Winter Term 2016/17
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
October 21:
Peter Bank (Institut für Mathematik, TU Berlin):
Hedging with Temporary Price Impact
November 11:
Achim Zeileis (Department of Statistics, Universität Innsbruck):
Examining Exams Using Rasch Models and Assessment of Measurement Invariance
November 18: TWO TALKS
// 9:00-10:00 am //
Mathias Beiglböck (Institut für Stochastik und Wirtschaftsmathematik, TU Wien):
The Geometry of Model Uncertainty
> Abstract
> 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
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
> 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
[Host: Sylvia Frühwirth-Schnatter]
January 13:
Christian Kleiber (Wirtschaftswissenschaftliche Fakultät, Universität Basel):
Majorization and the Lorenz order in statistics, applied probability, economics and beyond
[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
Seminarraum SR09, 2nd floor
January 20:
Guido Consonni (Dipartimento di Scienze Statistiche, Università Cattolica del Sacro Cuor, Milan):
Objective Bayes Learning of Graphical Models
> Abstract
> Paper
> Talk
January 27:
Sara Biagini (Department of Economics and Finance, LUISS G. Carli, Rome):
The robust Merton problem of an ambiguity averse investor
[Host: Birgit Rudloff]