The reminder for next week is sent out earlier as this time wie also
announce an event taking place this Friday at TU Graz.
Tu, 01.06.2010, 9:30, seminar room 101B,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 3rd floor, green section
Markus Zahrnhofer (TU Graz)
"Modeling and pricing of temperature derivatives"
Tu, 01.06.2010, 16:30, seminar room 107,
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Stefan Thonhauser (University Lausanne)
"A randomized approach to analyzing the compound Poisson risk model
under periodic observations"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Furthermore this time we also announce ...
Fr, 28.05.2010, 10:45-16:45, HS 009
TU Graz, 8010 Graz, Stremayrgasse 16/EG
Kolloquium Finanz- und Versicherungsmathematik 2010
http://opt.math.tu-graz.ac.at/~mayer/Kolloquium/kolloquium2010
Speakers:
Elisabeth Gassner (RLB, Graz)
Peter Grandits (Technische Universität Wien)
Natalie Packham (Frankfurt School of Finance & Management)
Günther Sieghartsleitner (Uniqa, Wien)
Stefan Thonhauser (Universität Lausanne).
Timetable
Mo, 17.05.2010, 9.30-11.00, Seminar room 101C
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Karl F. Bannör (Lucht Probst Associates, Frankfurt/Main)
"The Longstaff-Schwartz approach to the optimal stopping problem"
Tu, 18.05.2010, 16.30, FH Hörsaal 4
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow section
Klaus D. Schmidt (Technische Universität Dresden)
"Lineare Modelle in der Schadenreservierung:
Korrelation, Prognose, und Prognosefehler"
Vortragsreihe aus Finanz- und Versicherungsmathematik
We, 19.05.2010, 12:00, seminar room 107
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Klaus D. Schmidt (Technische Universität Dresden)
"Markov-Ketten und Bonus-Malus Systeme"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Furthermore this time we also announce a talk at University of Vienna:
Mo, 17.05.2010, 16:30, seminar room D 107, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Constantin Tudor:
"Selected topics in fractional and sub-fractional Brownian motions"
Timetable
Tu, 11.05.2010, 16:30, seminar room 107
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Dilip Madan (University of Maryland, USA)
"Unlimited Liabilities, Reserve Capital Requirements
and the Taxpayer Put Option"
Tu, 11.05.2010, 18.30-20.00, FH Hörsaal 8 (Nöbauer Hörsaal)
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow section
David Millar (Chief Operating Officer PRMIA)
and Stefan Strehle and Christoph Obenhuber (PRM degree holders)
"PRMIA Education and Exam Information"
Furthermore this time we also announce ...
Mo, 10.05.2010, 16:30, seminar room D 107, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Emmanuel Denis (Ceremade, Universite Paris Dauphine)
"Consistent Price Systems and Arbitrage Opportunities
of the Second Kind in Models with Transaction Costs"
Furthermore we remind on the AnStAp10-Conference ...
Analysis, Stochastics, and Applications -
A conference in Honour of Walter Schachermayer
Vienna, July 12-16, 2010
http://www.mat.univie.ac.at/anstap10/
NEW:
Schedule as well as invited & contributed talks are online!
Poster submissions from young researchers are still welcome!
Timetable
Tu, 27.04.2010, 16:30, Seminar room 107
1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Gregory Temnov (University College Cork, Ireland)
"Extended stability property for exponential families:
a model for financial applications"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Due to the current flight situation Tomas Björk cannot come to Vienna,
So his talk tomorrow is cancelled.
Fr, 23.04.2010, _CANCELLED_
Tomas Björk (Stockholm School of Economics)
"Mean Variance Portfolio Optimization with State Dependent
Risk Aversion"
(see also: http://www.vgsf.ac.at/activities/seminar)
Th, 22.04.2010, 16:30, Seminarraum 101C (!!!)
(1040 Wien, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section)
Robert Stelzer (TU München)
"Derivative Pricing and Long Memory in the Multivariate Ornstein-
Uhlenbeck type Stochastic Volatility Model"
Abstract:
In this talk we consider a multivariate stochastic volatility model for
financial assets based on positive semi-definite Ornstein-Uhlenbeck type
processes. First we discuss the pricing of financial derivatives in this
model focusing especially on pricing via Laplace transforms and we show
that calibration to observed prices becomes very feasible when choosing
appropriate parametric assumptions. We illustrate this with a data
example from foreign exchange markets.
In the second part of the talk we consider an extension of the model
allowing to capture long range dependence in the squared returns. To
this end we introduce supOU processes defined in terms of a Levy basis
(or infinitely divisible independently scattered random measure). After
analysing some of their properties, we look at the implications of using
them as the instantaneous covariance matrix processes in a stochastic
volatility model.
(see also: http://www.fam.tuwien.ac.at/events/)
-------- Original Message --------
Subject: reminder, this week's seminars
Date: Tue, 20 Apr 2010 01:36:26 +0200
From: Sandra Trenovatz <sandra(a)fam.tuwien.ac.at>
To: fam-news(a)fam.tuwien.ac.at
This time we announce 2 talks at University of Vienna and at VGSF:
Tu, 20.04.2010, 15:00, Seminarraum D 101, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Paul Krühner, Christian Albrechts-Universität zu Kiel
"On a Heath-Jarrow-Morton Approach for Stock Options"
Fr, 23.04.2010, 16:30-17:30, Seminar Room 1
VGSF, Heiligenstädter Strasse 46-48, 1190 Wien
Tomas Björk (Stockholm School of Economics)
"Mean Variance Portfolio Optimization with State Dependent
Risk Aversion"
(see also: http://www.vgsf.ac.at/activities/seminar)
This time we announce 2 talks at University of Vienna and at VGSF:
Tu, 20.04.2010, 15:00, Seminarraum D 101, UZA 4
University of Vienna, Nordbergstraße 15, 1040 Wien
Paul Krühner, Christian Albrechts-Universität zu Kiel
"On a Heath-Jarrow-Morton Approach for Stock Options"
Fr, 23.04.2010, 16:30-17:30, Seminar Room 1
VGSF, Heiligenstädter Strasse 46-48, 1190 Wien
Tomas Björk (Stockholm School of Economics)
"Mean Variance Portfolio Optimization with State Dependent
Risk Aversion"
(see also: http://www.vgsf.ac.at/activities/seminar)
Timetable
Tu, 23.03.2010, 16:30, seminar room 107
TU Wien, 1040 Wien, Wiedner Hauptstr. 8,
Freihaus, 6th floor, green section
Stefan Gerhold (FAM @ TU Wien)
"Refined volatility expansion in the Heston model"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
---
Furthermore we also announce a talk at
University of Vienna, 1090 Wien, Nordbergstr. 15:
Mo, 22.03.2010, 16:30, seminar room D107, UZA 4
Beatrice Acciaio
"An introduction to Risk Measure (part I)"
seminars within one week:
Tu, 09.03.2010, 16:30, Freihaus, green area, 6th floor, seminar room 107
(TU Wien, Wiedner Hauptstr. 8, 1040 Wien)
Katja Krol (Humboldt University, Berlin)
"Minimal Entropy Martingale Measure for Lévy Processes"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Today there is also an interesting talk at Vienna University, Faculty of
Mathematics, Nordbergstr. 15, 1090 Wien:
Mo, 08.03.2010, 16:30 - 18:00 Uhr, Seminarraum D 107, UZA 4
Irene Klein (Vienna University)
"A large financial markets approach to bond markets"