Institute for
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Die Erholunsgzone vor dem D4 Gebäude über dem Brunnen.

Summer Term 2015

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 6

Jörn Saß (Fachbereich Mathematik, Technische Universität Kaiserslautern):
Continuous-time regime switching models, portfolio optimization and filter-based volatility


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March 13

Elisa Ossola (Department of Finance, University of Lugano):
Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets


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March 20

Mark Jensen (Federal Reserve Bank of Atlanta, USA):


Mutual Fund Performance When Investors Learn About Skill


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March 27

Rémi Piatek (Department of Economics, University of Copenhagen):


A Parsimonious Multinomial Probit Model for the Study of Joint Decisions


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May 8

François Caron (Department of Statistics, University of Oxford):


Sparse random graphs with exchangeable point processes

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May 29

François Bachoc (Department of Statistics and Operations Research, Universität Wien):

Covariance function estimation in Gaussian process regression

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Wednesday, June 10, 3:30-6:30pm (Executive Academy, Foyer):

Quantitative Risk Management Workshop and Book Launch

Talks by
Alexander J. McNeil: Backtesting Trading Book Models Using Estimates of VaR, Expected Shortfall and Realised p-Values
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Paul Embrechts: How to Model Operational Risk
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Presentation by Rüdiger Frey 
June 19

Ralf Wunderlich (Mathematisches Institut, Brandenburgische Technische Universität Cottbus):

Expert opinions and dynamic portfolio optimization under partial information

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June 26

Evelyn Buckwar (Institut für Stochastik, Johannes Kepler Universität Linz):


Stochastic numerics and issues in the stability analysis of numerical methods

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> Talk: Slides n/a
July 3

Yoosoon Chang (Department of Economics, Indiana University, USA):
Distributional Time Series
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