Timetable
Selected FAM-Events
| (hide past seminars) | ||
| Tu, 32.01.2024 | POG - Der »neue« Produktentwicklungsstandard Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 12.12.2023 | Aktuarielle Betrachtungen zu Demographie und Inflation Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 28.11.2023 | Marktpricing - effiziente Preisstrategien und Dynamic Pricing Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 17.10.2023 | IFRS 17 Veröffentlichungen - Q2 2023 Disclosures Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 04.05.2023 | Die Mathematik der Finanzmärkte TUForMath | |
| Tu, 28.02.2023 | Aktivseitige, risikoneutrale Modellierung in einem Versicherungsunternehmen Veranstaltungsreihe "Actuarial Modelling Club" | |
| Mo, 23.01.2023 | Behavioral Science und Lebensversicherung Veranstaltungsreihe "Actuarial Modelling Club" | |
| We, 28.09.2022 | Abhängigkeitsmodellierung operationeller Risiken - ein Bernstein-Copula Ansatz Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 13.09.2022 | Aktuellste Entwicklungen zur Methodik der EIOPA-Zinskurve Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 21.06.2022 | Aktuarielle Projektionsmodelle - mehr als nur ein Spielzeug für Aktuare Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 31.05.2022 | Automatic balancing mechanisms for state pensions: Past, present and future Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 19.05.2022 | Brauchen Versicherungen mehr Mathematik als die Grundrechenarten? TUForMath | |
| We, 04.05.2022 | Large Deviations and Stochastic Volterra Equations (open abstract) | |
| We, 27.04.2022 | Asset-Liability-Management für Versicherungen Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 05.04.2022 | Is Parametric Insurance the answer to the Legal Challenges of Insuring Against a Pandemic? Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 25.01.2022 | Modellrisiko bei der Schätzung von epidemiologischen Parametern bei Covid-19 Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 07.12.2021 | Die Alterssicherungskommission: Aufgabe und Funktion im Rahmen einer nachhaltigen Sozialpolitik Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 09.11.2021 | Lebensversicherung als »Datenkrake oder Gesundheitspartner«? Veranstaltungsreihe "Actuarial Modelling Club" | |
| Mo, 19.10.2021 | Bewertung von Pensionsrückstellungen - ein Überblick Veranstaltungsreihe "Actuarial Modelling Club" | |
| We, 06.10.2021 | Wie überlebt man eine Pandemie als Aktuar? Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 31.08.2021 | Kapitalmarkt - aktuelle Entwicklungen und ihre Bedeutung für den Versicherungsmarkt Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 15.12.2020 | Liability-2-Step - Ein Ansatz zur stochastischen Bewertung von Lebensversicherungs-Portfolios ohne Verdichtung Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 06.10.2020 | Data Science im Live-Betrieb (Ein Online-Vortrag von Praktikern für Praktiker_innen) Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 30.06.2020 | Die Standard Formel unter Solvency 2 und die Prüfung ihrer Angemessenheit Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 18.02.2020 | Marktkonsistenz und Solvabilitätsbewertung: Ausgewählte Aspekte Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 21.01.2020 | Deep Learning Techniken im Einsatz: Anwendungen im Kontext von Economic Capital und Cash Flow Projektionsmodellen Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 03.12.2019 | Analytische Validierungsformeln für die Berechnung des besten Schätzwerts in der klassischen Lebensversicherung Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 19.11.2019 | Insurance Capital Standard Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 05.11.2019 | Überprüfung der Angemessenheit der Rententafel AVÖ 2005-R Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 01.10.2019 | "Biological Age Model: Eine erweiterte Form der Risikobewertung in der Lebensversicherung" Veranstaltungsreihe "Actuarial Modelling Club" | |
| Mo, 24.06.2019 | "Moderne Life-Style Produkte in der Lebensversicherung mit Big Data und Machine Learning" Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 18.06.2019 | A new approach for satisfactory pensions with no guarantees (Public Habilitation Talk) (open abstract) | |
| We, 12.06.2019 | "IFRS17 ?- unterschiedliche Bewertungsansätze in der Lebensversicherung" Veranstaltungsreihe "Actuarial Modelling Club" | |
| Th, 21.03.2019 | Über den aktuariellen Tellerrand hinaus: Data Science als Erfolgsfaktor in der Energiewirtschaft Veranstaltungsreihe "Actuarial Modelling Club" | |
| We, 13.03.2019 | Theory of Distribution-Constrained Optimization Problems (Public PhD Thesis Defense) (open abstract) | |
| Tu, 15.01.2019 | Interest Rate Modeling and Optimal Trading Portfolios with Dependence and Partial Information (Public PhD Thesis Defense) (open abstract) | |
| Fr, 07.12.2018 | The time value of money in the actuarial framework (open abstract) | |
| Tu, 04.12.2018 | Aktuarielle Analyse von großen Telematikdatenmengen (Big Data) Veranstaltungsreihe "Actuarial Modelling Club" | |
| We, 26.09.2018 | TU Wien, Freihaus Hörsaal 6, Anmeldung erforderlich: details | |
| Tu, 25.09.2018 | TU Wien, Freihaus Hörsaal 6, Anmeldung erforderlich: details | |
| Mo, 07.05.2018 | Digital cyber response: cost factors and probabilities Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 13.02.2018 | PRIIP Basisinformationsblätter in der Lebensversicherung - Inhalt und Berechnungsmethoden Veranstaltungsreihe "Actuarial Modelling Club" | |
| We, 11.10.2017 | Sabrina Mulinacci C-convolution based stochastic processes in discrete time and financial prices dynamics (University of Bologna, IT)16:30, Seminarraum DB gelb 05A (Freihaus, 5th floor, yellow area) Colloquium in Statistics and Mathematical Methods in Economics | |
| Tu, 10.10.2017 | Sabrina Mulinacci Generalizations of the Marshall-Olkin distribution and applications (University of Bologna, IT)16:30, Böcklsaal (TU Wien, Hauptgebäude, Stiege 1, 1. Stock) Vortragsreihe aus Finanz- und Versicherungsmathematik | |
| Tu, 26.09.2017 | Erfahrungen mit der versicherungsmathematischen Funktion in Schaden/Unfall Veranstaltungsreihe "Actuarial Modelling Club" | |
| Mo, 19.06.2017 | Small-Time Asymptotics, Moment Explosion and the Moderate Deviations Regime (Public PhD Thesis Defense) (open abstract) | |
| Tu, 24.01.2017 | On optimal dividend problem for an insurance risk models with surplus-dependent premiums (FAM Research Seminar) (open abstract) | |
| Fr, 20.01.2017 | Central and Non-Central Limit Theorems (Public PhD Thesis Defense) (open abstract) | |
| Tu, 17.01.2017 | Kreditrisikomodellierung für Versicherer - Praktische Kalibrierung von Portfoliomodellen und Rating-Tools Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 29.11.2016 | The Smith-Wilson curve - Mathematics and supervision Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 11.10.2016 | Yuliya Mishura Asymptotic methods and approximations on financial markets with stochastic volatility (Taras Shevchenko National University of Kyiv) 16:30, Seminarraum BD 02 (Getreidemarkt 4, building BD, 2nd floor) Vortragsreihe aus Finanz- und Versicherungsmathematik | |
| Th, 25.08.2016 | "Big Data & Insurance Analytics im Spannungsfeld zwischen Innovation und Datenschutz" Veranstaltungsreihe "Actuarial Modelling Club" | |
| We, 22.06.2016 | Praxisbericht - "Data-Based Storm Modelling" Veranstaltungsreihe "Actuarial Modelling Club" | |
| Th, 16.06.2016 | "Herausforderung Immobilien unter Solvency II" Veranstaltungsreihe "Actuarial Modelling Club" | |
| Mo, 07.03.2016 | Consistency of Option Prices under Bid-Ask Spreads and Implied Volatility Slope Asymptotics (Public PhD Thesis Defense) (open abstract) | |
| We, 18.11.2015 | Thorsten Rheinländer Flash Crashes an den Börsen und automatisierter Hochfrequenzhandel (FAM @ TU Wien)19:00, Zeichensaal 3, Freihaus, 7.OG, grüner Bereich (gegenüber Lift) Öffentliche Veranstaltung des Lions Club Wien Ambassador (Ankündigung/Flyer) | |
| Th, 01.10.2015 | Der graue Planet - Einige Gedanken zur Entwicklung der Lebenserwartung Veranstaltungsreihe "Actuarial Modelling Club" | |
| Fr, 03.07.2015 | Über Optimierungsprobleme aus der Versicherungsmathematik 11:00, seminar room 105A (Freihaus, yellow area, 4th floor) (open abstract) | |
| Fr, 03.07.2015 | Asymptotische Approximationen von Optionspreisen 9:30, seminar room 105A (Freihaus, yellow area, 4th floor) (open abstract) | |
| Th, 25.06.2015 | Negative Zinsen und hohe Volatilität - Herausforderungen für die Kapitalmarktmodellierung Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 23.06.2015 | Alois Gisler Das Chain-Ladder Reserve-Risiko neu betrachtet (RiskLab, ETH Zürich) 16:30, GM 4 Knoller Hörsaal (Getreidemarkt 4, building BD, 2nd floor) Vortragsreihe aus Finanz- und Versicherungsmathematik | |
| We, 19.06.2015 | Martingalzerlegungssätze und die Struktur von No Arbitrage (Public PhD Thesis Defense) (open abstract) | |
| Tu, 09.06.2015 | Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit and capital protection options via stochastic control optimization Vortragsreihe aus Finanz- und Versicherungsmathematik | |
| We, 09.06.2015 | Advanced Conditional Risk Measurement and Risk Aggregation with Applications to Credit and Life Insurance (Public PhD Thesis Defense) (open abstract) | |
| Tu, 19.05.2015 | Bestandsmanagement in der Lebensversicherung - ein Praxisbericht Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 17.03.2015 | Ein Modell zur Risikoaggregation in Pensions- und Lebensversicherungsportfolios Vortragsreihe aus Finanz- und Versicherungsmathematik | |
| Tu, 25.11.2014 | Optimal reinsurance in risk theory (open abstract) | |
| Tu, 24.06.2014 | Contagion Effects and Collateralized CVAs for Credit Default Swaps (part 2) (open abstract) | |
| Tu, 17.06.2014 | Contagion Effects and Collateralized CVAs for Credit Default Swaps (part 1) (open abstract) | |
| We, 30.04.2014 | Adapted Dependence with Applications to Financial and Actuarial Risk Management (Public PhD Thesis Defense) 17:00, room "Zeichensaal 1 (Freihaus, green area, 8th floor) | |
| Tu, 29.04.2014 | Thorsten Schmidt Default Times not Avoiding Stopping Times: Defaultable Term Structure Modelling beyond the Intensity-Paradigm (open abstract) (TU Chemnitz, DE) | |
| Th, 24.04.2014 | Yosef Rinott On methods for model selection (open abstract) (The Hebrew University of Jerusalem, Israel)15:00, seminar room 101C, Freihaus, 4th floor, green section | |
| Th, 27.03.2014 | Low interest rate challenge: Trends in der Produktgestaltung Veranstaltungsreihe "Actuarial Modelling Club" | |
| Tu, 25.03.2014 | Numerische Lösung der Diffusionsgleichung bei variabler räumlicher Struktur (open abstract) | |
| Th, 30.01.2014 | Damir Filipovic Linear-Rational Term Structure Models (Swiss Finance Institute @ EPFL)17:00, seminar room 11, University of Vienna, 1090 Vienna, Oskar-Morgenstern-Platz 1, 2nd floor (This talk is jointly organised with Uni Wien and WU Wien) (open abstract) | |
| Tu, 21.01.2014 | Stefan Gerhold Disproof of a conjecture by Rademacher on partial fractions (FAM @ TU Wien)15:15, Dissertantenraum, Freihaus, 8th floor, green section (Seminar Arbeitsgemeinschaft Diskrete Mathematik) (open abstract) | |
| Tu, 14.01.2014 | Asymptotic analysis for optimal estimating functions for a class of stochastic volatility models with jumps (open abstract) | |
| Th, 05.12.2013 | Julia Eisenberg Optimal Consumption Under Deterministic Income (FAM @ TU Wien)16:00, Besprechungsraum Galerie, TU Wien, Argentinierstraße 8, 1040 Wien (ground floor) (This talk is organised by ECON @ TU Wien) (open abstract) | |
| Tu, 03.12.2013 | Christian Kuehn A Tour Through Stochastic Multiscale Dynamics via a Model Problem (open abstract) (TU Wien) | |
| Tu, 26.11.2013 | Jonas Hirz Talk within the seminar about High Frequency Trading: (FAM @ TU Wien)Introduction to Cointegration with Applications to Finance (open abstract) | |
| We, 30.10.2013 | On the probability density function of baskets (open abstract) | |
| Tu, 29.10.2013 | Talk within the seminar about High Frequency Trading | |
| We, 16.10.2013 | IFRS 4 Phase II - Aktuelle Entwicklungen und Herausforderungen Veranstaltungsreihe "Actuarial Modelling Club" | |
| Fr, 27.09.2013 |  PRisMa 2013One-Day Workshop on Portfolio Risk Management Hörsaal 6 (Karlsplatz 13, Main Building, ground floor) | |
| Mo, 16.09.2013 | Continuous Bivariate Distributions with Linear Sum of the Hazard Gradient Components and Actuarial Applications Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Th, 25.07.2013 | Eckhard Platen The Affine Nature of Aggregate Wealth Dynamics (University of Technology Sydney)16:30, Freihaus Hörsaal 3 (Freihaus, 2nd floor, yellow section) Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Th, 25.07.2013 | A Representation Theorem For Smooth Brownian Martingales (open abstract) | |
| Tu, 18.06.2013 | Mean Variance Optimisation with Transaction Costs (open abstract) | |
| Fr, 07.06.2013 | Überleben und Lebensstandard, oder Grenzen der Gesellschaft - Schlussfolgerungen aus einem neuen Verzweigungsprozess-Modell 15:15, Freihaus Hörsaal 2 (Freihaus, 2nd floor, yellow section) (open abstract) | |
| We, 05.06.2013 | Adapted Dependence with Applications to Financial and Actuarial Risk Management (Public PhD Thesis Defense) 16:00, Conference room of the Deanery (Freihaus, green area, 9th floor) (open abstract) | |
| Tu, 14.05.2013 | Jan Widenmann Pricing and hedging insurance claims in hybrid markets (open abstract) (LMU Mathematics Institute, Munich) | |
| Fr, 19.04.2013 | Stochastic Portfolio Theory from the Point of View of Risk Management (Public PhD Thesis Defense) 17:00, Seminar room 104 (Freihaus, 5th floor, green section) (open abstract) | |
| Tu, 16.04.2013 | Pathspace representation of Affine processes (open abstract) | |
| Tu, 09.04.2013 | Christian Genest Accounting for extreme-value dependence in multivariate data. (McGill University, Montréal, Canada)17:30 Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Tu, 09.04.2013 | Johanna Nešlehová Wie kann man Abhängigkeiten zwischen diskreten und gemischten Risiken aufdecken? (McGill University, Montréal, Canada)16:30 Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Tu, 29.01.2013 | Stefan Gerhold Some traces of discrete mathematics in mathematical finance, (FAM @ TU Wien)15:15, Dissertantenraum, Freihaus, 8. Stock, grüner Bereich Seminar Arbeitsgemeinschaft Diskrete Mathematik, details (open abstract) | |
| Tu, 15.01.2013 | Andreas Kyprianou Multi-level Wiener-Hopf Monte-Carlo simulation for Lévy processes (open abstract) (University of Bath) | |
| Tu, 13.11.2012 | Small time central limit theorems for semimartingales with applications (open abstract) | |
| Tu, 06.11.2012 | Carole Bernard Mean-Variance Optimal Portfolios in the Presence of a Benchmark with Applications to Fraud Detection (University of Waterloo)16:30, seminar room 107 (Freihaus, 7th floor, green section) Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Tu, 16.10.2012 | Risk-Minimization for Life Insurance Liabilities Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Fr, 05.10.2012 | PRisMa 2012 One-Day Workshop on Portfolio Risk Management Hörsaal 6 (Karlsplatz 13, Main Building, ground floor) | |
| Tu, 12.06.2012 | Peter Eichelsbacher Die Steinsche Methode und Anwendungen - Teil 2 (open abstract) (Ruhr-Universität Bochum) | |
| Tu, 29.05.2012 | Large deviations for diffusions and local volatilities (open abstract) | |
| Tu, 08.05.2012 | Peter Eichelsbacher Die Steinsche Methode und Anwendungen - Teil 1 (open abstract) (Ruhr-Universität Bochum) | |
| Mo, 26.03.2012 | Optimal investment: from risk-averse to behavioural agents (open abstract) | |
| Mo, 26.03.2012 | Stefan Weber Liquidity-Adjusted Risk Measures (open abstract) (Leibniz Universität Hannover)9:00, Seminarraum 101B ("Freihaus", green section, 3rd floor) | |
| Fr, 23.03.2012 | Thorsten Schmidt Kreditrisiken und deren Modellierung (open abstract) (Chemnitz University of Technology)16:00, Seminar Room 107 | |
| Fr, 23.03.2012 | Thorsten Rheinländer Self-dual stochastic processes and semi-static hedging for realistic price processes (open abstract) (London School of Economics)14:00, Seminar Room 107 | |
| Fr, 23.03.2012 | Vicky Fasen CANCELLED!!! (ETH Zürich) | |
| Fr, 23.03.2012 | Stefan Gerhold Portfolio Optimization under Transaction Costs (open abstract) (FAM @ TU Wien)8:30, Seminar Room 107 | |
| Mo, 06.02.2012 | Mykhaylo Shkolnikov On diffusions interacting through their ranks (open abstract) (MSRI, Berkeley, USA)15:00, Seminar Room 107 | |
| Tu, 20.12.2011 | Defaultable claims under finite variation Lévy processes (open abstract) | |
| Tu, 25.10.2011 | Hansjörg Albrecher Messung von Versicherungsrisiken und das Omega-Modell (University of Lausanne)15:30, Freihaus Hörsaal 4 (Freihaus, 2nd floor, yellow section) Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Fr, 14.10.2011 | PRisMa 2011 One-Day Workshop on Portfolio Risk Management Hörsaal 6 (Karlsplatz 13, Main Building, ground floor) | |
| Tu, 11.10.2011 | Pricing and Hedging of Single Tranche CDOs (open abstract) | |
| We, 21.09.2011 | Carole Bernard Optimal investment under state-dependent constraints. (University of Waterloo)16:30, Freihaus Hörsaal 3 (Freihaus, 2nd floor, yellow section) Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Mo, 12.09.2011 | Characterization of memory states of the Preisach operator with stochastic inputs (open abstract) | |
| We, 20.07.2011 | Indifference Pricing with Uncertainty Averse Preferences 10:30 (open abstract) | |
| Tu, 28.06.2011 | Special Functions: From Lindelöf Integrals to Volatility Smiles (Habilitationskolloquium) 16:15, FH Hörsaal 4 | |
| Tu, 21.06.2011 | Transaction Costs made Tractable (open abstract) | |
| Tu, 03.05.2011 | Part A: Affine processes on the positive semidefinite d x d matrices don't jump too wildly. Part B: Wishart processes and Wishart distributions: Relations and Realizations. (open abstract) | |
| Tu, 12.04.2011 | Optimizing Investment Strategies under a General Approach to Cost-Efficiency (open abstract) | |
| We, 06.04.2011 | Explicit construction of a dynamic Bessel bridge of dimension 3 (open abstract) | |
| Tu, 05.04.2011 | Esther Frostig A Markov Additive Risk process with dividend barrier and phase type claims (open abstract) (University of Haifa, Israel) | |
| Tu, 15.03.2011 | On Weak Solutions to Stochastic Differential Equations in Finite and Infinite Dimensions (open abstract) | |
| Mo, 14.03.2011 | Volatilitätsderivate (open abstract) | |
| Tu, 08.03.2011 | Anmerkungen zur Nutzenmaximierung (open abstract) | |
| Tu, 01.03.2011 | Commercial bank deposit portfolio optimization (open abstract) | |
| Tu, 22.02.2011 | Stochastic Ordering with GARCH Models (open abstract) | |
| Tu, 25.01.2011 | Nicole Bäuerle The Relaxed Investor with Partial Information (Karlsruher Institut für Technologie)16:45, Freihaus Hörsaal 3 (Freihaus, 2nd floor, yellow section) Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| We, 19.01.2011 | Aktu(ari)elle Steuerungs- und Solvabilitäts-Konzepte in der Lebensversicherung registration mandatory, please find details here | |
| Fr, 14.01.2011 | Abstract, Classic, and Explicit Turnpikes (open abstract) | |
| Fr, 14.01.2011 | Superreplication and Arbitrage in Multiasset Models under Proportional Transaction Costs (Ph.D. thesis presentation) | |
| Tu, 14.12.2010 | Implied volatility asymptotics in affine stochastic volatility models with jumps (open abstract) | |
| Fr, 01.10.2010 | PRisMa 2010 One-Day Workshop on Portfolio Risk Management (FH HS 8 - Nöbauer Hörsaal, "Freihaus" Building of TU Wien) | |
| Tu, 14.09.2010 | Firms' Size and Growth Rates - Some Econometric and Probabilistic Approaches (open abstract) | |
| Tu, 27.07.2010 | Large deviation properties of weakly interacting Itô processes (open abstract) | |
| Fr, 02.07.2010 | Intensitätsbasierte Kreditrisikomodelle (open abstract) | |
| Tu, 29.06.2010 | Julia Eisenberg Optimal Control of Capital Injections by Reinsurance and Investments (open abstract) (University Cologne) | |
| Tu, 15.06.2010 | Alexander Hullmann The Generative Topographic Mapping for Dimensionality Reduction and Data Analysis (open abstract) (University Bonn)17:00 | |
| Fr, 11.06.2010 | Peter H. Gruber Three Make a Dynamic Smile - Unspanned Skewness and Interacting Volatility Components in Option Valuation (open abstract) (Universitá Svizzera Italiana, Lugano)13:30 | |
| Tu, 01.06.2010 | Stefan Thonhauser A randomized approach to analyzing the compound Poisson risk model under periodic observations (open abstract) (University Lausanne) | |
| Tu, 01.06.2010 | Modeling and pricing of temperature derivatives (open abstract) | |
| We, 19.05.2010 | Klaus D. Schmidt Markov-Ketten und Bonus-Malus Systeme (open abstract) (Technische Universität Dresden)12:00 | |
| Tu, 18.05.2010 | Klaus D. Schmidt Lineare Modelle in der Schadenreservierung: Korrelation, Prognose, und Prognosefehler (Technische Universität Dresden)16:30, Freihaus Hörsaal 4 (Freihaus, 2nd floor, yellow section) Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Mo, 17.05.2010 | The Longstaff-Schwartz approach to the optimal stopping problem (open abstract) | |
| Tu, 11.05.2010 | David Millar (Chief Operating Officer PRMIA), Stefan Strehle and Christoph Obenhuber (PRM degree holders) PRMIA Education and Exam Information (open abstract)18.30-20.00, FH Hörsaal 8 "Nöbauer" (Freihaus, 2nd floor, yellow section) | |
| Tu, 11.05.2010 | Unlimited Liabilities, Reserve Capital Requirements and the Taxpayer Put Option (open abstract) | |
| Tu, 27.04.2010 | Extended stability property for exponential families: a model for financial applications (open abstract) | |
| Th, 22.04.2010 | Derivative Pricing and Long Memory in the Multivariate Ornstein-Uhlenbeck type Stochastic Volatility Model (open abstract) | |
| Tu, 13.04.2010 | Statistical Aspects of COGARCH Modelling (open abstract) | |
| Tu, 23.03.2010 | Stefan Gerhold Refined volatility expansion in the Heston model (open abstract) (FAM @ TU Wien) | |
| Tu, 09.03.2010 | Minimal Entropy Martingale Measure for Lévy Processes (open abstract) | |
| Tu, 02.03.2010 | TU Wien, details | |
| Mo, 01.03.2010 | TU Wien, details | |
| Tu, 23.02.2010 | Parameter estimation of Levy copula-based models with application in insurance (open abstract) | |
| Tu, 26.01.2010 | On strong solutions of positive definite jump-diffusions (open abstract) | |
| Tu, 12.01.2010 | Quantitative modelling of financial risks Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Tu, 01.12.2009 | László Györfi Portfolio games (open abstract) (Budapest University of Technology and Economics) | |
| Tu, 24.11.2009 | Gegenseitige Abhängigkeit von Ausfällen in Modellen mit Intensitäten (open abstract) | |
| We, 18.11.2009 | Paolo Guasoni The Incentives of Hedge Fund Fees and High-Water Marks (open abstract) (Boston University and Dublin City University)12:00 | |
| Th, 12.11.2009 | Statistische Methoden für hochfrequente Beobachtungen von Semimartingalen (open abstract) | |
| Th, 12.11.2009 | Die Modellierung von Portfolio-Kreditrisiken (open abstract) | |
| We, 11.11.2009 | Sylvia Frühwirth-Schnatter Modellierung multivariater Finanzzeitreihen mittels multidimensionaler zeitstetiger Markov Switching Modelle (open abstract) (Universität Linz)16:15 | |
| We, 11.11.2009 | Zur Modellierung von Optionspreisflächen (open abstract) | |
| We, 11.11.2009 | Innovation: Pricing and Hedging of Credit Derivatives via the Innovations Approach to Nonlinear Filtering (open abstract) | |
| Tu, 20.10.2009 | Giovanni Cesari Modelling, Pricing, and Hedging Counterparty Credit Exposure (UBS Investmentbank London, UK)16:30, Freihaus Hörsaal 3 (Freihaus, 2nd floor, yellow section) Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Tu, 13.10.2009 | Wolfgang Runggaldier Pricing under incomplete information without equivalent martingale measures (open abstract) (Università degli Studi di Padova, Italy) | |
| Th, 08.10.2009 | Martin Schweizer Horizon-dependence in optimal portfolio choice (open abstract) (ETH Zürich, Switzerland)10:30, Hörsaal 4 Hochstetter (Karlsplatz 13, Main Building, Hof 1, ground floor) | |
| Tu, 06.10.2009 | Mario Wüthrich Modellierung des Abwicklungsergebnisses im neuen Solvenz-Modell (Slides) (ETH Zürich, Switzerland)16:30, HS 7 Schütte-Lihotzky (Karlsplatz 13, Main Building, Stiege 7, ground floor) Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Mo, 28.09.2009 | ||
| We, 02.09.2009 | Copula-based geostatistical modeling and interpolation (open abstract) | |
| Th, 09.07.2009 | Risk premium and risk-neutral valuation in electricity markets (open abstract) | |
| Th, 02.07.2009 | Towards an "affine LIBOR" model with default risk (open abstract) | |
| Th, 18.06.2009 | Investment strategies and risk management for participating life insurance contracts (open abstract) | |
| Th, 04.06.2009 | Andrea Pascucci Kolmogorov equations and applications to path dependent derivatives (open abstract) (University of Bologna, Italy) | |
| Tu, 19.05.2009 | Wirtschafts- und Finanzkrise: Woher kommt sie? Wohin kann sie führen? (open abstract) | |
| Th, 14.05.2009 | Ronnie Loeffen De Finetti′s dividend problem with absolutely continuous controls (open abstract) (Johann Radon Institute for Computational and Applied Mathematics, Linz, Austria) | |
| Th, 07.05.2009 | Anja Richter Differentiablity of quadratic BSDEs driven by continuous martingales (open abstract) (Humboldt University Berlin, Germany) | |
| Th, 30.04.2009 | Sasa Parad Long Run Asset Prices with General Utilities (open abstract) (ETH Zürich, Switzerland)17:00 | |
| Th, 30.04.2009 | Dejan Veluscek Higher order weak approximation schemes for SDEs (open abstract) (FAM, TU Vienna)16:00 | |
| Tu, 28.04.2009 | Prospect Theory, Partial Liquidation and the Disposition Effect (open abstract) | |
| Th, 23.04.2009 | A General Approach to Small-Time Large Deviations for Sample Paths of Infinite Dimensional Symmetric Dirichlet Processes with Applications to the Wasserstein Diffusion (open abstract) | |
| Tu, 21.04.2009 | Inflation-indexed swaps and swaptions (Slides) (open abstract) | |
| Tu, 31.03.2009 | Analysis of limit distributions in actuarial modelling (open abstract) | |
| Th, 26.03.2009 | Nikos Sfakianakis Adaptive mesh reconstruction and TVB for Hyperbolic Conservation Laws (open abstract) (Wolfgang Pauli-Institute, Vienna) | |
| Tu, 17.03.2009 | Hanspeter Schmidli On Optimal Dividends and Capital Injections in Risk Theory (University of Cologne, Germany)16:30, Freihaus Hörsaal 5 (Freihaus, 2nd floor, green section) Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Th, 05.03.2009 | Affine Diffusion Processes: Theory and Applications (open abstract) | |
| Mo, 09.02.2009 | Minicourse on Stochastic Analysis via Rough Paths (Last of three parts) | |
| Th, 05.02.2009 | Minicourse on Stochastic Analysis via Rough Paths (Second of three parts) | |
| Th, 05.02.2009 | On asymptotic power utility-based pricing and hedging (open abstract) | |
| Tu, 03.02.2009 | Matrix valued orthogonal polynomials satisfying differential equations (open abstract) | |
| Th, 29.01.2009 | A new approach to LIBOR modeling (open abstract) | |
| Tu, 27.01.2009 | CPPI Models for life insurance products with guarantees Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Th, 22.01.2009 | Minicourse on Stochastic Analysis via Rough Paths (First of three parts) | |
| We, 21.01.2009 | Martin Keller-Ressel 13:00, Seminar room 101C (Financial and Actuarial Mathematics, Vienna University of Technology)Defense Talk: Affine Processes - Theory and Applications in Finance (open abstract) | |
| Th, 15.01.2009 | Optimal Insider Strategy with Penalties (open abstract) | |
| Tu, 02.12.2008 | GARCH pricing via local risk minimization (open abstract) | |
| Tu, 25.11.2008 | Alternative Specifications for the Levy Libor Market Model: An Empirical Investigation (open abstract) | |
| Th, 20.11.2008 | Jan Palczewski Finite Horizon Optimal Stopping of Discontinuous Functionals with Applications to Impulse Control with Delay (open abstract) (Faculty of Mathematics, University of Warsaw, Poland) | |
| Tu, 11.11.2008 | Seperation and duality in L0-modules (open abstract) | |
| Tu, 28.10.2008 | Roman Ivanov On calculation of multiple exercise Russian option (open abstract) (Lomonosov Moscow State University, Russia) | |
| Th, 23.10.2008 | Symmetry and Option Price Monotonicity with Levy processes (open abstract) | |
| Th, 16.10.2008 | Multivariate symmetry properties of asset prices, derivatives and their relation to convex geometry (open abstract) | |
| Th, 09.10.2008 | Peter Spreij On Multivariate Feller conditions in term structure models (open abstract) (Universiteit van Amsterdam), Start-Seminar, | |
| Mo, 06.10.2008 | 12:00, FH Hörsaal 3 Habilitation Talk: Robust Martingale Representations for Marked Point Processes (open abstract) | |
| We, 01.10.2008 | 16:30, SEM 107 High Hopes and Disappointments: Preference for Timing of Information without the Recursive Structure (open abstract) | |
| Tu, 30.09.2008 | Differentiability of quadratic growth BSDEs and applications (open abstract) | |
| Mo, 29.09.2008 | PRisMa 2008 One-Day Workshop on Portfolio Risk Management (FH HS 8 - Nöbauer Hörsaal, "Freihaus" Building of TU Wien) | |
| Th, 25.09.2008 | Simone Farinelli Geometric Arbitrage Theory (open abstract) (UBS, Zürich)13:30, SEM 107 | |
| Th, 25.09.2008 | Crash Hedging Strategies and q-Quantile Crash Hedging Strategies (open abstract) | |
| Tu, 23.09.2008 | New series representations for the characteristic functions of affine Feller processes with applications to option pricing (open abstract) | |
| Th, 18.09.2008 | Mark Freidlin Asymptotic Problems for PDE's and Related Stochastic Processes (open abstract) (University of Maryland), Start-Seminar, | |
| Tu, 16.09.2008 | Matthias Weber On Stochasticity of Solutions of Differential Equations with a Small Delay (open abstract) (University of Applied Sciences, Dresden) | |
| Tu, 08.07.2008 | Model risk in claims reserving within Tweedie's compound Poisson models (Slides), Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Tu, 24.06.2008 | ||
| Th, 19.06.2008 | Distribution properties of digital (0,1)-sequences (open abstract) | |
| Tu, 10.06.2008 | Isoperimetry and Rough path regularity (open abstract) | |
| Th, 29.05.2008 | Umut Cetin Insider trading in credit markets with dynamic information asymmetry (open abstract) (London School of Economics, United Kingdom), Start-Seminar, | |
| Tu, 27.05.2008 | Corina Constantinescu Risk procesess with stochastic returns on investments (open abstract) (RICAM Linz) | |
| Tu, 20.05.2008 | Sato Processes in Default Modelling (open abstract) | |
| Th, 15.05.2008 | Erik Baurdoux The McKean stochastic game driven by a spectrally negative Lévy process. (open abstract) (LSE London), Start-Seminar, | |
| We, 30.04.2008 | Equilibrium Asset Prices (open abstract) | |
| Tu, 29.04.2008 | L2-Spectral gaps for Markov-chains (open abstract) | |
| Th, 24.04.2008 | Small Time Behaviour of Lévy Processes: Laws of the Iterated Logarithm (open abstract) | |
| Tu, 22.04.2008 | Harmonic analysis of stochastic equations and backward stochastic differential equations (open abstract) | |
| Th, 17.04.2008 | Anders Szepessy Langevin molecular dynamics derived from Ehrenfest dynamics (open abstract) (Stockholm University), Start-Seminar, | |
| Tu, 01.04.2008 | On the representation of Tr exp(A-tB) as a Laplace transform (open abstract) | |
| Th, 06.03.2008 | How to calculate moments of affine processes easily (open abstract) | |
| Tu, 04.03.2008 | Compensated Compactnes, Separately convex Functions, and Interpolatory Estimates between Riesz Transforms and Haar Projections (open abstract) | |
| Tu, 26.02.2008 | Valuation of American Style Options - Extension and Empirical Tests of a Nonparametric Pricing Algorithm (open abstract) | |
| Fr, 22.02.2008 | Yuri Kifer Game options, shortfall risk and their binomial approximations (open abstract) (Hebrew University, Jerusalem)11:30, Sem 107 | |
| Tu, 19.02.2008 | Growth Gap vs. Smoothness for Diffeomorphisms of The Interval (open abstract) | |
| We, 06.02.2008 | Mean-Variance Hedging and Optimal Investment in Heston's Model with Correlation (open abstract) | |
| Tu, 05.02.2008 | Application of Global Sensitivity Analysis and Quasi Monte Methods in finance (open abstract) | |
| Tu, 29.01.2008 | Pair-copula constructions of multiple dependence (open abstract) | |
| Th, 24.01.2008 | On Dirichlet forms generated by the arbitrary functions principle (open abstract) | |
| Tu, 22.01.2008 | Pricing of Contingent Claims based on Tail VaR (open abstract) | |
| Mo, 21.01.2008 | What are the philosophical probabilities? (open abstract) | |
| Th, 17.01.2008 | Exit times of small-noise Lévy-driven diffusions (open abstract) | |
| Tu, 15.01.2008 | On one-dimensional Brownian motions immersed in a two-dimensional one (open abstract) | |
| Mo, 14.01.2008 | Hidden Markov Processes Vortragsreihe: Wissenswertes der Mathematik, details | |
| Th, 10.01.2008 | Affine matrix-valued diffusions | |
| Th, 10.01.2008 | Holländische Deiche und Risikokapital für Banken und Versicherungen (open abstract) | |
| We, 09.01.2008 | Quantitative Risk Management, Johann Radon Lectures (open abstract) | |
| Tu, 08.01.2008 | On forward interest rates: via random fields and nuclear space valued semi-martingales (open abstract) | |
| Th, 20.12.2007 | Implementation of new hypo-elliptic simulated annealing algorithms (open abstract) | |
| Tu, 18.12.2007 | Optimal Consumption and Terminal Wealth (open abstract) | |
| Mo, 17.12.2007 | Ex post risk attribution in a value-at-risk framework Austrian chapter meeting of Global Association of Risk Professionals (GARP) | |
| Th, 13.12.2007 | Entropy and entropy dissipation in nonlinear diffusion equations (open abstract) | |
| Tu, 11.12.2007 | Bertram Düring An inverse problem in option pricing and kinetic models for wealth distribution (open abstract) (TU Vienna) | |
| Th, 06.12.2007 | Stochastic Portfolio Theory - How do functionally generated portfolios perform under real market conditions? (open abstract) | |
| Tu, 04.12.2007 | On the construction of an integrand hiding the drift of a Brownian motion with drift (open abstract) | |
| Th, 29.11.2007 | Cubature on Wiener Space in infinite dimensions (open abstract) | |
| Tu, 27.11.2007 | Finanzmathematische und Aktuarielle Methoden im Wandel: Die Internationalisierung der Märkte in der Lebensversicherung und Altersvorsorge und ihre Auswirkung auf die mathematische Praxis, Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Th, 22.11.2007 | Portfolio Optimization and Optimal Martingale Measures in the Presence of Unbounded Jumps (open abstract) | |
| Tu, 20.11.2007 | Cash Sub-additive Risk Measures and Interest Rate Ambiguity (open abstract) | |
| Fr, 16.11.2007 | ||
| Th, 15.11.2007 | Invariant submanifolds for Levy driven stochastic equations (open abstract) | |
| Tu, 13.11.2007 | In which Financial Markets do Mutual Fund Theorems hold true? (open abstract) | |
| Th, 08.11.2007 | The duality principle for multidimensional semimartingales (open abstract) | |
| Tu, 06.11.2007 | Optimality and Monotonicity in the Monge-Kantorovich Optimal Transportation Problem (open abstract) | |
| Tu, 30.10.2007 | Erika Hausenblas (University of Salzburg) SPDEs driven by space time Poisson random measure and its numerical approximation (open abstract) | |
| Tu, 23.10.2007 | Pricing and Hedging of Credit Derivatives via Nonlinear Filtering (open abstract) | |
| Th, 18.10.2007 | Affine Interest Rate Models - Theory and Practice (open abstract) | |
| Tu, 16.10.2007 | Small ball probabilities of some Lévy processes and their application to the Chung law of iterated logarithm (open abstract) | |
| Th, 11.10.2007 | Pricing and Hedging with Globally and Instantaneously Vanishing Risk (open abstract) | |
| Tu, 09.10.2007 | Christer Borell (Chalmers University of Technology, Göteborg, Sweden) Topics on quasi-concave measures (open abstract) | |
| Th, 04.10.2007 | New Classes of OU-processes and applications to Optimization procedures | |
| Mo, 24.09.2007 | Hedging Under Uncertainty: Applications to Carbon Emissions Markets (open abstract) | |
| Tu, 11.09.2007 | Stein's Method and Large Deviations (open abstract) | |
| Fr, 07.09.2007 | Comparative Study of Risk Measures (open abstract) | |
| Tu, 04.09.2007 | Smoothness of density for solutions to stochastic differential equations with jumps (open abstract) | |
| Tu, 24.07.2007 | A duality theory for set-valued convex functions with applications to set-valued convex risk measures (open abstract) | |
| Th, 28.06.2007 | An invitation to random Schrödinger operators V | |
| Tu, 26.06.2007 | Alain Desrosieres The history of statistics and probability theory as a genre: styles of writing and social uses (open abstract) (INSEE, France), Start-Seminar, | |
| Tu, 26.06.2007 | Reformen in der Altersvorsorge: Theoretische Konzepte aus wirtschaftspolitischer Sicht | |
| Th, 21.06.2007 | An invitation to random Schrödinger operators IV | |
| Tu, 19.06.2007 | Optimal cross hedging of insurance derivatives, Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Tu, 19.06.2007 | Franz X. Hof The Gains from Pension Reform (open abstract) (ECON, TU Wien)14:00, Seminar Ökonomie der Pensionsfonds, | |
| Th, 14.06.2007 | An invitation to random Schrödinger operators III | |
| Tu, 12.06.2007 | Constructing jump analogues of diffusions and application to finance (open abstract) | |
| Tu, 12.06.2007 | Robert Holzmann Multi-pillar Pension Reforms: Experience, Lessons, and Challenges (open abstract) (The World Bank, Washington, USA)14:00, Seminar Ökonomie der Pensionsfonds, | |
| Tu, 05.06.2007 | Stochastic Hamiltonian dynamical systems (open abstract) | |
| Tu, 05.06.2007 | Johannes Berger Ten myths about social security reform (J. Stiglitz) (IHS Wien)14:00, Seminar Ökonomie der Pensionsfonds, | |
| Mo, 04.06.2007 | CDS prices in a general case - case of several defaults - hedging strategies (open abstract) | |
| Mo, 04.06.2007 | Hedging defaultable claims: single default (open abstract) | |
| Th, 31.05.2007 | An invitation to random Schrödinger operators II | |
| Tu, 29.05.2007 | Modelling Operational Risk (open abstract) | |
| Th, 24.05.2007 | An invitation to random Schrödinger operators | |
| Th, 24.05.2007 | Solvency II (open abstract) | |
| Tu, 22.05.2007 | The cold war against welfare | |
| Tu, 15.05.2007 | Options and the stochastic volatility model of Barndorff-Nielsen and Shephard (open abstract) | |
| Tu, 15.05.2007 | Thomas Url Makroökonomische Rückwirkungen des Aufbaus kapitalgedeckter Altersvorsorgesysteme (open abstract) (WIFO)14:00, Seminar Ökonomie der Pensionsfonds, | |
| We, 09.05.2007 | Existence of Levy term structure models and invariance problems (open abstract) | |
| Tu, 08.05.2007 | Pensionskassen in Österreich - Voraussetzungen, Struktur, Begünstigte, verwaltetes Kapital (open abstract) | |
| Th, 26.04.2007 | A heat kernel approach to Interest Rate Models (Joint work by Jirô Akahori, Thomas Steiner, Josef Teichmann and Takahiro Tsuchiya) (open abstract) | |
| Tu, 24.04.2007 | Risk measures: law-invariance and time consistency (open abstract) | |
| Tu, 24.04.2007 | Pensionsreformen für Arbeiter und Angestellte ab dem Jahr 2000 und ihre finanziellen Auswirkungen | |
| Th, 19.04.2007 | Dynamical systems perturbed by heavy-tailed Lévy noise (open abstract) | |
| Tu, 17.04.2007 | Wolfgang Woess Random configurations driven by random walks (TU Graz) | |
| Tu, 17.04.2007 | The Optimal Mix Between Funded and Unfunded Pensions Systems When People Care About Relative Consumption | |
| Th, 12.04.2007 | Variational Risk Measures on Orlicz Spaces | |
| Tu, 10.04.2007 | Variable Selection in the Context of linear Regression (open abstract) | |
| Th, 22.03.2007 | Yield Curve Shapes and the Asymptotic Short Rate Distribution in Affine One-Factor Models (open abstract) | |
| Tu, 20.03.2007 | Jiro Akahori Antisymmetric Malliavin calculus and its applications (open abstract) (Ritsumeikan University, Japan) | |
| Th, 15.03.2007 | Gerald Teschl Random Schroedinger Operators on one foot (open abstract) (Universität Wien)16:00, Start-Seminar, | |
| Th, 13.03.2007 | The Term Structure of CDO Losses (open abstract) | |
| Th, 08.03.2007 | Semimartingales and Lévy processes in finance: duality and valuation (open abstract) | |
| Tu, 27.02.2007 | Immunization of the insurance portfolio under random interest rates (open abstract) | |
| Th, 22.02.2007 | Real Options Valuation under expected utility maximization (open abstract) | |
| Th, 15.02.2007 | Stable Recurrences for Risk Aggregation (open abstract) | |
| We, 14.02.2007 | Stochastic differential games with asymmetric information (open abstract) | |
| Tu, 06.02.2007 | What is the natural scale for a Lévy process in modelling term structure of interest rates? | |
| Tu, 30.01.2007 | Convex comparison inequalities for exponential jump-diffusion processes (open abstract) | |
| Tu, 23.01.2007 | Taylor Expansions of Option Prices (open abstract) | |
| Tu, 16.01.2007 | Asset Liability Management for Pension funds using Conditional Value at Risk constraints (open abstract) | |
| Tu, 02.01.2007 | Chen series and Atiyah-Singer theorem (open abstract) | |
| Th, 14.12.2006 | (Westfälische Wilhelms-Universität Münster, at the moment: consultant) Perturbative methods in algebra and finance: are there any relations? (open abstract) | |
| Tu, 12.12.2006 | Equilibrium Pricing (open abstract) | |
| Th, 07.12.2006 | Optimals Investment under Partial Information (open abstract) | |
| Tu, 28.11.2006 | Dynamic models for portfolio credit risk, Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Tu, 21.11.2006 | Copulae - Modellierung des gemeinsamen Verhaltens von Risikofaktoren in der modernen Finanz- und Versicherungsmathematik, Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Tu, 14.11.2006 | Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps (open abstract) | |
| Tu, 14.11.2006 | Volatility and Power Variation, Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Fr, 10.11.2006 | Investment Banking: What is it all about? (open abstract) | |
| Mo, 30.10.2006 | Automatisches Beweisen von Identitäten Vortragsreihe: Wissenswertes der Mathematik, details | |
| Mo, 30.10.2006 | Stability of utility-maximization (open abstract) | |
| Tu, 17.10.2006 | Empirical portfolio selection (open abstract) | |
| Tu, 03.10.2006 | Deterministic Pricing of Options on Lévy driven Assets (open abstract) | |
| Fr, 29.09.2006 | High order recombination and an application to Cubature on Wiener Space (open abstract) | |
| Th, 28.09.2006 | Coherent risk measures, coherent capital allocations, and the gradient allocation principle (open abstract) | |
| Tu, 26.09.2006 | ||
| Tu, 19.09.2006 | Asymptotic analysis for a simple explicit estimator in BNS stochastic volatility models (open abstract) | |
| Tu, 12.09.2006 | Optimal investment under transaction costs (open abstract) | |
| We, 30.08.2006 | An Implementation of the LIBOR Market Model (open abstract) | |
| We, 30.08.2006 | Crashcourse Interest Rate Models (open abstract) | |
| Tu, 27.06.2006 | Multivariate gemischte Poissonprozesse - Bonus-Malus-Systeme in der KH-Versicherung, Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Tu, 27.06.2006 | Modelling Operational Risk (open abstract) | |
| Tu, 20.06.2006 | Non-Parametric Calibration of the Barndorff-Nielsen-Shephard Model (open abstract) | |
| Fr, 16.06.2006 | Coherent Risks and their applications (lecture series) (open abstract) | |
| Tu, 13.06.2006 | Estimation and Comparison of Credit Transition Matrices (open abstract) | |
| Tu, 13.06.2006 | Coherent Risks and their applications (lecture series) (open abstract) | |
| Fr, 09.06.2006 | Coherent Risks and their applications (lecture series) (open abstract) | |
| Tu, 06.06.2006 | Fenchel conjugation for set-valued convex functions and applications to set-valued risk measures (open abstract) | |
| Mo, 29.05.2006 | Optimale Portfolios mit 'lower partial moment constraints' Vortragsreihe: Wissenswertes der Mathematik, details | |
| Tu, 23.05.2006 | Portfolio-Optimierung bei Sprung-Diffusionsprozessen mit unbeobachtbarer Sprungintensität, Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Th, 18.05.2006 | Multivariate Modelle und Methoden in der Schadenreservierung (open abstract) | |
| Tu, 16.05.2006 | Bornhuetter-Ferguson & Co.: Eine Familie von Verfahren der Schadenreservierung, Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Mo, 15.05.2006 | Lineare Prognosen und Schadenreservierung (open abstract) | |
| Tu, 25.04.2006 | Optimal investments with proportional profit-share fee: Analysis of the high-water-mark fee structure (open abstract) | |
| Tu, 04.04.2006 | The current state of the OeBFA module of the CD laboratory (open abstract) | |
| Tu, 28.03.2006 | Structural Credit Risk Models Beyond Merton: Solutions via PDEs vs. Change-of-Numeraire (open abstract) | |
| Tu, 28.03.2006 | An equilibrium model for default risk (open abstract) | |
| Tu, 21.03.2006 | Stein's method for proving the central limit and the Berry-Esséen theorem | |
| Tu, 07.03.2006 | Estimation of multivariate ruin probabilities (open abstract) | |
| Fr, 03.02.2006 | A brief survey on copulae (open abstract) | |
| Mo, 30.01.2006 | Heat equation with strongly inhomogeneous noise (open abstract) | |
| Mo, 30.01.2006 | Hartman measurability and unique mean values (open abstract) | |
| We, 25.01.2006 | ||
| Tu, 24.01.2006 | Utility based good deal bounds (open abstract) | |
| Mo, 23.01.2006 | Measures of Risk and Run-off of Portfolios (open abstract) | |
| Tu, 17.01.2006 | On Finite Dimensional Realizations of the Two Country Interest Rate Models (open abstract) | |
| Tu, 10.01.2006 | HJM model driven by Levy process (open abstract) | |
| Tu, 10.01.2006 | Special Functions: Applications of Computer Algebra in Stochastics (open abstract) | |
| We, 04.01.2006 | Nonarchimedean Functional Analysis (open abstract) | |
| Tu, 13.12.2005 | Consistent Prices and Face-lifting Pricing under Transaction Costs (open abstract) | |
| Tu, 06.12.2005 | Modeling Dependence of Non-Continuous Random Variables and Compound Poisson Processes Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Tu, 29.11.2005 | Duality methods for portfolio optimization (open abstract) | |
| Tu, 22.11.2005 | Relative Wealth and Endogenous Employment: A Short- and Long-Run Analysis (open abstract) | |
| Tu, 15.11.2005 | Convex Hedging in Incomplete Markets and Generalizations (open abstract) | |
| Tu, 08.11.2005 | Equilibrium and optimality for monetary utility functions under constraints (joint with Michael Kupper) Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Tu, 25.10.2005 | Presentation of the New Christian Doppler Laboratory on Portfolio Risk Management (open abstract) | |
| Tu, 18.10.2005 | Variance Swap Market Models (open abstract) | |
| Tu, 11.10.2005 | Convergence of utility prices to the superreplication price (open abstract) | |
| Sa, 01.10.2005 |  Lange Nacht der Forschung: Von A wie Aktie bis S wie Sterbewahrscheinlichkeit 17:00-24:00, Freihaus der TU Wien | |
| Mo, 26.09.2005 |  PRisMa 2005One-Day Workshop on Portfolio Risk Management (HS 16 Karl von Terzaghi Hörsaal, Main Building of TU Wien) | |
| Th, 08.09.2005 | Credit Risk - Incomplete Information (open abstract) | |
| Tu, 06.09.2005 | Umut Cetin Modelling liquidity effects in discrete time (joint work with Chris Rogers) (open abstract) (London School of Economics, UK) | |
| Th, 01.09.2005 | Optimal Risk Sharing and Mean-Variance Principle (open abstract) | |
| Tu, 30.08.2005 | Risk-Tolerance Wealth Processes and Sensitivity Analysis of Utility Based Prices (joint work with D. Kramkov) (open abstract) | |
| Th, 14.07.2005 | No Arbitrage and Equivalent Martingale Measures In Illiquid Markets (joint work with U. Cetin) (open abstract) | |
| Tu, 12.07.2005 | Optimal Expected Exponential Utility of Dividend Payments in a Brownian Risk Model (joint work with F. Hubalek, W. Schachermayer and M. Zigo) (open abstract) | |
| Mo, 20.06.2005 | Quasi-Monte Carlo Methoden -- Am Schnittpunkt von numerischer Analysis, Zahlentheorie und Finanzmathematik Vortragsreihe: Wissenswertes der Mathematik, details | |
| Th, 16.06.2005 | Rare Events - Monte Carlo and Quasi-Monte Carlo Methods (joint work with Dominik Kortschak) (open abstract) | |
| Tu, 07.06.2005 | Risk models with stochastic premium income (open abstract) | |
| Tu, 03.05.2005 | A hedging theorem under transaction costs (open abstract) | |
| Th, 28.04.2005 | Levy's Area under Conditioning and Applications (open abstract) | |
| Tu, 12.04.2005 | An elementary proof of Tchakaloff's Theorem (about a joint work with J. Teichmann) | |
| Tu, 07.04.2005 | Josef Teichmann Calculation of Greeks with jumps (joint work of Barbara Forster, Eva Luetkebohmert and Josef Teichmann) (open abstract) (Technical University of Vienna) | |
| Tu, 05.04.2005 | Zur Bedeutung der Modellierung abhängiger Risiko-Prozesse für die europäische Versicherungswirtschaft Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Th, 17.03.2005 | On some problems of no-arbitrage: constructive criteria in the case of finite discrete time and the Kreps-Yan theorem (open abstract) | |
| Tu, 15.03.2005 | Copula change-point detection and dynamic copula models for multivariate high-frequency data in finance Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Th, 03.03.2005 | An Extension of Panjer's Recursion (open abstract) | |
| Tu, 22.02.2005 | Enlargement of filtrations, continuous Girsanov-type embeddings and utility maximization of insiders (open abstract) | |
| Th, 17.02.2005 | Zur Erstellung der österreichischen Rententafeln AVÖ2005R | |
| Tu, 15.02.2005 | Optimal Design of Risk Exchange for Cash-Invariant Risk Measures | |
| Tu, 25.01.2005 | Hypoellipticity in Infinite Dimensions for the Jump Diffusion Case (open abstract) | |
| Th, 20.01.2005 | Allokation von Risikokapital in Versicherungsportfolios (open abstract) | |
| Tu, 18.01.2005 | A Short Introduction to Rough Paths and Applications to Numerical Analysis (open abstract) | |
| Th, 02.12.2004 | No Market Free Lunch and Large Financial Markets (part 2) (open abstract) | |
| Th, 25.11.2004 | No Market Free Lunch and Large Financial Markets (part 1) (open abstract) | |
| Tu, 23.11.2004 | Calculation of the Greeks by Cubature Formulas II (open abstract) | |
| Th, 18.11.2004 | Optimal forward investment in power markets (open abstract) | |
| Tu, 16.11.2004 | Some New Copulas for Risk Modelling Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Th, 28.10.2004 | R-Boundedness and Operator-valued Multipliers (open abstract) | |
| Th, 21.10.2004 | Calculating the Greeks by Cubature formulas (open abstract) | |
| Tu, 19.10.2004 | Satisfying Convex Risk Limits by Trading (open abstract) | |
| Tu, 17.08.2004 | Representation of "dilatation monotonous" or "co-monotonic additive" risk measures (capacities) (with J.Leitner) (open abstract) | |
| Tu, 29.06.2004 | Counterparty Credit Exposure for Exotic Derivatives Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Tu, 22.06.2004 | Stimmgewichtung in der EU | |
| Th, 17.06.2004 | Performance of Modern Techniques for Rating Model Design (open abstract) | |
| Tu, 08.06.2004 | Risk management in immature electricity markets (open abstract) | |
| Th, 27.05.2004 | Pricing and Inference with Mixtures of Conditionally Normal Processes (open abstract) | |
| Tu, 25.05.2004 | Parameter estimation in conditionally heteroscedastic time series models. (open abstract) | |
| We, 19.05.2004 | "Lebensräume - Lebensträume" sich erfüllen und absichern: Ein Streifzug durch die Grundlagen aus Finanz- und Versicherungsmathematik (open abstract) | |
| Tu, 18.05.2004 | Modelling the Surrender Conditions in Equity-Linked Life Insurance Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Th, 13.05.2004 | Existence of a particular martingale measure for models displaying "the stationarity assumption" (open abstract) | |
| Tu, 11.05.2004 | General Arbitrage Pricing Model: Probability and Possibility Approaches (open abstract) | |
| Tu, 04.05.2004 | Konzentrationssensitive Kapitalanforderungen für Kreditrisiken Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Th, 22.04.2004 | Hedging for an insider in incomplete markets | |
| Tu, 20.04.2004 | On the optimal martingale measure for exponential utiity indifference pricing (open abstract) | |
| Mo, 19.04.2004 | Einführung in die Kreditrisikomodellierung, Vortragsreihe: Wissenswertes der Mathematik, details | |
| Th, 15.04.2004 | Market Liquidity and Its Effect on Portfolio Risk | |
| Th, 15.04.2004 | Futures Trading Model with Transaction Costs | |
| Tu, 30.03.2004 | An exact analytical solution for discrete Barrier Options obtained via a Wiener-Hopf Factorization (open abstract) | |
| Th, 18.03.2004 | Duality methods for portfolio optimization (open abstract) | |
| Th, 11.03.2004 | An Alternative Proof of Fundamental Theorem of Asset Pricing with Proportional Transaction Costs (open abstract) | |
| Tu, 24.02.2004 | On low dimensional Case in the Fundamental Asset Pricing Theorem with Transaction Costs | |
| Tu, 17.02.2004 | A Very Simple Model for Liquidity Risk | |
| Th, 29.01.2004 | Optimal investments for robust utility functionals (open abstract) | |
| We, 28.01.2004 | Fondsgebundene Lebensversicherungen mit Mindestgarantie (open abstract) | |
| Tu, 27.01.2004 | Generalising the Hobson-Rodgers model (open abstract) | |
| Mo, 26.01.2004 | Geometrie der Zinsen, Vortragsreihe: Wissenswertes der Mathematik, details | |
| Th, 22.01.2004 | 'Solvency II': Ein neues Aufsichtsmodell für die Versicherungswirtschaft in der EU Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Tu, 20.01.2004 | Cubature on Wiener Space from the point of view of central limit theorems (open abstract) | |
| Tu, 13.01.2004 | Rough Path and Stochastic Analysis | |
| Tu, 16.12.2003 | Trading in Illiquid Markets (open abstract) | |
| Th, 11.12.2003 | Stefan Geiss Approximations of European type pay-offs, fractional Sobolev spaces, and random time nets | |
| Th, 04.12.2003 | On regular variation for stochastic processes (open abstract) | |
| Tu, 02.12.2003 | Jörn Sass Portfolio Optimization under Partial Information (open abstract) | |
| Fr, 28.11.2003 | Tom Fischer An axiomatic approach to valuation in life insurance (13:00-13:45, Sem 107) | |
| Th, 13.11.2003 | Reinhold Kainhofer Entwicklung sublinearer Dividendenmodelle und deren numerische Behandlung (open abstract) | |
| Tu, 11.11.2003 | Elmar Teufl Oszillationen im Zusammenhang mit dem Sierpinski Graph und dem Sierpinski Dreieck (open abstract) | |
| Th, 06.11.2003 | Tackling the Forward Cascade in Power Markets (open abstract) | |
| Th, 30.10.2003 | A Model for Electricity Futures Prices (open abstract) | |
| Th, 16.10.2003 | Futures Hedging in Power Markets: Evidence from the European Energy Exchange (EEX) (open abstract) | |
| Th, 09.10.2003 | Structure Equations with an Application to Finance (open abstract) | |
| Tu, 07.10.2003 | Balayage monotonous risk measures (open abstract) | |
| Th, 18.09.2003 | Some aspects of stochastic differential equations driven by loops (open abstract) | |
| Tu, 12.08.2003 | Feynman integral and related topics | |
| Th, 07.08.2003 | Polynomials with random coefficients (open abstract) | |
| Tu, 05.08.2003 | A regime switching model for power options (open abstract) | |
| Fr, 11.07.2003 | Modeling feedback effects with stochastic liquidity (open abstract) | |
| Fr, 11.07.2003 | Modeling electricity auctions (open abstract) | |
| Th, 26.06.2003 | Tarifierung in der Kredit(rück-)versicherung Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Tu, 24.06.2003 | Unconditional disturbances: a new approach to asset pricing | |
| We, 18.06.2003 | Der SOM-Kohonen-Algorithmus und seine Anwendung in der Finanzwirtschaft Vortrag im Rahmen der Vorlesung Schadensversicherungsmathematik 2 | |
| Th, 12.06.2003 | Stochastic control problems, viscosity solutions, and applications to finance (6) | |
| We, 11.06.2003 | Statistische Methoden und deren Umsetzung in der Sachversicherung Vortrag im Rahmen der Vorlesung Schadensversicherungsmathematik 2 | |
| Tu, 10.06.2003 | Pricing Power Derivatives | |
| Th, 22.05.2003 | Die Optimierung einer Direkt-Mail-Kampagne - die praktische Anwendung von Segmentierungs- und Klassifikationsverfahren am Beispiel der Kraftfahrzeug-Versicherung (open abstract) | |
| Fr, 16.05.2003 | The Distributions of Historic Stock Returns and Quantum Theory (open abstract) | |
| Tu, 13.05.2003 | Liquidity Risk and Arbitrage pricing Theory (open abstract) | |
| Tu, 15.04.2003 | Wiener-Hopf factorization for Lévy processes and some applications in mathematical finance (open abstract) | |
| Th, 10.04.2003 | Stochastic control problems, viscosity solutions, and applications to finance (5) | |
| Th, 03.04.2003 | Stochastic control problems, viscosity solutions, and applications to finance (4) | |
| Th, 27.03.2003 | Stochastic control problems, viscosity solutions, and applications to finance (3) | |
| Tu, 25.03.2003 | Some remarks on asymptotic ruin probabilities and investment | |
| Th, 20.03.2003 | Stochastic control problems, viscosity solutions, and applications to finance (2) | |
| Tu, 18.03.2003 | Generic evolutions of the term structure of interest rates (open abstract) | |
| Th, 13.03.2003 | Stochastic control problems, viscosity solutions, and applications to finance (1) | |
| Th, 23.01.2003 | On the Markov property of radial motions on a Riemannian manifold (open abstract) | |
| Tu, 21.01.2003 | Non-affine Term Structure Models | |
| Th, 16.01.2003 | Optimization of Dividend Payments | |
| Th, 16.01.2003 | Pricing Derivatives of American and Game Type in Incomplete Markets (open abstract) | |
| Th, 19.12.2002 | Static Hedging of Barrier Options | |
| Tu, 17.12.2002 | On the Duality Theorem of Utility Maximization (open abstract) | |
| Th, 05.12.2002 | our seminar on "Coherent Risk Measures" continues | |
| Tu, 26.11.2002 | Cubature on Wiener Space, II (open abstract) | |
| Th, 21.11.2002 | our seminar on "Coherent Risk Measures" continues | |
| Tu, 19.11.2002 | Cubature on Wiener Space, I (open abstract) | |
| Th, 14.11.2002 | Levy Processes and Pollaczek-Khintchin formula (open abstract) | |
| Tu, 12.11.2002 | Multi Stage Bond Portfolio Optimization under Model Risk (open abstract) | |
| Th, 07.11.2002 | our seminar on "Coherent Risk Measures" continues | |
| Th, 31.10.2002 | our seminar on "Coherent Risk Measures" continues | |
| Tu, 22.10.2002 | Unternehmensbewertung Vortragsreihe aus Finanz- und Versicherungsmathematik | |
| Th, 17.10.2002 | our seminar on "Coherent Risk Measures" starts | |
| Tu, 15.10.2002 | Relaxation with measure-valued functions in problems of Best Approximation (open abstract) | |
| Th, 10.10.2002 | Alterung in Europa: Auswirkungen auf Kapitalmarkt und soziale Sicherung, Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| We, 09.10.2002 | Geometrie der Zinsen (Habilitationsvortrag) (open abstract) | |
| Tu, 08.10.2002 | Zur Bewertung von Amerikanischen Optionen und Spieloptionen in unvollständigen Märkten (open abstract) | |
| Tu, 01.10.2002 | Dynamische Finanzanalyse und Asset-Liability-Management Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Tu, 13.08.2002 | Credit Risk (open abstract) | |
| Tu, 13.08.2002 | Hedging and Portfolio Optimization in Illiquid Financial Markets (open abstract) | |
| Tu, 25.06.2002 | On the Strong and Weak Solutions of Stochastic Differential Equations Governing Bessel Processes (open abstract) | |
| Th, 20.06.2002 | Optimal Investment with Transaction Costs and without Semimartingales (open abstract) | |
| Tu, 18.06.2002 | Conditioned Stochastic Differential Equations - Applications to Finance (open abstract) | |
| Th, 16.05.2002 | Abhängigkeitsordnungen und ihre Anwendungen in der Versicherungsmathematik (open abstract) | |
| Tu, 14.05.2002 | Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Th, 02.05.2002 | TBA | |
| Th, 25.04.2002 | Several Remarks on Arbitrage-Free Markets (open abstract) | |
| Tu, 23.04.2002 | Merton's portfolio optimization problem and non-Gaussian stochastic volatility (open abstract) | |
| Th, 18.04.2002 | Three notes from recent work (open abstract) | |
| Tu, 16.04.2002 | Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Mo, 15.04.2002 | Stochastische Zinsmodelle (open abstract) | |
| Th, 11.04.2002 | Monotone on-line selections in Poisson arrival processes (open abstract) | |
| Tu, 09.04.2002 | Methods for model calibration | |
| Th, 04.04.2002 | our seminar on "Optima and Equilibria" continues | |
| Th, 21.03.2002 | No-arbitrage bounds of option prices if asset prices are piecewise constant (open abstract) | |
| Tu, 19.03.2002 | Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Fr, 15.03.2002 | Modellierung abhängiger Kreditrisiken | |
| Fr, 15.03.2002 | Symmetrierelationen für ein inverses Problem der Finanzmathematik | |
| Th, 14.03.2002 | ||
| Tu, 12.03.2002 | On the Structure of the Set of Risk Neutral Measures | |
| Fr, 08.03.2002 | Adaptives Schätzen mit Schätzern vom neuronalen Netztyp (open abstract) | |
| Tu, 05.03.2002 | On No Arbitrage Criteria for Financial Markets with Proportional Transaction Costs in Discrete Time (open abstract) | |
| Fr, 01.03.2002 | Stochastische Steuerung in der Versicherungsmathematik (open abstract) | |
| Fr, 01.03.2002 | Extremal Behavior of Multidimensional Risk Processes (open abstract) | |
| Th, 28.02.2002 | Asset pricing with time-varying pessimism (open abstract) | |
| Tu, 26.02.2002 | Applications of Malliavin Calculus to Mathematical Finance, part II (open abstract) | |
| Th, 21.02.2002 | our seminar on "Optima and Equilibria" continues | |
| Tu, 19.02.2002 | Applications of Malliavin Calculus to Mathematical Finance (open abstract) | |
| Th, 14.02.2002 | our seminar on "Optima and Equilibria" continues | |
| Tu, 12.02.2002 | Arbitrage-free asset pricing with proportional transaction costs, a paper of Zhang, Xu and Deng | |
| Th, 07.02.2002 | our seminar on "Optima and Equilibria" continues | |
| Tu, 05.02.2002 | Risikobereitschaft von Versicherungsunternehmen (open abstract) | |
| Th, 31.01.2002 | to be announced | |
| Tu, 29.01.2002 | Fractional Ornstein-Uhlenbeck processes | |
| Mo, 28.01.2002 | 10:00, Besprechungszimmer, 6th floor, green area Introduction to fractional Brownian motion | |
| Th, 24.01.2002 | our seminar on "Optima and Equilibria" continues | |
| Tu, 22.01.2002 | Vortragsreihe aus Finanz- und Versicherungsmathematik, details | |
| Tu, 15.01.2002 | Preference Free Restrictions on Option Prices in Equilibrium | |
| Th, 10.01.2002 | our seminar on "Optima and Equilibria" continues | |
| Th, 20.12.2001 | Optimal Portfolio/Consumption under Habit-Formation | |
| Tu, 18.12.2001 | Indifference Prices and Related Measures (part II) (open abstract) | |
| Th, 13.12.2001 | Working Paper: On A Question Raised By Schachermayer (open abstract) | |
| Tu, 11.12.2001 | Indifference Prices and Related Measures (open abstract) | |
| Th, 6.12.2001 | our seminar on "Optima and Equilibria" continues | |
| Tu, 4.12.2001 | Was leisten Bevölkerungsprognosen? (open abstract) | |
| Th, 29.11.2001 | Some entropy type invariants of decreasig sequences of measurable partitions (open abstract) | |
| Tu, 27.11.2001 | Filtering Problems from the geometric point of view (open abstract) | |
| Th, 22.11.2001 | our seminar on "Optima and Equilibria" continues | |
| Tu, 20.11.2001 | Asymptotic Ruin Probability and Optimal Investment for an Insurance Company with Small Claims (open abstract) | |
| Th, 15.11.2001 | our seminar on "Optima and Equilibria" continues | |
| Tu, 13.11.2001 | The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time (open abstract) | |
| Th, 8.11.2001 | our seminar on "Optima and Equilibria" continues | |
| Tu, 6.11.2001 | Sensitivity of the Black-Scholes option price to the local path behaviour of the stochastic process modelling the underlying asset (open abstract) | |
| Tu, 30.10.2001 | Risk Averse Asymptotics and the Optional Decomposition (open abstract) | |
| Th, 25.10.2001 | our seminar on "Optima and Equilibria" continues | |
| We, 24.10.2001 | On some generalizations of the classical ruin model in risk theory (open abstract) | |
| Tu, 23.10.2001 | Information in Securities Markets: Kyle meets Glosten and Milgrom (open abstract) | |
| Th, 18.10.2001 | our seminar on "Optima and Equilibria" continues | |
| Tu, 16.10.2001 | The relation between implied and realised probability density functions (open abstract) | |
| Th, 11.10.2001 | our seminar on "Optima and Equilibria" starts | |
| Tu, 9.10.2001 | Long forward rates never fall - A general proof of the Dybvig-Ingersoll-Ross Theorem (open abstract) | |
| Th, 27.09.2001 | Interest Rate Theory and White Noise Calculus | |
| Th, 13.09.2001 | Ruin Probability in the Presence of Regularly Varying Tails and Optimal Investment | |
| Th, 23.08.2001 | Do long forward rates never fall? (open abstract) | |
| (expand all abstracts) | ||
Vienna Seminar in Mathematical Finance and Probability
Around once a month on Thursdays, 15:30-18:30 CEST, in presence if possible (otherwise online).
For abstracts and past seminars see: https://fam.tuwien.ac.at/vs-mfp/
FAM-news Mailing List
The above seminars are also announced via the FAM-news mailing list, one of the public mailing lists maintained by FAM.
Regular Events / Seminars
- Vienna Seminar in Mathematical Finance and Probability (VS-MFP)
This seminar is jointly organised by the following research units / departments:- Financial and Actuarial Mathematics, TU Wien
- Mathematical Finance and Probability Theory, University of Vienna
- Quantitative Risk Management and Mathematical Finance, University of Vienna
- Statistics and Mathematics, Vienna University of Economics and Business
- Research Seminar - Statistics and Mathematics
Institute for Statistics and Mathematics, WU Wien
- Vienna Probability Seminar (VPS)
IST Austria and University of Vienna
- Finance Research Seminar of the VGSF
Vienna Graduate School of Finance (VGSF)
- Finance Brown Bag Seminar
Institute for Finance, Banking and Insurance, WU Wien, jointly with the Vienna Graduate School of Finance (VGSF)
- Brown Bag Seminar
Department of Finance, University of Vienna
- ISOR Colloquium
Department of Statistics and Operations Research, University of Vienna
- Conferences around the world
Bachelier Finance Society
- TUForMath - Forum Mathematik
Public talks for a wide audience, workshop for pupils/schools
- Mathematik macht Freu(n)de
Various events and material for pupils, students and teachers & lecturers
Further Links
(print version)
https://fam.tuwien.ac.at/events/timetable.php
Last modification: 2021-09-01
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