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Winter Term 2014/15

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You are cordially invited to attend the talks in seminar room D4.0.019 (Building D4, Entrance A, ground level) on Thursdays at 4:30pm.

October 16

Nikolaus Hautsch (Universität Wien):
Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence
> Abstract
> Talk

October 23

Hansjörg Albrecher (Universität Lausanne):
Insurance risk and the cost of capital
> Abstract

November 20

Michaela Szölgyenyi (Johannes Kepler Universität Linz):
Dividend maximization under regime switching and incomplete information
> Abstract
> Talk

November 27

Nicolas Turenne (Université Paris-Est & INRA):
Relations and entities extraction from full texts, and their use in an end-user platform.
The case of the epidemiosurveillance VESPA platform.
> Abstract
> Talk

December 4

Harry Zheng (Imperial College London):
Utility-Risk Portfolio Selection
> Abstract
> Talk

Wednesday, January 21, 2015, 09:00 – 15:00 Wednesday, January 28, 2015, 09:00 – 10:00Location: Building D4, Room D4.4.008 Workshop of the Institute for Statistics and Mathematics on Operations Research and Stochastics in Economics and Business

The talks in this workshop are part of the hearings for a tenure track assistant professor position at the Institute for Statistics and Mathematics.
January 21, 2015
09:00 – 10:00   Birgit Rudloff, Princeton University: MULTIVARIATE RISKS
>Abstract

11:00 – 12:00   Hamed Amini, EPFL Lausanne: SYSTEMIC RISK IN FINANCIAL NETWORKS
> Abstract 14:00 – 15:00   Agatha Murgoci, Copenhagen Business School: A THEORY OF MARKOVIAN TIME-INCONSISTENT STOCHASTIC CONTROL
> Abstract

 January 28, 2015
09:00 – 10:00   Xiang Yu, University of Michigan: ON THE MARKET VIABILITY UNDER PROPORTIONAL TRANSACTION COSTS
> Abstract
January 22

Sam Cohen (Oxford University):
Ergodic BSDEs with Lévy noise and time dependence
> Abstract
> Talk