The preliminary program of the PRisMa Day 2010 is online:
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|
| 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/
|
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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…
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)