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
Beside the
PRisMa Day 2009 on Monday, September 28:
http://www.fam.tuwien.ac.at/events/prisma2009/
(there is no fee, nevertheless we ask for registration)
we refer to the
22nd Groupe Consultatif Colloquium "Pensions and Security"
organised by Actuarial Association of Austria on Fr., October 23:
http://www.avoe.at/veranstaltungen_groupe_consultatif.html
Please find details below.
Best regards,
Sandra Trenovatz
==========================================================
22nd Groupe Consultatif Colloquium "Pensions and Security"
==========================================================
Web Page:
http://www.avoe.at/veranstaltungen_groupe_consultatif.html
Date: Friday, October 23, 2009, 9:00-19:00
Program:
http://www.avoe.at/pdf/veranstaltungen/aktuell/GC_2009_Colloquium_brochure_…
Registration form:
http://www.avoe.at/pdf/veranstaltungen/aktuell/GC_2009_Colloquium_registrat…
Registration fee: 390 Euro
Closing date for registrations: October 2, 2009
Cancellation up to: October 12, 2009
Contact details:
European Actuarial Academy,
Hohenstaufenring 47-51
50674 Cologne
Germany
Phone: +49 221-912554-21
E-mail: contact(a)actuarial-academy.com
Organized by the Actuarial Association of Austria
http://www.avoe.at/
Location:
Vienna University of Technology
Lecture Theatre HS 17, Friedrich Hartmann Hörsaal
Karlsplatz 13 (Main Building)
Stiege VII, 3. Floor
1040 Vienna, Austria
http://www.wegweiser.ac.at/static/plaene/pdf/E_HS17_0038_00_1-1.pdf
Description of Event:
The theme of this year's Colloquium is pensions and security: risks in
pension systems and how to secure them. The past decade has brought
broad recognition of the importance of pension systems to the economic
stability of nations and the security of their ageing populations. As
countries around the world grapple with the long-term affordability of
their pensions systems, there are also growing demographic and economic
pressures that are forcing both developing and developed countries to
undertake urgent pension reforms. Most public pension schemes were not
designed to deliver current benefit levels when confronted with today's
major demographic and economic changes. Therefore, keeping existing
systems afloat will require either cutting public spending on health and
education, or cutting pensions drastically for the next generations of
elderly. The experience with reforms over the past ten years has also
shown that no one size fits all. The Colloquium will review a number of
the key issues which influence the risks and security of pension
systems, from various perspectives. There will be speakers from the
World Bank, the pensions industry, the actuarial profession and the
European Commission.
Program:
========
Thursday, October 22, 2009
19.00-21.30 Welcome reception and registration
Friday, October 23, 2009
09.30 Registration and coffee
10.00 Introduction and Welcome
Bruce Maxwell - Chairman, Groupe Consultatif
Philip Shier - Colloquium Chairman,
Chairman of Groupe Consultatif Pensions Committee,
Past President of Society of Actuaries in Ireland
Christoph Krischanitz - President Aktuarvereinigung Österreichs
10.30 Longevity and Morality Tables
Chresten Dengsoe - ATP Group, Denmark
11.30 Break
12.00 Defined Contribution Plans - Risks and Possibilities to Secure
or
Risks of Employers and of Employees in Different Pension Systems
Rokas Gylys - PriceWaterhouse, Lithuania Groupe
Consultatif Working Group on Defined Contribution
Schemes
13.00 Lunch
14.00 Accounting Rules - A System for Securing Pensions
David Cairns - The World Bank, Europe and Central Asia Region
15.00 Reinsurance - A Way to Achieve Security
Daria Kachakhidze - SCOR Global Life SE,
R&D Centre for Mortality and Longevity
16.00 Break
16.30 Update on Solvency for IORPs
Karel van Hulle (to be confirmed)
- European Commission Internal Market DG,
Insurance and Pensions Unit
17.30 Close of the Colloquium
Philip Shier - Colloquium Chairman
17.45 Coach departs for short drive from Technical University
18.30 Colloquium Dinner: Restaurant Oktogon Am Himmel
http://www.himmel.at/oktogon/
22:00 Return to hotels
Language:
The language of the Colloquium will be English
Continuous Professional Development:
Participants may claim up to 5 hours CPD for this Colloquium
Local Airlines:
- Fly Niki <http://www.flyniki.com/>
- Austrian Airlines: <http://www.aua.com/>
Railway: <http://www.oebb.at/>
Nearby Hotels: <http://alm.fam.tuwien.ac.at/hotels.php>
See you in Vienna! With best regards,
Uwe Schmock
--
Prof. Dr. Uwe Schmock
Institute for Mathematical Methods in Economics
Research Unit: Financial and Actuarial Mathematics
Vienna University of Technology
Wiedner Hauptstrasse 8-10/105-1
A-1040 Vienna
Austria
Personal Home Page:
<http://www.fam.tuwien.ac.at/~schmock/>
Financial and Actuarial Mathematics (FAM) at TU Vienna
<http://www.fam.tuwien.ac.at/>
CD-Laboratory for Portfolio Risk Management (PRisMa Lab)
<http://www.prismalab.at/>
PRisMa 2009: One-Day Workshop on Portfolio Risk Management
==========================================================
WEB PAGE: <http://www.fam.tuwien.ac.at/prisma2009/>
ORGANIZED BY:
- PRisMa Lab <http://www.prismalab.at/>
- FAM @ TU Vienna <http://www.fam.tuwien.ac.at/>
DATE: Monday, September 28, 2009, 9:00-19:00
SPONSORED BY:
- Christian Doppler Research Association
- Bank Austria
- Austrian Federal Financing Agency
- FJA
LOCATION:
Vienna University of Technology
Karlsplatz 13 (Main Building)
1040 Vienna, Austria
Lecture Hall HS 13 Ernst Melan (Court VII, 2nd floor)
Participation is free. Everyone is welcome, practitioners are especially
encouraged to attend.
PROGRAM:
09.00-09.10: Welcome
09.10-10.00:
Prof. Dr. Alexander Schied (Universität Mannheim)
"Order Book Resilience, Price Manipulation,
and the Positive Portfolio Problem"
10.00-10.30: Coffee Break
10.30-11.15:
Prof. Dr. Walter Schachermayer (Universität Wien)
"Representation Results for Law Invariant Time Consistent Functions"
11.15-12.00:
Dr. Beatrice Acciaio (University of Perugia)
"Risk Assessment for Cash Flows under Model and Discounting Ambiguity"
12.00-14.00: Lunch Break
14.00-14.45:
Dipl.-Math. Barbara Dengler (PRisMa Lab, FAM @ TU Wien)
"On the Asymptotic Variance of the Estimator of Kendall's Tau
for the t-Distribution"
14.45-15.30:
Dipl.-Math. Verena Goldammer (FAM @ TU Wien)
"Generalization of the Dybvig-Ingersoll-Ross Theorem
and Asymptotic Minimality"
15.30-16.00: Coffee Break
16.00-16.45:
Dr. Gregory Temnov (University College Cork)
"Natural Exponential Family with Stability Property
with Application to Financial Modelling"
16.45-17.30:
Dipl.-Ing. Christa Cuchiero (ETH Zürich)
"Affine Processes on Positive semidefinite matrices"
17.30-19.00: Bread and Wine
ABSTRACTS and LINKS: <http://www.fam.tuwien.ac.at/prisma2009/>
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.
LOCAL AIRLINES:
- Fly Niki <http://www.flyniki.com/>
- Austrian Airlines: <http://www.aua.com/>
RAILWAY: <http://www.oebb.at/>
NEARBY HOTELS: <http://alm.fam.tuwien.ac.at/hotels.php>
See you in Vienna! With best regards,
Uwe Schmock
--
Prof. Dr. Uwe Schmock
Institute for Mathematical Methods in Economics
Research Unit: Financial and Actuarial Mathematics
Vienna University of Technology
Wiedner Hauptstrasse 8-10/105-1
A-1040 Vienna
Austria
Personal Home Page:
<http://www.fam.tuwien.ac.at/~schmock/>
Financial and Actuarial Mathematics (FAM) at TU Vienna
<http://www.fam.tuwien.ac.at/>
CD-Laboratory for Portfolio Risk Management (PRisMa Lab)
<http://www.prismalab.at/>
There are no talks planned during summer time, so i refer to the
next FAM-event in September. Best regards, Sandra (FAM-office)
+-----------------------------------------------------+
| |
| PRisMa 2009 |
| "One-Day Workshop on Portfolio Risk Management" |
| |
| Monday, September 28th, 2009 |
| Vienna University of Technology, Austria |
| |
| http://www.fam.tuwien.ac.at/events/prisma2009/ |
| |
+-----------------------------------------------------+
Timetable
Thursday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Th, 09.07.2009 Carlo Sgarra (Politecnico di Milano, Italy)
"Risk premium and risk-neutral valuation in
electricity markets"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/