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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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University of Vienna
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We, 29.05.2013, 17:30-18:30, Olga Taussky-Todd Raum (C 2.09)
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor
Beatrice Acciaio (University of Vienna and University of Perugia)
http://beatrice-acciaio.net/
"Optimal Transport, Model-Independent Pricing
and Trajectorial Inequalities"
(Habilitation presentation)
Abstract:
We will illustrate the recently discovered connection between the
problem of pricing financial derivatives in a model-free context and the
Monge-Kantorovich optimal transport problem. Mathematically the crucial
difference is that in the pricing problem the transport plans are
required to be martingales. This link has already proved to be very
fruitful. In particular, we will see how the duality theorem from
optimal transport leads to new robust super-replication results. This
dual viewpoint also provides new insights on classical martingale
inequalities. For instance, we establish a (new) sharp version of the
classical Doob maximal inequality.
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University of Vienna, Faculty of Mathematics
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Th, 23.05.2013, 17:00, seminar room Olga Taussky-Todd C 2.09
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor
Ivar Ekeland (Université Paris-Dauphine)
http://www.ceremade.dauphine.fr/~ekeland/
"A simple model of a commodity market"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarSS13.html
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Announcement of talks organised by FAM @ TU Wien
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Tu, 14.05.2013, 16:30, seminar room 107,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Jan Widenmann (LMU Mathematics Institute, Munich)
http://www.fm.mathematik.uni-muenchen.de/personen/phd_postdoc/widenmann/
"Pricing and hedging insurance claims in hybrid markets"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
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Furthermore we announce talks of other departments @ TU Wien
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Tu, 14.05.2013, 17:15-18:30, seminar room Argentinierstraße,
1040 Wien, Argentinierstraße 8, ground floor (entry Paniglgasse)
Ivar Ekeland (Université Paris-Dauphine)
http://www.ceremade.dauphine.fr/~ekeland/
"Modelling limited liability"
(Seminar on Operations Research and Control Systems)
For further details (including abstracts) see
http://orcos.tuwien.ac.at/events/
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Furthermore we announce talks at University of Vienna
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We, 15.05.2013, 16:00-17:00, Olga Taussky-Todd Raum (C 2.09)
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor
Ivar Ekeland (Université Paris-Dauphine)
http://www.ceremade.dauphine.fr/~ekeland/
"No turning back: growth theory and sustainable development"
(Mathematisches Kolloquium)
For further details (including abstracts) see
http://plone.mat.univie.ac.at/events/2013/mathkoll-ekeland-2013.pdf
15:30 coffee & cake, Common Room (C 2.06)
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Th, 16.05.2013, 17:00, seminar room Olga Taussky-Todd C 2.09
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor
Yiqing Lin (Université de Rennes 1)
http://perso.univ-rennes1.fr/yiqing.lin/
"A new result for second order BSDEs
with quadratic growth and its applications"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarSS13.html
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WPI-event in June - Change of Date !
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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 19-20, 2013
The date has changed since the last announcement via FAM-news!
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.
For further information see:
http://www.wpi.ac.at/event_view.php?id_activity=172
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University of Vienna, Faculty of Mathematics
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Tu, 02.05.2013, 17:00, seminar room Olga Taussky-Todd C 2.09
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor
Luis G. Gorostiza (Cinvestav, Mexico)
http://www.math.cinvestav.mx/gorostiza
"Oscillatory Fractional Brownian Motion and Related Processes"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarSS13.html
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