------------------------------------------------------------------------ University of Vienna, Faculty of Mathematics ------------------------------------------------------------------------ Mo, 26.11.2012, 17:00, seminar room D 1.01 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Noam Berger (The Hebrew University of Jerusalem) http://www.ma.huji.ac.il/~berger/ "Random walk and percolation in balanced random environments" (Seminar on Probability Theory) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarWS12_prob.html ------------------------------------------------------------------------ Th, 29.11.2012, 17:00, seminar room D 1.01 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Josef Teichmann (ETH Zurich) http://www.math.ethz.ch/~jteichma/ "Robust calibration of models in finance" (Seminar on Mathematical Finance) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarWS12.html ------------------------------------------------------------------------ WPI - Wolfgang Pauli Institut ------------------------------------------------------------------------ Pauli Symposium on Mathematical Modeling: new directions and applications Monday, 26.11.2012, 15:00-18:00, Salon rouge 1090 Wien, Währinger Str. 30, Institut français - Palais Glam-Callas 15:00 Welcome 15:10 Pierre-Louis Lions (Collège de France) "On Mean Field Games" 15:45 Sylvie Meleard (Ecole Polytechnique) "Stochastic modeling of Darwinian evolution" 16:20 Ivar Ekeland (Univ. Paris-Dauphine) "Modeling limited liability" 17:00 Cocktail For further details see: http://www.wpi.ac.at/event_view.php?id_activity=174 http://www.wpi.ac.at/themedata/Pauli-Symposium-MathModel-26Nov2012 ------------------------------------------------------------------------ Pre-announcement of an WPI-event next year ------------------------------------------------------------------------ Mini-Course on Model Risk ^^^^^^^^^^^^^^^^^^^^^^^^^ Speaker: Denis Talay (INRIA) http://www-sop.inria.fr/members/Denis.Talay/me.html) Date: June 18-19, 2013 The duration of the mini-course will be 8 hours in sum. Place: Wolfgang Pauli Institut 1090 Vienna, Norberstrasse 15 Registration: Registration is free, but is mandatory! Please register by sending an email to <laurenceWPI(a)gmail.com> Please send only one email per registree, i.e. please do not try and register a second person. Registration will close when all seats are taken. Abstract: The objective of these lessons is to show that model risk, particularly financial model risk, is intrinsic to stochastic modelling, and that its analysis opens new challenging mathematical and numerical questions. We will also present recent results which concern strategies which, issued from the technical analysis, do not rely on a specific mathematical model and therefore are robust w.r.t model risk. Various theories will be used, such as statistics of random processes, stochastic control, Malliavin calculus, backward stochastic differential equations, viscosity solutions of nonlinear Partial Differential equations. However the course will be self-contained ------------------------------------------------------------------------