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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
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Announcement of talks organised by FAM @ TU Wien
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Th., 25.07.2013, 15:00, seminar room 107,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Henry Schellhorn (Claremont Graduate University, California)
http://wfs.cgu.edu/schellhh/web/
"A Representation Theorem For Smooth Brownian Martingales"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
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Th., 25.07.2013, 16:30, lecture hall: Freihaus Hörsaal 3
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow section
Eckhard Platen (UTS Business School, Sydney)
http://cfsites1.uts.edu.au/business/staff/finance/details.cfm?StaffId=75
"The Affine Nature of Aggregate Wealth Dynamics"
(Lecture Series Financial and Actuarial Mathematics)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/vr/http://www.fam.tuwien.ac.at/vr/20130725.php
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University of Vienna, Faculty of Mathematics
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Mo., 01.07.2013, 11:30-12:30, seminar room D 1.07
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Christian Bender (Saarland University)
http://www.math.uni-sb.de/ag/bender/benderE.html
"A first-order BSPDE for swing option pricing"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarSS13.html
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Sixth European Summer School in Financial Mathematics
University of Vienna, August 26 to 30, 2013
http://www.mat.univie.ac.at/~finance_hp/summer_school_Vienna_2013/
!!! Registration closes on June 30, 2013 !!!
http://www.mat.univie.ac.at/~finance_hp/summer_school_Vienna_2013/registrat…
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Announcement of talks organised by FAM @ TU Wien
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Tu, 18.06.2013, 16:30, seminar room 107,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Eberhard Mayerhofer (Dublin City University, Ireland)
http://www.eberhard-mayerhofer.com/
"Mean Variance Optimisation with Transaction Costs"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
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WU Wien, Institute for Statistics and Mathematics
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Th, 20.06.2013, 15:00-16:00, seminar room of Statistics and Mathematics
1090 Wien, Augasse 2-6, WU Wien, UZA 2, Level 4, 2H415
Kemal Dinçer Dingeç (Boğaziçi University, Istanbul)
"New Control Variates for Levy Processes and Asian Options"
(Research seminar - Statistics and Mathematics)
For further details see
http://www.wu.ac.at/statmath/en/resseminar
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WU Wien, Institute for Statistics and Mathematics
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Fr, 14.06.2013, 9:15, seminar room of 'Statistics and Mathematics'
1090 Wien, Augasse 2-6, WU Wien, UZA 2, Level 4, 2H415
Alex McNeil (Heriot-Watt University, Edinburgh)
http://www.ma.hw.ac.uk/~mcneil/
"Copula Families that Generalise the Archimedean Class"
(Research seminar - Statistics and Mathematics)
For further details see
http://www.wu.ac.at/statmath/en/resseminar or
http://www.wu.ac.at/statmath/resseminar/talks/talkmcneil2
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WPI - Wolfgang Pauli Institute
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Mini-Course on Model Risk
June 19-20, 2013, Wolfgang Pauli Institut
http://www.wpi.ac.at/event_view.php?id_activity=172
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========================================================================
SORRY, THE FOLLOWING WORKSHOP AT WU WIEN WAS ANNOUNCED BY MISTAKEN.
IT ALREADY TOOK PLACE IN APRIL :-/
Workshop on Current Topics in Mathematical Finance 2013
April 18-19, 2013, Vienna University of Economics and Business
http://mafin2013.wu.ac.at/
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WU Wien, Institute for Statistics and Mathematics
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Th, 14.06.2013, 9:15, seminar room of 'Statistics and Mathematics'
1090 Wien, Augasse 2-6, WU Wien, UZA 2, Level 4, 2H415
Alex McNeil (Heriot-Watt University, Edinburgh)
http://www.ma.hw.ac.uk/~mcneil/
"Copula Families that Generalise the Archimedean Class"
(Research seminar - Statistics and Mathematics)
For further details see
http://www.wu.ac.at/statmath/en/resseminar or
http://www.wu.ac.at/statmath/resseminar/talks/talkmcneil2
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WU Wien - Vienna University of Economics and Business
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Workshop on Current Topics in Mathematical Finance 2013
April 18-19, 2013, Vienna University of Economics and Business
http://mafin2013.wu.ac.at/
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WPI - Wolfgang Pauli Institute
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Mini-Course on Model Risk
June 19-20, 2013, Wolfgang Pauli Institut
http://www.wpi.ac.at/event_view.php?id_activity=172
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Additionally to today's Public PhD Thesis Defense of Karin Hirhager
there are two further talks this week - both on Friday.
Please find details (as far as I could figure out) below.
Best regards, Sandra Trenovatz
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Vienna Graduate School of Finance (VGSF)
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Fr., 07.06.2013, 11:00, Seminar Room 1 (ground floor)
1190 Wien, Heiligenstädter Strasse 46-48, WU Wien, Building H46
Damir Filipovic (École Polytechnique Fédérale de Lausanne)
http://sfi.epfl.ch/filipovic
"t.b.a."
(Finance Research Seminar)
For further details see
http://www.vgsf.ac.at/activities/seminars.htm
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FAM @ TU Wien
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Fr., 07.06.2013, 15:15, Freihaus Hörsaal 2
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow section
Thomas Bruss (Université Libre de Bruxelles, Belgium)
http://homepages.ulb.ac.be/~tbruss/
"Überleben und Lebensstandard, oder Grenzen der Gesellschaft -
Schlussfolgerungen aus einem neuen Verzweigungsprozess-Modell"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
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Announcement of Public PhD Thesis Defense at TU Wien
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We., 05.06.2013, 16:00, conference room of the Deanery,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, green section, 9th floor
(8th floor, then staircase in the green area)
Karin Hirhager (FAM @ TU Wien)
"Adapted Dependence with Applications
to Financial and Actuarial Risk Management"
(Public PhD Thesis Defense)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
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Announcement of Public PhD Thesis Defense at TU Wien
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We., 05.06.2013, 16:00, conference room of the Deanery,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, green section, 9th floor
(8th floor, then staircase in the green area)
Karin Hirhager (FAM @ TU Wien)
"Adapted Dependence with Applications
to Financial and Actuarial Risk Management"
(Public PhD Thesis Defense)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
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