Summer Term 2017
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
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Abstract
[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
> 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
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Abstract
[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
> Talk
[Host: Kurt Hornik]