105.029 AKFVM Selected topics in stochastics
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2019S, SE, 2.0h, 3.0EC

Properties

  • Semester hours: 2.0
  • Credits: 3.0
  • Type: SE Seminar

Aim of course

Introduction to recent works in financial and actuarial mathematics

Subject of course

Incomplete financial markets, duality and optimization in financial markets, martingale theory, stochastic volatility models, modelling and estimation of stochastic dependence, extreme value theory.

Additional information

This seminar mainly comprises guest talks and presentations of master's theses of the research group financial and actuarial mathematics. However, any master's student can participate and receive a grade.
Guest talks of this seminar are announced on the FAM webpage, see https://fam.tuwien.ac.at/events/ (mailing list: https://fam.tuwien.ac.at/mailman/listinfo/fam-news).
Presentations of master's theses and other student's talks will be announced through TISS news.


Please consider the plagiarism guidelines of TU Wien when writing your seminar paper: http://www.tuwien.ac.at/fileadmin/t/ukanzlei/t-ukanzlei-english/Plagiarism.pdf
Please consider the plagiarism guidelines of TU Wien when writing your seminar paper: https://www.tuwien.ac.at/fileadmin/t/ukanzlei/t-ukanzlei-english/Plagiarism.pdf
Please consider the plagiarism guidelines of TU Wien when writing your seminar paper: https://www.tuwien.at/fileadmin/Assets/dienstleister/Datenschutz_und_Dokumentenmanagement/Plagiarism.pdf

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Tue16:00 - 18:0005.03.2019 - 25.06.2019Sem.R. DA grün 06A .
Thu17:00 - 21:0021.03.2019FH Hörsaal 5 Gastvortrag "Data Science" 90 min, anschliessend get-together
Wed17:00 - 20:0012.06.2019FH Hörsaal 5 Gastvortrag "IFRS17 – unterschiedliche Bewertungsansätze in der Lebensversicherung" Jan-Philip Gamp, Ehsan Ayatollahi (Milliman) mit anschließendem get-together
Thu16:00 - 18:0013.06.2019Sem.R. DC rot 07 Vortrag Klaus Haider
Mon17:00 - 20:0024.06.2019FH Hörsaal 6 Gastvortrag "Moderne Life-Style Produkte in der Lebensversicherung mit Big Data und Machine Learning" von Frank Schiller (Munich Re) mit anschließendem get-together
Thu16:00 - 18:0027.06.2019Sem.R. DC rot 07 Vortrag Klaus Haider: Zeqian Chen's "A Non-commutative Version of the Fundamental Theorem of Asset Pricing" Teil 2
AKFVM Selected topics in stochastics - Single appointments
DayDateTimeLocationDescription
Tue05.03.201916:00 - 18:00Sem.R. DA grün 06A Talk by Martin Schmidt
Tue12.03.201916:00 - 18:00Sem.R. DA grün 06A .
Tue19.03.201916:00 - 18:00Sem.R. DA grün 06A .
Thu21.03.201917:00 - 21:00FH Hörsaal 5 Gastvortrag "Data Science" 90 min, anschliessend get-together
Tue26.03.201916:00 - 18:00Sem.R. DA grün 06A .
Tue02.04.201916:00 - 18:00Sem.R. DA grün 06A .
Tue09.04.201916:00 - 18:00Sem.R. DA grün 06A .
Tue30.04.201916:00 - 18:00Sem.R. DA grün 06A .
Tue07.05.201916:00 - 18:00Sem.R. DA grün 06A Vortrag Lukas Fertl (VERSCHOBEN)
Tue14.05.201916:00 - 18:00Sem.R. DA grün 06A 16:15(!) Vortrag Lukas Fertl: Conditional variance estimatior for (linear) sufficient dimension reduction
Tue21.05.201916:00 - 18:00Sem.R. DA grün 06A .
Tue28.05.201916:00 - 18:00Sem.R. DA grün 06A 16:00(!) Vortrag Maria-Theresa Baumgarten: Solvency Capital Requirement and Machine Learning
Tue04.06.201916:00 - 18:00Sem.R. DA grün 06A 16:15 Vortrag Simone Götz
Wed12.06.201917:00 - 20:00FH Hörsaal 5 Gastvortrag "IFRS17 – unterschiedliche Bewertungsansätze in der Lebensversicherung" Jan-Philip Gamp, Ehsan Ayatollahi (Milliman) mit anschließendem get-together
Thu13.06.201916:00 - 18:00Sem.R. DC rot 07 Vortrag Klaus Haider
Tue18.06.201916:00 - 18:00Sem.R. DA grün 06A .
Mon24.06.201917:00 - 20:00FH Hörsaal 6 Gastvortrag "Moderne Life-Style Produkte in der Lebensversicherung mit Big Data und Machine Learning" von Frank Schiller (Munich Re) mit anschließendem get-together
Tue25.06.201916:00 - 18:00Sem.R. DA grün 06A Vortrag Caroline Gerharter: Machine Learning in Life Insurance Risk Prediction
Thu27.06.201916:00 - 18:00Sem.R. DC rot 07 Vortrag Klaus Haider: Zeqian Chen's "A Non-commutative Version of the Fundamental Theorem of Asset Pricing" Teil 2

Examination modalities

Master's students who want a grade for the seminar should contact one of the lecturers directly to fix a topic. The student then has to present a seminar talk and attend the other talks of the semester.

Course registration

Not necessary

Curricula

Literature

No lecture notes are available.

Previous knowledge

Advanced knowledge in financial and actuarial mathematics, preferably on the level of a final-year Master or a PhD student.

Language

if required in English