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

S. Gerhold;
Scientific cooperation with Prof. Paolo Guasoni, Department of Mathematical Finance, Dublin City University, Ireland;
Research visit: November 17-20, 2010;
Talk: "Refined Volatility Expansion in the Heston Model", November 19, 2010.

B. Blum;
PRisMa Lab Evaluierung, TU Wien, Austria;
Talk: "Superreplication and No-Arbitrage in Multiasset Models with Transaction Costs", Oct. 8 2010.

H. Kazianka;
PRisMa Lab Evaluierung, TU Wien, Austria;
Talk: "Objective Bayesian Analysis of Spatially Correlated Data Including Measurement Error", October 8 2010.

S. Altay;
PRisMa Lab Evaluierung, TU Wien, Austria;
Talk: "Dependence in the Term Structure of Interest Rates and Credit Spreads", October 8 2010.

F. Hubalek;
PRisMa Lab Evaluierung, TU Wien, Austria;
Talk: "LIBOR Market Models with Jumps, Approximation and Interpolation", October 8 2010.

U. Schmock;
PRisMa Lab Evaluierung, TU Wien, Austria;
Talk: "On the Asymptotic Behaviour of the Estimator of Kendall's Tau", October 8 2010.

K. Hirhager;
PRisMa Lab Evaluierung, TU Wien, Austria;
Talk: "Adapted Dependence", October 8 2010.

C. Rudolph;
PRisMa Lab Evaluierung, TU Wien, Austria;
Talk: "Towards a Generalized Panjer Recursion for Dependent Claim Numbers", October 8 2010.

R. Kainhofer;
PRisMa Lab Evaluierung, TU Wien, Austria;
Talk: "Scenario Generation for Long Horizon Yield Curve Movements", October 8 2010.

S. Gerhold;
PRisMa Lab Evaluierung, TU Wien, Austria;
Talk: "Refined Volatility Expansion in the Heston Model", October 8 2010.

S. Gerhold;
One-Day Workshop on Portfolio Risk Management (PRisMa Day 2010), TU Vienna, Austria;
Talk: "Refined Volatility Expansion in the Heston Model", October 1, 2010.

B. Blum;
One-Day Workshop on Portfolio Risk Management (PRisMa Day 2010), TU Vienna, Austria;
Talk: "Superreplication and No-Arbitrage in Multiasset Models with Transaction Costs", October 1, 2010.

B. Blum;
Workshop on Advanced Mathematical Methods for Finance, September 27-30, 2010, Berlin, Germany ;
Research visit: September 26-30, 2010;
Talk: "The Fundamental Theorem of Asset Pricing on Multiasset Models with Small

F. Hubalek;
Scientific cooperation with Stefan Geiss, Department of Mathematics, University of Innsbruck, Austria;
Research visit: September 20-24, 2010;
Invited talk: "On exact simulation of moderately tractable infinite activity Lévy processes and their exponential transform", September 21, 2010;
Invited talk: "Explicit variance-optimal hedging for processes with stationary and independent increments", September 22, 2010.

U. Schmock;
Risk Day 2010 - Mini-Conference on Risk Management in Finance and Insurance, ETH Zurich, Switzerland;
Research visit: September 17, 2010.

H. Kazianka;
8th International Conference on Geostatistics for Environmental Applications, September 13-15, 2010, Gent, Belgium;
Research visit: September 12-15, 2010;
Talk: "Objective Bayesian analysis for the correlation parameters in Gaussian copula-based spatial models", September 14, 2010.

U. Schmock;
Internationale Koordinierung der Weiterbildung für Aktuare und eingeladener Vortrag bei Mitgliederversammlung 2010 der Schweizerischen Aktuarvereinigung, Zürich und St. Gallen, Switzerland;
Research visit: September 9-11, 2010;
Invited talk: "Modellierung und Schätzung stochastischer Abhängigkeiten", September 11, 2010.

R. Reda;
34th Conference on Stochastic Processes and Their Applications, September 6-10, 2010, Osaka, Japan;
Scientific cooperation with Prof. Koo Hyeng Keun, Department of Finacial Engineering at Ajou University, Korea, September 8, 2010
Scientific research with Prof. Kusuoka, Tokyo University, Tokyo, Japan;
Scientific research with Y. Nakano, Tokyo Tech, Tokyo, Japan;
Research visit: September 5-17, 2010;
Talk at conference in Osaka: "On the Fatou Property of Law Invariant Quasiconvex Functions", September 7, 2010;
Talk at Tokyo University: "On the Fatou Property of Law Invariant Quasiconvex Functions", September 15, 2010.

S. Gerhold;
Third SMAI European Summer School in Financial Mathematics, August 23-27, 2010, Paris, France;
Research visit: August 22-29, 2010;
Talk: "Refined volatility expansion in the Heston model", August 24, 2010.

H. Kazianka;
2010 Joint Statistical Meeting, July 31 - August 5, 2010, Vancouver, Canada;
Research visit: July 30 - August 6, 2010;
Talk: "Objective Bayesian Analysis of Spatially Correlated Data Including Measurement Error", August 5, 2010.

F. Hubalek;
6th International Conference on LÚvy Processes: Theory and Applications, July 26-30, 2010, Dresden, Germany;
Research visit: July 25-29, 2010.

H. Kazianka;
Ninth International Symposium on Spatial Accuracy Assessment in Natural Resources and Environmental Sciences, July 20-23, 2010, Leicester, UK;
Research visit: July 20-23, 2010;
Talk: "Geostatistical Modeling Using Non-Gaussian Copulas", July 21, 2010.

S. Gerhold;
Analysis, Stochastics, and Applications (AnStAp10), July 12-16, 2010, Vienna University, Austria;
Research visit: July 12-16, 2010;
Talk: "Refined volatility expansion in the Heston model", July 12, 2010.

R. Kainhofer;
7th International Symposium on Computer Music Modeling and Retrieval, June 21-24, Málaga, Spain;
Research visit: June 21-24, 2010;
Poster: "An extensive MusicXML 2.0 test suite", June 22, 2010.

S. Gerhold;
6th World Congress of the Bachelier Finance Society, June 22-26, 2010, Toronto, Canada;
Research visit: June 19-27, 2010;
Talk: "On Refined Volatility Smile Expansion In The Heston Model", June 26, 2010.

U. Schmock;
14 International Congress on Insurance: Mathematics and Economics, June 17-19, 2010, University of Toronto, Canada;
6th World Congress of the Bachelier Finance Society, June 22-26, 2010, Toronto, Canada;
Research visit: June 16-28, 2010;
Talk: "On the Asymptotic Behaviour of the Estimator of Kendall's Tau", June 17, 2010.

R. Reda;
Defense Talk, TU Vienna, Austria;
Talk: "Risk Measures and their Impact on Financial Institutions", June 11, 2010.

C. Ziehaus;
Defense Talk, TU Vienna, Austria;
Talk: "Optimal Consumption and Pareto Optimal Risk Sharing", June 11, 2010.

R. Reda;
IncrediblEurope Summit 2010, June 9-11, 2010, Vienna, Austria;
Research visit: June 10, 2010;
Talk: "How creative is innovation?", June 10, 2010.

S. Altay;
Summer School in Quantitative Finance 2010, June 7-9, 2010, Prague, Czech Republic;
Research visit: June 6-9, 2010.

H. Kazianka;
Ninth Valencia International Meeting on Bayesian Statistics / 2010 World Meeting of the International Society for Bayesian Analysis, June 3-8, 2010, Benidorm, Alicante, Spain;
No research visit;
Poster: "Objective Bayesian Analysis of Spatially Correlated Data Including Measurement Error", June 5, 2010.

P. Grandits;
Kolloquium Finanz- und Versicherungsmathematik, Graz, Austria;
Research visit: May 28, 2010;
Talk: "On some optimization problems in risk theory", May 28, 2010.

S. Altay;
The Fifth General Conference on Advanced Mathematical Methods in Finance, May 4-8, 2010, Bled, Slovenia;
Research visit: May 3-9, 2010.

U. Schmock;
The Fifth General Conference on Advanced Mathematical Methods in Finance, May 4-8, 2010, Bled, Slovenia;
Research visit: May 3-8, 2010;
Invited talk: "On the Asymptotic Behaviour of the Estimator of Kendall's Tau", May 5, 2010.

B. Dengler;
The Fifth General Conference on Advanced Mathematical Methods in Finance, May 4-8, 2010, Bled, Slovenia;
Research visit: May 3-8, 2010.

R. Kainhofer;
Linux Audio Conference 2010, May 1-4, 2010, Utrecht, Netherlands;
Research visit: May 2-5, 2010;
Talk: "OrchestralLily: A Package for Professional Music Publishing with LilyPond and LaTeX", May 3, 2010;
Talk: "A MusicXML Test Suite and a Discussion of Issues in MusicXML 2.0", May 4, 2010.

F. Hubalek;
Workshop on Stochastic volatility, affine processes and transform methods, University of Rome "Tor Vergata", Rome, Italy;
Research visit: April 14-17, 2010;
Invited talk: "Some statistical, analytical, and computational aspects of an affine stochastic volatility model with jumps", April 15, 2010.

U. Schmock;
Discussion with Robert Schöftner about PhD-theses, Zurich, Switzerland;
Research visit: April 7, 2010.

S. Gerhold;
FAM-Seminar, Vienna University of Technology, Austria;
Talk: "Refined volatility expansion in the Heston model", March 23, 2010.

B. Dengler;
Defense Talk, TU Vienna, Austria;
Talk: "On the Asymptotic Behaviour of the Estimator of Kendall's Tau", March 18, 2010.

S. Gerhold;
Faculty of Mathematics, University of Vienna, Austria;
Invited talk: "On refined volatility smile expansion in the Heston Model", March 15, 2010.

U. Schmock;
Frankfurt MathFinance Conference: Derivatives and Risk Management in Theory and Practice, March 15-16, 2010, Frankfurt, Germany;
Research visit: March 14-16, 2010;
Invited talk: "Generalization of the Dybvig-Ingersoll-Ross Theorem and Asymptotic Minimality", March 15, 2010.

H. Kanzianka;
Promotion mit Sub Auspiciis sowie Überreichung des Ehrenrings durch Bundespräsident Dr. Heinz Firscher, Alpen-Adria Universität Klagenfurt, Austria;
Research visit: March 4, 2010.

U. Schmock;
Preisfeier des Walter-Saxer-Versicherungs-Hochschulpreises, Zürich, Switzerland;
Research visit: March 2, 2010.

P. Grandits;
Scientific Cooperation with Prof. Albrecher Hansjoerg, Department of Actuarial Science (DAS), Université de Lausanne, Switzerland;
Research visit: February 18-22, 2010;
Invited talk: "Optimal consumption in a Brownian model with finite time horizon", February 19, 2010.

R. Reda;
Scientific Cooperation with Christina Ziehaus and Michael Kupper, Humboldt University Berlin, Germany;
Research visit: February 15-19, 2010.

P. Grandits;
Faculty of Mathematics, University of Vienna, Austria;
Invited talk: "Optimal consumption in a Brownian model with absorption and finite time horizon", February 8, 2010.

F. Hubalek;
XI Workshop on Quantitative Finance, January 28-29, 2010, Palermo, Italy;
Research visit: January 27-31, 2010;
Talk: "On exact simulation of moderately tractable infinite activity Levy processes and their exponential transform", January 28, 2010.

U. Schmock;
Fest-Symposium "Versicherungsmathematik im Wandel" zum 80. Geburtstag von Prof. Hans Bühlmann, Swiss Re, Centre for Global Dialogue, Rüschlikon, Schweiz;
Research visit: January 26, 2010.

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