As this week there is no talk at FAM and as far as I know no talk at
UniVie, I announce future events:
- recruitment talks for the open professorship at FAM (March 23/26)
- two-day-event of the WPI (June 22/23).
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Recruitment talks at FAM
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Fr, 23.03.2012 and Mo, 26.03.2012
Stefan Gerhold (FAM @ TU Wien)
Vicky Fasen (ETH Zürich)
Thorsten Rheinländer (London School of Economics)
Thorsten Schmidt (Chemnitz University of Technology)
Stefan Weber (Leibniz Universität Hannover)
Miklos Rasonyi (University of Edinburgh)
For all details including abstracts see
http://www.fam.tuwien.ac.at/events/
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Two-Day-Event of the WPI
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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.)
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Announcement of talks/events organised by FAM @ TU Wien
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Workshop "Praxis der Finanz- und Versicherungsmathematik 2012"
Technische Universität Wien, 1. und 2. März
Bitte beachten Sie, dass eine Anmeldung erforderlich ist!
http://www.fam.tuwien.ac.at/events/praxisFVM2012/
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Furthermore we announce talks at University of Vienna
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Sessions of Research Talks
of members of the Mathematical Finance Group at University of Vienna
Mo., 27.02.2012 - We, 29.02.2012, seminar room D107, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Monday, 27.02.2012:
11:00-12:00: Junjian Yang:
"A high-order weak approximation scheme
for SPDEs with applications"
14:00-15:00: Fernando Cordero:
"Arbitrage opportunities for binary markets
under transaction costs"
Tuesday, 28.02.2012:
11:00-12:00: Johannes Morgenbesser:
"Volatility smile & rational base number systems"
13:15-14:15: Pietro Siorpaes:
"t.b.a."
Wednesday, 29.02.2012:
11:00-12:00: Christa Cuchiero:
"t.b.a."
14:00-15:00: Bezirgen Veliyev:
"t.b.a."
15:00-16:00: Christoph Czichowsky:
"Constructing the log optimal portfolio for
a geometric Ornstein-Uhlenbeck process under
proportional transaction costs with the shadow price"
Hopefully the missing titles of talks will be announced soon on:
http://plone.mat.univie.ac.at/events/2012/session-of-research-talks/view
Mathematical Finance Group at University of Vienna:
http://plone.mat.univie.ac.at/research/groups/mathematical-finance
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Sehr geehrte Damen und Herren,
ich darf Sie auf unseren 2-tägigen Workshop aufmersam machen:
Praxis der Finanz- und Versicherungsmathematik 2012,
Do, 1. und Fr., 2. März 2012, TU Wien,
Anmeldung erforderlich - siehe Info unter:
http://www.fam.tuwien.ac.at/events/praxisFVM2012/
Weiters sende ich anbei eine Auswahl an Lehrveranstaltungen der
Forschungsgruppe Finanz- und Versicherungsmathematik (FAM @ TU Wien).
Herzliche Grüße,
Sandra Trenovatz (FAM-office, +43-1-58801-10511, fam(a)fam.tuwien.ac.at)
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Auswahl an Lehrveranstaltungen im Sommersemester 2012,
Forschungsgruppe Finanz- und Versicherungsmathematik (FAM @ TU Wien)
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Findet nur alle 2 Jahre statt, heuer am 1. und 2. März geblockt
(für zukünftige Aktuare notwendig bzw. von Vorteil,
beinhaltet das "Berufsständische Seminar"):
AKFVM Praxis der Finanz- und Versicherungsmathematik
http://tuwis.tuwien.ac.at/lva/105159
Diese Vorlesung ist gleichzeitig der oben genannte Workshop:
http://www.fam.tuwien.ac.at/events/praxisFVM2012/
Erstmalig (findet frühestens wieder in 2 Jahren statt):
AKFVM Topics in Quantitative Asset Management
http://tuwis.tuwien.ac.at/lva/105633
Geblockte bzw. Abends angesetzte Lehrveranstaltungen
(für zukünftige Aktuare notwendig bzw. von Vorteil):
Buchhaltung und Bilanzierung im Finanzwesen
http://tuwis.tuwien.ac.at/lva/105105
AKFVM Internationale Rechnungslegung
http://tuwis.tuwien.ac.at/lva/105145
AKFVM Sozialversicherungsrecht
http://tuwis.tuwien.ac.at/lva/105152
Höhere Lebensversicherungsmathematik
http://tuwis.tuwien.ac.at/lva/105046
AKFVM Finanzmärkte und Kapitalanlage
http://tuwis.tuwien.ac.at/lva/105119
(Pflichtfach im neuen Masterstudienplan ab Okt. 2012)
Weitere (bzw. alle) Lehrveranstaltungen der Forschungsgruppe Finanz- und
Versicherungsmathematik:
http://www.fam.tuwien.ac.at/lehre/lva/
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Sorry for sending a second mail this week, but tomorrow's talk at
University of Vienna was sent to me only today. Best regards, Sandra
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Mo, 07.02.2012, 15:00-17:00, seminar room C 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
David Hobson (University of Warwick)
http://www2.warwick.ac.uk/fac/sci/statistics/staff/academic-research/hobson
"Skorokhod embeddings, the Azema-Yor and Perkins embeddings,
and model-independend bounds for the prices of Variance Swaps"
Abstract:
The Skorokhod embedding problem (SEP) for Brownian motion W is, given a
centred probability measure \mu, to find a stopping time \tau such that
the stopped process W_\tau has law \mu. Azema and Yor and later Perkins
gave explict solutions to the SEP with particluar optimality properties.
The robust pricing problem, is given the prices of vanilla options but
under no further assumptions on the model, to give model independent
prices and hedges for co-maturing exotic options.
In this talk we discuss the link between these two problems and show how
the Azema-Yor and Perkins embeddings can be used to give bounds on the
prices of barrier and lookback options, and also how the Perkins
embedding leads to bounds on the prices of discretely monitored variance
swaps.
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Announcement of talks/events organised by FAM @ TU Wien
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Mo, 06.02.2012, 15:00, seminar room 107
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Mykhaylo Shkolnikov (MSRI, Berkeley, USA)
http://math.stanford.edu/~mshkolni/
"On diffusions interacting through their ranks"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
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This time we announce a talk at University of Vienna
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Th, 02.02.2012, 17:00, seminar room C 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Johannes Muhle-Karbe (ETH Zurich)
http://www.math.ethz.ch/~jmuhleka/
"Portfolio choice with small transaction costs
and binding leverage constraints."*
(Seminar on Mathematical Finance)
For abstract see:
http://www.mat.univie.ac.at/~finance_hp/seminarWS11_prob.html
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This time we announce a two-days event and talks at University of Vienna
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Mo/Tu, 16.-17.01.2012, 10:00-12:30 & 14:00-16:00, C714, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Ernst Eberlein (University of Freiburg)
http://www.stochastik.uni-freiburg.de/~eberlein/
"Fourier based valuation methods in mathematical finance"
Fred E. Benth (CMA, University of Oslo)
http://folk.uio.no/fredb/
"Modelling and pricing in energy markets using jump processes"
Mini-course on "Fourier methods in mathematical finance
with applications to Energy and Commodity markets"
Organized by WPI,P. Laurence, F. Benth, V. Kholodny
For further details (including abstracts) see
http://www.wpi.ac.at/event_view.php?id_activity=146
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Mo, 16.01.2012, 17:00, seminar room D101, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
H. Mete Soner (ETH-Zürich)
http://www.math.ethz.ch/~hmsoner/
"Merton problem with small transaction costs"
(Wahrscheinlichkeitsseminar)
For further details (including abstracts) see
www.mat.univie.ac.at/~finance_hp/seminarWS11.html
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We, 18.01.2012, 16:15-17:00, Olga Taussky-Todd Raum (C 209), UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
H. Mete Soner (ETH-Zürich)
http://www.math.ethz.ch/~hmsoner/
"Price and Risk"
(Mathematisches Kolloquium)
Abstract:
Everyday all financial institutions price diverse financial instruments
and also evaluate the risk associated with their very complex
portfolios. The reasons for pricing are clear and pricing is very
closely related to the risk associated with the instrument
considered.However, assesment of risk has several other and probably
more important aspects than pricing.Firstly, there are regulatory
constraints and secondly risk management starts with a proper evaluation
of risk.Mathematical finance offers methods and also theories for these
activities.In this talk, I will outline mathematical methods for pricing
and risk measurement.Also discuss how and why they differ from each other.
15:45 coffee & cake, Common Room (C 206)
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Th, 19.01.2012, 17:00, C 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Wen-Shen Li (National Dong Hwa University, Taiwan)
http://faculty.ndhu.edu.tw/~wenshen/
"Portfolio Optimization under Proportional Transaction Costs
in Continuous Time: A Convex Duality Approach"
(Seminar Finanzmathematik)
For further details (including abstracts) see
http://www.mat.univie.ac.at/~finance_hp/seminarWS11_prob.html
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Announcement of talks organised by FAM @ TU Wien
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Tu, 20.12.2011, 16:30, seminar room 107,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Ramin Okhrati (FAM @ TU Wien)
"Defaultable claims under finite variation Lévy processes"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
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Merry Christmas and a Happy New Year!
Frohe Weihnachten und ein gutes neues Jahr!
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This time we announce a talk at University of Vienna
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Mo, 28.11.2011, 14:15-15:15, seminar room C 207, UZA 4
(different time and different location!)
University of Vienna, Nordbergstraße 15, 1040 Wien
Tiziano De Angelis (Sapienza Università di Roma)
http://www.memotef.uniroma1.it/newdip/utenti/deangelistiziano/
"Pricing American Bond Options under HJM:
an Infinite Dimensional Variational Inequality"
(Seminar Finanzmathematik)
For abstract see:
http://www.mat.univie.ac.at/finance/seminarWS11.html
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This time we announce talks at other departments @ TU Wien & Univ. Wien
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Mo, 14.11.2011, 17:00, seminar room D101, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Anton Arnold (TU Wien)
http://www.anum.tuwien.ac.at/~arnold/
"Bakry-Emery calculus for drift-diffusion
equations - deterministic approach II"
(Seminar Wahrscheinlichkeitstheorie)
For further details see:
http://www.mat.univie.ac.at/finance/seminarWS11.html
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Tu, 15.11.2011, 16:00, seminar room Argentinierstraße,
1040 Wien, Argentinierstraße 8, ground floor (entry Paniglgasse)
Uwe Vollmer (Universität Leipzig)
http://www.wifa.uni-leipzig.de/itvwl/guw/team0/vollmer.html
"Minimum Capital Requirements, Bank Supervision
and Special Resolution Schemes"
For further details (including abstracts) see
http://www.econ.tuwien.ac.at/events/
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