------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 26.02.2015, 16:30, seminar room SR09 Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Francesc Font Clos (Centre de Recerca Matemàtica, Spain) http://www.crm.cat/en/About/People/Researchers/fontclos/ "Analysis of survival times for a thresholded birth-death process" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Austrian Stochastics Days 2015 ------------------------------------------------------------------------ Dear Colleagues, We would like to invite you to participate in the 4th Austrian Stochastics Days https://fam.tuwien.ac.at/asd2015/ which will be held in Vienna from 28th to 29th of September 2015. Our invited speakers will be Evelyn Buckwar (Johannes Kepler University Linz) Jiří Černý (University of Vienna) This event shall especially give young researchers the opportunity to present their work and to network with other colleagues from or near Austria. Therefore, we would also ask you to forward this announcement to doctoral students and postdocs within your research group and department! Every participant is invited to submit a talk. The duration of talks is expected to be about 20 minutes (plus 5 minutes discussion) but depending upon the number of submissions this may slightly be adjusted (+/- 5 minutes). For submission please send title and abstract (plain text) to austrian.stochasticdays(a)gmail.com until August 15, 2015. In order to have time to talk to each other we also plan to meet for dinner in the evening of the 28th of September. For more information please visit: https://fam.tuwien.ac.at/asd2015/ Best regards and looking forward seeing you, Friedrich Hubalek and Christian Kühn (Vienna University of Technology) ------------------------------------------------------------------------ Two-Day Seminar "A Benchmark Approach to Investing, Pricing and Hedging" ------------------------------------------------------------------------ Two-Day Seminar "A Benchmark Approach to Investing, Pricing and Hedging" by Prof. Dr. Eckhard Platen (UTS Business School, University of Technology Sydney, Australia) Location: Hotel & Palais Strudlhof, Pasteurgasse 1, 1090 Wien, Austria <http://www.strudlhof.at/en/hotel-strudlhof/> Dates: Wednesday/Thursday, April 29-30, 2015 Official announcement and registration: <http://www.avoe.at/veranstaltungen_avoe.html> Organized by: OeFdV GmbH Actuarial Association of Austria Language: Presentation in English, Dialogs in German Targeted Audience: ------------------ Actuaries and financial experts within the insurance and pension industry who are valuing insurance or pension liabilities; asset managers looking for systematic improvements in long-term portfolio growth; regulators; derivative experts; those interested in innovative developments in financial and actuarial mathematics. Financial Support for Students: ------------------------------- To promote the actuarial profession, a limited number of full-time Master (in the final phase of their studies) and PhD students interested in financial and actuarial mathematics may attend the two-day seminar at a sponsored, substantially reduced price of 240 Euro (which includes 20% sales tax, lunch and coffee breaks on both days, but doesn't give a CPD certificate for actuaries). Interested students are kindly asked to apply for these special seminar places by sending their curriculum vitae, proof of their status as Master or PhD student, the topic or research area of their thesis, and the name and e-mail address of their academic advisor to <office(a)fam.tuwien.ac.at>at>. A committee headed by Prof. U. Schmock (TU Vienna) will start selecting students by the beginning of March until the available places are filled. About the Speaker: ------------------ Professor Eckhard Platen holds the Chair in Quantitative Finance at the University of Technology Sydney. He is the President of the Bachelier Finance Society, the professional organization for Mathematical Finance and Quantitative Finance. He initiated and has been chairing the leading annual international conference series Quantitative Methods in Finance for more than 20 years. He has a PhD in Mathematics from the Technical University in Dresden and obtained his Dr. Sc from the Academy of Sciences in Berlin, where he was heading the Sector Stochastics at the Weierstrass Institute. He was the Founding Head of the Centre for Financial Mathematics at the Institute of Advanced Studies at the Australian National University in Canberra and is Adjunct Professor of this university. He is an Honorary Professor at the University of Cape Town. He is co-author of three books on simulation methods, a fourth book on his innovative benchmark approach, and a fifth book on functionals of multidimensional diffusions with applications to finance, all at Springer-Verlag. He has authored more than 180 papers in finance, insurance and applied mathematics and serves on the editorial boards of seven international journals, including Mathematical Finance and Quantitative Finance, and a Springer book series. His main interests are in the extension and application of his benchmark approach, with focus on the valuation and hedging of pension and insurance liabilities beyond classical approaches. This is closely linked to his interest in high-growth long-term asset management. He has been consulting for market leaders in the insurance and finance industry for more than 20 years. About the Seminar: ------------------ We would be delighted if you could join us for a two-day seminar presented by Professor Eckhard Platen (University of Technology Sydney). Prof. Platen is one of the world's leading academic and industry research figures in Quantitative Finance and is in high demand as a presenter and instructor. His seminar will be based on the book "A Benchmark Approach to Quantitative Finance" by Eckhard Platen and David Heath (2006) and a series of more recent journal articles. This mini-course introduces into the benchmark approach, which provides a general framework for insurance and financial market modelling. It allows for a unified treatment of portfolio optimization, liability valuation and hedging, derivative pricing, financial planning, insurance and risk management. It extends beyond the classical asset pricing theories, with significant new possibilities emerging for portfolio optimization and long-dated liabilities. The Law of the Minimal Price will be presented for minimal possible valuation. A Diversification Theorem allows forming an extremely well performing proxy for the numeraire portfolio, the benchmark. The richer modelling framework of this approach leads to the construction of parsimonious, realistic long-term models under the real world probability measure. It will be explained how the approach generalizes classical portfolio optimization, the standard risk-neutral approach and the actuarial approach. Hands-on examples about the valuation and hedging of long-term pension and insurance liabilities will demonstrate the important fact that a range of liabilities can be less expensively valued and hedged than suggested by classical theory. Topics: -------- 1. Best Performing Portfolio as Benchmark 2. Various Approaches to Asset Pricing 3. Valuation and Hedging of Long-Term Liabilities 4. Parsimonious Long-Term Models 5. Benchmarked Risk Minimization ------------------------------------------------------------------------