------------------------------------------------------------------------ This time we announce a two-days event and talks at University of Vienna ------------------------------------------------------------------------

Mo/Tu, 16.-17.01.2012, 10:00-12:30 & 14:00-16:00, C714, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien

Ernst Eberlein (University of Freiburg) http://www.stochastik.uni-freiburg.de/~eberlein/ "Fourier based valuation methods in mathematical finance"

Fred E. Benth (CMA, University of Oslo) http://folk.uio.no/fredb/ "Modelling and pricing in energy markets using jump processes"

Mini-course on "Fourier methods in mathematical finance with applications to Energy and Commodity markets" Organized by WPI,P. Laurence, F. Benth, V. Kholodny

For further details (including abstracts) see http://www.wpi.ac.at/event_view.php?id_activity=146

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Mo, 16.01.2012, 17:00, seminar room D101, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien

H. Mete Soner (ETH-Zürich) http://www.math.ethz.ch/~hmsoner/ "Merton problem with small transaction costs" (Wahrscheinlichkeitsseminar)

For further details (including abstracts) see www.mat.univie.ac.at/~finance_hp/seminarWS11.html

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We, 18.01.2012, 16:15-17:00, Olga Taussky-Todd Raum (C 209), UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien

H. Mete Soner (ETH-Zürich) http://www.math.ethz.ch/~hmsoner/ "Price and Risk" (Mathematisches Kolloquium)

Abstract: Everyday all financial institutions price diverse financial instruments and also evaluate the risk associated with their very complex portfolios. The reasons for pricing are clear and pricing is very closely related to the risk associated with the instrument considered.However, assesment of risk has several other and probably more important aspects than pricing.Firstly, there are regulatory constraints and secondly risk management starts with a proper evaluation of risk.Mathematical finance offers methods and also theories for these activities.In this talk, I will outline mathematical methods for pricing and risk measurement.Also discuss how and why they differ from each other.

15:45 coffee & cake, Common Room (C 206)

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Th, 19.01.2012, 17:00, C 209, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien

Wen-Shen Li (National Dong Hwa University, Taiwan) http://faculty.ndhu.edu.tw/~wenshen/ "Portfolio Optimization under Proportional Transaction Costs in Continuous Time: A Convex Duality Approach" (Seminar Finanzmathematik)

For further details (including abstracts) see http://www.mat.univie.ac.at/~finance_hp/seminarWS11_prob.html

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