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]