FAM-news

fam-news@fam.tuwien.ac.at

1 participants
1086 discussions

reminder, this week's seminars
by Sandra Trenovatz 11 Oct '10

11 Oct '10

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")

1 0

reminder, this week's seminars
by Sandra Trenovatz 04 Oct '10

04 Oct '10

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)

1 0

PRisMa 2010: One-Day Workshop on Portfolio Risk Management
by Sandra Trenovatz 27 Sep '10

27 Sep '10

========================================================== 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. -- ------------------------------------------------------------- FAM-news * The FAM-ily Newsletter <FAM-news(a)fam.tuwien.ac.at> URL http://www.fam.tuwien.ac.at/mailman/listinfo/fam-news This message was sent to sandra(a)fam.tuwien.ac.at You can change your subscription at http://www.fam.tuwien.ac.at/mailman/options/fam-news/sandra%40fam.tuwien.ac… -- 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)

1 0

reminder, this week's seminars
by Sandra Trenovatz 20 Sep '10

20 Sep '10

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.

1 0

reminder, this week's seminars
by Sandra Trenovatz 16 Aug '10

16 Aug '10

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.

1 0

reminder, this week's seminars
by Sandra Trenovatz 27 Jul '10

27 Jul '10

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/

1 0

reminder, this (next) week's seminars
by Sandra Trenovatz 25 Jun '10

25 Jun '10

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"

1 0

reminder, this week's seminars
by Sandra Trenovatz 14 Jun '10

14 Jun '10

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/

1 0

reminder, this week's seminars
by Sandra Trenovatz 07 Jun '10

07 Jun '10

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…

1 0

reminder, this/next week's seminars
by Sandra Trenovatz 26 May '10

26 May '10

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).

1 0

Jump to page:

2025

2024

2023

2022

2021

2020

2019

2018

2017

2016

2015

2014

2013

2012

2011

2010

2009

2008

2007

2006

2005

2004

2003

2002

2001

2000

FAM-news