Read out

Winter Term 2016/17

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.

October 7: +++ CANCELLED +++

Natesh S. Pillai (Department of Statistics, Harvard University, USA):
Bayesian Factor Models in High Dimensions
> Abstract   
> Paper 1, Paper 2, Paper 3
[Host: Sylvia Frühwirth-Schnatter]

October 21:

Peter Bank (Institut für Mathematik, TU Berlin):
Hedging with Temporary Price Impact
> Abstract   
> Paper   
> Talk
[Host: Birgit Rudloff]

November 11:

Achim Zeileis (Department of Statistics, Universität Innsbruck):
Examining Exams Using Rasch Models and Assessment of Measurement Invariance
> Abstract   
> Talk
[Host: Kurt Hornik]

November 18: TWO TALKS

    // 9:00-10:00 am //

Mathias Beiglböck (Institut für Stochastik und Wirtschaftsmathematik, TU Wien):
The Geometry of Model Uncertainty
> Abstract   
> Paper 1, Paper 2, Paper 3

> Talk


   // 10:00-11:00 am //

Ulrich Horst (Institut für Mathematik, Humboldt-Universität zu Berlin):
Optimal Trade Execution with Stochastic Resilience in a Non-Markovian Framework
> Abstract
> Talk

[Host: Rüdiger Frey]

November 25:

Petros Dellaportas (Department of Statistical Science, University College London):
Identifying and predicting jumps in financial time series
> Abstract   
> Talk

[Host: Sylvia Frühwirth-Schnatter]

December 2:

Claudia Ceci (Dipartimento di Economia, Università degli Studi "G. d'Annunzio", Chieti-Pescara):
On the Hedging Strategies for Defaultable Claims Under Incomplete Information
> Abstract   
> Paper
   
> Talk

[Host: Rüdiger Frey]

December 14:
***Change of date and time***: Wednesday, December 14, 12:30

Matt Taddy (The University of Chicago Booth School of Business; Microsoft Research, USA):
Deep Counterfactual Prediction using Instrumental Variables
> Abstract   
> Paper   
> Talk

[Host: Sylvia Frühwirth-Schnatter]

January 13:

Christian Kleiber (Wirtschaftswissenschaftliche Fakultät, Universität Basel):
Majorization and the Lorenz order in statistics, applied probability, economics and beyond
> Abstract   
> Talk

[Host: Kurt Hornik]

January 19:
***Change of location and time***: Thursday, January 19, 16:30-18:00, University of Vienna, Faculty of Mathematics

Arnulf Jentzen (ETH Zürich):
Stochastic algorithms for the approximative pricing of financial derivatives
> Abstract
> Talk

Vienna Seminar in Mathematical Finance and Probability, jointly organized with TU Wien and University of Vienna
University of Vienna, Faculty of Mathematics, Oskar-Morgenstern-Platz 1, 1090 Vienna,
Seminarraum SR09, 2nd floor   
[Host: Michaela Szölgyenyi]

January 20:

Guido Consonni (Dipartimento di Scienze Statistiche, Università Cattolica del Sacro Cuor, Milan):
Objective Bayes Learning of Graphical Models
> Abstract   
> Paper    

> Talk
[Host: Kurt Hornik]

January 27:

Sara Biagini (Department of Economics and Finance, LUISS G. Carli, Rome):
The robust Merton problem of an ambiguity averse investor
> Abstract   
> Paper   
> Talk

[Host: Birgit Rudloff]