[FAM-news] reminder for upcoming seminars and talks

Sandra Trenovatz sandra at fam.tuwien.ac.at
Mon Feb 23 04:48:02 CET 2015

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)
    "Analysis of survival times for a thresholded birth-death process"
    (Vienna Seminar in Mathematical Finance and Probability)

For further details (including abstracts) see

Austrian Stochastics Days 2015

Dear Colleagues,

We would like to invite you to participate in the

    4th Austrian Stochastics Days

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

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 at 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:


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)

    Hotel & Palais Strudlhof, Pasteurgasse 1, 1090 Wien, Austria

    Wednesday/Thursday, April 29-30, 2015

Official announcement and registration:

Organized by:
    OeFdV GmbH
    Actuarial Association of Austria

    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 at fam.tuwien.ac.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 
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.

   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


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