This time we announce two talks at University of Vienna:
Mo, 18.10.2010, 17:00-18:30, seminar room D 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Eberhard Mayerhofer (Vienna Institute of Finance)
http://www.vif.ac.at/mayerhofer/
"A characterization of non-central Wishart distributions"
(Seminar Finanzmathematik)
Fr, 22.10.2010, 17:00, Leopold-Schmetterer-Seminarraum
University of Vienna, 1010 Wien, Universitätsstraße 5, 3rd floor
Ludger Rüschendorf (University of Freiburg)
http://www.stochastik.uni-freiburg.de/~rueschendorf/
"Stochastic dependence, extremal risk
and optimal portfolio diversification"
This talk is concerned with the description of possible influence of
positive dependence on the magnitude of risk in a portfolio vector. We
discuss and review developments on the classical problem of Fréchet type
bounds with univariate and multivariate marginals, and their
applications to related various dependence orderings. As application we
identify the worst case dependence structure of a portfolio of
d-dimensional risks. In the second part we consider some new
developments on the portfolio diversification problem. In the framework
of multivariate extreme value theory we determine risk optimal
portfolios and consider statistical properties of their empirical versions.
More information about the ISDS-Kolloquium can be found here
http://www.univie.ac.at/statistics/isdskoll/
As this week there are no talks at FAM, this time we just announce a
talk at University of Vienna:
Mo, 11.10.2010 (today), 17:00-18:30, seminar room C209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Johannes Temme (University of Vienna)
http://www.numerik.uni-kiel.de/~jk/personen/vierthauer.html
"Risk Aversion and the Distribution of Portfolio Payoffs"
(talk within the course "Seminar Finanzmathematik")
As this week there are no talks at FAM/TU Wien we announce a talk at our
friends at UniVie:
Mo, 4.10.2010 (today), 17:00-18:30, seminar room D 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Christian Bayer (KTH Stockholm)
"Cubature on Wiener Space"
(Seminar Finanzmathematik)
==========================================================
PRisMa 2010: One-Day Workshop on Portfolio Risk Management
==========================================================
WEB PAGE: http://www.fam.tuwien.ac.at/prisma2010/
ORGANIZED BY:
- PRisMa Lab: http://www.prismalab.at/
- FAM @ TU Vienna: http://www.fam.tuwien.ac.at/
DATE: Friday, October 1, 2010, 9:00-19:00
SPONSORED BY:
- Christian Doppler Research Association
- Bank Austria
- Austrian Federal Financing Agency (ÖBFA)
- FJA
LOCATION:
Vienna University of Technology
Wiedner Hauptstrasse 8-10 ("Freihaus")
1040 Vienna, Austria
Lecture Hall FH-HS 8 "Nöbauer" (yellow area, 2nd floor)
Participation is free. Everyone is welcome, practitioners are especially
encouraged to attend. Please find information for registration below the
program.
PROGRAM:
09.00-09.10: Welcome
09.10-10.00:
Prof. Dr. Anna Rita Bacinello (University of Triest)
"Variable Annuities: Risk Identification and Risk Assessment"
10.00-10.30: Coffee Break
10.30-11.15:
Prof. Dr. Walter Farkas (ETH Zürich, Universität Zürich)
"On Modelling and Option Pricing using Lévy Copula Processes"
11.15-12.00:
Dr. Zorana Grbac (Freiburg Center for Data Analysis and Modelling)
"Conditional Markov Chains and Credit Risk in the Lévy Libor Model"
12.00-14.00: Lunch Break
14.00-14.30:
Dr. Stefan Gerhold (FAM @ TU Wien)
"Refined Volatility Expansion in the Heston Model"
14.30-15.00:
Dr. Robert Schöftner (UBS Zürich)
"Market and Credit Risk Aggregation: A Bottom-Up Approach"
15.00-15.30:
Dipl.-Math. Benedikt Blum (FAM @ TU Wien)
"Superreplication and No-Arbitrage in Multiasset Models with
Transaction Costs"
15.30-16.00: Coffee Break
16.00-17.30: Presentations of Prize Winning Thesis
16.00-16.30:
Magdalena Six, MSc. (Institut für Betriebswirtschaftslehre,
Universität Wien)
"Dividendenverteilungsmechanismen in einem Markov'schen
Lebensversicherungsmodell"
(1st Prize 2009 of the Actuarial Association of Austria)
16.30-17.00:
Dipl.-Ing. Annemarie Mayer
"Bondoptionen im Risikomanagement der Generali Versicherung AG"
(2nd Prize 2009 of the Actuarial Association of Austria)
17.00-17.30:
Christoph Brodowicz, MSc.
"Pricing Synthetic Collateralized Debt Obligations using Normal
Approximation"
(3rd Prize 2009 of the Actuarial Association of Austria)
17.30-19.00: Bread and Wine
ABSTRACTS and LINKS: http://www.fam.tuwien.ac.at/prisma2010/
REGISTRATION:
There is no official registration - nevertheless for administrative
reasons we would be happy about a short e-mail to Mr. Christian
Gawrilowicz <secr(a)fam.tuwien.ac.at> including your name and organization.
CPD:
For actuaries, this workshop counts 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 Mr.
Christian Gawrilowicz <secr(a)fam.tuwien.ac.at> and sign up when you
actually attend the workshop.
--
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URL http://www.fam.tuwien.ac.at/mailman/listinfo/fam-news
This message was sent to sandra(a)fam.tuwien.ac.at
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Sandra Trenovatz, email sandra(a)fam.tuwien.ac.at, phone +43-1-58801-10511
Financial & Actuarial Mathematics (FAM@TU Wien) http://fam.tuwien.ac.at/
Wiedner Hauptstrasse 8 / E105-1 FAM, 1040 Vienna, Austria (DVR: 0005886)
This week we refer to a talk at University of Vienna. Please find below
already detailed information about the yearly PRisMa Workshop at TU Wien
on Friday, October 1st.
Fr, September 24, 2010, 14:00-15:00, Seminarraum C 209, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Aldo Pratelli: t.b.a.
(Seminar Finanzmathematik)
==========================================================
PRisMa 2010: One-Day Workshop on Portfolio Risk Management
==========================================================
WEB PAGE: http://www.fam.tuwien.ac.at/prisma2010/
ORGANIZED BY:
- PRisMa Lab: http://www.prismalab.at/
- FAM @ TU Vienna: http://www.fam.tuwien.ac.at/
DATE: Friday, October 1, 2010, 9:00-19:00
SPONSORED BY:
- Christian Doppler Research Association
- Bank Austria
- Austrian Federal Financing Agency (ÖBFA)
- FJA
LOCATION:
Vienna University of Technology
Wiedner Hauptstrasse 8-10 ("Freihaus")
1040 Vienna, Austria
Lecture Hall FH-HS 8 "Nöbauer" (yellow area, 2nd floor)
Participation is free. Everyone is welcome, practitioners are especially
encouraged to attend. Please find information for registration below the
program.
PROGRAM:
09.00-09.10: Welcome
09.10-10.00:
Prof. Dr. Anna Rita Bacinello (University of Triest)
"Variable Annuities: Risk Identification and Risk Assessment"
10.00-10.30: Coffee Break
10.30-11.15:
Prof. Dr. Walter Farkas (ETH Zürich, Universität Zürich)
"On Modelling and Option Pricing using Lévy Copula Processes"
11.15-12.00:
Dr. Zorana Grbac (Freiburg Center for Data Analysis and Modelling)
"Conditional Markov Chains and Credit Risk in the Lévy Libor Model"
12.00-14.00: Lunch Break
14.00-14.30:
Dr. Stefan Gerhold (FAM @ TU Wien)
"Refined Volatility Expansion in the Heston Model"
14.30-15.00:
Dr. Robert Schöftner (UBS Zürich)
"Market and Credit Risk Aggregation: A Bottom-Up Approach"
15.00-15.30:
Dipl.-Math. Benedikt Blum (FAM @ TU Wien)
"Superreplication and No-Arbitrage in Multiasset Models with
Transaction Costs"
15.30-16.00: Coffee Break
16.00-17.30: Presentations of Prize Winning Thesis
16.00-16.30:
Magdalena Six, MSc. (Institut für Betriebswirtschaftslehre,
Universität Wien)
"Dividendenverteilungsmechanismen in einem Markov'schen
Lebensversicherungsmodell"
(1st Prize 2009 of the Actuarial Association of Austria)
16.30-17.00:
Dipl.-Ing. Annemarie Mayer
"Bondoptionen im Risikomanagement der Generali Versicherung AG"
(2nd Prize 2009 of the Actuarial Association of Austria)
17.00-17.30:
Christoph Brodowicz, MSc.
"Pricing Synthetic Collateralized Debt Obligations using Normal
Approximation"
(3rd Prize 2009 of the Actuarial Association of Austria)
17.30-19.00: Bread and Wine
ABSTRACTS and LINKS: http://www.fam.tuwien.ac.at/prisma2010/
REGISTRATION:
There is no official registration - nevertheless for administrative
reasons we would be happy about a short e-mail to Mr. Christian
Gawrilowicz <secr(a)fam.tuwien.ac.at> including your name and organization.
CPD:
For actuaries, this workshop counts 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 Mr.
Christian Gawrilowicz <secr(a)fam.tuwien.ac.at> and sign up when you
actually attend the workshop.
The preliminary program of the PRisMa Day 2010 is online:
+---------------------------------------------------
|
| PRisMa 2010 -
| One-Day Workshop on Portfolio Risk Management
|
| Friday, October 1st, 2010
| Vienna University of Technology, Austria
|
| http://www.fam.tuwien.ac.at/events/prisma2010/
|
+---------------------------------------------------------
Furthermore this time we announce a talk at University of Vienna:
Tu, 17.08.2010, 16:00-17:00, seminar room D 103, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Richard Vierthauer (Christian-Albrechts-Universität zu Kiel)
http://www.numerik.uni-kiel.de/~jk/personen/vierthauer.html
"Exponential Utility Maximization and the Minimal Entropy
Martingale Measure in Affine Stochastic Volatility Models"
Abstract:
We show that the minimal entropy martingale measure (MEMM) exists if the
dynamics of multivariate assets belongs to a class of affine stochastic
volatility models characterized by their affine structure and an
additional structure condition. In this framework we solve the
corresponding exponential utility maximization problem. As an
application this leads to explicit formulas in some stochastic
volatility models allowing for multivariate volatilities. Since the
knowledge of the MEMM is a key ingredient for asymptotic exponential
utility-based pricing and hedging, we use our results in order to
compute first-order approximations of utility-indifference prices and
utility-based hedging strategies in affine stochastic volatility models.
We illustrate our results with a numerical example in the superposition
model of Barndorff-Nielsen & Shephard.
Timetable
Tu, 27.07.2010, 16:30, seminar room 107
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Markus Fischer (Brown University, Rhode Island, USA)
"Large deviation properties of weakly interacting
Ito processes"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tu, 29.06.2010, 16:30, seminar room 107
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Julia Eisenberg (University Cologne)
"Optimal Control of Capital Injections by Reinsurance
and Investments"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Furthermore this time we also announce ...
Mo, 28.06.2010, 16:30, seminar room D 107, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Vilimir Yordanov (Vienna Graduate School of Finance)
"Optimal Treasuries Issuance"
Timetable
Tu, 15.06.2010, 17:00, seminar room 107
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Alexander Hullmann (University Bonn)
"The Generative Topographic Mapping for Dimensionality
Reduction and Data Analysis"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Fr, 11.06.2010, 13:30 (!), seminar room 107
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Peter H. Gruber (Université Svizzera Italiana, Lugano)
"Three Make a Dynamic Smile - Unspanned Skewness and
Interacting Volatility Components in Option Valuation"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Furthermore this time we also announce a talk at the Institute of
Science and Technology Austria (IST Austria):
Fr, 11.06.2010, 10:15, Seminar Room Mondi 3
3400 Klosterneuburg, Am Campus 1, Central building, 1st floor
Radu Ioan Bot (Chemnitz University of Technology)
"Conjugate duality in convex optimization and beyond"
http://www.ist.ac.at/fileadmin/user_upload/pdfs/Talk_announcements/Talks100…