------------------------------------------------------------------------
University of Vienna, Faculty of Mathematics
------------------------------------------------------------------------
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
------------------------------------------------------------------------
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
------------------------------------------------------------------------
Pre-announcement of an WPI-event next year
------------------------------------------------------------------------
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
------------------------------------------------------------------------
------------------------------------------------------------------------
University of Vienna, Faculty of Mathematics
------------------------------------------------------------------------
Th, 22.11.2012, 17:00, seminar room D 1.01
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Pietro Siorpaes (University of Vienna)
http://mat.univie.ac.at/~siorpap2/index.html
"Hardy Semi-martingales and L^p integrators"
(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
------------------------------------------------------------------------
Fr, 23.11.2012, 9:15, seminar room of 'Statistics and Mathematics'
1090 Wien, Augasse 2-6, WU Wien, UZA 2, Level 4, 2H415
Andrea Riebler (niversität Zürich)
http://www.biostat.uzh.ch/aboutus/people/riebler.html
"Estimation and extrapolation of time trends in multivariate
registry data using Bayesian age-period-cohort models"
(Research seminar - Statistics and Mathematics)
For further details see
http://www.wu.ac.at/statmath/en/resseminar
------------------------------------------------------------------------
Pre-announcement of an WPI-event next week
------------------------------------------------------------------------
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
------------------------------------------------------------------------
------------------------------------------------------------------------
Announcement of talks organised by FAM @ TU Wien
------------------------------------------------------------------------
Tu, 13.11.2012, 16:30, seminar room 107
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 7th floor, green section
Piet Porkert (FAM @ TU Wien)
http://www.fam.tuwien.ac.at/~porkert/
"Small time central limit theorems
for semimartingales with applications"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/vr/
------------------------------------------------------------------------
University of Vienna, Faculty of Mathematics
------------------------------------------------------------------------
Mo, 12.11.2012, 17:00, seminar room D 1.01
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Nicolas Perkowski (HU Berlin)
http://www2.mathematik.hu-berlin.de/~perkowsk/
"Paraproducts and controlled distribution"
(Seminar on Probability Theory)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS12_prob.html
------------------------------------------------------------------------
WU Wien, Institute for Statistics and Mathematics
------------------------------------------------------------------------
Fr, 16.11.2012, 9:15, seminar room of 'Statistics and Mathematics'
1090 Wien, Augasse 2-6, WU Wien, UZA 2, Level 4, 2H415
Wolfgang Härdle (HU Berlin)
http://www.case.hu-berlin.de/members/persons/haerdle
"Risk Patterns and Correlated Brain Activities.
Multidimensional statistical analysis of fMRI data
with application to risk patterns"
(Research seminar - Statistics and Mathematics)
For further details see
http://www.wu.ac.at/statmath/en/resseminar
------------------------------------------------------------------------
------------------------------------------------------------------------
Announcement of talks organised by FAM @ TU Wien
------------------------------------------------------------------------
Tu, 6.11.2012, 16:30, seminar room 107
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 7th floor, green section
Carole Bernard (University of Waterloo)
http://www.carole.bernard.free.fr/
"Mean-Variance Optimal Portfolios in the Presence
of a Benchmark with Applications to Fraud Detection"
(Lecture Series Financial and Actuarial Mathematics)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/vr/
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University of Vienna, Faculty of Mathematics
------------------------------------------------------------------------
Mo, 5.11.2012, 17:00, seminar room D 1.01
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Paul Mueller (Johannes Kepler University Linz)
http://shrimp.bayou.uni-linz.ac.at/Papers/publ-mueller.html
"A Decomposition for Hardy Martingales"
(Seminar on Probability Theory)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS12_prob.html
------------------------------------------------------------------------
This week we announce only one talk:
------------------------------------------------------------------------
University of Vienna, Faculty of Mathematics
------------------------------------------------------------------------
Mo, 29.10.2012, 14:00-15:00, seminar room S1
1090 Wien, Althanstr. 12, University of Vienna
Johannes Muhle-Karbe (ETH Zurich)
http://www.math.ethz.ch/~jmuhleka/
"Optimal Investment and Consumption with Small Transaction Costs"
(Seminar on Probability Theory)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS12_prob.html
------------------------------------------------------------------------
To Whom it May Concern,
this time you will first find information about the new lecture "Hedging
in New Financial Markets" starting on Thursday, October 18th, and
then/below you find - as usual - a few interesting talks.
With best regards, Sandra
------------------------------------------------------------------------
New lecture at Vienna University of Technology
------------------------------------------------------------------------
Thursdays, starting on 18.10.2012 (planned end: 24.01.2013),
15:00 - (about) 17:00, seminar room 107,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Jenny Sexton (FAM @ TU Wien):
"Hedging in New Financial Markets"
Homepage of the lecture:
https://tiss.tuwien.ac.at/course/courseDetails.xhtml?locale=en&courseNr=105…
Abstract:
In recent years a wide range of new derivatives have emerged to manage
and transfer risk resulting from industries not classically active in
financial markets. The course is an introduction to new markets inc:
electricity, weather and carbon credits. The aim of this course is to
provide an overview of the unique economic and mathematical challenges
posed by new markets.
This course is directed towards researchers, PhD-students, master
students as well as practitioners wishing to explore recent progress in
this field.
German abstract:
In den letzten Jahren ist eine Anzahl von Derivaten entstanden, die zum
Risikomanagement und -transfer benutzt werden, das in Industrien
entsteht, die klassisch nicht auf Finanzmärkten aktiv waren.
Insbesondere wird eine Einführung in neue Märkte gegeben, wie etwa
Elektrizität, Wetter, und CO2 Emissionen. Diese Vorlesung bietet einen
Überblick über die einzigartigen Herausforderungen, die in diesen neuen
Märkten entstehen.
Zielpublikum sind ForscherInnen, DoktorandInnen, MasterstudententInnen,
sowie PraktikerInnen, welche sich über die aktuelle Entwicklung in
diesem Gebiet informieren möchten.
Course texts:
Rheinländer, T. & Sexton J. (2011) Hedging Derivatives. World Scientific.
Benth, F.E., Benth, J.S. & Koekebakker, S. (2008) Stochastic modelling
in electricity and related markets. World Scientific.
- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
Overview about all courses by FAM @ TU Wien:
http://www.fam.tuwien.ac.at/lehre/lva/
------------------------------------------------------------------------
Announcement of talks organised by FAM @ TU Wien
------------------------------------------------------------------------
Tu, 16.10.2012, 16:30, lecture hall: Freihaus Hörsaal 3
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow section
Irene Schreiber (LMU Munich)
http://www.fm.mathematik.uni-muenchen.de/personen/phd_postdoc/schreiber/
"Risk-Minimization for Life Insurance Liabilities"
(Lecture Series Financial and Actuarial Mathematics)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/vr/
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Talks at University of Vienna, Faculty of Mathematics
------------------------------------------------------------------------
Mo, 15.10.2012, 17:00, seminar room D 1.01
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Christoph Temmel (Graz University of Technology)
http://www.math.tugraz.at/~temmel/
"Shearer's measure and stochastic domination of
Bernoulli product fields"
(Seminar on Probability Theory)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS12_prob.html
------------------------------------------------------------------------
Th, 18.10.2012, 17:00, seminar room D 1.01
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Nicolas Perkowski (HU Berlin)
http://www2.mathematik.hu-berlin.de/~perkowsk/
"The existence of dominating local martingale measures"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS12.html
------------------------------------------------------------------------
Talks at WU Wien, Institute for Statistics and Mathematics
------------------------------------------------------------------------
Fr, 19.10.2012, 17:00, seminar room of 'Statistics and Mathematics'
1090 Wien, Augasse 2-6, WU Wien, UZA 2, Level 4, 2H415
Ludger Rüschendorf (University of Freiburg)
http://www.stochastik.uni-freiburg.de/~rueschendorf/
"Risk bounds, worst case dependence and optimal claims and contracts"
(Research seminar - Statistics and Mathematics)
For further details see
http://www.wu.ac.at/statmath/en/resseminar
------------------------------------------------------------------------
Additionally to talks of this week (see below) this time I refer to
regular research seminars in Vienna:
- Research Seminar - Statistics and Mathematics,
Institute for Statistics and Mathematics (WU Wien)
http://www.wu.ac.at/statmath/resseminar"
- Finance Research Seminar,
Vienna Graduate School of Finance (VGSF)
http://www.vgsf.ac.at/activities/seminars.htm
- Finance Brown Bag Seminar,
Institute for Finance, Banking and Insurance (WU Wien)
jointly with the Vienna Graduate School of Finance (VGSF)
http://www.wu.ac.at/finance/research/bbs
- Brown Bag Seminar,
Department of Finance (University of Vienna)
http://finance.univie.ac.at/en/research/brown-bag-seminar/
------------------------------------------------------------------------
Talks at University of Vienna
------------------------------------------------------------------------
Mo, 8.10.2012, 17:00, seminar room D 1.01
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Eberhard Mayerhofer (Dublin City University)
http://www.eberhard-mayerhofer.com/
"Wrong Way Risk and Credit Value Adjustments (CVA)"
(Seminar on Probability Theory)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS12_prob.html
------------------------------------------------------------------------
Th, 11.10.2012, 17:00, seminar room D 1.01
1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Martin Huesmann (University of Bonn)
"Optimal transport between random measures"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS12.html
------------------------------------------------------------------------
Enclosed you can find a reminder for the PRisMa Day 2012 (tomorrow)
as well as an announcement of a talk at University of Vienan next week.
Best regards, Sandra Trenovatz
------------------------------------------------------------------------
Event organised by FAM @ TU Wien
------------------------------------------------------------------------
PRisMa 2012: One-Day Workshop on Portfolio Risk Management
Friday, October 5th, 2012, Vienna University of Technology
http://www.fam.tuwien.ac.at/prisma2012/
Participation and 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 (fam(a)fam.tuwien.ac.at)
with your name and university or company.
------------------------------------------------------------------------
Talk at University of Vienna
------------------------------------------------------------------------
Th, 11.10.2012, 17:00, seminar room D 1.01
1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Martin Huesmann (University of Bonn)
"Optimal transport between random measures"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarWS12.html
------------------------------------------------------------------------
------------------------------------------------------------------------
Talks at University of Vienna
------------------------------------------------------------------------
Tu, 18.09.2012, 15:00, seminar room D 1.01
1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Lavinia Ostafe (University of Vienna)
"Asymptotic Arbitrage under Transaction Costs"
(Public PhD Thesis Defense)
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Tu, 18.09.2012, 17:00, seminar room C 2.09
1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor
Luciano Campi (University Paris 13)
https://sites.google.com/site/lucianocampi1/
"Explicit constructions of dynamic Brownian and Bessel bridges"
------------------------------------------------------------------------
We, 19.09.2012, 10:30, seminar room C 2.09
1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor
Bruno Bouchard (Université Paris-Dauphine)
http://www.ceremade.dauphine.fr/~bouchard/bouchard.htm
"Stochastic Target Games and applications in finance"
------------------------------------------------------------------------
We, 19.09.2012, 15:00, seminar room D 1.01
1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Johannes Temme (University of Vienna)
http://www.mat.univie.ac.at/~jtemme/
"Aspects of Taking and Avoiding Risk"
(Public PhD Thesis Defense)
------------------------------------------------------------------------
Event at Wolfgang Pauli Institute
------------------------------------------------------------------------
Three-Day-Conference
+-------------------------------------------
| "Financial Engineering for Energy and Commodity
| Risk Management and hedging of Commodity Derivatives"
+----------------------------------------------------------
September 17-19, 2012 (Monday to Wednesday),
registration starting at: 9:00, talks starting at: 10:00
Wolfgang Pauli Institut / University of Vienna,
1090 Wien, Nordbergstrasse 15, UZA 2, Lecture Hall / Hörsaal 3 (HS3)
Program & Abstracts: NEW!
^^^^^^^^^^^^^^^^^^^^
http://www.math.nyu.edu/~laurence/Wpi/program-conference-2012.pdf
Conference web site:
^^^^^^^^^^^^^^^^^^^^
http://www.wpi.ac.at/theme_view.php?id_theme=86
and/or "Conference II" on:
http://www.math.nyu.edu/~laurence/Wpi/vienna-Energy-bis.htm
------------------------------------------------------------------------
Event at Johannes Kepler University Linz
------------------------------------------------------------------------
1st Austrian Stochastics Days
^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
September 24-25 (Monday to Tuesday), Johannes Kepler University Linz
http://stochastics-mathematics.uibk.ac.at/stochasticsdays/
General information:
The Austrian Stochastics Days are intended to provide scientists
and young researchers working in Stochastics an opportunity to
meet each other and present there results.
Organizing committee:
Evelyn Buckwar (Universität Linz)
Christel Geiss (Universität Innsbruck)
Erika Hausenblas (Montanuniversitaet Leoben)
Registration (deadline: Sept. 13):
To register, send an e-mail to <austrian.stochasticdays(a)gmail.com>.
Talk (deadline: Sept. 13):
If you would like to give a talk please send an abstract in Latex
to <austrian.stochasticdays(a)gmail.com>.
Accommodation (deadline: Sept. 3):
Regarding accommodation, please make your own reservation at
the Sommerhaus http://www.sommerhaus-hotel.at/en/
------------------------------------------------------------------------
Event organised by FAM @ TU Wien
------------------------------------------------------------------------
PRisMa 2012: One-Day Workshop on Portfolio Risk Management
^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
Friday, October 5th, 2012, Vienna University of Technology
http://www.fam.tuwien.ac.at/prisma2012/
Organized by:
PRisMa Lab, http://www.prismalab.at/
Prof. Dr. Uwe Schmock (FAM @ TU Wien)
Sponsored by:
Christian Doppler Research Association
Bank Austria
Austrian Federal Financing Agency (ÖBFA)
COR&FJA
Österreichische Kontrollbank (OeKB)
Participation and 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 (fam(a)fam.tuwien.ac.at)
with your name and university or company.
CPD:
For actuaries, this workshop counts up to 5.5 points for their
continuing professional development. 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.
------------------------------------------------------------------------