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>.
------------------------------------------------------------------------
------------------------------------------------------------------------
Announcement of talks organised by FAM @ TU Wien
------------------------------------------------------------------------
Tu, 12.06.2012, 16:30, seminar room 107,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Peter Eichelsbacher (Ruhr-Universität Bochum)
http://www.ruhr-uni-bochum.de/ffm/Lehrstuehle/stochastik/eichelsbacher.html
"Die Steinsche Methode und Anwendungen" - part 2
If necessary the talk may be given in English language.
Part 1 of this talk was given on Tuesday, 08.05.2012.
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
------------------------------------------------------------------------
------------------------------------------------------------------------
Announcement of talks organised by FAM @ TU Wien
------------------------------------------------------------------------
Tu, 29.05.2012, 16:30, seminar room 107,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Stefano De Marco (TU Berlin)
http://page.math.tu-berlin.de/~demarco/
"Large deviations for diffusions and local volatilities"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
------------------------------------------------------------------------
Furthermore we announce talks at University of Vienna
------------------------------------------------------------------------
Th, 31.05.2012, 16:00, seminar room D 1.03
1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Martin Keller-Ressel (TU Berlin)
http://page.math.tu-berlin.de/~mkeller/
"Large deviations and stochastic volatility with jumps:
asymptotic implied volatility for affine models"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarSS12.html
------------------------------------------------------------------------
Th, 31.05.2012, 17:00, seminar room D 1.03
1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Alex Hening (University of California, Berkeley)
"Killed Brownian Motion with a Prescribed Lifetime
Distribution and Models of Default"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarSS12.html
------------------------------------------------------------------------
------------------------------------------------------------------------
This time we announce two talks at University of Vienna
------------------------------------------------------------------------
Mo, 21.05.2012, 17:00, seminar room D 1.07
1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Onur Gün (WIAS Berlin)
http://www.wias-berlin.de/~guen/?lang=1
"Multilevel trap models and aging for spin glasses"
(Seminar on Probability Theory)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarSS12_prob.html
------------------------------------------------------------------------
Th, 24.05.2012, 17:00, seminar room D 1.03
1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Felix Ohswald (University of Vienna)
"Shadow prices in the problem of optimal investment
with transaction costs "
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarSS12.html
------------------------------------------------------------------------
------------------------------------------------------------------------
This time we announce talks at University of Vienna
------------------------------------------------------------------------
Mo, 14.05.2012, 17:00, seminar room D 1.07
1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Jiří Černý (University of Vienna)
http://www.mat.univie.ac.at/~cerny/
"Logarithmic Sobolev inequalities"
(Seminar on Probability Theory)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarSS12_prob.html
------------------------------------------------------------------------
We, 16.05.2012, 16:15-17:00, Olga Taussky-Todd Raum (C 2.09)
1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor
Ivar Ekeland (Université Paris-Dauphine)
http://www.ceremade.dauphine.fr/~ekeland/
"A hard inverse function theorem"
(Mathematisches Kolloquium)
Abstract:
Classically, inverse function theorems are in finite-dimensional spaces,
or in Banach spaces. It is well known that this framework is
insufficient in many important cases, for instance when one deals with
PDEs instead of ODEs. In such cases, one needs an inverse function
theorem in C^/infty, which is a Fréchet space. Such theorems are called
"hard" inverse function theorems; the first one is due to John Nash, and
the method was clarified and extended by Jurgen Moser. There have been
many variants since then, but all rely on the Newton approximation
scheme, where the quadratic convergence overcomes the loss of
derivatives. In this talk, I will review the general framework and
describe a new result due to Éric Séré, Jacques Fejoz and myself, which
does not use the Newton method.
15:45 coffee & cake, Common Room (C 2.06)
------------------------------------------------------------------------
Furthermore we pre-announce of an event in September
------------------------------------------------------------------------
On September 17-19-th, WPI Vienna will host the
second International conference on Energy and Commodities,
The registration is free but mandatory, up to 2 weeks
prior to the event.
Confirmed speakers, so far, include:
Rene' Aid, Electricite' de France
Ole Barndorff-Nielsen, Aarhus University
Matt Davidson, Kyloe Energy
Emanuel Gobet, Ecole Polytechnique, Paris
Ruediger Kiesel, Lehrstuhl, Duisburg
Delphine Lautier, Paris-Dauphine
Brenda-Lopez Cabrera, Humboldt University, Berlin
Peter Tankov, Ecole Polytechnique, Paris
Xavier Warin, Electricite de France, Paris
The organizers are:
Rene Aid, Fred Benth, Valery Kholodnyi,
Peter Laurence, Almut Veraart
The conference is co-funded by WPI, Electricite de France and Verbund
Registration, via email to:
laurenceWPI(a)gmail.com
Updates will be posted at
http://www.math.nyu.edu/~laurence/Wpi/vienna-Energy-bis.htm
(--> Conference II)
The organizers invite the submission of CONTRIBUTED TALKS.
------------------------------------------------------------------------