Vorlesen

Winter Term 2016/17

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.

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]