Research Visits and Talks of PRisMa Lab Members

2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006

U. Schmock;
Quantitative Methods in Finance Conference (QMF), December 17-20, 2013, Sydney, Australia;
Scientific Cooperation with Dr. Pavel Shevchenko, CSIRO, Sydney, Australia;
Scientific Cooperation with Prof. Eckhard Platen, University of Technology Sydney, Australia;
Research visit: December 16 - January 17, 2013;
Plenary talk at QMF Conference: "Conditional Quantiles, Conditional Weighted Expected Shortfall and Application to Risk Capital Allocation", December 20, 2013.
Invited talk at CSIRO: "Adapted Dependence and Applications to Risk Management", December 23, 2013.

J. Hirz;
FAM-Seminar about High Frequency Trading, TU Vienna, Austria;
Talk: "Introduction to Cointegration with Applications to Finance", November 26, 2013.

T. Blümmel; S. Gerhold; J. Hirz; F. Hubalek;
Opening Symposium "Stochastics, Economics, and Architecture" of the Institute for Statistics and Mathematics, November 22, 2013, WU Wien, Austria.

U. Schmock;
Scientific research with Prof. Larry Goldstein, University of Southern California (USC), Los Angeles, California, U.S.A.;
Scientific research with Prof. Jaksa Cvitanic, California Institute of Technology (Caltech), Pasadena, California, U.S.A.;
Scientific research with Prof. Henry Schellhorn, Claremont Graduate University, California, U.S.A.;
Scientific research with Prof. Tze Lai and Prof. Kay Giesecke, Stanford University, Stanford, California, U.S.A.;
Scientific research with Prof. Xin Guo, University of California, Berkeley, California, U.S.A., entfällt, weil sie auf einer Tagung ist;
Research visit: Oktober 3 - November 4, 2013;
Invited talk at Stanford University: "Modeling and Estimation of Dependent Credit Rating Transitions", October 25, 2013;
Invited talk at Claremont Graduate University: "Estimation of Stochastic Dependence via Kendall's Tau", October 17, 2013;
Invited talk at University of Southern California: "Adapted Dependence and Applications to Risk Management", October 9, 2013.

S. Altay;
One-Day Workshop on Portfolio Risk Management (PRisMa Day 2013), September 27, 2013, Vienna University of Technology, Austria;
Talk: "Yield Curve Scenario Generation with Independent Component Analysis", September 27, 2013.

S. Gerhold;
One-Day Workshop on Portfolio Risk Management (PRisMa Day 2013), September 27, 2013, Vienna University of Technology, Austria;
Talk: "Local Volatility Models: Approximation and Regularization", September 27, 2013.

J. Hirz;
One-Day Workshop on Portfolio Risk Management (PRisMa Day 2013), September 27, 2013, Vienna University of Technology, Austria;
Talk: "Risk Measures: From the Unconditional to the Conditional Case", September 27, 2013.

U. Schmock;
18th ÖMG Congress and Annual DMV Meeting, September 23-27, 2013, University Innsbruck, Austria;
Research visit: September 23-26, 2013;
Co-Organiser of the Minisymposia "Actuarial and Financial Mathematics";
Talk: "On the Existence of an Equivalent Martingale Measure in the Dalang–Morton–Willinger Theorem, which Preserves the Dependence Structure", September 23, 2013.

J. Hirz;
Conference on Stochastic Analysis and Applications, September 23-27, 2013, Oxford-Man Institute of Quantitative Finance, University of Oxford, United Kingdom;
Research visit: September 22-26, 2013.

J. Heiny;
International Short Conference on Advances in Extreme Value Analysis and Application to Natural Hazards (EVAN2013), September 18-20, 2013, Siegen, Germany;
Research visit: September 17-20, 2013.

U. Schmock;
ETH Risk Day 2013, September 13, 2013, Zurich, Switzerland;
Research visit: September 13, 2013.

P. Porkert;
Doktoranden-Sommerschule im Rahmen des Sonderforschungsbereichs SFB-TR12, September 2-9, 2013, Ghiffa-Oggebbio, Italy;
Research visit: September 2-9, 2013;
Talk: "Zentrale Grenzwertsätze für Semimartingale für kurze Zeiten", September 6, 2013.

U. Schmock;
Doktoranden-Sommerschule im Rahmen des Sonderforschungsbereichs SFB-TR12, September 2-9, 2013, Ghiffa-Oggebbio, Italy;
Research visit: September 2-6, 2013;
Invited series of lectures: "Ausgewählte Themen der stochastischen Finanzmathematik I - IV", September 3-6, 2013:
I) "The Dalang-Morton-Willinger Theorem", September 3, 2013;
II) "On the Existence of an Equivalent Martingale Measure in the Dalang-Morton-Willinger Theorem, which Preserves the Dependence Structure", September 4, 2013;
III) "Interest Rate Modelling and the Dybvig­-Ingersoll­-Ross Theorem", September 5, 2013;
IV) "Generalization of the Dybvig-Ingersoll-Ross Theorem and Asymptotic Minimality", September 6, 2013.

T. Blümmel;
Workshop on Optimality of Payoffs and Risk Aggregation, August 27, 2013, Mathematical Institute, University of Freiburg, Germany;
Research visit: August 26-28, 2013.

J. Hirz;
Sixth European Summer School in Financial Mathematics, August 26-30, 2013, University of Vienna, Austria;

F. Hubalek;
Summer School in Economics and Finance - Canazei 2013, July 22-26, 2013, Alba di Canazei, Trento, Italy;
Research visit: July 21-27, 2013;
Invited lecture: "Quantitative Methods in Risk Management", July 22-26, 2013.

C. Rudolph;
17th International Congress on Insurance: Mathematics and Economics (IME 2013), July 1-3, 2013, University of Copenhagen, Denmark;
Research visit: June 28 - July 4, 2013;
Talk: "Generalized Panjer's Recursion for Dependent Claim Numbers", July 1, 2013.

f. Hubalek;
Mini-Course on Model Risk, June 19-20, 2013, Wolfgang Pauli Institute, Vienna, Austria;
Research visit: June 19-20, 2013.

K. Hirhager;
International Cramér Symposium on Insurance Mathematics, June 11-14, 2013, Stockholm University, Sweden;
Research visit: June 10-15, 2013;
Talk: "Conditional Quantiles, Conditional Weighted Expected Shortfall and Application to Risk Capital Allocation", June 11, 2013.

U. Schmock;
Advances in Mathematics of Finance - 6th General AMaMeF and Banach Center Conference, June 10-15, 2013, University of Warsaw, Warsaw, Poland;
Research visit: June 10-14, 2013;
Invited (panel) talk: "On the existence of an equivalent martingale measure in the Dalang-Morton-Willinger theorem, which preserves the dependence structure", June 12, 2013;
Member of the Scientific Committee.

S. Altay;
Advances in Mathematics of Finance - 6th General AMaMeF and Banach Center Conference, June 10-15, 2013, University of Warsaw, Warsaw, Poland;
Research visit: June 9-15, 2013;
Talk: "Digital double barrier options: Several barrier periods and structure floors", June 12, 2013.

J. Hirz;
Advances in Mathematics of Finance - 6th General AMaMeF and Banach Center Conference, June 10-15, 2013, University of Warsaw, Warsaw, Poland;
Research visit: June 9-15, 2013;
Talk: "Conditional quantiles, conditional weighted expected shortfall and application to risk capital allocation", June 13, 2013.

K. Hirhager and U. Schmock;
Long Term Guarantees, Seminar der Österreichische Förderungsgesellschaft der Versicherungsmathematik, June 6, 2013, Hotel Bellevue, Vienna;
Research visit: June 6, 2013;
Invited Talk: "Dependence of biometric and financial risks beyond the Solvency II framework", June 6, 2013.

K. Hirhager;
Defense Talk, TU Vienna, Austria;
Talk: "Adapted Dependence with Applications to Financial and Actuarial Risk Management", June 5, 2013.

F. Hubalek;
Kolloquium Finanz- und Versicherungsmathematik, May 24, 2013, TU Graz, Austria;
Invited Talk: "Joint analysis and estimation of stock prices and trading volume in stochastic volatility models jump", May 24, 2013.

T. Blümmel;
Workshop on Financial Bubbles, May 24, 2013, LMU Munich, Germany;
Research visit: May 23-24, 2013.

S. Altay; T. Blümmel; F. Hubalek; T. Rheinländer; U. Schmock;
Workshop on Current Topics in Mathematical Finance 2013, April 18-19, 2013, Vienna University of Economics and Business, Vienna, Austria;

U. Schmock;
Sixth Brazilian Conference on Statistical Modelling in Insurance and Finance, March 24-28, 2013, Maresias, Brazil;
Satellite Copula Workshop, March 19-20, 2013, Maresias, Brazil;
Research visit: March 17-29, 2013;
Keynote speech: "Adapted Dependence and Applications to Risk Management", March 27, 2013;
Keynote speech: "Modelling and Estimation of Stochastic Dependence", March 27, 2013;
Invited talk: "Modeling and Estimation of Dependent Credit Rating Transitions", March 20, 2013.

K. Hirhager;
Im Fokus: Karriere - Wie wir uns in einer chaotischen Welt zurechtfinden, w-fFORTE Veranstaltungsreihe, Vienna, Austria;
Research visit: March 4, 2013.

R. Kainhofer;
"Seminar Professionalismus / Berufsständisches Seminar" der Österreichische Förderungsgesellschaft der Versicherungsmathematik, Vienna, Austria;
Invited Talk: "Obligatorische Weiterbildung für Aktuare", March 1, 2013.

U. Schmock;
Actuarial and Financial Mathematics Conference: Interplay between Finance and Insurance (AFMathConf 2014), Academy House Brussels, February 7-8, 2013, Brussels, Belgium;
Research visit: February 6-8, 2013;
Invited talk: "Approximation and Aggregation of Risks by Variants of Panjer's Recursion", February 8, 2013.

F. Hubalek;
XIV Workshop on Quantitative Finance, January 24-25, 2013, University of Bologna, Rimini Campus, Rimini, Italy;
Research visit: January 23-27, 2013;
Member of the Scientific Comittee and discussant.

2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006