Summer Term 2015
You are cordially invited to attend the talks in seminar room D4.4.008 (Building D4, Entrance A, Level 4) on Fridays at 9:00am.
March 6
Jörn Saß (Fachbereich Mathematik, Technische Universität Kaiserslautern):
Continuous-time regime switching models, portfolio optimization and filter-based volatility
> Abstract
> Talk
March 13
Elisa Ossola (Department of Finance, University of Lugano):
Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets
> Abstract
> Talk
March 20
Mark Jensen (Federal Reserve Bank of Atlanta, USA):
Mutual Fund Performance When Investors Learn About Skill
> Abstract
> Talk
March 27
Rémi Piatek (Department of Economics, University of Copenhagen):
A Parsimonious Multinomial Probit Model for the Study of Joint Decisions
> Abstract
> Talk: Slides n/a
May 8
François Caron (Department of Statistics, University of Oxford):
Sparse random graphs with exchangeable point processes
> Abstract
> Talk
May 29
François Bachoc (Department of Statistics and Operations Research, Universität Wien):
Covariance function estimation in Gaussian process regression
> Abstract
> Talk
| Wednesday, June 10, 3:30-6:30pm (Executive Academy, Foyer): Quantitative Risk Management Workshop and Book Launch Talks by Alexander J. McNeil: Backtesting Trading Book Models Using Estimates of VaR, Expected Shortfall and Realised p-Values > Abstract > Talk Paul Embrechts: How to Model Operational Risk > Abstract > Talk Presentation by Rüdiger Frey |
June 19
Ralf Wunderlich (Mathematisches Institut, Brandenburgische Technische Universität Cottbus):
Expert opinions and dynamic portfolio optimization under partial information
> Abstract
> Talk
June 26
Evelyn Buckwar (Institut für Stochastik, Johannes Kepler Universität Linz):
Stochastic numerics and issues in the stability analysis of numerical methods
> Abstract
> Talk: Slides n/a
July 3
Yoosoon Chang (Department of Economics, Indiana University, USA):
Distributional Time Series
> Abstract
> Talk