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reminder, this week's seminars
by Sandra Trenovatz 03 Feb '10

03 Feb '10

This week we inform about: - a 2-day-workshop at TU Wien, organised by FAM, on 1st & 2nd of March - series of talks at University of Vienna, beginning next week - and about the AnStAp10-Conference in July (registration is open!) ======================================================================== FAM @ TU Wien: 2 day workshop for students & practitioneers (in german) 2-tägiger Workshop: "Praxis der Finanz- und Versicherungsmathematik 2010" http://www.fam.tuwien.ac.at/events/praxisFVM2010/ Ort: Technische Universität Wien Hörsaal: EI 4 "Reithoffer" Gußhausstraße 25, Stiege VIII (Hauptstiege), 2. Stock Zeit: Montag, 1. März 2010 - Dienstag, 2. März 2010, jeweils 9.00-17.00 Uhr Ziel dieses Workshops bzw. dieser Block-Lehrveranstaltung ist das Kennenlernen des wirtschaftlichen, rechtlichen und praktischen Umfeldes eines Mathematikers in der Finanz- und Versicherungsbranche. Dazu finden in einem ersten Block Vorträge von Vertretern der Aktuarvereinigungen, der Finanzmarktaufsicht, der Nationalbank etc. statt, um das organisatorische und aufsichtsrechtliche Umfeld (v.a. aus Sicht von Mathematikern) vorzustellen. In einem zweiten Block sprechen Absolventen der Mathematik über ihren Tätigkeitsbereich in der Praxis der Versicherungswirtschaft sowie der Finanzbranche und stellen aktuelle praktische Problemstellungen vor. Die Teilnahme ist kostenlos. Aktuare können bei dieser Veranstaltung CPD-Punkte für ihre Weiterbildung sammeln. Eine Anmeldung ist erforderlich! Info auf der Webseite: http://www.fam.tuwien.ac.at/events/praxisFVM2010/ Sponsoren für Kaffeepausen sind herzlich willkommen. ======================================================================== Talks at the Faculty of Mathematics (Nordbergstrasse 15, 1090 Vienna): Mo, February 8, 2010, 13:30-15:00, seminar room D103 (1st floor) Peter Grandits: "Optimal consumption in a Brownian Model with absorption a finite time horison" Tu, February 9, 2010, 14:00-15:00, seminar room C714 (7th floor) Ivar Ekeland: "The Ramsey growth model in economic theory" Tu, February 16, 2010, 14:00-15:00, seminar room C714 Ivar Ekeland: "Solving the Hamilton-Jacobi equation" Tu, February 23, 2010, 14:00-15:00, seminar room C714 Ivar Ekeland: "Intergenerational equity, time inconsistency and equilibrium strategies" Tu, March 2, 2010, 14:00-15:00, seminar room C714 Ivar Ekeland: "Soving systems of Hamilton-Jacobi equation" ======================================================================== The registration of the AnStAp10-Conference is open: +------------------------------------------------ | | Analysis, Stochastics, and Applications - | A conference in Honor of Walter Schachermayer | | Vienna, July 12-16, 2010 | | http://www.mat.univie.ac.at/anstap10/ | +----------------------------------------------------

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reminder, this week's seminars
by Sandra Trenovatz 25 Jan '10

25 Jan '10

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/

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information about mailing lists, ...
by Sandra Trenovatz 16 Jan '10

16 Jan '10

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*. ----- 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" ----- +------------------- | 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

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Jacod/Todorov/Podolskij Talks on Jan 13
by Friedrich Hubalek 12 Jan '10

12 Jan '10

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

11 Jan '10

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

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reminder, this week's seminars
by Sandra Trenovatz 13 Dec '09

13 Dec '09

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

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reminder, this week's seminars
by Sandra Trenovatz 30 Nov '09

30 Nov '09

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/

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reminder, this week's seminars
by Sandra Trenovatz 09 Nov '09

09 Nov '09

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/

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reminder, this week's seminars
by Sandra Trenovatz 16 Oct '09

16 Oct '09

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.

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reminder, this week's seminars
by Sandra Trenovatz 12 Oct '09

12 Oct '09

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/

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