Seminar in Mathematical Finance - winter term 2009
Room: D 1.03 (Mathematik),
UZA4,
Nordbergstraße 15, 1.OG
Organizers: Walter Schachermayer,
Mathias Beiglböck,
Johanna Michor
| Date: | Speaker: | Title : |
| Mon, 10/05/09 13:30-15:00 |
Walter Schachermayer | Basics of transaction costs I |
| Mon, 10/12/09 13:30-15:00 |
Walter Schachermayer | Basics of transaction costs II |
| Mon, 10/19/09 13:30-15:00 |
Thomas Breuer (FH Vorarlberg) | If Worst Comes to Worst: A Method for Stress Tests of General Distributions |
| Mon, 10/26/09 13:30-15:00 |
no seminar - public holiday | |
| Mon, 11/02/09 13:30-15:00 |
Aldo Pratelli (Universita di Pavia) | On a conjecture by Auerbach |
| Mon, 11/09/09 13:30-15:00 |
Mark Podolskij (ETH Zürich) | Statistics for high frequency observations |
| Mon, 11/16/09 13:30-15:00 |
Walter Schachermayer | Basics of transaction costs III |
| Mon, 11/23/09 13:30-15:00 |
Johannes Muhle-Karbe (Uni Wien) | On using Shadow prices in Portfolio Optimization with Transaction Costs I |
| Mon, 11/30/09 13:30-15:00 |
Johannes Muhle-Karbe (Uni Wien) | On using Shadow prices in Portfolio Optimization with Transaction Costs II |
| Mon, 12/07/09 13:30-15:00 |
Johannes Temme (Uni Wien) | An asymptotic analysis of an optimal hedging model for option pricing with transaction costs I |
| Mon, 12/14/09 13:30-15:00 |
Walter Schachermayer | |
| Mon, 12/21/09 13:30-15:00 |
Mikhail Urusov | |
| Mon, 01/11/10 13:30-15:00 |
Christoph Frei (Ecole Polytechnique) | |
| Mon, 01/18/10 13:30-15:00 |
Marcel Nutz (ETH) | Bellman Equation and Risk Aversion Asymptotics for Power Utility Maximization |
| Mon, 01/25/09 13:30-15:00 |
Bezirgen Weliyev (Uni Wien) | Notes on NFLVR and Fractional Brownian Motion |
| Mon, 02/01/09 13:30-15:00 |
Johannes Temme (Uni Wien) | An asymptotic analysis of an optimal hedging model for option pricing with transaction costs II |