------------------------------------------------------------------------ Talk at the Computational Science Center (CSC) of University of Vienna ------------------------------------------------------------------------ Fr., 28.11.2014, 15.00, seminar room 11 Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Vinicius Albani (IMPA, Brasil - visiting researcher at CSC) http://w3.impa.br/~vvla/ "An Inverse Problem in Mathematical Finance" Abstract: Introduced by Bruno Dupire, Derman and Kani in the nineties, the local volatility model generalizes the classical Black-Scholes model, replacing the constant volatility by a deterministic function of the price and the time. We review some results concerning the associated calibration problem and propose some extensions and applications. ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 4.12.2014, 16:30, seminar room SR09 Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Michael Schmutz (University of Bern and FINMA, CH) "Risk based solvency frameworks and related challenges" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see http://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Th., 4.12.2014, 16:30, room SR D4.0.019 (EG) WU, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor Harry Zheng (Imperial College London) http://www.imperial.ac.uk/people/h.zheng "Utility-Risk Portfolio Selection" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see http://www.wu.ac.at/statmath/en/resseminar To find the room on the WU Campus search for "D4.0.019" on: http://gis.wu.ac.at/?roomShow=D4.0.019 ------------------------------------------------------------------------