Read out

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