[FAM-news] reminder for upcoming seminars and talks

Sandra Trenovatz sandra at fam.tuwien.ac.at
Fri Nov 23 16:58:50 CET 2012


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University of Vienna, Faculty of Mathematics
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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

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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

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WPI - Wolfgang Pauli Institut
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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

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Pre-announcement of an WPI-event next year
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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 at 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

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