Read out

Summer Term 2017

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 17:

Julie Josse (CMAP, École Polytechnique, Université Paris-Saclay):
Regularized log-bilinear models
> Abstract
> Talk

[Host: Kurt Hornik]

March 24:

Nicola Loperfido (Dipartimento di Economia, Società, Politica; Università degli Studi di Urbino "Carlo Bo"):
Multivariate Skewness for Finite Mixtures
> Abstract   
> Paper

> Talk
[Host: Sylvia Frühwirth-Schnatter]

March 31:

Thorsten Schmidt (Abteilung für Mathematische Stochastik, Universität Freiburg):
Unbiased estimation of risk
> Abstract   
> Paper

> Talk
[Host: Rüdiger Frey]

April 7:

Firdevs Ulus (Department of Industrial Engineering, Bilkent University, Ankara):
Utility Indifference Pricing under Incomplete Preferences
> Abstract
> Talk
[Host: Birgit Rudloff]

May 5:

Gernot Müller (Institut für Mathematik, Universität Augsburg):
Modelling electricity prices using processes with time-varying parameters
> Abstract
> Talk: Slides n/a

[Host: Sylvia Frühwirth-Schnatter]

May 12:

Nikolaus Hautsch (Department of Statistics and Operations Research, Universität Wien):
Volatility, Information Feedback and Market Microstructure Noise: A Tale of Two Regimes
> Abstract
> Paper

> Talk
[Host: Kurt Hornik]

May 19:

Johanna Nešlehová and Christian Genest (Department of Mathematics and Statistics, McGill University, Montréal, Canada):
Modeling clusters of extremes
> Abstract
> Paper
> Talk
[Host: Rüdiger Frey]

June 9:

Tobias Fissler (Institute of Mathematical Statistics and Actuarial Science, University of Bern):
Testing the maximal rank of the volatility process for continuous diffusions observed with noise
> Abstract   
> Paper, Published paper

> Talk
[Host: Rüdiger Frey]

June 20:
***Change of location and time***: Tuesday, June 20, 16:30-18:00, TU Wien, Freihaus Building

Alexander Steinicke (Universität Graz):
Backward Stochastic Differential Equations and Applications
> Abstract
> Talk
Vienna Seminar in Mathematical Finance and Probability, jointly organized with TU Wien and University of Vienna
Location: TU Wien, Seminar room DC rot 07,
Wiedner Hauptstraße 8, 1040 Wien, "Freihaus" building, red section, 7th floor.    
[Host: Rüdiger Frey]

June 23:

Piotr Fryzlewicz (Department of Statistics, London School of Economics):
Recent advances in multiple change-point detection
> Abstract   
> Paper 1, Paper 2

> Talk
[Host: Kurt Hornik]