BBS Summer Term 2021
The PhD Research Seminar in Mathematics for Economics and Business ("Brown Bag Seminar") takes place on Wednesdays from 12:15 to 13:30.
Given the current situation, we are changing the seminars to online sessions. A direct link to the respective stream will be posted at each date.
Please log in with your real name and do not use initials or fake names!
Schedule:
(12:00-12:15 Dial-in)
12:15-13:00 Talk
13:00-13:30 Discussion
The seminar is a forum where PhD students and postdocs present their research projects; work in progress is fully ok. Moreover, some more senior faculty members talk about their work.
Typically, each presentation is followed by a short discussion.
Seminar Schedule:
March 10, 2021
Irene Monasterolo (Institute for Ecological Economics, WU Wien)
On the dependence of investor's probability of default on climate transition scenarios
> Paper
> Abstract
Discussant: Rüdiger Frey
[Host: Rüdiger Frey]March 17, 2021
Julian Amon Time-Varying Alpha
Discussant: Sylvia Frühwirth-Schnatter
[Host: Sylvia Frühwirth-Schnatter]March 24, 2021
Jana Hlavinova Quantiles of random variables, vectors and sets and how to elicit them.
Discussant: Verena Köck
[Host: Rüdiger Frey]April 14, 2021
Darjus Hosszejni When It Counts—Econometric Identification of Factor Models with Sparse Factor Loading Matrices
Discussant: Manfred Deistler
[Host: Sylvia Frühwirth-Schnatter]April 21, 2021
Kevin Kurt Microscopic Bubbles
Discussant: Paul Eisenberg
[Host: Rüdiger Frey]April 28, 2021
Lukas Sablica Watson S01E03: Random Sampling From the Watson Distribution
Discussant: Tobias Fissler
[Host: Sylvia Frühwirth-Schnatter]May 5, 2021
Andreas Celary Term Structure Models in a Markov-modulated Market Setting
Discussant: Robert Bajons
Robert Bajons Markov Modulated Affine Processes in Credit Risk
Discussant: Andreas Celary
[Host: Rüdiger Frey]May 12, 2021
Sourav Adhikari Topic Modelling with Ideal Points
Discussant: Eva Flonner
Eva Flonner Bayesian Neural SDEs for Exotic Option Pricing
> Abstract
Discussant: Sourav Adhikari
[Host: Sylvia Frühwirth-Schnatter]May 19, 2021
David Hirnschall Generating Financial Markets with Signature-Based Wasserstein GANs
Discussant: Niklas Hey
Niklas Hey A solution method for bounded convex set optimization problems.
Discussant: David Hirnschall
[Host: Sylvia Frühwirth-Schnatter]May 26, 2021
Lydia Novoszel Implication of COVID-19 pandemic on supply chains, a meta-analysis of supply chain disruption research – work in progress
> Abstract
Discussant: Jana Hlavinová
[Host: Sylvia Frühwirth-Schnatter]June 2, 2021
Régis Gourdel Bi-layer stress contagion across investment funds: a climate application
> Abstract
Discussant: Kevin Kurt
Giacomo Bressan Climate physical risk and the financial sector
> Abstract
Discussant: Camilla Damian
[Host: Rüdiger Frey]June 9, 2021 / 12:15 - 13:30
Gabor Tamás Advanced analytics for smart logistics – work in progress
Discussant: Andrea Wagner
[Host: Rüdiger Frey]June 16, 2021 / 12:15 - 13:30
Philipp Gersing Generic Identifiability for (Cointegrated) Unit Root VAR Systems from Mixed Frequency Data.
Discussant: Peter Knaus
[Host: Sylvia Frühwirth-Schnatter]