------------------------------------------------------------------------
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
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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)
------------------------------------------------------------------------
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.
------------------------------------------------------------------------
------------------------------------------------------------------------
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.
------------------------------------------------------------------------
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),
Wolfgang Pauli Institut / University of Vienna:
1090 Wien, Nordbergstrasse 15
Invited Talks:
^^^^^^^^^^^^^^
René Aid, Electricité de France
Ole Barndorff-Nielsen, Aarhus University
Michael Coulon, Princeton University
Matt Davidson, Kyloe Energy & University of Western Ontario
Emanuel Gobet, Ecole Polytechnique, Paris
Ruediger Kiesel, Lehrstuhl, Duisburg
Kevi Kindall, CononoPhilipps
Delphine Lautier, Paris-Dauphine
Brenda-Lopez Cabrera, Humboldt University, Berlin
Esteban Tabak, Courant Institute, New York
Peter Tankov,U. de Paris 7, Paris
Xavier Warin, Electricite de France, Paris
Registration:
^^^^^^^^^^^^^
Registration is free but mandatory up to 2 weeks prior
to the event. To register, send a request to:
Peter Laurence <laurenceWPI(a)gmail.com>
(Please register individually and not in groups.)
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/
------------------------------------------------------------------------
------------------------------------------------------------------------
Talks at University of Vienna
------------------------------------------------------------------------
Tu, 03.07.2012, 15:00, seminar room C 2.09
1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor
Bezirgen Veliyev (University of Vienna)
"Stochastic Calculus, Arbitrage Theory and
Optimal Investment with Transaction Cost"
(public defense of doctor's thesis)
For further details see
http://plone.mat.univie.ac.at/events/2012/defensio-bezirgen.pdf
------------------------------------------------------------------------
We, 04.07.2012, 16:00-17:00, seminar room C 2.07
1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor
Johannes Muhle-Karbe (ETH Zurich)
http://www.math.ethz.ch/~jmuhleka/
"Optimal Investment with Small Transaction Costs"
For further details see
http://plone.mat.univie.ac.at/events/2012/optimal-investment-with-small-tra…
------------------------------------------------------------------------
To Whom it May Concern:
this week I congratulate our neighbour in Freihaus, Dr. Franz Schuster
from the Department for Discrete Mathematics and Geometry, who was
awarded a START Prize 2012 of the Austrian Science Fund (FWF):
http://www.fwf.ac.at/de/public_relations/press/pa20120612.html .
He will give a talk at Schachermayer's Probability-Seminar - see below.
Furhermore I send you some selected events for the next months.
As in the next weeks I most probably won't send weekly emails
I wish you a relaxed summer :-)
Best regards, Sandra (FAM-office)
--------------------------------------------------------------------
Talk at University of Vienna
--------------------------------------------------------------------
Mo, 25.06.2012, 17:00, seminar room D 1.07
1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Franz Schuster (TU Vienna)
http://www.dmg.tuwien.ac.at/schuster/
"Affine Analytic Inequalities"
(Seminar on Probability Theory)
For abstract see
http://www.mat.univie.ac.at/~finance_hp/seminarSS12_prob.html
--------------------------------------------------------------------
Upcoming Events
--------------------------------------------------------------------
6th European Congress of Mathematics, July 2-7, Krakow, Poland;
http://6ecm.ptm.org.pl/
EPSRC Symposium Workshop - Optimal stopping, optimal control and
finance, July 16-20, 2012, University of Warwick, GB;
http://www2.warwick.ac.uk/fac/sci/maths/research/events/2011-2012/symposium…
25th International Summer School of the Swiss Association of Actuaries,
August 13-17, 2012, University of Lausanne, Switzerland;
http://www.saa-iss.ch/
1st European Actuarial Journal (EAJ) Conference, September 6-7, 2012,
University of Lausanne, Switzerland;
http://www.eaj2012.org/
International Summer Academy 2012 on Advanced Stochastic Methods to
Model Risk, September 9-22, 2012, Ulm University, Ulm, Germany;
http://www.uni-ulm.de/mawi/summer-academy-2012/
ETH Risk Day 2012 - Mini-Conference on Risk Management in Finance and
Insurance, September 14, 2012, ETH Zurich, Switzerland;
http://www.ccfz.ch/events/forthcoming-events/ccfz14092012.html
Second International Conference on Energy and Commodities, September
17-19, 2012, WPI Vienna, Austria;
http://www.math.nyu.edu/~laurence/Wpi/vienna-Energy5N-bis.htm
International Summer Academy 2012 on Advanced Stochastic Methods to
Model Risk, September 9-22, 2012, Ulm University, Germany;
http://www.uni-ulm.de/mawi/summer-academy-2012/
International Conference "Stochastic Optimization and Optimal Stopping",
September 24–28, 2012, Steklov Mathematical Institute, Moscow, Russia;
http://soandos.mi.ras.ru/
Conference in Honour of Professor Freddy Delbaen - Perspectives in
Analysis and Probability, September 24-28, 2012, ETH Zurich, Switzerland;
http://www.fim.math.ethz.ch/conferences/2012/Conference_Delbaen/
4th Berlin Workshop on Mathematical Finance for Young Researchers,
October 11-13, 2012, HU Berlin, Germany;
http://www.qfl-berlin.de/workshop2012
--------------------------------------------------------------------
------------------------------------------------------------------------
This time we announce a talk of the Mathematics Finance group at UniVie:
------------------------------------------------------------------------
Mo, 18.06.2012, 17:00, seminar room D 1.07
1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Mathias Beiglböck (University of Vienna)
http://www.mat.univie.ac.at/~mathias/
"Concentration of Gaussian Measures"
(Seminar on Probability Theory)
Abstract:
Based on simple properties of the Ornstein-Uhlenbeck semigroup we derive
Poincare and log-Sobolev inequalities for the Gaussian measure. As a
corollary we obtain the Gaussian concentration property.
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarSS12_prob.html
------------------------------------------------------------------------
... as well as a Two-Day-Event of the WPI:
------------------------------------------------------------------------
Two-Day-Event within the
"Special Year on Financial Engineering for Energy and
Commodity Risk Management and hedging of Commodity Derivatives"
http://www.math.nyu.edu/~laurence/Wpi/vienna-Energy-bis.htm
see: Mini-Courses, Part III
Friday, June 22 and Saturday, June 23, 2012,
Wolfgang Pauli Institut / University of Vienna:
1090 Wien, Nordbergstrasse 15
Prof. Peter Forsyth (University of Waterloo)
http://www.cs.uwaterloo.ca/~paforsyt/
"Mathematical Models for the commodity markets
(Numerical methods for Hamilton-Jacobi equations
in mathematical finance)"
Registration:
^^^^^^^^^^^^^
Registration is free but mandatory.
To register please write an email to
Peter Laurence <laurenceWPI(a)gmail.com>
(Please register individually and not in groups.)
As there might be only a few seats left, please register immediately.
For those who registered earlier but cannot participate: please inform
the organiser Peter Laurence <laurenceWPI(a)gmail.com>.
------------------------------------------------------------------------