Timetable
Tu, 26.01.2010, 16:30, seminar room 107
Eberhard Mayerhofer (Vienna Institute of Finance)
"On strong solutions of positive definite jump-diffusions"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
As in the upcoming week there are no talks at FAM, we refer to a talk at
Univ. of Vienna - furthermore we inform about a few *mailing lists*.
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Mo, January 18, 2010, 13:30-15:00, seminar room D103,
UZA 4, Univ. Wien, Faculty of Math., Nordbergstrasse 15, 1090 Wien.
Marcel Nutz (ETH Zürich):
"Bellman Equation and Risk Aversion Asymptotics
for Power Utility Maximization"
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| MAILING LISTS
+------------------------------
*FAM-news* mailing list
talks and events in the area of financial and actuarial mathematics,
everything at FAM (http://www.fam.tuwien.ac.at/events/),
additionally sometimes even more. sent once a week.
(this mail is sent via the FAM-news mailing list :)
*FAM-vr* mailing list
talks within the lecture series financial and actuarial mathematics
organised by FAM in cooperation with AVÖ (Aktuarvereinigung),
GVFW (Österreichische Gesellschaft für Versicherungsfachwissen)
UniVie and VIF: http://www.fam.tuwien.ac.at/vr/ .
Only a few mails per year - mainly for practitioneers.
*FAM-jobs* mailing list
job offers in the area of financial and actuarial mathematics
in austria (and internship offers for students worldwide):
http://www.fam.tuwien.ac.at/jobs/
announcements of job offers are free!
(for worldwide jobs we refer to http://www.math-jobs.com/)
*VFN-L* - Vienna Finance Newsletter
announcements of lectures, conferences (and more) about finance
and economics. everybody can post - a moderator decides
what is sent to the mailing list:
http://www.fam.tuwien.ac.at/mailman/listinfo/vfn-l
*VGSF* newsletter
talks & announcements of the Vienna Graduate School of Finance
http://www.vgsf.ac.at/vgsf/activities/seminar
*Math@UniVie, ESI, WPI, WK*
if you want to get a weekly announcement of talks & events at the
faculty of mathematics (university of vienna), ESI, WPI & WK
send an email to: Danijela.Radosavljevic(a)univie.ac.at .
find talks/events here: http://plone.mat.univie.ac.at/vortrage
I am very sorry to bother everybody again, but it was necessary to
reschedule the Viktor Todorv's talk once more.
Below is the updated information for the talks on Jan 13.
Friedrich Hubalek
We, 13.01.2010, 11:00-12:00, Seminar room C 7.14 (Wofgang Pauli Inst.),
(1090 Wien, Nordbergstr. 15, Univ. Wien, UZA4, 7th floor)
Jean Jacod (Université Paris VI):
"Statistics for high frequency data: some open problems"
We, 13.01.2010, 13:15 - 14:15, Seminar room D 1.01 (Mathematik),
(1090 Wien, Nordbergstr. 15, Univ. Wien, UZA4, 1st floor)
Viktor Todorov (Kellogg School of Management):
"Tails, Fears and Risk Premia"
We, 13.01.2010, 15:15-16:00 Uhr, Seminar room C 2.09
(1090 Wien, Nordbergstr. 15, Univ. Wien, UZA4, 2nd floor)
Mark Podolskij (ETH Zurich)
"Stein's Method, Malliavin Calculus and Central Limit Theorems"
(Außerordentliches Mathematisches Kolloquium)
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Timetable
Tu, 12.01.2010, 16:30, Freihaus Hörsaal 3,
(1040 Wien, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow section)
Pavel V. Shevchenko (CSIRO, Sydney)
"Quantitative modelling of financial risks"
(Vortragsreihe aus Finanz- und Versicherungsmathematik)
http://www.fam.tuwien.ac.at/events/vr/20100112.php
Furthermore also announce interesting talks at University of Vienna:
We, 13.01.2010, 11:00-12:00, Seminar room C 7.14 (Wofgang Pauli Inst.),
(1090 Wien, Nordbergstr. 15, Univ. Wien, UZA4, 7th floor)
Jean Jacod (Université Paris VI):
"Statistics for high frequency data: some open problems"
We, 13.01.2010, 14:00-15:00, Seminar room D 1.01 (Mathematik),
(1090 Wien, Nordbergstr. 15, Univ. Wien, UZA4, 1st floor)
Viktor Todorov (Kellogg School of Management):
"Tails, Fears and Risk Premia"
We, 13.01.2010, 15:15-16:00 Uhr, Seminar room C 2.09
(1090 Wien, Nordbergstr. 15, Univ. Wien, UZA4, 2nd floor)
Mark Podolskij (ETH Zurich)
"Stein's Method, Malliavin Calculus and Central Limit Theorems"
(Außerordentliches Mathematisches Kolloquium)
These talks and abstracts are (will be) announced on:
http://plone.mat.univie.ac.at/talks/calendar
This week we refer to the following talks:
Tu, December 17, 2009, 15:00-16:00
1090 Wien, Nordbergstrasse 15, Seminarraum C 714 (WPI Seminarraum)
- Ziehaus Christina (FAM @ TU Wien)
"Optimal Risk Sharing for Quasi Convex Risk Measures"
- Karlsson Sara (FAM @ TU Wien)
"Translation of market information the Levy measure code book"
WK Student Seminar.
http://www.wpi.ac.at/talks_view.php
Fr., December 18, 2009, 15:15-16:00
1090 Wien, Nordbergstrasse 15, Seminarraum C 209, UZA 4
- Josef Teichmann (ETH Zürich)
"A dynamic approach to scenario generation for risk management"
Außerordentliches Mathematisches Kolloquium.
http://plone.mat.univie.ac.at/talks/calendar
Fr., December 18, 2009, 15:30-17:00
1190 Wien, Heiligenstädter Strasse 46-48, Seminar Room 1
- Philipp Illeditsch (University of Pennsylvania, Finance Department)
"Ambiguous Information, Risk Aversion, and Asset Pricing"
VGSF-Seminar:
http://www.vgsf.ac.at/activities/seminar
Timetable
Tu, 01.12.2009, 16:30, seminar room 107
(1040 Wien, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section)
Laszlo Gyorfi
(Budapest University of Technology and Economics)
"Portfolio games"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
This week there are no talks at FAM (TU Vienna), but we refer to talks
at University of Vienna (Nordbergstrasse 15, 1090 Wien):
- Monday, Nov. 2, 2009, 13:30-15:00, D103, UZA 4
Aldo Pratelli (Universita di Pavia, Italy)
"On a conjecture by Auerbach"
(Seminar Finanzmathematik, W. Schachermayer)
- Thursday, Nov. 5, 2009, 15:15-16:30, C 207, UZA 4
Stephan Sturm
"Large Deviations and Dirichlet Forms"
Furthermore we inform about recruitment talks for the professorship
Stochastic Methods in Economics (focusing on problems in mathematical
finance and risk management):
We, 11.11.2009, 10:30, Rüdiger Frey (Universität Leipzig)
We, 11.11.2009, 14:00, Jan Kallsen (Universität Kiel)
We, 11.11.2009, 16:15, Syliva Frühwirth-Schnatter (Universität Linz)
Th, 12.11.2009, 10:00, Thorsten Schmidt (TU Chemnitz)
Th, 12.11.2009, 13:30, Mark Podolskij (ETH Zürich)
We, 18.11.2009, 12:00, Paolo Guasoni (Dublin City University)
More details will be announced next week.
You can find the details on: http://www.fam.tuwien.ac.at/events/
Timetable
Tu, 20.10.2009, 16:30, Freihaus Hörsaal 3
(1040 Wien, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow section)
Giovanni Cesari (UBS Investmentbank London)
"Modelling, Pricing, and Hedging Counterparty Credit Exposure
(Vortragsreihe aus Finanz- und Versicherungsmathematik)
http://www.fam.tuwien.ac.at/events/vr/20091020.php
Furthermore this time we also announce two interesting talks at
University of Vienna:
Th, 22.10.2009, 11:15-12:15, Seminarraum S1
(1090 Wien, Althanstrasse 12)
Patrick Cheridito (Princeton University)
"Processes of class Sigma, last passage times and drawdowns"
(Abstract below)
Th, 22.10.2009, 13:15, Seminarraum C 209
(1090 Wien, Nordbergstr. 15, UZA 4)
Nicolas Vogelpoth (Vienna Institute of Finance)
"L^0-convex Analysis and Conditional Risk Measures"
http://plone.mat.univie.ac.at/events/2009/defensio-nicolas-vogelpoth.pdf
---
Abstract of P. Cheridito's talk:
"Processes of class Sigma, last passage times and drawdowns"
(joint work with Ashkan Nikeghbali and Eckhard Platen)
We propose a general framework to study last passage times, suprema and
drawdowns of a large class of stochastic processes. A central role in
our approach is played by processes of class Sigma. After investigating
convergence properties and a family of transformations that leave
processes of class Sigma invariant, we provide three general
representation results. The first one allows one to recover a process of
class Sigma from its final value and the last time it visited the
origin. In many situations this gives access to the distribution of the
last time a stochastic process hit a certain level or was equal to its
running maximum. It also leads to a formula recently discovered by
Madan, Roynette and Yor expressing put option prices in terms of last
passage times. Our second representation result is a stochastic integral
representation of certain functionals of processes of class Sigma, and
the third one gives a formula for their conditional expectations. From
the latter one can deduce the laws of a variety of interesting random
variables such as running maxima, drawdowns and maximum drawdowns of
suitably stopped processes. As an application we discuss the pricing and
hedging of options that depend on the running maximum of an underlying
price process and are triggered when the underlying drops to a given
level or alternatively, when the drawdown or relative drawdown of the
underlying attains a given height.
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 13.10.2009 Wolfgang Runggaldier
(University of Padua, Italy)
"Pricing under incomplete information without
equivalent martingale measures"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
seminars within one week
Tu, 06.10.2009, 16:30, HS 7 Schütte-Lihotzky (Karlsplatz 13,
main building of TU, stair case 7, ground floor)
Mario Wüthrich (ETH Zürich, Switzerland)
"Modellierung des Abwicklungsergebnisses im neuen
Solvenz-Modell"
Vortragsreihe aus Finanz- und Versicherungsmathematik
http://www.fam.tuwien.ac.at/events/vr/20091006.php
Th, 08.10.2009, 10:30, Hörsaal 4 Hochstetter (Karlsplatz 13,
main building of TU, court 1, ground floor)
Martin Schweizer (ETH Zürich, Switzerland)
"Horizon-dependence in optimal portfolio choice"
http://www.fam.tuwien.ac.at/events/index.php?showabstract=20091008