Guests of PRisMa Lab

2010 |2009 | 2008 | 2007 | 2006

2011

Dr. Gregory Temnov, Edgeworth Centre for Financial Mathematics, School of Mathematical Sciences, University College Cork, Ireland;
Research visit: October 14-16, 2011;
Talk: "Problem of Random Summation and Its Role in Risk Aggregation Models", PRisMa Day 2011, October 14, 2011.

Dr. Beatrice Acciaio, Vienna University, Austria, and University of Perugia, Italy;
Talk: "On the Lower Arbitrage Bound of American Contingent Claims", PRisMa Day 2011, October 14, 2011.

Dr. Zehra Eksi, Vienna Institut of Finance, Austria;
Talk: "Pricing and Hedging of Single Tranche CDOs", October 11, 2011.

Dr. Carole Bernard, Department of statistics and Actuarial Science, University of Waterloo, Canada;
Research visit: September 18-22, 2011;
Talk: "Optimal investment under state-dependent constraints", Lecture Series Financial and Actuarial Mathematics, September 21, 2011.

Dr. Gregory Temnov, Edgeworth Centre for Financial Mathematics, School of Mathematical Sciences, University College Cork, Ireland;
Research visit: September 5-14, 2011;
Talk: "Characterization of memory states of the Preisach operator with stochastic inputs", September 12, 2011.

Dr. Petra Posedel, Faculty of Economics and Business, University of Zagreb, Croatia;
Research visit: September 5-9, 2011.

Dr. Carlo Sgarra, Dipartimento di Matematica, Politecnico di Milano, Italy;
Research visit: August 8-12, 2011.

Dr. Martin Keller-Ressel, Institut für Mathematik, TU Berlin, Germany;
Research visit: August 8-12, 2011.

Dr. Eberhard Mayerhofer
Vienna Institut of Finance, Austria;
Talk: "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.", May 3, 2011.

Jonas Hirz, Universität Salzburg, Austria;
Talk: "Optimizing Investment Strategies under a General Approach to Cost-Efficiency", April 12, 2011.

Dr. Umut Cetin, Department of Statistics, London School of Economics, United Kingdom;
Research visit: April 6-10, 2011;
Talk: "Explicit construction of a dynamic Bessel bridge of dimension 3", April 6, 2011.

Piet Porkert, TU Vienna, Austria;
Research visit: March 15, 2011;
Talk: "On Weak Solutions to Stochastic Differential Equations in Finite and Infinite Dimensions", Month 15, 2011.

Michael Punz, Münchner Rück, Germany;
Research visit: March 14, 2011;
Talk: "Volatilitätsderivate", March 14, 2011.

Tilmann Blümmel, Albert-Ludwigs-University, Freiburg, Germany;
Research visit: March 7-8, 2011;
Talk: "Anmerkungen zur Nutzenmaximierung", March 8, 2011.

Dr. Carlo Sgarra, Dipartimento di Matematica, Politecnico di Milano, Italy;
Research visit: February 21-25, 2011;
Talk: "Stochastic Ordering with GARCH Models", February 22, 2011.

Prof. Nicole Bäuerle, Institut für Stochastik, Karlsruher Institut für Technologie (KIT), Germany;
Research visit: January 24-26, 2011;
Talk: "The relaxed investor with partial information", Lecture Series Financial and Actuarial Mathematics, January 25, 2011.

Prof. Paolo Guasoni, Department of Mathematics and Statistics, Boston University, USA, and Mathematical Sciences, Dublin City University, Ireland;
Research visit: January 13-14, 2011;
Talk: "Abstract, Classic, and Explicit Turnpikes", January 14, 2011;

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