Research Visits and Talks of PRisMa Lab Members

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

J. Teichmann
Research with Prof. Robert Tichy, TU Graz, Austria;
Research Visit: November 29 - December 3, 2006;
Invited talk: "Weak and strong Taylor Approximations for the solution of Kolmogorov's equation with Applications to Libor Market Models" (joint work with Maria Siopacha), December 1, 2006.

B. Blum
Diploma seminar, Institute for mathematical Finance, TU München, Garching b. München, Germany
Invited talk: "Deterministic pricing of options in exponential Lévy models", November 29, 2006.

F. Hubalek
Research with Petra Posedel, Department of Mathematics, Faculty of Economics, University of Zagreb, Croatia;
Research Visit: November 28 - December 2, 2006;
Invited seminar talk: "Explicit variance optimal hedging for assets with stationary independent increments with some applications", Nov 30, 2006.

B. Dengler
Workshop on copulas, Lévy processes and Lévy copulas with applications to financial modelling , November 24, 2006, TU München, Germany;
Research Visit: November 23-26, 2006.

W. Schachermayer
Colloquium in honor of Professor F. Delbaen , ETH Zurich, Switzerland;
Research Visit: November 22-24, 2006;
Invited talk: "The Mathematics of Arbitrage", November 23, 2006.

S. Klöppel
Oberwolfach-Seminar "Dependence and Tail Modelling with Applications to Finance, Insurance, Teletraffic and Climate", November 19-25, 2006, Mathematisches Forschungsinstitut Oberwolfach, Germany;
Research Visit: November 18-26, 2006;
Talk: "Dynamic utility-based good deal bounds", November 20, 2006.

U. Schmock
TU Berlin, Germany;
Research Visit: November 7 - 10, 2006;
Invited talk: "Modelling and Aggregation of Dependent Credit or Operational Risks", November 9, 2006.

W. Schachermayer
Research with Prof. Ioannis Karatzas and Dr. Peter Bank, Probability Seminar at Columbia University, and Thirteenth Annual CAP Workshop on Derivative Securities and Risk Management, November 3, 2006, of the Center for Applied Probability, New York, U.S.A.;
Research Visit: October 21 - November 3, 2006;
Mini course of four lectures: "Functional-Analytic Methods in Finance", October 24 - November 1, 2006;
Invited talk at the Probability Seminar: "A Super-Replication Theorem in Kabanov's Model of Transaction Costs", October 27, 2006;
Invited talk at CAP workshop: "Optimal risk sharing for law invariant monetary utility functions", November 3, 2006.

J. Teichmann
Research with Prof. Ernst Eberlein, Universität Freiburg, Germany;
Research Visit: November 1-4, 2006;
Invited talk: "Calculating the Greeks for Jump-Diffusions" (joint work with Barbara Forster and Eva Luetkebohmert), November 3, 2006.

S. Gerhold
Lecture Series 'Wissenswertes aus der Mathematik', TU Vienna, Austria;
Talk: "Automatisches Beweisen von Identitäten"; October 30, 2006.

U. Schmock
Risk Day 2006, ETH Zürich, Switzerland;
Research Visit: October 20, 2006;
Invited Talk: "Modelling and Aggregation of Dependent Credit or Operational Risks"; October 20, 2006.

U. Schmock
Informationsveranstaltung 'Unternehmensweites Risikomanagement', Wirtschaftskammer Wien, Austria;
Invited Talk: "Forschungsprojekte im Bereich des finanziellen Risikomanagements", October 3, 2006.

F. Hubalek
Centre of Mathematics for Applications, Department of Mathematics, University of Oslo, Norway
Research Visit: October 1 - October 4, 2006;
Invited seminar talk: "Simple explicit variance-optimal hedging for path-dependent and multi-asset derivatives", Oct 3, 2006.

PRisMa Day 2006
One-Day Workshop on Portfolio Risk Management (PRisMa 2006), September 26, Vienna, Austria;
Talks:
J. Teichmann - Flexibility of OU-Interest Rate Models
S. Gerhold - An Implementation of the LIBOR Market Model for Pricing Exotic Constant Maturity Swaps
I. Slinko - Finite State Space Representation of Forward Interest Rates on a Foreign Exchange Market
F. Hubalek - Simple Explicit Variance-Optimal Hedging for Path-Dependent and Multi-Asset Derivatives
G. Temnov - Combined Methodology for Modelling and Measuring Operational Risk
C. Bayer - Discretization of SDEs: Euler Methods and Beyond

U. Schmock
Workshop on Financial Engineering and Risk Management (FERM06), September 25, Vienna, Austria;
Invited Talk: "Modelling and Aggregation of Dependent Credit and Operational Risks", September 25, 2006.

W. Schachermayer
Erlebniswelt Forschung - 10 Jahre Wittgenstein-Preis, September 21, Vienna, Austria;
Invited Talk: "Wie verlässlich ist der Zufall? Mathematik und Finanzmärkte", September 21, 2006.

W. Schachermayer
Journées de Probabilité, September 18-22, 2006, Marseille Luminy, France;
Research Visit: September 18-20, 2006;
Invited talk: "A Super-Replication Theorem in Kabanov's Model of Transaction Costs", September 19, 2006.

G. Temnov
4th Conference in Actuarial Science & Finance on Samos, September 14-17, 2006, Samos, Greece;
Research Visit: September 13-19, 2006;
Invited talk: "Combined extreme value theory with credibility methods for modelling operational risk", September 14, 2006.

J. Leitner
Workshop on Securitization of Weather and Climate Risk, August 31 - September 2, 2006, Humboldt-University, Berlin, Germany;
Research Visit: August 30 - September 2, 2006;
Talk: "Pricing and hedging with globally and instantaneously vanishing risk", September 2, 2006.

S. Gerhold
Vienna University of Technology;
Talk: "Crashcourse Interest Rate Models", August 30, 2006.

S. Gerhold
Vienna University of Technology;
Talk: "An Implementation of the LIBOR Market Model", August 30, 2006.

G. Temnov
XXVI. Seminar on Stability Problems for Stochastic Models -->, August 27 - September 2, 2006, Sovata-Bai, Romania;
Research Visit: August 27 - September 3, 2006;
Invited talk: "Combined methodology for managing operational risk", August 29, 2006.

J. Teichmann
Research at University of Osaka, Japan;
Research Visit: August 24-26, 2006;
Invited Talk: "Optimal Transportation", August 25, 2006.

J. Teichmann
International Conference on Mathematical Finance, August 21-23, 2006, Kanazawa, Japan;
Research Visit: August 20-23, 2006;
Invited Talk: "How to make Cubature Formulas feasible?", August 23, 2006.

R. Kainhofer
MCQMC 2006, 7th International Conference on Monte Carlo and Quasi-Monte-Carlo Methods in Scinetific Computing, August 14-18, Ulm, Germany;
Research Visit: August 13-18, 2006;
Talk: "Corner avoidance properties of various low discrepancy sequences", August 18, 2006.

W. Schachermayer
2006 IMS Annual Meeting, July 30 - August 4, 2006, Institute of Mathematical Statistics, Rio de Janeiro, Brazil;
Research Visit: July 29 - August 4, 2006;
Invited talk: "Optimal risk sharing for law invariant monetary utility functions", August 3, 2006.

U. Schmock
Summer Course in Mathematics, July 23 - August 12, 2006, Scuaola Matematica interuniversitaria, Sesto Fiorentino, Italy;
Research Visit: July 24 - August 11, 2006;
Invited Sommer Course: "Mathematical Finance", July 24 - August 11, 2006.

B. Dengler
Summer Course in Mathematics, July 23 - August 12, 2006, Scuaola Matematica interuniversitaria, Cortona, Italy;
Research Visit: July 23 - August 11, 2006.

P. Grandits
10th International Congress on Insurance: Mathematics and Economics, July 18-20, Leuven, Belgium;
Research Visit: July 17-21, 2006;
Talk: "Optimal expected exponential utility of dividend payments in a Brownian risk model", July 20, 2006.

G. Temnov
31st Conference on Stochastic Processes and their Applications, July 17-21, 2006, Paris, France;
Research Visit: July 16-22, 2006;
Invited poster presentation: "Combining extreme value theory, credibility methods and point processes in operational risk modeling", July 17-18 (2-days poster session), 2006.

J. Teichmann
Research with Prof. Marc Quincampoix, Université de Bretagne Occidentale, Brest, France;
Research Visit: July 8-18, 2006;
Invited Lecture "Existence Theorems for the Monge-Kantorovich-Problem", July 11, 2006.

W. Schachermayer
9th International Vilnius Conference on Probability Theory and Mathematical Statistics , June 25-30, 2006, Vilnius, Lithuania;
Research Visit: June 25-30, 2006;
Invited talk: "Optimal risk sharing for law invariant monetary utility functions", June 30, 2006.

W. Schachermayer
Panel "Excellence Cluster Germany", June 19-21, 2006, Bad Honneff, Germany;
Invited Expert, June 19-21, 2006;

W. Schachermayer
CAIMS-MITACS 2006 Joint Annual Conference , June 15-20, 2006, York University, Toronto, Canada;
Research Visit: June 15-18, 2006;
Invited talk: "Optimal risk sharing for law invariant monetary utility functions", June 17, 2006.

J. Leitner
TU Berlin, Deutschland;
Invited talk: "Non-Additive Insurance Markets", June 16, 2006.

J. Leitner
Uni Frankfurt, Deutschland;
Research Visit: May 31, 2006.

W. Schachermayer
Workshop 'Optimization problems in financial economics 06w5028' , Banff Research Institute, Banff, Canada;
Research Visit: May 20-26, 2006;
Talk: "Optimal risk sharing for law invariant monetary utility functions", May 24, 2006.

J. Leitner
Lecture Series 'Wissenswertes aus der Mathematik', TU Vienna, Austria;
Talk: "Optimale Portfolios mit 'lower partial moment constraints'"; May 29, 2006.

S. Gerhold
Arbeitsgemeinschaft Diskrete Mathematik,TU Vienna, Austria;
Invited Talk: "Non-Holonomic Sequences and Functions", May 16, 2006.

S. Gerhold
Radon Seminar, Johann Radon Institute for Computational and Applied Mathematics, Linz, Austria;
Invited Talk: "Special Functions: Applications of Computer Algebra in Stochastics", May 4, 2006.

W. Schachermayer
International Symposium Mathematics for the 21st Century (Matemáticas para el siglo XXI), May 3-4, 2006, Madrid, Spain;
Research Visit: May 3-4, 2006;
Invited talk: "The Notion of Arbitrage and Free Lunch in Mathematical Finance", May 3, 2006.

U. Schmock
Fourth annual plenary meeting of the Center of Competence Finance (CCFZ), University of Zurich, Switzerland;
Research Visit: May 3, 2006.

R. Schöftner
Research with Prof. McNeil, ETH Zurich, and Prof. Leippold, University of Zurich, Switzerland;
Research Visit: April 28 - May 4, 2006.

P. Grandits
University of Aarhus, Denmark;
Research Visit: April 24-27, 2006
Invited talk: "Optimal expected exponential utility of dividend payments in a Brownian risk model", April 25th, 2006.

U. Schmock
First Conference of Advanced Mathematical Methods for Finance, April 26-29, Antalya, Turkey;
Research Visit: April 26-30, 2006.

U. Schmock
Workshop on on Risk Analysis and Management, April 23-25, Antalya, Turkey;
Research Visit: April 21-25, 2006;
Invited lecture: "CreditRisk+ and Extensions.", April 24/25, 2006.

J. Teichmann
First Conference of Advanced Mathematical Methods for Financeand Workshop on on Risk Analysis and Management, April 23-29, Antalya, Turkey;
Research Visit: April 25-29, 2006;

R. Kainhofer
Finanzmarktaufsicht (FMA), Vienna, Austria;
Talk: "Die Rentenversicherungssterbetafel AVÖ 2005R", April 10, 2006.

S. Gerhold
FAM-Seminar, TU Vienna, Austria;
Talk: "The current state of the OeBFA module of the CD laboratory", April 4, 2006.

W. Schachermayer
2006 Seminar on Stochastic Processes, March 23-25, 2006, Princeton University, Princeton, NJ, USA;
Research Visit: March 22-25, 2006;
Invited talk: "A Super-Replication Theorem in Kabanov's Model of Transaction Costs", March 23, 2006.

W. Schachermayer
Research with Prof. Dmitry Kramkov, Department of Mathematical Sciences, Carnegie Mellon University, Pittsburgh, PA, 15213-3890, USA;
Research Visit: March 19-21, 2006;
Invited talk: "A Super-Replication Theorem in Kabanov's Model of Transaction Costs", March 20, 2006.

W. Schachermayer
ICAM 2006, International Congress on the Applications of Mathematics, March 13-17, 2006, Universidad de Chile, Santiago de Chile, Chile;
Research Visit: March 13-18, 2006;
Plenary talk: "Optimal risk sharing for law invariant monetary utility functions", March 16, 2006.

R. Schoeftner
Frankfurter Stochastik-Tage 2006, March 14 to 17, 2006, Goethe-Universität, Frankfurt am Main, Germany;
Research Visit: March 13-17, 2006;
Talk: "Time-Varying Dependence Modelling of Market and Credit Risk", March 15, 2006.

W. Schachermayer
10. Internationale Tagung über Schulmathematik, February 26 to March 1, 2006, TU Vienna, Austria;
Invited talk: "Die Rolle der Mathematik auf den Finanzmärkten", February 27, 2006.

J. Leitner
Seminar on Insurance and Finance, Universität Bonn, Germany;
Invited talk: "Optimal Portfolios with Lower Partial Moment Constraints and LPM-Risk-Optimal Martingale Measures", Februar 7, 2006;
Research Visit: Februar 6-8, 2006.

U. Schmock
Research with Prof. P. Eichelsbacher, Universität Bochum, Germany;
Research Visit: Februar 6-10, 2006.

R. Schoeftner
BA-CA, Vienna, Austria;
Talk: "Time-Varying Dependence Modelling of Market and Credit Risk", February 1, 2006.

W. Schachermayer
VII Workshop on Quantitative Finance, January 26-27, 2006, Università di Perugia, Italy;
Research Visit: January 25-28, 2006;
Invited talk: "Optimal risk sharing for law invariant monetary utility functions", January 26, 2006.

J. Leitner
Distinguished Lecture Series (DLS 2006), January 26-27, 2006, Deutsche Bank and School of Business and Economics of the Humboldt-University of Berlin, Germany;
Research Visit: January 25-28, 2006.

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