Eva Flonner: Calibrating Financial Models via Bayesian Neural SDEs under P and Q

Lukas Sablica: Random Sampling from the PKBD Distribution

Niklas Hey: Computing Nash equilibria via maximal efficient faces in vector optimization

Sourav Adhikari: Gaining Insights on U.S. Senate Speeches Using a Time Varying Text Based Ideal Point Model
>Abstract

Giacomo Bressan: Scaling up climate risk assessment methodologies - A multi-target regression approach for business model detectionl

Regis Gourdel: Bayesian augmentation for financial network stability

Tetiana Kmytiuk: Modeling and Forecasting Economic and Business Processes

Theresa Traxler: Mean Game Theory and Applications
>Abstract

Andreas Celary: Regime-Switching Affine Term Structures
>Abstract

Robert Bajons: Statistics in Football: Measuring the Impact of Players on the Game

David Hirnschall: Multivariate Sig-Wasserstein GANs

Irene Monasterolo (Institute for Ecological Economics, WU Wien): On the dependence of investor's probability of default on climate transition scenarios
> Paper  > Abstract

Julian Amon: Time-Varying Alpha

Tobias Fissler: The Efficiency Gap
> Abstract

Gertraud Malsiner-Walli: Generalized mixtures of finite mixtures
> Paper

Jan Greve: Sparse modeling of factorial experiments with Bayesian finite mixtures
> Paper  > Abstract

Gabriela Kovacova: Convex Projection and Convex Vector Optimization

Kory Johnson: Estimating the reproduction number in the presence of superspreading
> Abstract

Laura Vana: Verification of spatio-temporal properties in a Bayesian model using spatio-temporal reach and escape logic

Verena Köck: Solving partial-integro differential equations in finance: a deep learning approach

Camilla Damian: Filtering and parameter estimation in a rough volatility model

Peter Knaus: Cerberus in Motion: The Dynamic Triple Gamma Prior

Rainer Hirk: Multivariate ordinal regression models for enhanced credit risk modeling
 

Daniel Winkler (Institute for Interactive Marketing & Social Media, WU): Towards Solving Meta-problems in Statistical Computing – A Domain Specific Language for Gibbs Samplers

Lukas Sablica: Watson S01E02

Jana Hlavinová: Elicitability and Identifiability of Set-Valued Measures of Systemic Risk

Darjus Hosszejni: An Efficient Smoothing Framework

Julian Amon: How to publish, not perish? An NLP approach to classifying journal articles

Kevin Kurt: Markov-modulated Affine Processes

Annalisa Cadonna, Peter Knaus: Shrinkage in time-varying parameter models: the shrink TVP package and the triple gamma prior

Kory D. Johnson: Adaptive, Distribution-Free Prediction Intervals for Deep Neural Networks

Jan Greve: Modeling of Stochastic Volatility using Factorial Hidden Markov Models -- Learning the number of active volatility components

Gabriela Kováĉova: Acceptability Maximization

Verena Köck: Solving high-dimensional parabolic partial differential
equations with deep learning

Dan Zhu (Department of Econometrics and Business Statistics, Monash University, Melbourne, Australia): Automated IPA for Bayesian MCMC: A New Approach for Local Prior Robustness and Convergence Analysis with Application to Multidimensional Macroeconomic Time Series with Shrinkage Priors

Guido Gazzani: Asymptotic equivalence in the Le Cam sense

Kory D. Johnson: Efficiently Searching High-Dimensional, Polynomial Space: Algorithms And Guarantees

Camilla Damian: Approximation and (linearized) filtering of fractional Brownian motion

Sühan Altay: Optimal Convergence Trading with Unobservable Pricing Errors

Tobias Fissler: On the Sound Evaluation of Prediction Intervals and other Set-Valued Properties

Andrea Wagner: Benson, we have a convex problem

Diyora Salimova (Department of Mathematics, ETH Zurich): Deep neural networks in numerical approximation of high-dimensional PDEs

Larisa Yaroslavtseva (Faculty of Computer Science and Mathematics, University of Passau): On strong approximation of SDEs with non-globally Lipschitz continuous coefficients

Michael Pfarrhofer: A multi-country approach to analyzing the euro area output gap

Stefan Rigger: Interacting Particle Systems for Modelling Default Cascades

Peter Knaus: Two approaches to variable and variance selection in Bayesian dynamic regression models

Rüdiger Frey and Kevin Kurt: Are European Safe Bonds really safe? A dynamic Credit Risk Perspective

Alessandra Guglielmi (Department of Mathematics, Politecnico di Milano): Determinantal Point Process Mixtures Via Spectral Density Approach

Sara Svaluto-Ferro: Infinite dimensional polynomial jump-diffusions

Darjus Hosszejni: stochvol 2.0: Under the Hood

Jana Hlavinová: Intrinsic measures of systemic risk

Lukas Sablica: Watson...

Florian Schwendinger: Readability 2.0

Christian Diem: Optimisation of Financial Exposure Networks: Applied to Austrian Interbank Networks

Sylvia Frühwirth-Schnatter: Identification in Sparse Bayesian Factor Analysis

Sercan Gür: Inverse First Passage Time: Estimator of the Boundary

Verena Köck: Optimal Dividend Strategies of Two Collaborating Businesses

Veronika Rockova (Booth School of Business, University of Chicago, USA): Dynamic Sparse Factor Analysis

Camilla Damian: Estimation in rough volatility models: a non-linear filtering approach

Florian Schwendinger: R Optimization Infrastructure

Wolfgang Hörmann (Department of Industrial Engineering, Boğaziçi University)

Gregor Kastner: Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?
> Slides  > Paper

Tina Wakolbinger and Vera Hemmelmayr (both: Institute for Transport and Logistics Management, WU): Sustainable logistics and humanitarian supply chains: Research topics and methods

Eric Eisenstat (School of Economics, The University of Queensland, Brisbane, Australia): Efficient Estimation of Structural VARMAs with Stochastic Volatility

Rainer Hirk: mvord: An R Package for Fitting Multivariate Ordinal Regression Models
> Slides  > Package mvord

Kevin Kurt: A Dynamic Credit Risk Model for European Safe Bonds

Stefan Voigt (VGSF): Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty

Gabriela Kovacova: Time Consistency of the Mean-Risk Problem and Dynamic Vector Optimization Problems

Annalisa Cadonna: Bayesian spectral modeling for locally-stationary time series

Stefan Bachhofner: ReKlaSat 3D - Deep Learning on Satellite Images

Gertraud Malsiner-Walli: Learning the number of components and the number of clusters in Bayesian finite mixture models

Riccardo Rastelli: Statistical analysis of the diversification of exposures in the Austrian interbank market

Andrea Wagner: The Manhattan way of simplification

Luke Tierney (Department of Statistics and Actuarial Science, The University of Iowa): ALTREP: A framework to support alternate representations of basic R objects

Zehra Eksi-Altay: Markov-switching Factor Models: Financial Applications and Estimation

Jana Matyasovska: Elicitability and Identifiability of Systemic Risk Measures

Christian Diem: Determining Capital Requirements Based on a Measure of Systemic Risk In a Multi Period Model with Common Risk Factors of Bank Assets

Lukas Sablica: mistr: A Computational Framework for Univariate Mixture and Composite Distributions

Stefan Weber (Institute of Probability and Statistics, Leibniz Universität Hannover): Pricing of Cyber Insurance Contracts in a Network Model

Laura Vana: Statistical modeling approaches in the assessment of creditworthiness

Florian Schwendinger: Predicting Readability Using Natural Language Processing

Sercan Gür: Local Alternatives of Signal Detection Tests

Darjus Hosszejni: Efficient Estimation of Stochastic Volatility Models

Gregor Kastner: Should I Stay or Should I Go? Bayesian Inference in the Threshold Time Varying Parameter (TTVP) Model

Michael Hauser: Profit persistence and stock returns

Zehra Eksi-Altay: Portfolio optimization: a pure jump model with unobservable characteristics and linear feedback effect

Michaela Szölgyenyi: Utility indifference pricing of catastrophe derivatives in a PDMP model

Gabriela Kováĉova: Time Consistency of a Dynamic Mean-Risk Portfolio Selection as a Vector Optimization Problem

Katia Colaneri: Pairs trading under drift uncertainty and risk penalization

Riccardo Rastelli: Estimating the number of clusters in a stochastic block model for temporal networks

Jean-Bernard Salomond (UPEC): Some properties of the Gaussian Scale mixture prior for Sparse models
> Abstract  > Talk

Annalisa Cadonna: Local mixture models for spectral density estimation

Kurt Hornik: Variations on a Theme by von Mises and Fisher (Part A)

Laura Vana: Dynamic modeling of credit risk measures

Stefanos Dimitrakopoulos (University of Warwick): State Dependence and Stickiness of Sovereign Credit Ratings: Evidence from a Panel of Countries

Sabrina Dorn (ETH Zürich):Balancing Optimized Estimation of Treatment Effects

Annalisa Cadonna (University of California, Santa Cruz): Bayesian spectral modeling for multiple time series

Riccardo Rastelli (University College Dublin): A dynamic latent position model for a bipartite network of Irish directorates

Camilla Damian: EM Algorithm for Noisy Gaussian and Point Process Information

Imke Redeker (Brandenburg University of Technology): A structural model for credit risk with asymmetric information and a switching default barrier

Thomas Rusch: Nonparametric assessment of clusteredness via the OPTICS Cordillera

Rainer Hirk and Laura Vana: Cross-sectional multivariate ordinal regression models: An analysis of corporate credit ratings

Thomas Rusch: The STOPS framework for structure optimized proximity scaling

Matt Taddy: Deep Counterfactual Prediction using Instrumental Variables

Michaela Szölgyenyi: A numerical method for SDEs appearing in insurance and financial mathematics

Gertraud Malsiner-Walli: Sparse Bayesian finite mixtures

Sylvia Frühwirth-Schnatter: A Review of Bayesian Variable Selection for Latent Variable Models

Sylvia Frühwirth-Schnatter: Sparse Bayesian Factor Analysis

Andrea Wagner (Martin-Luther-Universität Halle-Wittenberg): Algorithms for DC problems with one function being polyhedral and application in locational analysis

Ari-Pekka Perkkiö (TU Berlin): Convex duality in optimal investment and contingent claim valuation in illiquid markets

Miryana Grigorova (Humboldt-Universität zu Berlin): Choquet integrals, stochastic orders and risk measures

Michaela Szölgyenyi: The first numerical method for multidimensional SDEs with discontinuous drift

Florian Schwendinger: Extending the R Optimization Infrastructure

Rüdiger Frey: Shall I Sell or Shall I wait: Optimal Liquidation under Partial Information with Price Impact

Liana Jacobi(The University of Melbourne, Australia): Bayesian Analysis of Dynamic Earnings for Mothers Effects from Long Maternity Leave

Angela Bitto: TVP Models & Shrinkage

Laura Vana: Ordinal regression models for credit risk measurement

Birgit Rudloff: A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle

Marcel Bräutigam (ETH Zürich): Detecting changes in extremal behaviour

Birgit Rudloff: Systemic Risk

Michaela Szölgyenyi: Energy storage optimization under partial information

Birgit Rudloff: Introduction to vector optimization

Zehra Eksi: Portfolio optimization for a large investor under partial information (joint work with Hyejin Ku, York University, Canada)

Gregor Kastner: Bayesian Estimation and Prediction of High-Dimensional Dynamic Covariance Matrices

Klaus Pötzelberger: Quantization

Florian Schwendinger: Analysing the Project Euclid Dataset

Rüdiger Frey: Contagion Effects and Collateralized Credit Value Adjustments for Credit Default Swaps

Sercan Gür: Parisian Options: Monte Carlo Simulation

Josef Leydold: A framework for testing, comparing and visualizing the performance of non-uniform random variate generators