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This time we announce 2 talks at University of Vienna
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Mo, 30.04.2012, 17:00, seminar room D 1.07
1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Josef Teichmann (ETH Zurich)
http://www.math.ethz.ch/~jteichma/
"Some general ideas about small time
asymptotics for affine processes "
(Seminar on Probability Theory)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarSS12_prob.html
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Th, 03.05.2012, 17:00, seminar room D 1.03
1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Pietro Siorpaes (University of Vienna)
"On the definition of the stochastic integral
and a Theorem by Marc Yor"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarSS12.html
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Weiterbildungsveranstaltungen für Aktuare (FAM @ TU Wien)
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Ab Freitag, 27. April 2012 (3 Termine, 20 CPD-Punkte)
"Sozialversicherungsrecht"
http://www.fam.tuwien.ac.at/events/cpd/20120427.php?&print=true
Weitere Veranstaltungen bzw. Info siehe:
CPD-Veranstaltungen: http://www.fam.tuwien.ac.at/events/cpd/
Aktuarsausbildung: http://www.fam.tuwien.ac.at/lehre/aktuar/
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Talks at University of Vienna
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Mo, 23.04.2012, 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
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Th, 26.04.2012, 17:00, seminar room D 1.03
1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Thorsten Schmidt (University of Leipzig)
http://www.math.uni-leipzig.de/~tschmidt/
"Dynamic Term Structure Models with Ratings"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarSS12.html
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Talks of other departments @ TU Wien
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Tu, 24.04.2012, 17:00, HS 14A Günther Feuerstein
1040 Wien, Karlsplatz 13, Hauptgebäude der TU Wien, Stiege III, 3. OG
Monika Gehrig-Merz, (Univ. Wien und CEPR)
http://homepage.univie.ac.at/monika.merz/
"Interactions Between Spouses´ Time Allocation"
(Public Lecture Series Economic Theory and Policy)
For further details (including abstracts) see
http://www.econ.tuwien.ac.at/events/
HS 14A Günther Feuerstein (map):
http://www.wegweiser.ac.at/tuwien/hoersaal/H14A.html
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This time we announce two talks at University of Vienna
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Mo, 16.04.2012, 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/
"Isoperimetric and Poincaré inequalities"
(Seminar on Probability Theory)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarSS12_prob.html
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Th, 19.04.2012, 17:00, seminar room D 1.03
1040 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor
Junjian Yang (University of Vienna)
"Arbitrage with fractional Brownian motion"
(Seminar on Mathematical Finance)
For further details see
http://www.mat.univie.ac.at/~finance_hp/seminarSS12.html
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Recruitment talks for the open professorship at FAM
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This Friday, 23rd of March, the recruitment talks for the open
professorship at FAM start with 4 talks. The series of talks wil be
continued on Monday, 26th of March:
Fr, 23.03.2012:
^^^^^^^^^^^^^^^^
8:30, Seminar Room 107
Stefan Gerhold (FAM @ TU Wien)
"Portfolio Optimization under Transaction Costs"
10:30, Seminar Room 107
Vicky Fasen (ETH Zürich)
"Limit theory for continuous-time multivariate ARMA models
with applications in econometrics"
14:00, Seminar Room 107
Thorsten Rheinländer (London School of Economics)
"Self-dual stochastic processes and semi-static hedging
for realistic price processes"
16:00, Seminar Room 107
Thorsten Schmidt (Chemnitz University of Technology)
"Kreditrisiken und deren Modellierung"
Mo, 26.03.2012:
^^^^^^^^^^^^^^^^
9:00, Seminarraum 101B ("Freihaus", green section, 3rd floor)
Stefan Weber (Leibniz Universität Hannover)
"Liquidity-Adjusted Risk Measures"
13:00, Seminarraum 101A ("Freihaus", green section, 3rd floor)
Miklos Rasonyi (University of Edinburgh)
"Optimal investment: from risk-averse to behavioural agents
For all details including abstracts see
http://www.fam.tuwien.ac.at/events/
or for a printversion see
http://www.fam.tuwien.ac.at/events/abstracts/2012_Berufungsvortraege.pdf
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This time we announce a talk at University of Vienna
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Do, 15.03.2012, 17:00, seminar room D 103, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Johannes Ruf (University of Oxford)
http://www.oxford-man.ox.ac.uk/~jruf/
"Föllmer's measure, Novikov's condition
and options on exploding exchange rates"
(Seminar on Mathematical Finance)
For further details see:
http://www.mat.univie.ac.at/~finance_hp/seminarSS12.html
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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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