(Seminar on Probability Theory)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS12_prob.html
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Th, 29.11.2012, 17:00, seminar room D 1.01
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Josef Teichmann (ETH Zurich)
http://www.math.ethz.ch/~jteichma/
"Robust calibration of models in finance"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS12.html
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WPI - Wolfgang Pauli Institut
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Pauli Symposium
on
Mathematical Modeling:
new directions and applications
Monday, 26.11.2012, 15:00-18:00, Salon rouge
1090 Wien, Währinger Str. 30, Institut français - Palais Glam-Callas
15:00 Welcome
15:10 Pierre-Louis Lions (Collège de France)
"On Mean Field Games"
15:45 Sylvie Meleard (Ecole Polytechnique)
"Stochastic modeling of Darwinian evolution"
16:20 Ivar Ekeland (Univ. Paris-Dauphine)
"Modeling limited liability"
17:00 Cocktail
For further details see:
http://www.wpi.ac.at/event_view.php?id_activity=174http://www.wpi.ac.at/themedata/Pauli-Symposium-MathModel-26Nov2012
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Pre-announcement of an WPI-event next year
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Mini-Course on Model Risk
^^^^^^^^^^^^^^^^^^^^^^^^^
Speaker: Denis Talay (INRIA)
http://www-sop.inria.fr/members/Denis.Talay/me.html)
Date: June 18-19, 2013
The duration of the mini-course will be 8 hours in sum.
Place: Wolfgang Pauli Institut
1090 Vienna, Norberstrasse 15
Registration:
Registration is free, but is mandatory!
Please register by sending an email to <laurenceWPI(a)gmail.com>
Please send only one email per registree,
i.e. please do not try and register a second person.
Registration will close when all seats are taken.
Abstract:
The objective of these lessons is to show that model risk, particularly
financial model risk, is intrinsic to stochastic modelling, and that its
analysis opens new challenging mathematical and numerical questions. We
will also present recent results which concern strategies which, issued
from the technical analysis, do not rely on a specific mathematical
model and therefore are robust w.r.t model risk. Various theories will
be used, such as statistics of random processes, stochastic control,
Malliavin calculus, backward stochastic differential equations,
viscosity solutions of nonlinear Partial Differential equations. However
the course will be self-contained
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