-----------------------------------------------------------------------
Announcement of talks organised by FAM @ TU Wien
-----------------------------------------------------------------------
Tu, 14.06.2011, 16:30, seminar room 107
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Blackboard Discussion
on the Abstract Fundamentals
of Financial and Actuarial Mathematics
Theme: Discussion of the Borel-Cantelli lemma.
Please find the details here:
http://www.fam.tuwien.ac.at/events/Blackboard_Discussion.pdf
-----------------------------------------------------------------------
Furthermore we announce talks at other universities
-----------------------------------------------------------------------
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)
Registration:
^^^^^^^^^^^^^
To register please write an email to:
Peter Laurence <laurenceWPI(a)gmail.com>
Location:
^^^^^^^^^
Wolfgang Pauli Institut / University of Vienna:
1090 Wien, Nordbergstrasse 15, 7th floor, seminar room C 714
Th, 16.06.2011, 10:00-12:30
Antoine Jacquier (TU Berlin)
http://www.math.tu-berlin.de/~jacquier/
"Asymptotics in Finance"
Th, 16.06.2011, 14:30-16:30
Christian Bayer (University of Vienna)
http://www.mat.univie.ac.at/~bayerc2/
"Computational Finance"
Fr, 17.06.2011, 10:00-12:30
Christoph Reisinger (University of Oxford)
http://people.maths.ox.ac.uk/reisinge/
"HJB equations and their numerical treatment" (part I)
Fr, 17.06.2011, 14:00-16:00
Christoph Reisinger (University of Oxford)
http://people.maths.ox.ac.uk/reisinge/
"HJB equations and their numerical treatment" (part II)
Fr, 17.06.2011, 16:30-18:30
Christian Bayer (University of Vienna)
http://www.mat.univie.ac.at/~bayerc2/
"Computational Finance" (part II)
The previously announced mini-course by Peter A. Forsyth (University of
Waterloo) has undergone major changes. Professor Forsyth had to cancel
due to an injury last friday.
The organiseres managed to put together however an excellent new
program: same days, slightly different times. Due to the unforseen
circumstances and enlarged scope of the conference the organisers are
accepting, even at this late stage, new registrations.
To register write an email to: Peter Laurence <laurenceWPI(a)gmail.com>
-----------------------------------------------------------------------
Recruitment talks: professorship Mathematics and Finance @ Univ. Wien
-----------------------------------------------------------------------
For all details including abstracts see
http://www.fam.tuwien.ac.at/events/abstracts/201106_MathFinance.pdf
(We, 01.06.2011, 14:00, Kostas Kardaras)
(Fr, 10.06.2011, 08:30, Umut Cetin)
Fr, 17.06.2011, 14:00, Joachim Grammig
We, 22.06.2011, 14:00, Miklos Rasonyi
We, 22.06.2011, 16:30, Robert Stelzer
Fr, 24.06.2011, 14:00, Nikolaus Hautsch
Seminar rooom of the Department for Statistics and OR, 3rd floor
University of Vienna, Universitätsstr. 5, 1010 Wien.
-----------------------------------------------------------------------
-----------------------------------------------------------------------
Announcement of talks organised by FAM @ TU Wien
-----------------------------------------------------------------------
Tu, 07.06.2011, 16:30, seminar room 107
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Blackboard Discussion
on the Abstract Fundamentals
of Financial and Actuarial Mathematics
Kahlenberg: "Foundations of Modern Probability", 1st edition
- Theorem 2.18
- Theorem 6.23 and Corollary 6.24
- Corollary 6.25
- Law of large numbers
Please find the details here:
http://www.fam.tuwien.ac.at/events/Blackboard_Discussion.pdf
-----------------------------------------------------------------------
Announcement of an open position at FAM @ TU Wien
-----------------------------------------------------------------------
Professorship in the area of Financial and Actuarial Mathematics /
Professur im Bereich Finanz- und Versicherungsmathematik:
http://www.fam.tuwien.ac.at/jobs/20110601a.php
-----------------------------------------------------------------------
Furthermore we announce talks at other universities
-----------------------------------------------------------------------
Tu, 07.06.2011, 13:00, seminar room D 101, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Sara Karlsson (University of Vienna)
"Consistent dynamic equity market code-books
from a practical point of view" (Defensio)
-----------------------------------------------------------------------
Recruitment talks: professorship Mathematics and Finance @ Univ. Wien
-----------------------------------------------------------------------
For all details including abstracts see
http://www.fam.tuwien.ac.at/events/abstracts/201106_MathFinance.pdf
We, 01.06.2011, 14:00, Kostas Kardaras (*)
Fr, 10.06.2011, 08:30, Umut Cetin
Fr, 17.06.2011, 14:00, Joachim Grammig
We, 22.06.2011, 14:00, Miklos Rasonyi
We, 22.06.2011, 16:30, Robert Stelzer
Fr, 24.06.2011, 14:00, Nikolaus Hautsch
Seminar rooom of the Department for Statistics and OR, 3rd floor
University of Vienna, Universitätsstr. 5, 1010 Wien.
(*) I am sorry for the late announcement, but the public announcement of
University of Vienna was just today (Fr, June 3).
-----------------------------------------------------------------------
-----------------------------------------------------------------------
Wiedner Hauptstrasse 8 / E105-1 FAM, 1040 Vienna, Austria (DVR: 0005886)
-----------------------------------------------------------------------
Announcement of talks organised by FAM @ TU Wien
-----------------------------------------------------------------------
Tu, 31.05.2011, 16:30, seminar room 107
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
4th Blackboard Discussion
on the Abstract Fundamentals
of Financial and Actuarial Mathematics
Planned Themes:
Kahlenberg: "Foundations of Modern Probability", Chapter 6
- Proposition 6.19 (one-sided bounds)
and Corollary 6.20 (extended Borel-Cantelli lemma)
- Theorem 6.21 (uniform integrability and closure)
and Corollary 6.22 (L^p -convergence)
- Theorem 6.23 (limits in conditioning) and Corollary 6.24
http://books.google.com/books?id=TBgFslMy8V4C&lpg=PP1&pg=PA103http://www.fam.tuwien.ac.at/events/Blackboard_Discussion.pdf
-----------------------------------------------------------------------
Furthermore we announce talks at other universities
-----------------------------------------------------------------------
Mo, 30.05.2011, 17:00, seminar room C 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Antonis Papantoleon (TU Berlin)
http://www.math.tu-berlin.de/~papapan/
"Efficient and accurate log-Lévy approximations
for the Lévy LIBOR model"
(Seminar Finanzmathematik)
-----------------------------------------------------------------------
-----------------------------------------------------------------------
Announcement of talks & events organised by FAM @ TU Wien
-----------------------------------------------------------------------
Tu, 17.05.2011, 16:30, seminar room 107
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
3rd Blackboard Discussion
on the Abstract Fundamentals
of Financial and Actuarial Mathematics
(Topic: Martingales Revisited)
Please find the details here:
http://www.fam.tuwien.ac.at/events/Blackboard_Discussion.pdf
-----------------------------------------------------------------------
Furthermore we announce talks at other universities
-----------------------------------------------------------------------
Mo, 23.05.2011, 15:10 (!), seminar room D 107 (!), UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Nicolas Juillet (IRMA, University of Strasbourg)
http://www-irma.u-strasbg.fr/~juillet/
"Convexity of the Wasserstein space"
(Seminar Finanzmathematik)
-----------------------------------------------------------------------
Tu, 24.05.2011, 11:00-11:40, meetingroom 1,
Vienna Institute of Finance, Heiligenstaedterstrasse 46-48, 1190 Wien
(Take right stairs or right lift and enter WU on third floor. The
meetingroom is on 4th floor and can be reached via internal stairs.)
Pavel V. Shevchenko (CSIRO, Sydney, Australia
http://www.cmis.csiro.au/Pavel.Shevchenko/
"Operational Risk Capital Modelling"
He will talk about his new book: "Modelling Operational Risk
using Bayesian Inference", Springer, Berlin (2011).
The talk will have something for finance undergraduates, and more
technical facts and formulae for postgraduates - everybody is welcome.
-----------------------------------------------------------------------
-----------------------------------------------------------------------
Announcement of talks organised by FAM @ TU Wien
-----------------------------------------------------------------------
Tu, 17.05.2011, 16:30, seminar room 107
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
2nd Blackboard Discussion
on the Abstract Fundamentals
of Financial and Actuarial Mathematics
(Topic: Martingales Revisited)
Please find the details here:
http://www.fam.tuwien.ac.at/events/Blackboard_Discussion.pdf
-----------------------------------------------------------------------
Furthermore we announce talks at other departments & universities
-----------------------------------------------------------------------
Mo, 16.05.2011, 17:00, seminar room C 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Johannes Muhle-Karbe (ETH Zürich)
http://www.math.ethz.ch/~jmuhleka/
"Transaction Costs made Tractable"
(Seminar Finanzmathematik)
-----------------------------------------------------------------------
Th, 19.05.2011, 16:45-17:15, seminar room 101B
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Philipp Dörsek (ETH Zürich)
http://www.math.ethz.ch/people/doersekp
"Weighted spaces and numerical schemes for
stochastic (partial) differential equations"
(seminar of the Doctorate School PDEtech)
Abstract: We consider spaces of functions on separable Hilbert spaces
or, more generally, on dual spaces of separable Banach spaces, endowed
with a weighted supremum norm. A corresponding notion of
differentiability is given. We prove rates of convergence of weak
approximation schemes for stochastic (partial) differential equations
in these spaces.
-----------------------------------------------------------------------
Th, 19.05.2011, 18:00, seminar room Argentinierstraße,
1040 Wien, Argentinierstraße 8, ground floor (entry Paniglgasse)
Fritz Breuss (WIFO Wien)
http://fritz.breuss.wifo.ac.at/
"Structural funds, EU enlargement, and the redistribution
of FDI in Europe"
(Public Lecture Series Economic Theory and Policy)
For further details (including abstracts) see
http://www.econ.tuwien.ac.at/events/
-----------------------------------------------------------------------
-----------------------------------------------------------------------
Announcement of events organised by FAM @ TU Wien
-----------------------------------------------------------------------
Tu, 10.05.2011, 16:30, seminar room 107
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
1st Blackboard Discussion
on the Abstract Fundamentals
of Financial and Actuarial Mathematics
Please find the details here:
http://www.fam.tuwien.ac.at/events/Blackboard_Discussion.pdf
-----------------------------------------------------------------------
Furthermore we announce events at other universities
-----------------------------------------------------------------------
Mo, 09.05.2011, 17:00, seminar room C 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Oleg Reichmann (ETH Zürich)
http://www.sam.math.ethz.ch/~oleg/
"Space-Time Wavelet Methods for degenerate parabolic PDEs
with applications to Fractional Brownian motion models"
(Vortrag im Rahmen des Seminars Finanzmathematik)
-----------------------------------------------------------------------
Announcement of talks organised by FAM @ TU Wien
-----------------------------------------------------------------------
Tu, 03.05.2011, 16:30, seminar room 107
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Eberhard Mayerhofer (Vienna Institute of Finance)
Part A: "Affine processes on the positive semidefinite d x d
matrices don't jump too wildly"
Part B: "Wishart processes and Wishart distributions:
Relations and Realizations"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
-----------------------------------------------------------------------
Furthermore we announce talks at other universities
-----------------------------------------------------------------------
Mo, 02.05.2011, 17:00, seminar room C 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Joachim Lebovits (Université Pierre et Marie Curie)
"Stochastic Calculus with respect to multifractional Brownian
motion using White Noise Theory"
(Vortrag im Rahmen des Seminars Finanzmathematik)
-----------------------------------------------------------------------
Announcement of talks organised by FAM @ TU Wien
-----------------------------------------------------------------------
Tu, 12.04.2011, 16:30, seminar room 107
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Jonas Hirz (University of Salzburg)
"Optimizing Investment Strategies
under a General Approach to Cost-Efficiency"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
-----------------------------------------------------------------------
Furthermore we announce talks at other universities
-----------------------------------------------------------------------
Mo, 11.04.2011, 17:00, seminar room C 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Yan Dolinsky (ETH Zürich)
http://www.math.ethz.ch/~yand/
"Hedging of Game Options with the Presence of Transaction Costs"
(Vortrag im Rahmen des Seminars Finanzmathematik)
To Whom It May Concern:
additionally to upcoming seminars and talks (see below) this time I
inform you about a new webpage of FAM where interesting talks and
lectures for practitioners/actuaries will be announced:
http://www.fam.tuwien.ac.at/events/cpd/
Best regards, Sandra (FAM-office)
-------------------------------------------------------------------
Tu, 05.04.2011, 16:30, seminar room 107
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Esther Frostig (University of Haifa, Israel)
http://hevra.haifa.ac.il/stat/newsite/eng/about.php
"A Markov Additive Risk process
with dividend barrier and phase type claims"
We, 06.04.2011, 16:30, seminar room 107
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Umut Cetin (London School of Economics)
http://stats.lse.ac.uk/cetin/
"Explicit construction of a dynamic Bessel bridge of dimension 3"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Furthermore this time we announce two talks at University of Vienna -
unfortunately it is possible to listen to only one these talks:
Fr, 04.04.2011, 16:30, Leopold-Schmetterer-Seminarraum
University of Vienna, 1010 Wien, Universitätsstraße 5, 3rd floor
Ernst Eberlein (University of Freiburg)
http://www.stochastik.uni-freiburg.de/~eberlein/
"Bid and ask: some consequences of a two prices approach"
(ISOR-Kolloquium)
For further details (including abstracts) see
http://www.oegor.at/isdskoll/activities.php?action=Show_Act&ID=173
Mo, 04.04.2011, 17:00, seminar room C 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Pierre Patie (Université Libre de Bruxelles )
http://homepages.ulb.ac.be/~ppatie/
"Exponential Functional of Levy Processes"
(Vortrag im Rahmen des Seminars Finanzmathematik)
Timetable
Mo, 14.03.2011, 9:30, seminar room 101C
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Michael Punz (Munich Re, Germany)
"Volatilitätsderivate"
Tu, 15.03.2011, 16:30, seminar room 107
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Piet Porkert (TU Wien)
"On Weak Solutions to Stochastic Differential Equations
in Finite and Infinite Dimensions"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Furthermore this time we also announce another talk at UniVie ...
Mo, 14.03.2011, 17:00-18:30, seminar room C 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Umut Cetin (London School of Economics)
http://stats.lse.ac.uk/cetin/
"Asymmetric Information in Financial Markets
and Dynamic Markov Bridges"
(Seminar Finanzmathematik)