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

W. Schachermayer
Discussant at Risk: Individual and Collective Decision Making Workshop and Editorial Board Meeting of "Mathematics & Financial Economics", December 19, 2007, Chaire Dauphine-ENSAE-Groupama, Paris, France;
Research Visit: December 18-20, 2007.

R. Warnung
FAM-Seminar, Vienna University of Technology, Austria;
Talk: "On the construction of an integrand hiding the drift of a Brownian motion with drift", December 4, 2007.

J. Teichmann
Start-Seminar, Vienna, Austria;
Talk: "Cubature on Wiener Space in infinite dimensions", November 29, 2007.

J. Leitner
Cass Business School, London, Great Britain;
Research Visit: November 27-29, 2007;
Invited Talk: "Risk-Adjusted Value allocation for (Non-Trade) assets with performance ratios", November 28, 2007.

W. Schachermayer
Pauli Symposium on PDEs in mathematical finance & economy, Wolfgang Pauli Institute (WPI), Vienna, Austria;
Research Visit: November 23, 2007;
Invited Talk: "How agents with different attitudes towards risk optimize their portfolio: old and new results", November 23, 2007.

U. Schmock
Kommissionelle Abschlussprüfung an der Universität Salzburg, University Salzburg, Austria;
Research Visit: November 23, 2007.

J. Teichmann
Stochastic Partial Differential Equations - a program of the Mittag-Leffler Institute, Stockholm, Sweden;
Research Visit: November 18-26, 2007;
Invited Talk: "Natural OU-processes on Lie groups with applications to simulated annealing", November 19, 2007.

W. Schachermayer
FAM-Seminar, Vienna University of Technology, Austria;
Talk: "In which Financial Markets do Mutual Fund Theorems hold true?", November 13, 2007.

J. Teichmann
Workshop on Stochastic Problems and Degenerate Elliptic Equations, Wolfgang Pauli Institute (WPI), Vienna, Austria;
Research Visit: November 12-14, 2007;
Invited Talk: "Natural OU-processes on Lie groups with applications to simulated annealing", November 13, 2007.

U. Schmock
Versicherungsmathematisches Kolloquium, Cologne, Germany;
Research Visit: November 12-13, 2007;
Invited talk: "Aggregation von Risiken und eine Modifikation der Panjer-Rekursion", November 12, 2007.

W. Schachermayer
Seminar in Financial and Insurance Mathematics, Oktober 15-18, 2007, Zürich, Swiss;
Research Visit: Oktober 15-18, 2007;
Invited talk: "In which Financial Markets does the Mutual Fund Theorem hold true?", Oktober 15, 2007.

J. Leitner
Start-Seminar, Vienna, Austria;
Talk: "Pricing and Hedging with Globally and Instantaneously Vanishing Risk", October 11, 2007.

J. Teichmann
Trimester Program Complex Stochastic Systems: Discrete vs. Continuous, University Bonn, Germany;
Research Visit: Oktober 8-12, 2007;
Invited Talk: "Natural OU-processes on Lie groups with applications to simulated annealing", Oktober 9, 2007.

J. Teichmann
Start-Seminar, Vienna, Austria;
Talk: "New Classes of OU-processes and applications to Optimization procedures", October 4, 2007.

U. Schmock
Workshop Models of Credit and Operational Risks in the Financial Sector, September 26-30, 2007, University Bozen, Italy;
Research Visit: September 26-30, 2007;
Talk: "Computation of the Portfolio Loss Distribution for Dependent Credit or Operational Risks", September 28, 2007.

W. Schachermayer
Workshop on Optimal transportation structures, gradient flows and entropy methods for applied PDE's, September 24-26, 2007, Wolfgang Pauli Institut (WPI), Vienna, Austria;
Invited Talk: "Optimal and better transport plans", September 26, 2007.

R. Kainhofer
DAA Workshop für junge Mathematiker, September 21-22, 2007, Reisensburg, Günzburg bei Ulm, Germany;
Research Visit: September 21-23, 2007;
Invited Talk: "Erstellung einer offiziellen österreichischen Rententafel und deren Anwendung auf ein stochastisches Lebensversicherungsmodell", September 22, 2007.

J. Teichmann
Workshop on Optimal transportation structures, gradient flows and entropy methods for applied PDE's, Wolfgang Pauli Institut (WPI), Vienna, Austria;
Research Visit: September 24-27, 2007;
Invited Talk: "Stochastic Differential Equations with values in Wasserstein Spaces", September 26, 2007.

T. Steiner;
Mid-Term Conference on Advanced Mathematical Methods for Finance, September, 17-22, 2007, TU Wien, Austria;
Converence visit: September 17-22, 2007;
Poster: “Yield Curve Shapes in Affine One-Factor Models”, September 18-20, 2007.

G. Temnov;
Mid-Term Conference on Advanced Mathematical Methods for Finance, September, 17-22, 2007, TU Wien, Austria;
Converence visit: September 17-22, 2007;
Poster: “Fourier Transform as an Efficient Methodology for Loss Aggregation”, September 18-20, 2007.

B. Blum;
Mid-Term Conference on Advanced Mathematical Methods for Finance, September, 17-22, 2007, TU Wien, Austria;
Converence visit: September 17-22, 2007.

B. Dengler;
Mid-Term Conference on Advanced Mathematical Methods for Finance, September, 17-22, 2007, TU Wien, Austria;
Converence visit: September 17-22, 2007.

S. Gerhold;
Mid-Term Conference on Advanced Mathematical Methods for Finance, September, 17-22, 2007, TU Wien, Austria;
Converence visit: September 17-22, 2007.

V. Goldammer;
Mid-Term Conference on Advanced Mathematical Methods for Finance, September, 17-22, 2007, TU Wien, Austria;
Converence visit: September 17-22, 2007.

A. Hula;
Mid-Term Conference on Advanced Mathematical Methods for Finance, September, 17-22, 2007, TU Wien, Austria;
Converence visit: September 17-22, 2007.

S. Klöppel;
Mid-Term Conference on Advanced Mathematical Methods for Finance, September, 17-22, 2007, TU Wien, Austria;
Converence visit: September 17-22, 2007.

R. Reda;
Mid-Term Conference on Advanced Mathematical Methods for Finance, September, 17-22, 2007, TU Wien, Austria;
Converence visit: September 17-22, 2007.

J. Teichmann
University of Uppsala (Prof. Johan Tysk), Uppsala, Sweden;
Research Visit: September 15, 2007;
Invited Talk: "Convexity in Interest Rate Theory - some conceptual considerations", September 15, 2007.

J. Teichmann
Stochastic Partial Differential Equations, Mittag-Leffier Institut, Stockholm, Schweden;
Research Visit: September 9-23, 2007;
Invited Talk: "Hypo-ellipticity in infinite dimensions", September 11, 2007.

W. Schachermayer
11th Conference on Stochastic Programming (SPXI), University of Vienna, Austria;
Research Visit: August 26-31, 2007;
Invited talk: "Optimal Risk Sharing for Law Invariant Monetary Utility Functions", August 31, 2007.

W. Schachermayer
56th Session of the International Statistical Institute (ISI), Lissabon, Portugal;
Research Visit: August 22-26, 2007;
Invited talk: "Optimal Risk Sharing for Law Invariant Monetary Utility Functions", August 24, 2007.

J. Teichmann
Workshop on PDE and Finance, Stockholm, Sweden;
Research Visit: August 20-24, 2007;
Invited talk: "Convexity Theorems in Interest Rate Theory", August 20, 2007.

F. Hubalek
Conference Levy Processes: Theory and Applications, August 13-17, 2007, Copenhagen, Denmark;
Research Visit: August 12-19, 2007;
Poster presentation: "On Tractable Finite-Activity Lévy Libor Market Models", August 13, 2007. Invited talk: "On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models", August 16, 2007.

T. Steiner
Satellite Summer School and 5th International Conference on Levy Processes: Theory and Applications, August 9-17, 2007, Sandjberg and Copenhagen, Denmark;
Research Visit: August 8-20, 2007;
Poster presentation: "Yield curves shapes in affine term structure models", August 13-17, 2007.

U. Schmock
5th Conference on Extrem Value Analysis, Probabilistic and Statistical Models and their Applications dates, July 23-27, 2007, University Bern, Switzerland;
Research Visit: July 23-27, 2007;
Talk: "Dependence Properties of Dynamic Credit Risk Models", July 23, 2007.

U. Schmock
Risk Days 2007, ETH Zürich, Switzerland;
Research Visit: July 19-20, 2007.

P. Grandits
IME Conference on Insurance, Mathematics and Economics 2007, Piraeus, Greece;
Research Visit: July 9-13, 2007;
Invited talk: "Estimation of parameters for the Pareto and the GPD distribution in the presence of inflation", July 11, 2007.

W. Schachermayer
Conference on Further Developments in Quantitative Finance, ICMS Edinburgh, UK;
Research Visit: July 8-13, 2007;
Invited talk: "Consistent Price Systems and Face-Lifting Pricing under Transaction Costs", July 12, 2007.

G. Temnov
22nd European Conference on Operational Research EURO XXII, Prague, Czech Republic;
Research Visit: July 8-11, 2007;
Talk: "Measuring operational risk: from modelling to the insurance", July 10, 2007.

R. Reda
Summer School: Quantitative Risk Management, Ludwigs-Maximilians University Munich, Germany;
Research Visit: July 4-8, 2007.

V. Goldammer
Summer School: Quantitative Risk Management, Ludwigs-Maximilians University Munich, Germany;
Research Visit: July 4-8, 2007.

B. Blum
Summer School: Quantitative Risk Management, Ludwigs-Maximilians University Munich, Germany;
Research Visit: July 4-8, 2007.

F. Hubalek
Frankfurt MathFinance Colloquium, Frankfurt School of Finance and Management, Germany;
Research Visit: June 28-29, 2007;
Invited talk: "On precision and efficienciy of slow and fast Fourier transform for simple, multi-asset, and path-dependent options", June 28, 2007.

J. Teichmann
Start-Seminar, Vienna, Austria;
Talk: "An invitation to random Schrödinger operators V", June 28, 2007.

S. Klöppel
ETH Zurich, Switzerland;
Research Visit: June 28, 2007.

B. Blum
Tag der Mathematik, TU München, Garching b. München, Germany;
Research Visit: June 22, 2007;
Poster presentation: "Deterministische Bewertung von Optionen in exponentiellen Lévy-Modellen", June 22, 2007.

W. Schachermayer
Mitwirkung in einer Berufungskommission, Technische Universität Innsbruck, Austria;
Research Visit: June 21-22, 2007.

U. Schmock
Universität Salzburg, March 8 - June 22, 2008;
Lecture "Mathematics of Finance", March 8/9/29/30, April 26/27, Mai 10/11/31, June 1/21/22, 2008.

J. Teichmann
Conference on Stochastic Analysis and Related Fields, Toulouse, France;
Research Visit: June 19-22, 2007;
Invited talk: "Stochastic heat equation and Intersection local times", June 20, 2007.

J. Teichmann
Scientific Cooperation with Prof. Woess, TU Graz, Austria;
Research Visit: June 15, 2007;
Invited talk: "Recombination of Cubature Formulas", June 15, 2007.

J. Teichmann
Start-Seminar, Vienna University of Technology, Austria;
Talk: "An invitation to random Schrödinger operators III", June 14, 2007.

W. Schachermayer
5th International Financial Research Forum Europlace Institute of Finance (EIF), Paris, France;
Research Visit: June 10-12, 2007.

M. Siopacha
International Conference on Mathematics-Statistics, Athens Institute for Education and Research, Greece;
Research Visit: June 7-13, 2007;
Invited talk: "Strong and Weak Taylor Approximations of European Option Prices", June 11, 2007.

U. Schmock
Colloquium in Honor of Hans Föllmer, Humboldt University, Berlin, Germany;
Research Visit: June 8-9, 2007.

U. Schmock
Richard von Mises Lecture, Humboldt University, Berlin, Germany;
Research Visit: June 7, 2007.

W. Schachermayer
Colloquium in Honor of Hans Föllmer, Humboldt University, Berlin, Germany;
Research Visit: June 6-9, 2007;
Invited talk: "Asymptotic arbitrage and large deviations (joint work with H. Föllmer)", June 9, 2007.

W. Schachermayer
Fourth General Meeting of the French Applied Math Society (SMAI), Praz sur Arly, France;
Research Visit: June 3-6, 2007;
Invited talk: "Finance and Stochastics - A Mutually Fruitful Relationship", June 5, 2007.

R. Kainhofer
Kolloquium "Finanz- und Versicherungsmathematik in Theorie und Praxis", Besprechung der Kooperation im Rahmen des FWF-Projektes, TU Graz;
Research Visit: June 1, 2007.

J. Teichmann
Start-Seminar, Vienna University of Technology, Austria;
Talk: "An invitation to random Schrödinger operators II", May 31, 2007.

U. Schmock
Seminarbesuch "Pflege und Betriebliche Altersvorsorge in Österreich - Rechnungsgrundlagen 2, Hauptverband der österreichischen Sozialversicherungsträger, Wien, Austria;
Research Visit: May 31, 2007.

M. Siopacha
Radon Workshop on Financial and Actuarial Mathematics for Young Researchers, Linz, Austria;
Research Visit: May 29 - June 1, 2007;
Invited talk: "Weak and Strong Taylor methods for approximative solutions of stochastic differential equations", May 31, 2007.

W. Schachermayer
Computer and Automation Institute, Hungarian Academy of Science, Budapest, Hungary;
Research Visit: May 20-21, 2007;
Invited mini course: "Arbitrage theory and transaction costs - Semi-Martingales and beyond", May 21, 2007.

U. Schmock
Executive MBA Mergers & Acquisitions, TU Vienna, Austria;
Lecture: "Introduction to Model and Credit Risk", May 17, 2007.

J. Teichmann
Weiterbildungszentrum der TU Wien, Austria;
Lecture (1 Wochenstunde): "Finanzmathematik und Ertragswertverfahren", May 11-12, 2007.

W. Schachermayer
Feierstunde zu Ehren von Prof.Dr. Franz Alt, Vienna University, Austria;
Invited talk: "Über die Messbarkeit des Nutzens", May 10, 2007.

U. Schmock
LMU München, Germany;
Research Visit: May 10, 2007;
Invited talk: "Dependence Properties of Dynamic Credit Risk Models", May 10, 2007.

J. Teichmann
Introductory minicourses on Optimal Transportation, gradient flows and entropy methods, May 7-16, 2007, Wolfgang Pauli Institute, Vienna, Austria;
Invited lecture (4 talks): "Stochastic gradient flows in finite and infinite dimensions", May 9/10/10/11, 2007.

U. Schmock
Advances in Mathematics of Finance, Second General AMaMeF Conference, Stefan Banach International Mathematical Center, Bedlewo, Poland;
Research Visit: April 30 - May 5, 2007;
Invited talk: "Dependence Properties of Dynamic Credit Risk Models", May 3, 2007.

M. Siopacha
Second General Amamef Conference and Banach Center Conference, Bedlewo, Poznan, Poland;
Research Visit: April 30 - May 5, 2007;
Invited talk: "Weak and Strong Taylor methods for approximative solutions of stochastic differential equations", May 4, 2007.

J. Teichmann
Second General Amamef Conference and Banach Center Conference, Bedlewo, Poznan, Poland;
Research Visit: April 29 - May 5, 2007;
Invited talk: "Convexity Propagation in Interest Rate Theory", May 3, 2007.

J. Teichmann
Start-Seminar, Vienna University of Technology, Austria;
Talk: "A heat kernel approach to Interest Rate Models", April 26, 2007.

M. Siopacha
Seminar on Data Analysis and Modeling, Scientific cooperation with Antonis Papapantoleon, University Freiburg, Germany;
Research Visit: April 17-21, 2007;
Invited talk: "Taylor Expansions of Option Prices with applications to Interest Rate Theory", April 20, 2007.

F. Hubalek
Scientific cooperation with Carlo Sgarra, Politecnico di Milano, Italy;
Research Visit: April 16-20, 2007;
Invited talk: "Explicit formulas for pricing and variance-optimal hedging of multi-asset and path dependent options in affine models", April 18, 2007.

J. Teichmann
Scientific cooperation with Prof. Dr. Karl Theodor Sturm, University Bonn, Germany;
Research Visit: April 12-13, 2007;
Invited talk: "Hypoellipticity for SDE in infinite dimensions", April 12, 2007.

G. Temnov
Workshop on Mathematical Control Theory and Finance, April 10-14, 2007, Instituto Superior de Economia e Gestão, Lisbon, Portugal;
Research Visit: April 9-15, 2007;
Invited talk: "Managing Operational Risk: Models, Loss Aggregation and Insurance", April 13, 2007.

S. Gerhold
Conference on Progress on Difference Equations 2007, March 31 - April 5, 2007, Laufen, Germany;
Research Visit: March 31 - April 5, 2007;
Invited talk: "The Sign Structure of Linear Recurrence Sequences", March 31, 2007.

W. Schachermayer
Jahrestagung DMV und GDM 2007, Humbold Universität zu Berlin, Germany;
Research Visit: March 25-30, 2007;
Invited plenary talk: "Finance and Stochastics - A Mutually Fruitful Relationship", March 26, 2007.

W. Schachermayer
Sitzung der Österreichischen Mathematischen Gesellschaft (ÖMG), Universität Salzburg, Austria;
Research Visit: March 23, 2007.

U. Schmock
Bank Austria, Vienna, Austria;
Invited talk: "Efficient and Numerically Stable Aggregation of Dependent Risks", March 23, 2007.

M. Keller-Ressel, T. Steiner
FAM-Seminar, Vienna University of Technology, Austria;
Talk: "Yield Curve Shapes and the Asymptotic Short Rate Distribution in Affine One-Factor Models", March 22, 2007.

S. Klöppel
Research Risk and Stochastics Day, March 19, 2007, London School of Economics, England;
Research Visit: March 18-20, 2007.

W. Schachermayer
Research Seminar in Economic Theory, University of Vienna, Austria;
Talk: "Optimal Risk Sharing for Law Invariant Monetary Utility Functions", March 15, 2007.

J. Teichmann
Research with Matjaz Omladin, Universität Ljubljana, Slovenia;
Research Visit: February 19-21, 2007;
Invited talk: "Deterministic Methods for the weak approximation of high-dimensional SDEs with Application to mathematical Finance", February 20, 2007.

F. Hubalek
Mini-Workshop: Levy Processes and Related Topics in Modelling, Mathematisches Forschungsinstitut Oberwolfach, Germany;
Research Visit: February 11-17, 2007;
Invited talk: "On small- and large-time expansions for Levy semigroups on the real line", February 16, 2007.

U. Schmock
Recent Developments in Financial and Insurance Mathematics and the Interplay with the Industry, Mathematisches Forschungsinstitut Oberwolfach, Germany;
Research Visit: February 18-24, 2007;
Invited talk: "Efficient and Numerically Stable Aggregation of Dependent Risks", February 19, 2007.

J. Teichmann
Seminar at Technische Universität München, Germany;
Research Visit: February 8-9, 2007;
Invited talk: "Deterministic Methods for the weak approximation of high-dimensional SDEs with Application to mathematical Finance", February 8, 2007.

R. Warnung
FAM-Seminar, Vienna University of Technology, Austria;
Talk: "Stable Recurrences for Risk Aggregation", February 15, 2007.

U. Schmock
Frauen in die Technik Wien (FITwien), Vienna University of Technology, Austria;
Invited Talk: "Investitionsstrategien für das virtuelle Glücksrad", January 30, 2007.

B. Dengler
Frauen in die Technik Wien (FITwien), Vienna University of Technology, Austria;
Invited Talk: "Studium der Technischen Mathematik", January 30, 2007.

S. Klöppel
Internal project presentation @ FAM, Vienna University of Technology, Austria;
Talk: "Project report about capital allocation (PRisMa Lab, module 3)", January 24, 2007.

S. Gerhold
Internal project presentation @ FAM, Vienna University of Technology, Austria;
Talk: "Pricing of Exotic Swaps with Early Exercise Features" (PRisMa Lab, module 9), January 23, 2007.

M. Siopacha
FAM-Seminar, Vienna University of Technology, Austria;
Talk: "Taylor expansions of option prices", January 23, 2007.

U. Schmock
Scientific cooperation with Prof. Nicole Bäuerle, University of Karlsruhe, Germany;
Research Visit: January 15-19, 2007;
Invited Talk: "Large and Moderate Deviations of U-Empirical Measures: The Quest for the Best Topology", January 16, 2007.

U. Schmock
Scientific cooperation with Dr. Michael Trachsler, Converium, Zürich, Switzerland;
Research visit: January 7-9, 2007.

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