Vorlesen

Summer Term 2017

Der Inhalt dieser Seite ist aktuell nur auf Englisch verfügbar.

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]