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

B. Dengler;
Quantitative Methods in Finance QMF 2009, December 16-19, 2009, University of Technology Sydney, Australia;
Research visit: December 11-21, 2009;
Talk: "On the asymptotic variance of the estimator of Kendall's tau for the t-distribution", December 17, 2009.

R. Reda;
Workshop with the Canadian bestselling author and psychologist Susan Pinker, Neuwaldegg Consulting Group, Vienna, Austria;
Research visit: December 3, 2009.

A. Hula;
Defense Talk, TU Vienna, Austria;
Talk: "LIBOR Market Models – An Approximations Approach", November 27, 2009.

U. Schmock;
Discussion of the PhD theses of Robert Schöftner, University of Zurich, Switzerland;
Research visit: November 13, 2009.

F. Hubalek;
Scientific Cooperation with Carlo Sgarra, Dipartimento di Matematica, Politecnico di Milano, Italy;
Research visit: November 9-13, 2009;
Invited talk: "On Fourier and Laplace transform methods for simple, multi-asset, and path-dependent options/accuracy and efficiency", November 10, 2009.

S. Gerhold;
Scientific Cooperation with Prof. Peter Friz, Institut für Mathematik, Technische Universität Berlin, Germany;
Research visit: November 9-11, 2009.

J. Leitner;
Scientific Cooperation with Dr. Gregory Temnov, School of Mathematical Sciences, University College Cork, Ireland;
Research visit: November 10-11, 2009.

J. Leitner;
Scientific Cooperation with Dr. Olaf Menkens, School of Mathematical Sciences, Dublin City University, Ireland;
Research visit: November 5-10, 2009;
Invited talk: "A Robust Predictable Martingale Representation Property for Marked Point Processes and Super-Additive Insurance Markets", November 6, 2009.

R. Reda;
Princeton-Humboldt Finance Workshop 2009: Perceiving and Measuring Financial Risk: Credit, Energy and Illiquidity, October 30-31, 2009, Princeton University, New Jersey, USA;
Research visit: October 29 - November 1, 2009.

U. Schmock;
Prüfer bei Kommissioneller Abschlußprüfung von Diplomandin Magdalena Six, Universität Salzburg, Austria;
Research visit: October 27, 2009.

R. Reda;
Foreign Policy Talks 2009, October 23-24, 2009, Hernstein Castle, Hernstein, Austria;
Research visit: October 23-24, 2009.

K. Hirhager;
DAA Workshop für junge Mathematiker, October 16-17, 2008, Loccum bei Hannover, Germany;
Research visit: October 15-18, 2008.

U. Schmock;
Scientific cooperation with Prof. Peter Eichelsbacher, Fakultät für Mathematik, Ruhr-Universität Bochum, Germany;
Research visit: September 29 - October 1, 2009;
Invited talk: "Numerisch stabile Verallgemeinerung der Panjer-Rekursion und Anwendung auf abhängige Kreditrisiken", October 1, 2009.

B. Dengler;
One-Day Workshop on Portfolio Risk Management (PRisMa 2009), TU Vienna, Austria;
Talk: "On the Asymptotic Variance of the Estimator of Kendall's Tau for the t-Distribution", September 28, 2009.

R. Reda;
Working seminar for PhD and Diploma students of the Mathematical Finance Group, University Vienna, Austria;
Talk: "Introduction to Risk Measures" (Part I), September 24, 2009;
Talk: "Introduction to Risk Measures" (Part II), September 29, 2009.

F. Hubalek;
ÖMG-DMV Kongress 2009, September 20-25, 2009, Graz, Austria;
Research visit: September 21-25, 2009;
Talk: "Old and new examples of scale functions for spectrally negative Levy processes and applications", September 24, 2009.

S. Gerhold;
ÖMG-DMV Kongress 2009, September 20-25, 2009, Graz, Austria;
Research visit: September 20-25, 2009;
Talk: "Non-Holonomic Sequences and Functions", September 22, 2009.

U. Schmock;
Meeting of the Amamef Steering Committee, ETH Zürich, Switzerland;
Research visit: September 18, 2009.

U. Schmock;
Risk Day 2009, September 11, 2009, ETH Zürich, Switzerland;
Research visit: September 10-11, 2009.

J. Leitner;
AFIR/LIFE Colloquium 2009, September 6-11, 2009, Munich, Germany;
Research visit: September 7-11, 2009.

B. Blum;
Working seminar for PhD and Diploma students of the Mathematical Finance Group, Unversity Vienna, Austria;
Talk: "The Face Lifting Theorem" (Part I), September 2, 2009;
Talk: "The Face Lifting Theorem" (Part II), September 8, 2009;
Talk: "The Face Lifting Theorem" (Part IIII), September 10, 2009.

S. Altay;
2nd SMAI European Summer School in Financial Mathematics, August 24-29, 2009, Paris, France;
Research visit: August 23-30, 2009.

S. Altay;
33rd Conference on Stochastic Processes and Their Applications, July 27-31, 2009, TU Berlin, Germany;
Research visit: July 26 - August 1, 2009.

R. Reda;
33rd Conference on Stochastic Processes and Their Applications, July 27-31, 2009, TU Berlin, Germany;
Research visit: July 28-31, 2009.

U. Schmock;
Vorstandskonferenz der AVÖ, July 15-17, 2009, Seckau, Austria;
Research visit: July 15-17, 2009.

PRisMa Lab;
Internal workshop with PRisMa Lab's industry partners, July 3, 2009, TU Vienna, Austria;
Johannes Leitner: "Robust Martingale Representation Results for Marked Point Processes"
Ranja Reda: "Research Project: On the Fatou Property for Quasi-Convex Functions"
Martin Puhl: "Assessment of Different Credit Risk Models in Terms of Credit Quality"
Karin Hirhager: "Adapted Dependence"
Stefan Wohlmuth: "A Nonparametric Test of Independence - Dealing with Tied Observations"
Benedikt Blum: "The Facelifting Theorem for Proportional Transaction Costs in Multi-Asset Models"
Christoph Brodowicz: "Pricing Synthetic Collateralized Debt Obligations using Normal Approximation"
Andreas Hula: "Variants of LIBOR-Market-Models"

J. Leitner;
Scientific cooperation with Prof. A. Unwin, University Augsburg, Germany;
Research visit: June 13-16, 2009;
Invited talk: “Robuste Martingal-Darstellungen für markierte Punkt-Prozesse und super-additive Versicherungsmärkte”, June 15, 2009.

J. Leitner;
Scientific cooperation with Prof. A. Macdonald, Heriot-Watt University, Edinburgh, UK;
Research visit: June 6-12, 2009;
Invited talk: “A Robust Predictable Martingale Representation Property for Marked Point Processes and Super-Additive Insurance Markets”, June 10, 2009.

U. Schmock;
WWTF Mathematics and ... Tag 2009, Wien, May 28, 2009;
Research visit: May 28, 2009;
Talk: “Mathematik und Kreditrisiken”, May 28, 2009.

S. Altay;
Colloquium for Master and PhD Students, University of Vienna, Austria;
Research visit: May 28, 2009;
Talk: “Term structure of defaultable bonds - an approach with Jacobi Processes”, May 28, 2009.

P. Grandits;
13th International Congress on Insurance: Mathematics and Economics 2009, May 27-29, 2009, Istanbul, Turkey;
Research visit: May 26-30, 2009;
Talk: “Optimal dividends in finite time”, May 27, 2009.

U. Schmock;
Invitee for discussion at 6th TU-Forum, May 19, 2009, TU Vienna, Austria;
Discussion theme: “Wirtschafts- und Finanzkrise: Woher kommt sie? Wohin kann sie führen?, May 19, 2009.

S. Altay;
Istanbul Workshop on Mathematical Finance, May 18-21, 2009, Sabanci University, Istanbul, Turkey;
Research visit: May 18-21, 200.

J. Leitner;
Research visit at Heine-Universität Düsseldorf and talk at the Mathematisches Kolloquium Research visit: May 11-12, 2009;
Invited talk: “Robuste Martingal-Darstellungen für markierte Punkt-Prozesse und super-additive Versicherungsmärkte”, May 11, 2009.

R. Reda;
Talk at Dr. Sandra Hayes at City College of the City University of New York, USA;
Research visit: May 12-14, 2009;
Talk: “Rotational Invariant Importance Sampling”, May 12, 2009.

U. Schmock;
Fourth General Conference on Advances Mathematical Methods in Finance and Meeting of the AMaMeF Steering Committees, Alesund, Norway, May 4-10, 2009;
Research visit: May 4-10, 2009;
Invited talk: “Generalization of the Dybvig-Ingersoll-Ross Theorem and Asymptotic Minimality”, May 8, 2009.

U. Schmock;
Put to the Test: Europe and the Financial Crisis, European Forum Alpbach at OENB, Vienna, Austria;
Research visit: April 19-20, 2009;

R. Reda;
Put to the Test: Europe and the Financial Crisis, European Forum Alpbach at OENB, Vienna, Austria;
Research visit: April 19-20, 2009;

R. Reda;
10th International Business Research Conference, April 16-17, 2009, Dubai, UAE;
Research visit: April 15-18, 2009;
Invited talk: “Rotational Invariant Importance Sampling”, April 16, 2009.

R. Reda;
Fourth International Conference on Intelligent Computing and Information Systems ICICIS 2009, March 19-22, Cairo, Egypt;
Research visit: March 18-22, 2009;
Talk: “Rotational Invariant Importance Sampling”, March 19, 2009.

J. Leitner;
Scientific cooperation with Prof. Falk and seminar talk at University of Würzburg, Germany;
Resarch visit: March 18-20, 2009;
Invited talk: “Robuste Martingal-Darstellungen für markierte Punkt-Prozesse und Super-additive Versicherungsmärkte”, March 19, 2009.

R. Reda;
Participation at FameLab2009 Competition (Semi-Finals), March 11, 2009, Graz, Austria;
Research visit: March 11, 2009;
Invited talk: “Die Finanzkrise und der Luftballon”, March 11, 2009.

U. Schmock;
Salzburg Institute of Actuarial Studies, Universität Salzburg, Austria;
Research visits: March 6/7/20/21, April 3/4, May 15/16, June 5/6/19/20, 2009;
Invited lecture: “Finanzmathematik, March 6 - June 20, 2009.

U. Schmock;
Teilnahme an der Verleihung des Walter Saxer Hochschulpreises, ETH Zürich, Schweiz;
Research visit: February 26, 2009.

U. Schmock;
Conference on small time asymptotics, perturbation theory and heat kernel methods in mathematical finance, February 10-12, 2009, Wolfgang Pauli Institute, Vienna, Austria;
Research visit: February 11-12, 2009.

S. Altay;
Conference on small time asymptotics, perturbation theory and heat kernel methods in mathematical finance, February 10-12, 2009, Wolfgang Pauli Institute, Vienna, Austria;
Research visit: February 10-11, 2009.

F. Hubalek;
Conference on small time asymptotics, perturbation theory and heat kernel methods in mathematical finance, February 10-12, 2009, Wolfgang Pauli Institute, Vienna, Austria;
Research visit: February 10-12, 2009.

S. Gerhold;
Institute of Discrete Mathematics and Geometry, TU Vienna, Austria;
Research visit: January 20, 2009;
Talk: “Lindelf integral representations and asymptotic analysis of a certain power series with closed-form coefficients”, January 20, 2009.

R. Reda;
8th Winter school on Mathematical Finance, Lunteren, Netherlands;
Research visit: January 18 - 21, 2009.

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