Sehr geehrte Damen und Herren,
im Rahmen der Vortragsreihe "Finanz- und Versicherungsmathematik"
dürfen wir Sie zu folgendem Vortrag einladen:
Dienstag, 25. Jänner 2011, 16:45,
Technische Universität Wien, 1040 Wien, Wiedner Hauptstrasse 8,
Freihaus, Turm B (gelber Bereich), 2. Stock, Freihaus Hörsaal 3:
Prof. Dr. Nicole Bäuerle
Institut für Stochastik, Karlsruher Institut für Technologie (KIT)
"The relaxed Investor with partial Information"
http://www.fam.tuwien.ac.at/vr/20110125.php
Für Aktuare zählt der Besuch eines Vortrags im Rahmen der Vortragsreihe
Finanz- und Versicherungsmathematik als Weiterbildung (ein CPD-Punkt).
Für eine entsprechende Bestätigung melden Sie sich bitte vorab per
E-Mail mit Namen und Postanschrift im Sekretariat bei Herrn Christian
Gawrilowicz (secr(a)fam.tuwien.ac.at) an.
Mit freundlichen Grüßen,
Mag. Christoph Krischanitz
Präsident der Aktuarvereinigung Österreichs
Präsident des Österreichischen Förderungsvereins der Versicherungsmathematik
Dr. Franz Kronsteiner
Präsident der Österreichische Gesellschaft für Versicherungsfachwissen
o.Univ.-Prof. Dr. Walter Schachermayer
Fakultät für Mathematik, Universität Wien
Univ.-Prof. Dr. Uwe Schmock
Finanz- und Versicherungsmathematik (FAM), Technische Universität Wien
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VR Finanz- und Versicherungsmathematik, http://www.fam.tuwien.ac.at/vr/
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Timetable
Fr, 14.01.2011, 10:00
Besprechungsraum, Freihaus, 5th floor, green section
TU Wien, 1040 Wien, Wiedner Hauptstr. 8
Benedikt Blum (FAM @ TU Wien)
http://www.fam.tuwien.ac.at/~benson/
"Superreplication and Arbitrage in Multiasset Models under
Proportional Transaction Costs (Ph.D. thesis presentation)"
Fr, 14.01.2011, 13:15
FH Hörsaal 4, Freihaus, 2nd floor, yellow section
TU Wien, 1040 Wien, Wiedner Hauptstr. 8
Paolo Guasoni (Dublin City University, Ireland)
http://www.guasoni.com/
"Abstract, Classic, and Explicit Turnpikes"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
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Furthermore this time we refer to other events in the future:
Tuesday, 25.01.2011, 16:45,
FH Hörsaal 3, Freihaus, 2nd floor, yellow section
TU Wien, 1040 Wien, Wiedner Hauptstrasse 8,
Prof. Dr. Nicole Bäuerle
Institut für Stochastik, Karlsruher Institut für Technologie (KIT)
"The relaxed Investor with partial Information"
(talk within the lecture series
Financial and Actuarial Mathematics)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/vr/20110125.php
...and an event in german language:
Mittwoch, 19. Jänner 2011, 8:30-16:00, Theresianumgasse HS 1
TU Wien, 1040 Wien, Theresianumgasse 27, 1. Stock
(http://www.wegweiser.ac.at/tuwien/hoersaal/THE1.html)
Dr. Jürgen Hartinger
"Aktu(ari)elle Steuerungs- und Solvabilitäts-Konzepte
in der Lebensversicherung"
Teilnahmegebühr EUR 50, Anmeldung verpflichtend:
http://www.fam.tuwien.ac.at/events/cpd/20110119.php
Timetable
Tu, 14.12.2010, 16:30, seminar room 107
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Antoine Jacquier (TU Berlin)
"Implied volatility asymptotics in affine stochastic
volatility models with jumps"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Furthermore this time we also announce ...
Mo, 13.11.2010, 17:00-18:30, seminar room C 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Hannes Oud: "Optimal Transport and two geometric inequalities"
(in the framework of the "Seminar Finanzmathematik")
Mo, 6.12.2010, 17:00-18:30, seminar room C 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Bezirgen Veliyev (University of Vienna)
"A Note on the Doob-Meyer Decomposition and Special Semimartingales"
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Mo, 29.11.2010, 18:00, lecture hall 18, staircase II, 2nd floor
TU Wien, Main Building, Karlsplatz 13, 1010 Wien
Eva Strasser (former student of TU Wien and CCEFM,
Quantitative Research in Equity Derivatives, J.P.Morgan London)
"Introduction to J.P. Morgan Quantitative Research"
Details:
http://www.fam.tuwien.ac.at/jobs/20101129_jpmorgan.pdf
Map/location:
http://www.wegweiser.ac.at/static/plaene/gif/E_HS18_0038_00_1-1.gif
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Mo, 29.11.2010, 17:00-18:30, seminar room D 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Michael Punz (Universität Wien, Wien)
"Volatility derivatives"
Abstract:
In this talk we will give an overview on valuation and hedging of
volatility derivatives, such as variance and volatility swaps which
are of great practical importance. We will show how to price and hedge
variance swaps in terms of strips of European call and put options,
only assuming that the stock price process is continuous. To price
volatility swaps, we also have to assume that the stock price process
and the volatility process are independent. We obtain all our results
without specifying the dynamics of our volatility process.
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Vienna International Summer School
"Stochastic claims reserving methods in insurance"
Vienna University of Technology, July 4-8, 2011
http://www.fam.tuwien.ac.at/events/viss2011/
Registration now open!
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Mo, 22.11.2010, 17:00-18:30, seminar room D 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Alois Pichler (ISDS, University of Vienna)
http://homepage.univie.ac.at/alois.pichler/
"Stochastic Optimization Problems and Robustification"
CHANGE: Today's talk of Philipp Dörsek starts at 5 p.m. !!!
Th, 18.11.2010, 16:00 !!! NEW: 17:00 !!!, seminar room 101B
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 3rd floor, green section
Philipp Dörsek (TU Wien, E101)
"A Semigroup Point Of View On Splitting Schemes
For Stochastic (Partial) Differential Equations"
Abstract:
We consider weak approximations of S(P)DEs. To extend the
numerical analysis of splitting schemes to realistic assumptions on
characteristics and test functions, we introduce Banach spaces of
functions with controlled growth, generalising the Feller property to
non-locally compact state spaces. We prove optimal rates of convergence
for the Ninomiya-Victoir splitting applied to general Da Prato-Zabczyk
type equations and the HJM equations from interest rate theory.
This time we announce one talk at TU Wien and one at Uni Wien:
Mo, 15.11.2010, 17:00-18:30, seminar room C 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Friedrich Penkner (University of Vienna)
"Mimicking stochastic processes"
Th, 18.11.2010, 16:00, seminar room 101B
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 3rd floor, green section
Philipp Dörsek (TU Wien, E101)
"A Semigroup Point Of View On Splitting Schemes
For Stochastic (Partial) Differential Equations"
Abstract:
We consider weak approximations of S(P)DEs. To extend the
numerical analysis of splitting schemes to realistic assumptions on
characteristics and test functions, we introduce Banach spaces of
functions with controlled growth, generalising the Feller property to
non-locally compact state spaces. We prove optimal rates of convergence
for the Ninomiya-Victoir splitting applied to general Da Prato-Zabczyk
type equations and the HJM equations from interest rate theory.
This time we announce
- recruiting talks for a professorship in stochastics,
- another talk in Schachermayer's seminar 'Finanzmathematik',
- and information to mailing lists.
+-------------------
| Recruiting talks for a professorship in stochastics
+------------------------------
Please find the announcement of recruiting talks for a new professorship
in stochastics at University of Vienna here:
http://www.fam.tuwien.ac.at/research/Berufungsvortraege_Stochastik.pdf
The first talk is already on Monday at 9 a.m..
+-------------------
| Talk within the Seminar Finanzmathematik
+------------------------------
Mo, 8.11.2010, 17:00-18:30, seminar room D 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Fernando Cordero
(Laboratoire de Probabilités et Modèles Aléatoires, Paris)
"On the excursion theory for the symmetric stable Lévy
processes with index α ϵ ]1,2] and some applications"
+-------------------
| Information to mailing lists
+------------------------------
*FAM-news* mailing list
talks and events in the area of financial and actuarial mathematics,
everything at FAM (http://www.fam.tuwien.ac.at/events/)
plus sometimes even more. sent once a week, usually on monday.
(this mail is sent via the FAM-news mailing list :)
*FAM-vr* mailing list
talks within the lecture series financial and actuarial mathematics
organised by FAM in cooperation with AVÖ (Aktuarvereinigung),
GVFW (Österreichische Gesellschaft für Versicherungsfachwissen)
UniVie and VIF: http://www.fam.tuwien.ac.at/vr/ .
Only a few mails a year - mainly for practitioneers.
*FAM-jobs* mailing list
job offers in the area of financial and actuarial mathematics
in austria (and internship offers for students worldwide):
http://www.fam.tuwien.ac.at/jobs/
announcements of job offers are free!
(for worldwide jobs we refer to http://www.math-jobs.com/)
*VFN-L* - Vienna Finance Newsletter
announcements of lectures, conferences (and more) about finance
and economics. everybody can post, a moderator decides what is
sent to the mailing list.
http://www.fam.tuwien.ac.at/mailman/listinfo/vfn-l
*VGSF* newsletter
talks & announcements of the Vienna Graduate School of Finance
http://www.vgsf.ac.at/vgsf/activities/seminar
*Math @ UniVie, ESI, WPI, WK*
if you want to get weekly announcements of talks & events at the
faculty of mathematics (university of vienna), ESI, WPI & WK go to
https://lists.univie.ac.at/mailman/listinfo/vortraege.mathematik
find talks/events here: http://plone.mat.univie.ac.at/vortrage
This time we announce two talks at University of Vienna:
Mo, 18.10.2010, 17:00-18:30, seminar room D 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Eberhard Mayerhofer (Vienna Institute of Finance)
http://www.vif.ac.at/mayerhofer/
"A characterization of non-central Wishart distributions"
(Seminar Finanzmathematik)
Fr, 22.10.2010, 17:00, Leopold-Schmetterer-Seminarraum
University of Vienna, 1010 Wien, Universitätsstraße 5, 3rd floor
Ludger Rüschendorf (University of Freiburg)
http://www.stochastik.uni-freiburg.de/~rueschendorf/
"Stochastic dependence, extremal risk
and optimal portfolio diversification"
This talk is concerned with the description of possible influence of
positive dependence on the magnitude of risk in a portfolio vector. We
discuss and review developments on the classical problem of Fréchet type
bounds with univariate and multivariate marginals, and their
applications to related various dependence orderings. As application we
identify the worst case dependence structure of a portfolio of
d-dimensional risks. In the second part we consider some new
developments on the portfolio diversification problem. In the framework
of multivariate extreme value theory we determine risk optimal
portfolios and consider statistical properties of their empirical versions.
More information about the ISDS-Kolloquium can be found here
http://www.univie.ac.at/statistics/isdskoll/
