Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 24.07.2007
Andreas H. Hamel
University Halle-Wittenberg, on leave
ORFE, Princeton University
"A duality theory for set-valued convex functions with
applications to set-valued convex risk measures"
Abstract:
Duality for extended real-valued convex functions is a well-studied,
even classical subject based on works of Fenchel, Moreau, Rockafellar,
among many others. A corresponding satisfying theory for functions
mapping into the power set of a partially ordered locally convex space
is still missing. Such a theory seems to be very desirable since it has
already been observed e.g. by Luc in 1989 that the dual of a convex
vector optimization problem 'is set-valued in nature'. Moreover, the
concept of convex set-valued risk measures has been defined recently in
financial mathematics which asks for a corresponding dual representation
theory.
We shall present a duality concept that is based on a new notion of
affine minorants for set-valued functions and show that almost every
concept (e.g. properness, sublinearity, conjugates, inf-convolution) and
result (e.g. biconjugation and Fenchel-Rockafellar duality theorems)
known in the scalar convex analysis can be established within the new
set-valued framework.
A special feature of the methodology is that proofs do not rely on the
corresponding scalar theory - as in almost every previous duality theory
for vector optimization problems. Finally, we shall show the theory at
work when applied to set-valued convex risk measures in order to give
dual representation results.
Timetable
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 26.06.2007 Peter Brandner (BM für Finanzen),
14:00, Seminar Ökonomie der Pensionsfonds,
t.b.a.
Tu, 26.06.2007 Alain Desrosieres homepage (INSEE, France),
16:30, Start-Seminar,
The history of statistics and probability theory as a
genre: styles of writing and social uses
Th, 28.06.2007 Josef Teichmann,
16:30, Start-Seminar,
An invitation to random Schrödinger operators V
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
seminars within one week
Tu, 19.06.2007 Franz X. Hof (ECON, TU Wien),
14:00, Sem 107,
"The Gains from Pension Reform",
Seminar Ökonomie der Pensionsfonds
Tu, 19.06.2007 Peter Imkeller (Humboldt University at Berlin, Germany),
16:30, FH 2,
"Optimal cross hedging of insurance derivatives",
Vortragsreihe aus Finanz- und Versicherungsmathematik
Th, 21.06.2007 Gerald Teschl,
16:30, Sem107,
"An invitation to random Schrödinger operators IV",
Start-Seminar
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 12.06.2007, 14:00
Robert Holzmann (The World Bank, Washington, USA)
"Multi-pillar Pension Reforms:
Experience, Lessons, and Challenges"
(Seminar Ökonomie der Pensionsfonds)
Tu, 12.06.2007, 16:30
Pavel Gapeev (WIAS Berlin, Germany)
"Constructing jump analogues of diffusions
and application to finance"
Th, 14.06.2007, 16:30
Josef Teichmann,
"An invitation to random Schrödinger operators III"
(START-Seminar)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Mo, 04.06.2007, 9:30, HS 14:
Monique Jeanblanc (Université d'Evry Val d'Essonne, France)
"Hedging defaultable claims: single default"
Mo, 04.06.2007, 11:15, HS 16:
Monique Jeanblanc (Université d'Evry Val d'Essonne, France)
"CDS prices in a general case - case of several
defaults - hedging strategies"
Tu, 05.06.2007, 14:00, Sem107, Seminar Ökonomie der Pensionsfonds:
Johannes Berger (IHS Wien)
Ten myths about social security reform (J. Stiglitz)
Tu, 05.06.2007, 16:30, Sem107:
Juan Pablo Ortega (Université de Franche-Comté, France)
"Stochastic Hamiltonian dynamical systems"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
As next week there are two talks on monday, the newsletter is send out
earlier then usual. Best regards, Sandra Trenovatz.
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 29.05.2007 Pavel Shevchenko homepage (CSIRO, Sydney, Australia)
Modelling Operational Risk
Th, 31.05.2007 Josef Teichmann, Start-Seminar,
An invitation to random Schrödinger operators II
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tu, 22.05.2007 Norbert Kirchler & René Knapp (TU Wien, Uniqa),
14:00, Sem 107, Seminar Ökonomie der Pensionsfonds,
The cold war against welfare
Th, 24.05.2007 Sonja Konwicsny (Quelle Lebensversicherung AG),
14:00, FH HS 3,
Solvency II
Th, 24.05.2007 Josef Teichmann and/or Gerald Teschl,
16:30, Sem 107, Start-Seminar,
An invitation to random Schrödinger operators
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 15.05.2007, 14:00, Seminar Ökonomie der Pensionsfonds,
Thomas Url (WIFO)
Makroökonomische Rückwirkungen des Aufbaus
kapitalgedeckter Altersvorsorgesysteme
Tu, 15.05.2007, 16:30
Fred Espen Benth (University of Oslo, Norway)
Options and the stochastic volatility model of
Barndorff-Nielsen and Shephard
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
seminars within one week:
Tu, 08.05.2007 14:00, Seminar Ökonomie der Pensionsfonds,
Rainer Münz (Erste Bank)
Pensionskassen in Österreich - Voraussetzungen,
Struktur, Begünstigte, verwaltetes Kapital
We, 09.05.2007 13:30, HS 7
Stefan Tappe (University of Munich, Germany)
Existence of Levy term structure models and invariance
problems
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
This week there are no talks on tuesday and thursday at 16:30.
As alternative you can visit lectures of the Wolfgang Pauli Institut:
Introductory minicourses on
"Optimal Transportation, gradient flows and entropy methods"
http://www.wpi.ac.at/event_view.php?id_activity=82
Timetable
Tuesday and Thursday,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
seminars within one week
Tu, 24.04.2007, 14:00
Ulrike Loy
t.b.a.
Talk within the Seminar Ökonomie der Pensionsfonds,
Tu, 24.04.2007, 16:30
Pavel Grigoriev (University of Leicester, UK)
Risk measures: law-invariance and time consistency
Th, 26.04.2007, 16:30
Josef Teichmann
A heat kernel approach to Interest Rate Models (Joint work by Jirô
Akahori, Thomas Steiner, Josef Teichmann and Takahiro Tsuchiya)
Talk within the START-seminar,
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/