Guests of PRisMa Lab

2009

Prof. László Györfi, Department of Computer Science and Information Theory, Budapest University of Technology and Economics, Hungary;
Research visit: December 1, 2009;
Talk: "Portfolio games", December 1, 2009.

Cordelia Rudolph, LMU München, Germany;
Research visit: November 23-25, 2009;
Application Talk: "Gegenseitige Abhängigkeit von Ausfällen in Modellen mit Intensitäten", November 24, 2009.

Dr. Giovanni Cesari, UBS Investmentbank London, UK;
Research visit: October 19-21, 2009;
Talk: "Modelling, Pricing, and Hedging Counterparty Credit Exposure", Lecture Series Financial and Actuarial Mathematics, October 20, 2009.

Prof. Wolfgang Runggaldier, Department of Pure and Applied Mathematics, University of Padova, Italy;
Research visit: October 11-14, 2009;
Talk: "Pricing under incomplete information without equivalent martingale measures", October 13, 2009.

Dr. Petra Posedel, Faculty of Economics and Business, University of Zagreb, Croatia;
Research visit: October 8-10, 2009.

Dr. Mario Wüthrich, Department of Mathematics, ETH Zürich, Switzerland;
Research visit: October 2-7, 2009;
Talk: "Modellierung des Abwicklungsergebnisses im neuen Solvenz-Modell", Lecture Series Financial and Actuarial Mathematics, October 6, 2009.

Prof. Dr. Walter Schachermayer, Institut für Mathematik, Universität Wien, Austria;
Research visit: September 28, 2009.
Talk: "Representation Results for Law Invariant Time Consistent Functions", One-Day Workshop on Portfolio Risk Management, September 28, 2009.

Prof. Dr. Alexander Schied, Institut für Mathematik/ Lehrstuhl für Finanz und Versicherungsmathematik, Universität Mannheim, Germany;
Research visit: September 27-28, 2009.
Talk: "Order book resilience, price manipulations, and the positive portfolio problem", One-Day Workshop on Portfolio Risk Management, September 28, 2009.

Dr. Gregory Temnov, Edgeworth Centre for Financial Mathematics, School of Mathematical Sciences, University College Cork, Ireland;
Research visit: September 27-29, 2009.
Talk: "Natural exponential family with stability property with application to financial modelling", One-Day Workshop on Portfolio Risk Management, September 28, 2009.

Dr. Beatrice Acciaio, Department of Economy, Finance and Statistics, University of Perugia, Italy;
Research visit: September 24-28, 2009;
Talk: "Risk assessment for cash flows under model and discounting ambiguity", One-Day Workshop on Portfolio Risk Management, September 28, 2009.

Hannes Kazianka, Institut für Statistik, Universität Klagenfurt, Austria;
Research visit: September 2-3, 2009.
Talk: "Copula-based geostatistical modeling and interpolation", September 2, 2009.

Dr. Antonis Papapantoleon, Quantitative Products Laboratory, TU Berlin, Germany;
Research visit: July 1-6, 2009;
Talk: "Towards an 'affine LIBOR' model with default risk", July 2, 2009.

Dr. Laura Ballotta, Cass Business School, City University London, UK;
Research visit: June 17 - 19, 2009;
Talk: "Investment strategies and risk management for participating life insurance contracts", June 18, 2009.

Dr. Andrea Pascucci, Department of Mathematics, University of Bologna, Italy;
Research visit: June 3-5, 2009;
Talk: "Kolmogorov equations and applications to path dependent derivatives", June 4, 2009.

Dr. Ronnie Loeffen, RICAM, Linz, Austria;
Research visit: May 14-17, 2009;
Talk: "De Finetti's dividend problem with absolutely continuous controls", May 14, 2009.

Dr. Vicky Henderson, Oxford-Man Institute of Quantitative Finance, University of Oxford, UK;
Research visit: April 27-29, 2009;
Talk: "Prospect Theory, Partial Liquidation and the Disposition Effect", April 28, 2009.

Dr. Mia Hinnerich, Department of Mathematical Sciences, Aarhus University, Denmark;
Research visit: April 19-22, 2009;
Talk: "Inflation-indexed swaps and swaptions", April 21, 2009.

Dr. Gregory Temnov, Edgeworth Centre for Financial Mathematics, School of Mathematical Sciences, University College Cork, Ireland;
Research visit: March 24 - April 1, 2009;
Talk: "Analysis of limit distributions in actuarial modelling", March 31, 2009.

Prof. Hanspeter Schmidli, Mathematisches Institut, Universität Köln, Germany;
Research visit: March 17-18, 2009;
Talk: "On Optimal Dividends and Capital Injections in Risk Theory", March 17, 2009.

Dr. Beatrice Acciaio, Department of Economy, Finance and Statistics, University of Perugia, Italy;
Research visit: February 16 - August 9, 2009;

Dr. Angelika May, Institut für Mathematik, Carl von Ossietzky University Oldenburg, Germany;
Research visit: January 26-29, 2009;
Talk: "CPPI Models for life insurance products with guarantees", Lecture Series Financial and Actuarial Mathematics, January 27, 2009.

Prof. Jose Fajardo, Ibmec Business School, Rio de Janeiro, Brazil;
Research visit: January 06-16, 2009;
Talk: "Optimal Insider Strategy with Penalties", January 15, 2009.

Guests 2008