FAM-ily  

Financial and Actuarial Mathematics  
at Vienna University of Technology, Austria  

 

Research Visits and Talks of PRisMa Lab Members

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

F. Hubalek
Seminar talks at the University of Jyvaeskylae, Finland;
Research visit: December 13-20, 2008;
Invited Talk: "Probability Measures, Levy Measures, and Analyticity in Time", December 16, 2008;
Invited Talk: "On the Esscher transforms, minimum entropy, and other equivalent martingale measures: From exponential Levy models to a stochastic volatility models with jumps", December 18, 2008.

R. Reda
23. Workshop der Austrian Working Group on Banking and Finance, December 12-13, Vienna, Austria;
Research visit: December 12-13, 2008;
Invited talk: "Importance Sampling for Credit Risk Portfolios via Auxiliary, Rotational Invariant Densities", December 12, 2008.

U. Schmock
Pre-Conference Workshops and Quantitative Methods in Finance Conference (QMF) 2008, December 12-20, 2008, Sydney, Australia;
Research visit: December 11-22, 2008;
Presenting the Two-Day Practitioner Workshop: "Modelling and Numerical Aggregation of Risks (with Applications to Credit and Operational Risks)", December 15-16, 2008;
Invited talk: "Generalization of the Dybvig-Ingersoll-Ross Theorem and Asymptotic Minimality", December 17, 2008.

V. Goldammer
EBIM Doctoral Workshop, December 11-12, 2008, Universitńt Bielefeld, Germany;
Research visit: December 10-13, 2008;
Invited talk: "Modeling and Estimation of Dependent Credit Rating Transitions", December 11, 2008.

J. Leitner
Scientific Cooperation with Prof. Mark Davis at The Imperial College, London, UK;
Research visit: December 8-9, 2008;
Invited talk: "Robust Martingale Representations for Marked Point Processes", December, 8, 2008.

R. Reda
Third Annual Conference on Advances in the Analysis of Hedge Fund Strategies, December 4, 2008, London, Great Britain;
Research Visit: December 3-4, 2008.

F. Hubalek
Special Semester on Stochastics with Emphasis on Finance - Concluding Workshop, December 2-4, 2008, RICAM Linz, Austria;
Research visit: December 3-4, 2008;
Invited talk: "On trades, volume, and the martingale estimating function approach for stochastic volatility models with jumps", December 4, 2008.

V. Goldammer
Special Semester on Stochastics with Emphasis on Finance - Concluding Workshop, December 2-4, 2008, RICAM Linz, Austria;
Research visit: December 2-4, 2008;
Invited talk: "Modeling and Estimation of Dependent Credit Rating Transitions", December 4, 2008.

U. Schmock
Special Semester on Stochastics with Emphasis on Finance - Concluding Workshop, December 2-4, 2008, RICAM Linz, Austria;
Research visit: December 2-3, 2008;
Invited talk: "Generalization of the Dybvig-Ingersoll-Ross Theorem and Asymptotic Minimality", December 3, 2008.

J. Leitner
Special Semester on Stochastics with Emphasis on Finance - Concluding Workshop, December 2-4, 2008, RICAM Linz, Austria;
Research visit: December 2-4, 2008;
Invited talk: "Robust Martingale Representations for Marked Point Processes", December 3, 2008.

S. Gerhold
Special Semester on Stochastics with Emphasis on Finance - Concluding Workshop, December 2-4, 2008, RICAM Linz, Austria;
Research visit: December 2-4, 2008.

S. Gerhold
Special Semester on Stochastics with Emphasis on Finance - Workshop on Computational Methods with Applications in Finance, Insurance and the Life Sciences AND Stochastic Methods in Partial Differential Equations and Applications of Deterministic and Stochastic PDEs, November 17-21, 2008, RICAM Linz, Austria;
Research visit: November 17-21, 2008.

PRisMa Lab
Internal workshop with PRisMa Lab's industry partners, November 14, 2008, TU Vienna, Austria;
Talks:
Oliver Sommer (M2): "Risk Transfer";
Ranja Reda (M3): "Importance Sampling for Credit Risk Portfolios using Rotationally Invariant Densities";
Barbara Dengler (M4): "On the Asymptotic Normality of a Rank-Based Test for Independence";
Karin Hirhager (M4): "Adapted Dependence (Project Description)";
Benedikt Blum (M5): "The Facelifting Theorem in Exponential LÚvy Models";
Verena Goldammer (M6): "Implied Rating Models";
Andreas Hula (M8): "Discrete LIBOR Approximation";
SŘhan Altay (M9, partially M6): "Term Structure of Defaultable Bonds, an Approach with Jacobi Processes".

B. Dengler
UniCredit Group Conference on Banking and Finance, "Beyond the Illusion
of Risk Diffusion", October 6-7, 2008, Oktogon Vienna, Austria;
Research visit: October 6-7, 2008.

V. Goldammer
UniCredit Group Conference on Banking and Finance, "Beyond the Illusion
of Risk Diffusion", October 6-7, 2008, Oktogon Vienna, Austria;
Research visit: October 6-7, 2008.

R. Reda
PrŘfung zum Thema Risikomanagement im Versicherungswesen, Oct 24, 2008, Salzburg, Austria;
Research visit/ exam: October 24, 2008.

P. Grandits
Workshop on Optimization and Optimal control, October 20-24, 2008, Linz, Austria;
Research visit: October 20, 2008.

S. Altay
Conference on Numerical Methods for American and Bermudan Options, October 17-18, 2008, Vienna, Austria;
Research visit: October 17-18, 2008.

S. Gerhold
Conference on Numerical Methods for American and Bermudan Options, October 17-18, 2008, Vienna, Austria;
Research visit: October 17-18, 2008.
Talk: "LÚvy-Sheffer Systems and the Longstaff-Schwartz Algorithm for the American Option Pricing", October 18, 2008.

R. Reda
Au▀enpolitische Tage, October 17-18, 2008, Schloss Hernstein, Austria;
Research visit: October 17, 2008.

U. Schmock
Conference on Numerical Methods for American and Bermudan Options, October 17-18, 2008, Vienna, Austria;
Research visit: October 17-18, 2008.

J. Leitner
TU Vienna, Austria;
Habilitation talk: "Robust Martingale Representations for Marked Point Processes", October 6, 2008.

V. Goldammer
Workshop on Mathematical Finance for Young Researchers, October 6-7, 2008, Berlin, Germany;
Research visit: October 3-8, 2008.

PRisMa Day 2008
One-Day Workshop on Portfolio Risk Management (PRisMa 2008), September 29, 2008, Vienna, Austria;
Talks:
Antonis Papapantoleon - Strong Taylor Approximation of SDEs and Application to the LÚvy LIBOR Model
Friedrich Hubalek - On Trades, Volume, and the Martingale Estimating Function Approach for Stochastic Volatility Models with Jumps
Stefan Gerhold - LÚvy-Sheffer Systems and the Longstaff-Schwartz Algorithm for American Option Pricing
Verena Goldammer - Modeling and Estimation of Dependent Credit Rating Transitions

U. Schmock
Forum der Christian Doppler-Forschungsgesellschaft, September 26, 2008, Linz, Austria;
Research visit: September 26, 2008.

U. Schmock
Special Semester on Stochastics with Emphasis on Finance - Workshop on Advanced Modeling in Finance and Insurance, September 22-26, 2008, RICAM Linz, Austria;
Research visit: September 25, 2008.

F. Hubalek
Special Semester on Stochastics with Emphasis on Finance - Workshop on Advanced Modeling in Finance and Insurance, September 22-26, 2008, RICAM Linz, Austria;
Research visit: September 22, 2008.

W. Schachermayer
Co-Organizer of Special Semester on Stochastics with Emphasis on Finance - Workshop Advanced Modeling in Finance and Insurance, September 22-26, 2008, RICAM Linz, Austria;
Research visit: September 21-22, 2008, and September 24-25, 2008.

U. Schmock
Risk Day 2008, September 19, 2008, ETH ZŘrich, Switzerland;
Research visit: September 19, 2008.

U. Schmock
Special Semester on Stochastics with Emphasis on Finance - Kick off-Workshop with Practicioner's Day at RICAM, September 8-11, 2008, RICAM Linz, Austria;
Research visit: September 9, 2008.

W. Schachermayer
Co-Organizer of Special Semester on Stochastics with Emphasis on Finance - Kick off-Workshop with Practicioner's Day at RICAM, September 8-11, 2008, RICAM Linz, Austria;
Research visit: September 8-11, 2008.

C. Cuchiero
European Summer School in Financial Mathematics, September 6-14, 2008, Paris, France;
Research visit: September 6-13, 2008.

V. Goldammer
European Summer School in Financial Mathematics, September 6-14, 2008, Paris, France;
Research visit: September 6-13, 2008;
Talk: "Modeling and Estimation of Dependent Credit Rating Transitions", September 12, 2008.


W. Schachermayer
Co-Organizer of Special Semester on Stochastics with Emphasis on Finance - Kick off-Workshop with Practicioner's Day at RICAM, September 5, 2008, RICAM Linz, Austria;
Research visit: September 5, 2008.
Talk: "Pricing and Hedging under transaction costs", September 5, 2008.

S. Gerhold
INRIA Centre de Recherche, Rocquencourt/ Paris, Frankreich;
Research visit: September 1-12, 2008;
Invited talk: "On a Certain Functional Equation: Oscillations in the Solutions and their Taylor Coefficients", September 8, 2008.

G. Temnov
International Conference on Asymptotic Statistics, September 1-5, 2008, Centre de Recerca MatemÓtica, Universitat Aut˛noma de Barcelona, Spain;
Research visit: August 31 - September 6, 2008;
Talk: "On the role of asymptotic statistics in the modelling of actuarial data", September 5, 2008.

A. Hula
Workshop Recent Advances in Interest Rate Modeling, August 28, 2008, Aarhus School of Business, University of Aarhus, Denmark;
Research visit: August 27-29, 2008.

U. Schmock
Vorstandsklausur der Aktuarvereinigung Ísterreichs zum Aus- und Weiterbildungsprogramm fŘr Aktuare, Seckau, Ísterreich;
Research visit: August 7-8, 2008.

S. Altay
Fifth World Congress of the Bachelier Finance Society, July 15-19, 2008, London, Great Britain;
Research visit: July 15-21, 2008.

W. Schachermayer
Fifth World Congress of the Bachelier Finance Society, July 15-19, 2008, London, Great Britain;
Research visit: July 16-19, 2008.

W. Schachermayer
Fifth European Congress of Mathematics, July 14-18, 2008, Amsterdam, Netherlands;
Research visit: July 13-16, 2008;
Invited talk: "The Fundamental Theorem of Asset Pricing for Continuous Processes under Small Transaction Costs", July 15, 2008.

R. Reda
MatemateS Summer School 2008 Fourier Methods in Finance and LÚvy Processes, June 30 - July 4, 2008, University of Bologna, Italy;
Research visit: June 29 - July 4, 2008.

A. Hula
MatemateS Summer School 2008 Fourier Methods in Finance and LÚvy Processes, June 30 - July 4, 2008, University of Bologna, Italy;
Research visit: June 29 - July 4, 2008.

F. Hubalek
TU Vienna, Austria;
Habilitation talk: "On optimal strategies and Levy process-driven models in mathematical finance and insurance mathematics --- Variance-optimal hedging", June 30, 2008.

U. Schmock
International Workshop Credit Risk, June 25-27, 2008, UniversitÚ Evry-Val-d'Essonne, France;
Research visit: June 25-28, 2008;
Invited talk: "A Generalization of Panjer's Recursion and Numerically Stable Risk Aggregation", June 25, 2008.

W. Schachermayer
Scientific cooperation with Ivar Ekeland, Pacific Institute for the Mathematical Sciences (PIMS), Vancouver, Canada;
Research visit: June 16-29, 2008;
Invited talk: "Optimal & better Transport plans I", June 24, 2008;
Invited talk: "Optimal & better Transport plans II", June 26, 2008.

J. Leitner
IAS Workshop: Risk Modelling and High Frequency Data, TU Munich, Germany;
Research visit: June 12-13, 2008.

R. Reda
International Conference on New Directions in Quantitative Finance, May 19-21, 2008, Paris, France;
Research visit: May 19-21, 2008.

P. Grandits
Scientific Cooperation with Prof. Mladen Omladic, University Ljubljana, Slovenia;
Research visit: May 19-21, 2008;
Invited talk: "Optimal investment and optimal divident strategies for an insurance company", May 20, 2008.

W. Schachermayer
Sixth Seminar on Stochastic Analysis, Random Fields and Applications, May 19-23, 2008, Ascona, Switzerland;
Research visit: May 18-23, 2008;
Invited talk: "Hiding the Drift", May 19, 2008.

U. Schmock
Third General AMaMeF Conference 2008, May 5-10, 2008, Pitesti, Romania;
Research visit: May 4-9, 2008;
Invited talk: "A generalization of Panjer's recurssion and numerically stable risk aggregation", May 5, 2008.

U. Schmock
Executive MBA "Mergers and Acquisitions", TU Vienna, Austria;
Course: "Introduction to Model and Credit Risk" (3h course), May 3, 2008.

S. Altay
Simulation toolbox workshop for finance professionals and students, April 23-24, 2008, and Conference on recent Developments in Financial Mathematics and Stochastic Calculus, April 25-26, 2008, Institute of Applied Mathematics METU, Ankara, Turkey;
Research visit: April 21-26, 2008;
Invited talk: "Bond Prices Via Nuclear Space Valued Semi-Martingales", April 25, 2008.

J. Leitner
Scientific Cooperation with Prof. Claudia KlŘppelberg, Inst. fŘr Mathematische Statistik, TU MŘnchen, Germany;
Research visit: April 15-16, 2008;
Invited talk: "Pricing and hedging with globally and instantaneously vanishing risk", April, 15, 2008.

F. Hubalek
Scientific Cooperation with Elisa Nicolato, Aarhus School of Business, University of Aarhus, Denmark;
Research visit: April 6-12, 2008;
Invited talk at the Joint Thile/CAF/D-CAF seminar: "Some aspects of Libor market models with jumps", April 10, 2008;
Invited talk at the research seminar of the finance research group: "Some aspects of Libor market models with jumps", April 11, 2008.

W. Schachermayer
Recruitment talk, Faculty of Mathematics, University of Vienna, Austria;
Invited talk: "For which financial markets does the mutual fund theorem hold true?", April 9, 2008.

B. Dengler
International Financial Research Forum 2008, March 27-28, 2008, Paris, France;
Research visit: March 26-29, 2008.

V. Goldammer
International Financial Research Forum 2008, March 27-28, 2008, Paris, France;
Research visit: March 26-29, 2008.

R. Reda
Risikomanagement im Versicherungswesen, March 26-29, 2008, Salzburg Institute of Actuarial Studies, Austria;
Research visit: March 26-29, 2008.

R. Reda
Risk and Stochastics Day 2008, March 19, 2008, LSE London, Great Britain;
Research visit: March 18-21, 2008.

F. Hubalek
Institute of Mathematics, Physics and Mechanics, University Ljubljana, Slovenia;
Research visit: March 17-19, 2008;
Invited talk: "Explicit Variance-Optimal Hedging for independent increments and related problems", March 18, 2008.

V. Goldammer
Frankfurt MathFinance Conference, March 17-18, 2008, Frankfurt School of Finance & Management, Germany;
Research visit: March 14-19, 2008.

W. Schachermayer
Mathematik ist Řberall: Die Welt in der Gleichung, March 12, 2008, Vienna, Austria;
Research visit: March 12, 2008;
Discussant with Bruno Buchberger, Barbara Kaltenbacher and Karl Sigmund.

PRisMa Lab;
Internal workshop with PRisMa Lab's industry partners, March 7, 2008, TU Vienna, Austria;
Talks:
F. Hubalek (FAM, Module 8) - "Some aspects of Levy LIBOR market models"
B. Blum (Module 5) - "No-arbitrage and consistent price systems for discontinuous processes"
J. Leitner (Module 2) - "Non-additive pricing of CDS"
B. Dengler (Module 4) and A. Schramek (BA-CA) - "Testing for independence and application to credit risk data"
R. Reda (Module 3) and C. Ziehaus (FAM) - "Macrofactor selection"
Gr. Temnov (Module 1) - "Theoretical and practical issues of operational risk measurement"

R. Reda
CeBIT Finance Solutions Forum 2008, March 4-9, 2008, Hannover, Deutschland;
Research visit: March 3-5, 2008.

W. Schachermayer
Scientific cooperation with Xunyu Zhou, University of Oxford, Great Britain;
Research visit: February 28-29, 2008;
Invited talk: "In which Financial Markets do Mutual Fund Theorems hold true?", February 29, 2008.

W. Schachermayer
Scientific cooperation with Chris Rogers, University of Cambridge, Great Britain;
Research visit: February 25-28, 2008;
Invited talk: "In which Financial Markets do Mutual Fund Theorems hold true?", February 26, 2008.

G. Temnov
Actuarial and Financial Mathematics Conference. Interplay between Finance and Insurance, February 7-8, 2008, Brussels, Belgium;
Research visit: February 6-9, 2008;
Participation as a discussant of presented talks and papers.

W. Schachermayer
Workshop Stochastic Analysis in Finance and Insurance, January 27 - Febuary 2, 2008, Oberwolfach, Germany;
Research visit: January 27 - Febuary 1, 2008;
Invited talk: "The only time-consistent law-invariant dynamic convex risk measure is
the entropic one?", January 30, 2008.

F. Hubalek
IX Workshop on Quantitative Finance , January 24-25, 2008, University of Rome "Tor Vergata", Italy;
Research visit: January 23-26, 2008;
Invited talk: "On Fourier methods for simple, multi-asset, and path-dependent options / accuracy and efficiency", January 24, 2008.

U. Schmock
7th Winter school on Mathematical Finance, January 21-23, 2008, Lunteren, Netherlands;
Research visit: January 23, 2008;
Invited talk: "Risk aggregation, numerical stability and a variation of Panjer's recursion", January 23, 2008.

R. Reda
7th Winter school on Mathematical Finance, January 21-23, 2008, Lunteren, Netherlands;
Research visit: January 20-24, 2008.

R. Kainhofer
Kolloquium aus Finanz- und Versicherungsmathematik, TU Graz, Austria;
Invited talk: "Die Erstellung von Rechnungsgrundlagen - Ausflug eines Mathematikers in die Praxis", January 11, 2008.

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