[FAM-news] reminder for upcoming seminars and talks

Sandra Trenovatz sandra at fam.tuwien.ac.at
Sun Jan 15 18:43:51 CET 2012


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