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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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This time we only announce a talk at University of Vienna
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Mo, 07.11.2011, 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"
(Seminar Wahrscheinlichkeitstheorie)
For further details see:
http://www.mat.univie.ac.at/finance/seminarWS11.html
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Talk at University of Vienna
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Mo, 31.10.2011, 17:00-18:30, seminar room D101, UZA 4,
University of Vienna, Nordbergstraße 15, 1040 Wien
Christian Bayer (University of Vienna)
http://www.mat.univie.ac.at/~bayerc2/
"Heat kernal expansion with an application in finance II"
For further details (including abstracts) see
http://www.mat.univie.ac.at/finance/seminarWS11.html
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Zukünftige Veranstaltung des TU Wien alumni club
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Mittwoch, 9.11.2011, 18:00 (bzw. 18:30)
Raiffeisen Zentralbank Österreich AG, Am Stadtpark 9, 1030 Wien
„Cont_ACT“
Unternehmenspräsentation der RZB und Podiumsdiskussion
(organisiert durch TU Wien alumni club)
Details siehe: http://www.tualumni.at/SiteNews/show/de/624#post
Teilnahme nur für TU Wien alumni club Mitglieder und Studierende.
Um Anmeldung bis Fr., 04.11.2011 unter office(a)tualumni.at wird gebeten.
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=======================================================================
I am very sorry, that by mistake the announcement of last week (see
below) was not sent to the mailing list.
Ich bitte um Entschuldigung, dass die Aussendung letzte Woche (siehe
unten) versehentlich nicht an die Mailingliste verschickt wurde.
Best regards / Mit besten Grüßen, Sandra Trenovatz
=======================================================================
-------- Original Message --------
Subject: reminder for upcoming seminars and talks
Date: Fri, 21 Oct 2011 19:46:27 +0200
From: Sandra Trenovatz <sandra(a)fam.tuwien.ac.at>
Reply-To: FAM-news mailinglist <fam-news(a)fam.tuwien.ac.at>
To: undisclosed-recipients:;
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Announcement of talks organised by FAM @ TU Wien
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Dienstag, 25. Oktober 2011, 15:30,
Technische Universität Wien, 1040 Wien, Wiedner Hauptstraße 8,
Freihaus, Turm B (gelber Bereich), 2. Stock, Freihaus Hörsaal 4:
Hansjörg Albrecher (Universität Lausanne)
http://www.hec.unil.ch/people/halbrecher
"Messung von Versicherungsrisiken und das Omega-Modell"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/vr/20111025.php
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Furthermore we announce talks & events at other universities
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Mo, 24.10.2011, 17:00-18:30, seminar room D101, UZA 4,
University of Vienna, Nordbergstraße 15, 1040 Wien
Christian Bayer (University of Vienna)
http://www.mat.univie.ac.at/~bayerc2/
"Heat kernal expansion with an application in finance I"
(Part II will follow on October 31)
For further details (including abstracts) see
http://www.mat.univie.ac.at/finance/seminarWS11.html
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Mo/Tu, 24./25.10.2011, 10:00-12:00, 14:00-17:00, seminar room C714,
UZA 4, University of Vienna, Nordbergstraße 15, 1040 Wien
"Workshop "Advanced Modeling of the Energy Spots, Forwards, Swaps
and Options in the Unified Framework of the Non-Markovian Approach"
(organized by WPI)
For further details (including abstracts) see
http://www.wpi.ac.at/event_view.php?id_activity=138http://www.wpi.ac.at/themedata/Valery.pdf
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Announcement of talks/events organised by FAM @ TU Wien
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Tu, 11.10.2011, 16:30, seminar room 107
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Zehra Eksi (Vienna Institute of Finance)
"Pricing and Hedging of Single Tranche CDOs"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
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Tu, 14.10.2011, 9.30 - 18.30, Lecture Hall 6 (ground floor)
Main Building "Hauptgebäude" of TU Wien, Karlsplatz 13, 1040 Wien
PRisMa 2011:
One-Day Workshop on Portfolio Risk Management
http://www.fam.tuwien.ac.at/prisma2011/
Participation is free, and there is no official registration -
nevertheless for administrative reasons we would be happy if you write a
short email to the workshop secretary:
Ms. Aleksandra Zivkovic <secr(a)fam.tuwien.ac.at>
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Furthermore we announce talks of other departments @ TU Wien
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Mi, 12.10.2011, 9:15, Kleiner Seminarraum
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 5th floor, green section
Philipp Dörsek (ETH Zürich, former colleague of FAM @ TU Wien)
"Numerical Methods For Stochastic Partial Differential Equations"
(dissertation defense - supervisors: J. Melenk & J. Teichmann)
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--
Sandra Trenovatz, email sandra(a)fam.tuwien.ac.at, phone +43-1-58801-10551
Financial & Actuarial Mathematics (FAM@TU Wien) http://fam.tuwien.ac.at/
Wiedner Hauptstrasse 8 / E105-1 FAM, 1040 Vienna, Austria (DVR: 0005886)
--
Sandra Trenovatz, email sandra(a)fam.tuwien.ac.at, phone +43-1-58801-10551
Financial & Actuarial Mathematics (FAM@TU Wien) http://fam.tuwien.ac.at/
Wiedner Hauptstrasse 8 / E105-1 FAM, 1040 Vienna, Austria (DVR: 0005886)
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Announcement of talks/events organised by FAM @ TU Wien
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This time we announce a forthcoming event in October:
Tu, 14.10.2011, 9.30 - 18.30, Lecture Hall 6 (ground floor)
Main Building "Hauptgebäude" of TU Wien, Karlsplatz 13, 1040 Wien
PRisMa 2011: One-Day Workshop on Portfolio Risk Management
http://www.fam.tuwien.ac.at/prisma2011/
Participation is free, and there is no official registration -
nevertheless for administrative reasons we would be happy if you write a
short email to the workshop secretary:
Ms. Aleksandra Zivkovic <secr(a)fam.tuwien.ac.at>
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Furthermore we announce talks/events at other universities
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Th, 29.09.2011, 10.15, seminar room D 104, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Zehra Eksi (Vienna Institute of Finance)
http://www.vif.ac.at/eksi/
"Essays in CDO and Inflation Linked Derivatives Modeling"
(dissertation defense)
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Sehr geehrte Damen und Herren,
im Rahmen der Vortragsreihe "Finanz- und Versicherungsmathematik"
dürfen wir Sie zu folgendem Vortrag einladen:
Mittwoch, 21. September 2011, 16:30,
Technische Universität Wien, 1040 Wien, Wiedner Hauptstrasse 8,
Freihaus, Turm B (gelber Bereich), 2. Stock, Freihaus Hörsaal 3:
Dr. Carole Bernard
Dept. of Statistics and Actuarial Science, University of Waterloo
"Optimal investment under state-dependent constraints"
http://www.fam.tuwien.ac.at/events/vr/20110921.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 Frau Aleksandra
Zivkovic (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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