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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]