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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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Announcement of Public PhD Thesis Defense at TU Wien - this Friday!!!
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Fr., 19.04.2013, 17:00, seminar room 104,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 5th floor, green section
Flroian Leisch (TU Wien / ÖNB)
"Stochastic Portfolio Theory
from the Point of View of Risk Management"
(Public PhD Thesis Defense)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
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Furthermore talks of another research group of our department @ TU Wien
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Tu, 23.04.2013, 17:00, HS 14A Günther Feuerstein
1040 Wien, Karlsplatz 13, Hauptgebäude der TU Wien, Stiege III, 3. OG
Hippolyte d´Albis (University Paris 1, Paris School of Economics)
http://www.parisschoolofeconomics.eu/en/d-albis-hippolyte/
"Factors explaining retirement age trends: a quantitative assessment"
(Public Lecture Series "Economic Theory and Policy")
For further details (including abstracts) see
http://www.econ.tuwien.ac.at/events/
HS 14A Günther Feuerstein (map):
http://www.wegweiser.ac.at/tuwien/hoersaal/H14A.html
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Th, 25.04.2013, 15:00, Hörsaal 14
1040 Wien, Karlsplatz 13, Hauptgebäude der TU Wien, Stiege III, 3. OG
Hippolyte d´Albis (University Paris 1, Paris School of Economics)
http://www.parisschoolofeconomics.eu/en/d-albis-hippolyte/
"Stability and indeterminacy of the equilibrium
with continuous time OLG models"
For further details (including abstracts) see
http://www.econ.tuwien.ac.at/events/
Hörsaal 14 (map):
http://www.wegweiser.ac.at/tuwien/hoersaal/H14.html
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Announcement of talks organised by FAM @ TU Wien
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Tu, 16.04.2013, 16:30, seminar room 107,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Nicoletta Gabrielli (ETH Zurich)
http://www.math.ethz.ch/~gabrieln/
"Pathspace representation of Affine processes"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
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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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