Classification: 1118: Probability theory

Publications

Journal article

2019 Frey, Rüdiger, Rösler, Lars, Lu, Dan. 2019. Corporate security prices in structural credit risk models with incomplete information. Mathematical Finance. 29 84-116. open access (Details)
  Colaneri, Katia, Eksi-Altay, Zehra, Frey, Rüdiger, Szölgyenyi, Michaela. 2019. Optimal Liquidation under Partial Information with Price Impact. Stochastic Processes and their Applications. (Details)
  Gür, Sercan, Pötzelberger, Klaus. 2019. Sensitivity of boundary crossing probabilities of the Brownian motion. Monte Carlo Methods and Applications. (Details)
2018 Feinstein, Zachary, Rudloff, Birgit. 2018. A Supermartingale Relation for Multivariate Risk Measures. Quantitative Finance. 18 (12), 1971-1990. (Details)
  Leobacher, Gunther, Szölgyenyi, Michaela. 2018. Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient. Numerische Mathematik 138 (1), 219-239. open access (Details)
  Frey, Rüdiger, Hledik, Juraj. 2018. Diversification and Systemic Risk: A Financial Network Perspective. Risks, 6 (2), 54 open access (Details)
  Damian, Camilla, Eksi-Altay, Zehra, Frey, Rüdiger. 2018. EM algorithm for Markov chains observed via Gaussian noise and point process information: Theory and case studies. Statistics & Risk Modeling, 35 (1-2), 51-72. open access (Details)
  Feinstein, Zachary, Pang, Weijie, Rudloff, Birgit, Schaanning, Eric, Sturm, Stephan, Wildman, Mackenzie. 2018. Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities. SIAM Journal on Financial Mathematics. 9 (4), 1286-1325. (Details)
2017 Rudloff, Birgit, Ulus, Firdevs, Vanderbei, Robert. 2017. A parametric simplex algorithm for linear vector optimization problems. Mathematical Programming 163 (1), 213-242. (Details)
  Feinstein, Zachary, Rudloff, Birgit. 2017. A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle. Journal of Global Optimization 68 (1), 47-69. (Details)
  Leobacher, Gunther, Szölgyenyi, Michaela. 2017. A Strong Order 1/2 Method for Multidimensional SDEs with Discontinuous Drift. Annals of Applied Probability 27 (4), 2383-2418. (Details)
  Feinstein, Zachary, Rudloff, Birgit, Weber, Stefan. 2017. Measures of systemic risk. SIAM Journal on Financial Mathematics 8 (1), 672-708. (Details)
  Leobacher, Gunther, Szölgyenyi, Michaela. 2017. Numerical methods for SDEs with drift discontinuous on a set of positive reach. Internationale Mathematische Nachrichten 235, 1-16. (Details)
  Eksi-Altay, Zehra, Ku, Hyejin. 2017. Portfolio optimization for a large investor under partial information with price impact. Mathematical Methods of Operations Research, 86 (3), 601-623. (Details)
  Ararat, Çagin, Hamel, Andreas, Rudloff, Birgit. 2017. Set-valued shortfall and divergence risk measures. International Journal of Theoretical and Applied Finance 20 (5), 1750026 (Details)
  Eichler, Andreas, Leobacher, Gunther, Szölgyenyi, Michaela. 2017. Utility Indifference Pricing of Insurance Catastrophe Derivatives. European Actuarial Journal 7, 515-534. open access (Details)
2016 Leobacher, Gunther and Szölgyenyi, Michaela. 2016. A numerical method for SDEs with discontinuous drift. BIT. Numerical Mathematics 56 (1), 151-162. (Details)
  Shardin, Anton A., Szölgyenyi, Michaela. 2016. Optimal control of an energy storage facility under a changing economic environment and partial information. International Journal of Theoretical and Applied Finance 19 (4), 1-27. (Details)
2015 Szölgyenyi, Michaela. 2015. Dividend maximization in a hidden Markov switching model. Statistics & Risk Modeling, 32, (3-4), 143-158. (Details)
  Leobacher, Gunther, Szölgyenyi, Michaela, Thonhauser, Stefan. 2015. On the Existence of Solutions of a Class of SDEs with Discontinuous Drift and Singular Diffusion. Electronic Communications in Probability 20 (6): S. 1-14. (Details)
2014 Leobacher, Gunther, Szölgyenyi, Michaela, Thonhauser, Stefan. 2014. Bayesian Dividend Optimization and Finite Time Ruin Probabilities. Stochastic Models 30 (2): S. 216-249. (Details)
2013 Larcher, Gerhard, Del Chicca, Lucia, Szölgyenyi, Michaela. 2013. Modeling and Performance of Certain Put-Write-Strategies. The Journal of Alternative Investments 15 (4): S. 74-86. (Details)

Contribution to conference proceedings

2017 Pötzelberger, Klaus. 2017. Estimating the Quantization Dimension: Diffusion Processes. In AIP Conference Proceedings 1728/1, Hrsg. American Institute of Physics, 1-1. College Park, USA: None. (Details)
2016 Pötzelberger, Klaus. 2016. Estimating the dimension of probability distributions. In Proceedings of WSC 2015, Hrsg. ISI, S. 1-10. Amsterdam: ISI/IASC. (Details)
2013 Szölgyenyi, Michaela. 2013. Bayesian Dividend Maximization: A Jump Diffusion Model. In Handelingen Contactforum Actuarial and Financial Mathematics Conference, Interplay between Finance and Insurance, February 7-8, 2013, Hrsg. Vanmaele, M., Deelstra, G., De Schepper, A., Dhaene, J., Schoutens, W., Vanduffel, S., Vyncke, D. , S. 77-82. Brüssel: Koninklijke Vlaamse Academie van België voor Wetenschappen en Kunsten. (Details)

Paper presented at an academic conference or symposium

2019 Rudloff, Birgit. 2019. Dynamic Multivariate Programming. Set Optimization for Applications, Jena, Deutschland, Febr. 11-15. (Details)
  Rudloff, Birgit. 2019. Dynamic Multivariate Programming. SIAM Conference on Financial Mathematics & Engineering, Toronto, Kanada, 05.06.2019. (Details)
  Rudloff, Birgit. 2019. Dynamic Multivariate Programming. Seminar University of Vienna, Wien, Österreich, 14.06.2019. (Details)
  Rudloff, Birgit. 2019. time consistency on the mean-risk asset allocation problem. QuantMinds International, Wien, Österreich, 14.05.2019. (Details)
2018 Cuchiero, Christa. 2018. Calibration of financial models using neural networks. 6th NUS-USPC Workshop on Machine Learning and FinTech, Singapore, Singapur, 18.04.-19.04. Invited Talk (Details)
  Cuchiero, Christa. 2018. Calibration of financial models using neural networks. DEM Workshop in Financial Mathematics, Verona, Italien, 31.10. Invited Talk (Details)
  Rudloff, Birgit. 2018. Dynamic Multivariate Programming. Vienna Workshop of Computational Optimization, Vienna, Österreich, 17-19 of December 2018. (Details)
  Cuchiero, Christa. 2018. Infinite dimensional polynomial processes. Mathematical finance workshop, Connecticut, Vereinigte Staaten/USA, 13.10. (Details)
  Cuchiero, Christa. 2018. Infinite dimensional polynomial processes. 9th International Workshop on applied Probability, Budapest, Ungarn, 18.06.-21.06. (Details)
  Cuchiero, Christa. 2018. Infinite dimensional polynomial processes. Advanced Methods in Mathematical Finance, Angers, Frankreich, 28.08.-31.08. (Details)
  Cuchiero, Christa. 2018. Infinite dimensional polynomial processes. Innovative Research in Mathematical Finance in Honor of Yuri Kabanov, Zürich, Schweiz, 07.09. Invited Talk (Details)
  Cuchiero, Christa. 2018. Infinite dimensional polynomial processes. • Workshop on Stochastic Modelling and Financial Applications, Verona, Italien, 01.06.-02.06. Invited Talk (Details)
  Cuchiero, Christa. 2018. Markovian representations of stochastic Volterra equations. Stochastic Analysis and its Applications, Banff, Oaxaca, Kanada, 13.05.-18.05. (Details)
  Cuchiero, Christa. 2018. Markovian representations of stochastic Volterra equations. Mini-Workshop on high-dimensional BSDEs and PDEs, Essen, Deutschland, 24.05.-25.05. (Details)
  Frey, Rüdiger. 2018. Optimal liquidation under partial information with price impact. A Symposium on Optimal Stopping, ​Rice University, Houston, Texas, United States/USA, 25.06.-29.06. Invited Talk (Details)
  Eksi-Altay, Zehra, Altay, Sühan, Colaneri, Katia. 2018. Pairs Trading under Drift Uncertainty and Risk Penalization. DSF-R 2018, Vienna, Austria, 13.09.2018. (Details)
  Cuchiero, Christa. 2018. Rough covariance modeling - theory and empirics. Quantitative Methods in Finance, Sydney, Australien, 11.12.-14.12. Invited Talk (Details)
  Cuchiero, Christa. 2018. Rough volatility modeling from an affine point of view. Actuarial and Financial Mathematics Conference, Brussels, Belgien, 08.02.-09.02. Invited Talk (Details)
  Frey, Rüdiger. 2018. Sovereign-Bond Backed Securities as a new Safe Asset for the Eurozone: a Dynamic Credit Risk Perspective. 10th World Congress of the Bachelier Finance Society, Dublin, Irland, 16.07.-20.07. (Details)
  Rudloff, Birgit. 2018. Time consistency of the mean risk problem. Innovative Research in Mathematical Finance, Conference in honor of Yuri Kabanov, Marseille, Frankreich, 3.-7. September 2018. Invited Talk (Details)
  Rudloff, Birgit. 2018. Time consistency of the mean-risk problem. LMU Mathematics Institute, Oberseminar Finanz- und Versicherungsmathematik, Munich, Deutschland, 02.07.2018. (Details)
  Rudloff, Birgit. 2018. Time consistency of the mean-risk problem. IWAP 9TH INTERNATIONAL WORKSHOP ON APPLIED PROBABILITY, Budapest, Ungarn, 18-21.06.2018. (Details)
  Rudloff, Birgit. 2018. Time consistency of the mean-risk problem. Bachelier Finance Society 10th world congress, Dublin, Irland, 16.-20. July 2018. (Details)
2017 Cuchiero, Christa. 2017. (Probability) measure-valued polynomial diffusions. 8th General AMaMeF Conference, Amsterdam, Netherlands, 19.06-23.06. Invited Talk (Details)
  Cuchiero, Christa. 2017. (Probability) measure-valued polynomial diffusions. • Mathematical Finance Workshop, Paris-Diderot, Frankreich, 07.12. (Details)
  Cuchiero, Christa. 2017. (Probability) measure-valued polynomial diffusions. Thera Stochastics, A Mathematics Conference in Honor of Ioannis Karatzas, Thera (Santorin), Italy, 31.05-02.06. Invited Talk (Details)
  Szölgyenyi, Michaela. 2017. Convergence of Euler-Maruyama for SDEs in stochastic control. Stochastic Models and Control 2017, Trier, Deutschland, 22.03.-24.03. (Details)
  Szölgyenyi, Michaela. 2017. Convergence of Euler-Maruyama for SDEs with discontinuous drift. 11th International Conference on Monte Carlo Methods and Applications, HEC Montreal, Kanada, 03.07.-07.07. (Details)
  Cuchiero, Christa. 2017. Cover’s universal portfolio, stochastic portfolio theory and the numéraire portfolio. Oberwolfach Meeting on Mathematics of Quantitative Finance, Oberwolfach-Walke, Germany, 26.02.-4.3. (Details)
  Rudloff, Birgit. 2017. Dynamic programming for multivariate problems involving risk measures. Mathematical Finance, Probability, and Partial Differential Equations Conference, Rutgers University, United States/USA, 17.-19.05.2017. Invited Talk (Details)
  Rudloff, Birgit. 2017. Dynamic programming for multivariate problems involving risk measures. VGSCO Colloquium, Wien, Österreich, 06.12.2017. (Details)
  Rudloff, Birgit. 2017. Dynamic programming for multivariate problems involving risk measures. Risk and Stochastics Conference, LSE, United Kingdom, 20-21.04.2017. Invited Talk (Details)
  Frey, Rüdiger. 2017. EM Algorithm for Diffusion and Point Process Information: Theory, Numerical Experiments and Applications to Credit Risk. Final Conference - Stochastic Dynamical Models in Mathematical Finance, Econometrics, and Actuarial Sciences, EPFL Lausanne, Switzerland, 29.05.-02.06. Invited Talk (Details)
  Eksi-Altay, Zehra, Damian, Camilla, Frey, Rüdiger. 2017. EM Algorithm For Markov Chain Observed via Gaussian Noise and Point Processes Information. VIECO 2017 - Vienna-Copenhagen Conference on Financial Econometrics, Vienna, Austria, 09.03-11.03. (Details)
  Damian, Camilla, Eksi-Altay, Zehra, Frey, Rüdiger. 2017. EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies. 41st Annual Meeting of the Association for Mathematics Applied to Social and Economic Sciences (AMASES), Cagliari, Italy, 14.09-16.09. (Details)
  Damian, Camilla, Eksi-Altay, Zehra, Frey, Rüdiger. 2017. EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and numerical experiments. 8th General AMaMeF Conference, Amsterdam, Netherlands, 19.06-23.06. (Details)
  Damian, Camilla, Eksi-Altay, Zehra, Frey, Rüdiger. 2017. EM Algorithm for Markov Chains Observed via Gaussian Noise and Point Process Information: Theory and Numerical Experiments. 21st International Congress on Insurance: Mathematics and Economics - IME 2017, Vienna, Austria, 03.07-05.07. (Details)
  Cuchiero, Christa. 2017. Keynote talk: Cover’s universal portfolio, stochastic portfolio theory and the numéraire portfolio. Advances in Financial Mathematics, Paris, France, 10.1.-13.1. Invited Talk (Details)
  Cuchiero, Christa. 2017. Keynote talk: Cover’s universal portfolio, stochastic portfolio theory and the numéraire portfolio. ETH Risk Day 2017, Zurich, Switzerland, 15.09. Invited Talk (Details)
  Cuchiero, Christa. 2017. Keynote talk: Polynomial processes in stochastic portfolio theory. School and workshop on dynamical models in Finance, Lausanne, Switzerland, 22.05.-24.05. Invited Talk (Details)
  Pötzelberger, Klaus. 2017. Local Alternatives of Signal Detection Tests. CFE-CM Statistics 2017, London, Großbritannien, 16.12.-18.12. (Details)
  Rudloff, Birgit. 2017. Mengen- und Vektoroptimierung in der Finanzmathematik. Women in Optimization, Trier, Germany, 20-22.03.2017. Invited Talk (Details)
  Cuchiero, Christa. 2017. Non-linear (PI)DEs and affine processes. International Workshop on BSDEs, SPDEs and their Applications, Edinburgh, Großbritannien, 03.07.-07.07. (Details)
  Szölgyenyi, Michaela. 2017. Numerical methods for SDEs with discontinuous drift appearing in mathematical finance. Recent Developments in Numerical Methods with Applications in Statistics and Finance, Mannheim, Deutschland, 08.06.-09.06. Invited Talk (Details)
  Frey, Rüdiger. 2017. Optimal Liquidation under partial information with price impact. 3rd Berlin-Princeton-Singapore workshop on Quantitative Finance. (Keynote lecture), Humboldt University, Berlin, Deutschland, 19.04.-22.04. Invited Talk (Details)
  Gür, Sercan. 2017. Pricing Parisian options with general boundaries: an adaptive Monte Carlo method. 1st International Conference on Econometrics and Statistics (EcoSta 2017), Hong Kong, China, 15.06-17.06. (Details)
  Cuchiero, Christa. 2017. Rough volatility modeling from an affine point of view. Advances in Stochastic Analysis for Risk Modeling, Luminy, Frankreich, 13.11.-17.11. (Details)
  Cuchiero, Christa. 2017. Rough volatility modeling from an affine point of view. • Stochastic analysis and modeling conference, Verona, Italien, 18.12. Invited Talk (Details)
  Eksi-Altay, Zehra. 2017. Shall I sell or shall I wait? Optimal liquidation under partial information with price impact. 8th General AMaMeF Conference on Mathematical Finance, Amsterdam, Netherlands, 19.06-23.06. (Details)
  Frey, Rüdiger. 2017. Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Credit Risk. 21st International Congress on Insurance: Mathematics and Economics - IME 2017, TU Wien, Vienna, Österreich, 03.07.-05.07. (Details)
2016 Szölgyenyi, Michaela. 2016. A numerical method for multidimensional SDEs with discontinuous drift and degenerate diffusion. 12th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, Stanford, Vereinigte Staaten/USA, 14.08.-19.08. (Details)
  Rudloff, Birgit. 2016. A recursive algorithm for dynamic multivariate risk measures and a set-valued Bellman¿s principle. Brown Bag Seminar, WU Wien, Vienna, Österreich, June 22, 2016. (Details)
  Szölgyenyi, Michaela. 2016. A strong order 1/2 method for solving multidimensional SDEs appearing in mathematical finance. Vienna Congress on Mathematical Finance, Vienna, Austria, 12.09.-14.09. (Details)
  Szölgyenyi, Michaela. 2016. A strong order 1/2 method for solving multidimensional SDEs appearing in mathematical finance. 9th World Congress of the Bachelier Finance Society, New York City, United States/USA, 15.07.-19.07. (Details)
  Pötzelberger, Klaus. 2016. Estimating the Quantization Dimension: Diffusion Processes. World Congress: 11th International Conference on Mathematical Problems in Engineering, Aerospace and Sciences, Ra Rochelle, Frankreich, 05.07.-08.07. (Details)
  Rudloff, Birgit. 2016. Measures of systemic risk. 9th World Congress of the Bachelier Finance Society, New York City, United States/USA, 15-19 July 2016. (Details)
  Rudloff, Birgit. 2016. Measures of Systemic Risk. Joint Mathematics Meeting, Seattle, United States/USA, 06.-09.01. Invited Talk (Details)
  Rudloff, Birgit. 2016. Measures of systemic risk. Workshop on Risk Measures, XVA Analysis, Capital Allocation and Central Counterparties, Shanghai Jiao Tong University, China, 27-29.10.2016. Invited Talk (Details)
  Rudloff, Birgit. 2016. Multivariate Risks. Scientific Day of the German Actuarial Society, Bremen, Germany, 29.04.2016. Invited Talk (Details)
  Rudloff, Birgit. 2016. Multivariate Risks. Conference "Robust Finance and Beyond" ZiF, Bielefeld, Germany, 30.05-03.06. 2016. Invited Talk (Details)
  Rudloff, Birgit. 2016. Multivariate Risks and its connection to set- and vector optimization. Workshop Set Optimization for Applications, Vienna, Österreich, 19-23.09.2016. (Details)
  Szölgyenyi, Michaela. 2016. Numerics for controlled processes. German Probability and Statistics Days, Bochum, Deutschland, 01.03.-04.03. (Details)
  Szölgyenyi, Michaela. 2016. Numerics for multidimensional SDEs with discontinuous drift. Austrian Stochastics Days, Graz, Österreich, 30.06.-01.07. (Details)
  Eksi-Altay, Zehra and Altay, Suhan. 2016. Optimal investment problems for pairs trading. 28th European Conference on Operational Research, Poznan, Poland, 03.07-06.07, . (Details)
  Eksi-Altay, Zehra and Ku, Hyejin. 2016. Portfolio optimization for a Large Investor under Partial Information and Price Impact. 14th EUROPT Workshop on Advances in Continuous Optimization, Warsaw, Poland, 01.07-02.07, . (Details)
  Eksi-Altay, Zehra and Ku, Hyejin. 2016. Portfolio optimization for a Large Investor under Partial Information and Price Impact. 9th World Congress of the Bachelier Finance Society, New York, United States/USA, 15.07-19.07. (Details)
  Pötzelberger, Klaus. 2016. Properties of estimators of the quantization dimension of distributions. CFE-CM Statistics 2016, Sevilla, Spanien, 9.12.-11.12. (Details)
  Pötzelberger, Klaus. 2016. Properties of estimators of the quantization dimension of distributions. CFE-CM Statistics 2016, Sevilla, Spanien, 9.12.-11.12. (Details)
  Pötzelberger, Klaus. 2016. Properties of Estimators of the Quantization Dimension of Distributions. CFE-CMStatistics, Sevilla, Spanien, 09.12.-12.12. (Details)
  Rudloff, Birgit. 2016. Set-valued Risk Measures. Workshop Random Sets in Action, Bern, Switzerland, June 8-10, 2016. Invited Talk (Details)
  Frey, Rüdiger. 2016. Shall I sell or shall I wait: optimal liquidation under partial information with market impact. World Congress, Bachelier Finance Society, New York, Vereinigte Staaten/USA, 17.07. (Details)
  Frey, Rüdiger. 2016. Shall I sell or shall I wait: optimal liquidation under partial information with market impact. Nachwuchstagung der Deutschen Gesellschaft für Versicherungs- und Finanzmathematik, Schloss Reisensburg, Günzburg, Deutschland, 23.09. Invited Talk (Details)
  Eksi-Altay, Zehra. 2016. Shall I sell or shall I wait: Optimal liquidation under partial information with price impact. Vienna Congress on Mathematical Finance - VCMF 2016, Vienna, Austria, 12.09-14.09. (Details)
  Rudloff, Birgit. 2016. Some News on Bellman's principle. Workshop on Set Optimization, Abstract Convexity and Applications in Economics, Brunico, Italy, 07.03.2016. Invited Talk (Details)
  Rudloff, Birgit. 2016. Systemic Risk. Seminar JKU Linz, Linz, Austria, June 21, 2016. Invited Talk (Details)
2015 Szölgyenyi, Michaela. 2015. Solving SDEs with discontinuous drift. Tenth IMACS Seminar on Monte Carlo Methods, Linz, Österreich, 06.07.-10.07.. (Details)
  Frey, Rüdiger. 2015. Book launch: "Quantitative Risk Management" (Revised Edition), with Alexander McNeil and Paul Embrechts. ETH Risk Day 2015, Zürich, Schweiz, 11.09. (Details)
  Pötzelberger, Klaus. 2015. Consistency of estimators of dimension. 9th CEF 2015, London, Großbritannien, 11. - 14. 12. 2015. (Details)
  Frey, Rüdiger. 2015. Correlation and Contagion as Sources of Systemic Risk. 22nd Annual Meeting of the German Finance Association (DGF), University of Leipzig, Leipzig, Deutschland, 25.09.-26.09. (Details)
  Szölgyenyi, Michaela. 2015. Dividend maximization under changing economic environment and partial information. 9th International Conference on Computational Financial Econometrics, London, Großbritannien, 12.12.-14.12. Invited Talk (Details)
  Pötzelberger, Klaus. 2015. Estimating the dimension of probability distributions. WSC 2015, Rio de Janeiro, Brasilien, 26. - 31. 07. 2015. (Details)
  Feinstein, Zachary, Rudloff, Birgit, Weber, Stefan. 2015. Measures of systemic risk. Mathematics Research Community in Financial Mathematics, Snowbird, Vereinigte Staaten/USA, 15.-20.06. Invited Talk (Details)
  Rudloff, Birgit, Feinstein, Zachary, Weber, Stefan, Ararat, Cagin. 2015. Measures of systemic risk and their dual representations. Workshop on Knightian Uncertainty in Strategic Interactions and Markets, ZIF, Bielefeld, Deutschland, 10.-13.06. Invited Talk (Details)
  Feinstein, Zachary, Rudloff, Birgit, Weber, Stefan. 2015. Measures of systemic risk. Conference on Mathematical Finance and PDEs, Rutgers University, New Brunswick, United States/USA, 01.05. (Details)
  Feinstein, Zachary, Rudloff, Birgit, Weber, Stefan. 2015. Measures of systemic risk. Seminar at Department of Mathematics, Politecnico di Milano, Italy, 15.07. (Details)
  Rudloff, Birgit. 2015. Multivariate Risiken. Research Seminar Otto-von-Guericke-Universität Magdeburg, Magdeburg, Germany, 23.01.2015. (Details)
  Rudloff, Birgit. 2015. Multivariate Risiken. Research Seminar at Brandenburgische Technische Universität Cottbus, Cottbus, Germany, 17.01.2015. (Details)
  Rudloff, Birgit. 2015. Multivariate Risks. Research Seminar at Vienna University of Economics and Business, Vienna, Austria, 21.01.2015. (Details)
  Rudloff, Birgit, Hamel, Andreas, Wang, Sophie. 2015. Optimal Investment under Transaction Costs. Mathematics Research Community in Financial Mathematics, Snowbird, Vereinigte Staaten/USA, 15.-20.06. Invited Talk (Details)
  Rudloff, Birgit, Feinstein, Zachary, Weber, Stefan. 2015. Systemic risk. PhD Seminar, WU Wien, Austria, 07.10. (Details)
  Feinstein, Zachary, Rudloff, Birgit, Weber, Stefan. 2015. Systemic risk. Bozen-Bolzano Risk School, Bolzano, Italy, 22.-23.09. Invited Talk (Details)
  Feinstein, Zachary, Rudloff, Birgit, Weber, Stefan. 2015. Systemic risk and beyond: scalar versus multivariate approaches. ISOR colloquium, University of Vienna, Austria, 30.11. (Details)
  Feinstein, Zachary, Rudloff, Birgit. 2015. Systemic Risk and Beyond: Scalar vs Multivariate Approaches. Jour Fixe on Robust Finance: Strategic Power, Knightian Uncertainty, and the Foundations of Economic Policy Advice, ZIF, Bielefeld, Deutschland, 03.06. Invited Talk (Details)
  Rudloff, Birgit, Ulus, Firdevs, Vanderbei, Robert. 2015. Vector Optimization. PhD Seminar, WU Wien, Austria, 21.10. (Details)
2014 Feinstein, Zachary, Rudloff, Birgit. 2014. A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle. SIAM Conference on Financial Mathematics & Engineering, Chicago, United States/USA, 13.-15.11. (Details)
  Szölgyenyi, Michaela. 2014. Dividend maximization under Markov switching. Third Austrian Stochastics Days, Leoben, Österreich, 24.09. (Details)
  Szölgyenyi, Michaela. 2014. Existence and uniqueness of solutions of SDEs occurring in stochastic optimal control in risk theory. 11th German Probability and Statistics Days 2014, Ulm, Deutschland, 07.03. (Details)
  Szölgyenyi, Michaela. 2014. Maximizing dividend payouts in hidden Markov models. Doktorandentreffen Stochastik 2014, Halle (Saale), Deutschland, 07.08. (Details)
  Feinstein, Zachary, Rudloff, Birgit, Weber, Stefan. 2014. Measures of systemic risk. Workshop "Recent advances in mathematical finance" University of Padova, Italien, 22.09. Invited Talk (Details)
  Rudloff, Birgit. 2014. Measures of Systemic Risk. Seminar at Collegio Carlo Alberto, Torino, Italy, 05.11.-07.11. (Details)
  Rudloff, Birgit. 2014. Measures of systemic risk. CEQURA Conference on Advances in Financial & Insurance Risk Management, Munich, Germany, 01.10.-02.10. (Details)
  Feinstein, Zachary, Rudloff, Birgit, Weber, Stefan. 2014. Measures of systemic risk. Conference "Set Optimization meets Finance" Free University of Bolzano, Italy, 08.-12.09. (Details)
  Feinstein, Zachary, Rudloff, Birgit, Weber, Stefan. 2014. Measures of systemic risk. 10th Princeton-Cambridge Conference, Cambridge University, Großbritannien, 26.-27.09. Invited Talk (Details)
  Rudloff, Birgit. 2014. Multivariate Risks. Seminar at University Siegen, Siegen, Germany, 02.09.2014. (Details)
  Rudloff, Birgit. 2014. Multivariate Risks. Seminar at Hausdorff Center for Mathematics, University of Bonn, Bonn, Germany, 27.11.2014. (Details)
  Rudloff, Birgit. 2014. Multivariate Risks. Seminar at University Kassel, Kassel, Germany, 06.06.2014. (Details)
  Szölgyenyi, Michaela. 2014. On dividend maximization in hidden Markov models. 2nd European Actuarial Journal (EAJ) Conference 2014, Wien, Österreich, 10.09. (Details)
  Löhne, Andreas, Rudloff, Birgit. 2014. On the dual of the solvency cone. Workshop "The Future of Risk Measurement" Leibniz University Hannover, Deutschland, 11.12. Invited Talk (Details)
  Szölgyenyi, Michaela. 2014. Solutions to SDEs with discontinuous drift and singular diffusion. Eleventh International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, Leuven, Belgien, 10.04. (Details)
2013 Rudloff, Birgit. 2013. A generalized Bellman principle for set-valued functions with applications in finance. ORFE Faculty Seminar, Princeton University, Princeton, United States/USA, 08.05. (Details)
  Szölgyenyi, Michaela. 2013. Dividend Maximization and Ruin Probabilities under Incomplete Information. The 17th International Congress on Insurance: Mathematics and Economics, Kopenhagen, Dänemark, 02.07. (Details)
  Rudloff, Birgit. 2013. Dynamic risk measures and price bounds in markets with transaction costs. Seminar at Frankfurt Institute of Advanced Studies & House of Finance, Germany, Frankfurt, Germany, 18.01. (Details)
  Rudloff, Birgit. 2013. Dynamic risk measures in markets with transaction costs. Seventh Bachelier Colloquium, Metabief, France, 13.01.-20.01. (Details)
  Szölgyenyi, Michaela. 2013. Existence of solutions of a class of SDEs corresponding to threshold dividend strategies in risk theory. ÖMG-DMV Congress 2013, Innsbruck, Österreich, 25.09. (Details)
  Rudloff, Birgit. 2013. Multivariate Risiken: illiquide Märkte und systemisches Risiko. Seminar at Goethe University, Frankfurt, Deutschland, 27.06.2013. (Details)
  Rudloff, Birgit. 2013. Multivariate Risks. Seminar at Technical University Chemnitz, Chemnitz, Germany, 28.10.2013. (Details)
  Rudloff, Birgit. 2013. Multivariate risks: illiquid markets and systemic risk. Seminar at Stevens Institute of Technology, Hoboken, United States/USA, 12.12.2013. (Details)
  Rudloff, Birgit. 2013. Risk measures. guest lecture at RTG Summer School in Financial Mathematics, Princeton University, Princeton, United States/USA, 17.06.-28.06. (Details)
  Rudloff, Birgit. 2013. Risk measures for multivariate risks. Seminar at the Department of Mathematics, University of Trento, Trento, Italy, 04.07. (Details)
  Rudloff, Birgit. 2013. Risk measures for multivariate risks. Seminar at University of Verona, Verona, Italy, 03.07. (Details)
  Szölgyenyi, Michaela. 2013. Some topics of risk theory in a hidden Markov model. International Workshop on Regime-Switching Models in Finance: Statistics and Optimization, Kaiserslautern, Deutschland, 23.11. (Details)
  Rudloff, Birgit. 2013. Superhedging and risk measures under transaction costs. Financial Mathematics Seminar, University of Pittsburgh, Pittsburgh, United States/USA, 26.03. (Details)
  Rudloff, Birgit. 2013. Time consistency of dynamic risk measures in markets with transaction costs. Probability/Mathematical Finance Seminar, Carnegie Mellon University, Pittsburgh, United States/USA, 25.03. (Details)
  Rudloff, Birgit. 2013. Time consistency of risk measures in markets with transaction costs. ICSP 2013 - Internat. Conference on Stochastic Programming, Bergamo, Italy, 08.07.-12.07. (Details)
2012 Szölgyenyi, Michaela. 2012. Bayesian Dividend Maximization and Finite Time Ruin Probabilities. 1st Austrian Stochastics Days, Linz, Österreich, 24.09. (Details)
  Rudloff, Birgit. 2012. Märkte mit Transaktionskosten: dynamische Risikomaße und Preisschranken. Seminar at Philipps-University Marburg, Marburg, Germany, 29.11.2012. (Details)
  Rudloff, Birgit. 2012. Multivariate Risks. Seminar at Technical University Dresden, Dresden, Germany, 24.10.2013. (Details)
  Rudloff, Birgit. 2012. Set-valued Dynamic Risk Measures in Markets with Transaction Costs. SIAM Conference on Financial Mathematics and Engineering, Minneapolis, United States/USA, July 2012. (Details)
  Rudloff, Birgit. 2012. Superhedging and risk measures under transaction costs. Research presentation at Bloomberg, New York City, Vereinigte Staaten/USA, 18.10.2012. (Details)
  Rudloff, Birgit. 2012. Superhedging and risk measures under transaction costs. Sixth Bachelier Colloquium, Metabief, France, 15-22.01.2012. Invited Talk (Details)
  Rudloff, Birgit. 2012. Superhedging in markets with transaction costs. Joint Mathematics Meeting/AMS Meeting, Boston, United States/USA, 04.01.2012. Invited Talk (Details)
  Rudloff, Birgit. 2012. Superhedging under transaction costs. Conference Set Optimization meets Finance, Lutherstadt Wittenberg, Germany, 08.2012. (Details)
  Rudloff, Birgit. 2012. Time Consistency and Calculation of Risk Measures in Markets with Transaction Costs. Probability, Control and Finance: A Conference in Honor of the 60th Birthday of Ioannis Karatzas, Columbia University, NYC, United States/USA, 05.06.2012. Invited Talk (Details)
2011 Rudloff, Birgit. 2011. An Algorithm for Calculating the Set of Superhedging Portfolios and Strategies in Markets with Transaction Costs. 7th Princeton-Cambridge Conference, Princeton, Vereinigte Staaten/USA, July 2011. (Details)
  Rudloff, Birgit. 2011. An Algorithm to Calculate Dynamic Coherent Risk Measures in Markets with Transaction Costs. 3rd Humboldt-Princeton Conference, Berlin, Deutschland, October 2011. Invited Talk (Details)
  Rudloff, Birgit. 2011. Calculation of Risk measures in markets with transaction costs. 35th SIAM Southeastern Atlantic Section Conference, University of North Carolina at Charlotte, United States/USA, March 2011. Invited Talk (Details)
  Rudloff, Birgit. 2011. Calculation of superhedging prices and risk measures in markets with transaction costs. Research Seminar at Humboldt University, Berlin, Deutschland, July 2011. (Details)
  Rudloff, Birgit. 2011. Superhedging and portfolio optimization in markets with transaction costs. INFORMS, Charlotte, United States/USA, 15.11.2011. Invited Talk (Details)
  Rudloff, Birgit. 2011. Superhedging in markets with transaction costs. Mathematical Finance and PDE’s Conference, Rutgers University, New Brunswick, United States/USA, 04.11.2011. (Details)
2010 Rudloff, Birgit. 2010. Hedging and Risk Measurement under Proportional Transaction Costs. University of Michigan, Financial Mathematics Seminar, Michigan, Vereinigte Staaten/USA, 01.04.2010. (Details)
  Rudloff, Birgit. 2010. Hedging and Risk Measurement under Proportional Transaction Costs. Fields Institute: Thematic Program on Quantitative Finance, Workshop on Computational Methods in Finance, Toronto, Kanada, 22.03.2010. Invited Talk (Details)
  Rudloff, Birgit. 2010. Risikomaße und Hedging. Mathematical Finance Seminar, Technical University Munich, Munich, Germany, 09.02.2010. (Details)
  Rudloff, Birgit. 2010. Risk measures for multivariate random variables in markets with transaction costs. Analysis, Stochastics, and Applications Conference, Vienna, Österreich, 15.07.2010. (Details)
  Rudloff, Birgit. 2010. Risk measures for multivariate variables in markets with random solvency cones. AMS Spring Eastern Sectional Meeting, Newark, United States/USA, 22.05.2010. (Details)
  Rudloff, Birgit. 2010. Risk measures in a multiasset model with transaction costs. 6th Oxford-Princeton Workshop, Oxford, United Kingdom, 08.10.2010. Invited Talk (Details)
  Rudloff, Birgit. 2010. Risk measures in a multiasset model with transaction costs. INFORMS, Austin, Texas, Vereinigte Staaten/USA, 07.11.2010. Invited Talk (Details)
  Rudloff, Birgit. 2010. Risk measures in a multiasset model with transaction costs. Boston University, Statistics and Probability Seminar, Boston, United States/USA, 19.10.2010. (Details)
2009 Rudloff, Birgit. 2009. Dualitätsmethoden in der Finanzmathematik. Mathematical Finance Seminar, University of Würzburg, Würzburg, Germany, 19.03.2009. (Details)
  Rudloff, Birgit. 2009. Hedging under Proportional Transaction Costs. SPA Berlin 2009: 33rd Conference on Stochastic Processes and Their Applications, Berlin, Deutschland, July 2009. (Details)
  Rudloff, Birgit. 2009. Hedging under Proportional Transaction Costs. VIII Brazilian Workshop on Continuous Optimization, Rio de Janeiro, Brazil, July 2009. (Details)
  Rudloff, Birgit. 2009. Hedging under Proportional Transaction Costs. 2nd Princeton-Humboldt Conference, Princeton, Vereinigte Staaten/USA, 31.10.2009. (Details)
  Rudloff, Birgit. 2009. Optimal Investment Strategies Under Bounded Risk. University of Toronto, Seminar of Actuarial Science and Mathematical Finance, Toronto, Canada, 17.04.2009. (Details)
  Rudloff, Birgit. 2009. Portfolio Optimization Under Bounded Risk. IMPA, Mathematical Economics Seminar, Rio de Janeiro, Brasilien, 21.06.2010. (Details)
  Rudloff, Birgit. 2009. Utility Maximization under Risk Constraints. oint Mathematics Meeting/AMS Meeting, Washington, D.C. Vereinigte Staaten/USA, 07.01.2009. (Details)
2008 Rudloff, Birgit. 2008. Convex Hedging in Incomplete Markets and its connection to testing hypotheses. Rutgers University, Mathematical Finance and Probability Seminar, New Brunswick, United States/USA, 02.12.2008. (Details)
  Rudloff, Birgit. 2008. Convex Hedging in Incomplete Markets and the Neyman-Pearson Lemma. University of Montreal, Seminar of Actuarial and Financial Mathematics, Montreal, Canada, 18.04.2008. (Details)
  Rudloff, Birgit. 2008. Optimal Investment Strategies Under Bounded Risk. Second SIAM Conference on Financial Mathematics and Engineering, New Brunswick, United States/USA, 22.11.2008. (Details)
  Rudloff, Birgit. 2008. Research presentation. Seminar, Princeton University, Princeton, United States/USA, 05.11.2008. (Details)
  Rudloff, Birgit. 2008. Utility Maximization under Bounded Risk. 4th Cambridge - Princeton Conference, Cambridge, United Kingdom, 19.08.2008. Invited Talk (Details)
2007 Rudloff, Birgit. 2007. A Generalized Neyman-Pearson Lemma and its Connection with Hedging in Incomplete Markets. Columbia University, Probability Seminar, New York City, United States/USA, 14.12.2007. (Details)
  Rudloff, Birgit. 2007. Convex Hedging in incomplete markets. Oxford - Princeton Workshop on Financial Mathematics, Oxford, United Kingdom, 18.05.2007. (Details)
  Rudloff, Birgit. 2007. Convex Hedging in incomplete markets. University of Texas at Austin, Mathematical Finance Seminar, Austin, United States/USA, 27.04.2007. (Details)
  Rudloff, Birgit. 2007. Convex Hedging in incomplete markets. Cornell University, Financial Engineering Seminar, Cornell, United States/USA, 04.05.2007. (Details)
  Rudloff, Birgit. 2007. Convex Hedging in incomplete markets. Princeton University, Stochastic Analysis Seminar, Princeton, United States/USA, 21.02.2007. (Details)
  Rudloff, Birgit. 2007. Convex Hedging in incomplete markets. 1st Humboldt - Princeton Conference, Berlin, Deutschland, 28.10.2007. (Details)
  Rudloff, Birgit. 2007. Convex Hedging in incomplete markets. Boston University, Stochastics and Finance Seminar, Boston, United States/USA, 05.07.2007. (Details)
  Rudloff, Birgit. 2007. Convex Hedging in incomplete markets. AMaMeF Advanced Mathematical Methods for Finance Conference, Vienna, Österreich, 19.09.2007. (Details)
2006 Rudloff, Birgit. 2006. Convex Hedging in Incomplete Markets and Generalizations. ICAM2006 International Congress on the Applications of Mathematics, Santiago de Chile, Chile, 16.03.2006. (Details)
  Rudloff, Birgit. 2006. Convex Hedging in Incomplete Markets and Generalizations. Princeton University, ORFE Colloquia, Princeton, United States/USA, 12.04.2006. (Details)
  Rudloff, Birgit. 2006. Convex Hedging in Incomplete Markets and Generalizations. IMPA, Mathematical Economics Seminar, Rio de Janeiro, Brasilien, 11.01.2006. (Details)
2005 Rudloff, Birgit. 2005. Coherent Hedging in incomplete markets. IMPA, Finance Seminar, Rio de Janeiro, Brazil, 11.03.2005. (Details)
  Rudloff, Birgit. 2005. Convex Hedging and Generalizations. Martin-Luther-University Halle-Wittenberg, Research Seminar, Halle, Deutschland, 10.11.2005. (Details)
  Rudloff, Birgit. 2005. Convex Hedging in incomplete markets. Second Brazilian Conference on Statistical Modelling in Insurance and Finance, Maresias, Brazil, 02.09.2005. (Details)
  Rudloff, Birgit. 2005. Convex Hedging in incomplete markets. ETH Zurich, Research Colloquium, Zurich, Switzerland, November 2005. (Details)
  Rudloff, Birgit. 2005. Convex Hedging in Incomplete Markets and Generalizations. Vienna University of Technology, Financial and Actuarial Mathematics Seminar, Vienna, Austria, 15.11.2005. (Details)
  Rudloff, Birgit. 2005. Convex Hedging in Incomplete Markets and Generalizations. University of São Paulo, Financial Mathematics Seminar, São Paulo, Brazil, 09.09.2005. (Details)
  Rudloff, Birgit. 2005. Kohärentes und Konvexes Hedging. MLU Halle-Wittenberg, Research Seminar, Halle, Germany, 02.06.2005. (Details)
2004 Rudloff, Birgit. 2004. Hedgefehlerminimierung mittels kohärenter Risikomaße und Konvexer Analysis. MLU Halle-Wittenberg, Research Seminar, Halle, Germany, 15.04.2004. (Details)
  Rudloff, Birgit. 2004. Kohärentes Hedging in unvollständig Finanzmärkten. Workshop on Stochastic Analysis, Klingenthal, Germany, 27-29.09.2004. (Details)
  Rudloff, Birgit. 2004. Kohärentes Hedging in unvollständig Finanzmärkten. MLU Halle-Wittenberg, Research Seminar, Halle, Germany, 11.11.2004. (Details)
  Rudloff, Birgit. 2004. Kohärentes Hedging in unvollständig Finanzmärkten. German Mathematical Society (DMV) Conference, Heidelberg, Germany, 14.09.2004. (Details)

Poster presented at an academic conference or symposium

2017 Eksi-Altay, Zehra, Altay, Suhan, Colaneri, Katia. 2017. Pairs Trading under Regime Switching and Risk Penalization. QFW 2017, Milano, Italy, 25.01-27.01. (Details)
2016 Szölgyenyi, Michaela. 2016. A strong order 1/2 method for SDEs with discontinuous drift and degenerate diffusion. International Conference on Monte Carlo Techniques, Paris, Frankreich, 05.07.-08.05. (Details)
2013 Szölgyenyi, Michaela. 2013. Bayesian Dividend Maximization and Finite Time Ruin Probabilities. Conference on Current Topics in Mathematical Finance, Wien, Österreich, 18.04. (Details)
  Szölgyenyi, Michaela. 2013. Dividend Maximization and Finite Time Ruin Probabilities in a Bayesian Setup. Actuarial and Financial Mathematics Conference 2013, Brüssel, Belgien, 07.02. (Details)

Working/discussion paper, preprint

2019 Rudloff, Birgit, Ulus, Firdevs. 2019. Certainty Equivalent and Utility Indifference Pricing for Incomplete Preferences via Convex Vector Optimization. (Details)
2018 Feinstein, Zachary, Rudloff, Birgit. 2018. Scalar multivariate risk measures with a single eligible asset. (Details)
  Feinstein, Zachary, Rudloff, Birgit. 2018. Time consistency for scalar multivariate risk measures. (Details)
  Kovacova, Gabriela, Rudloff, Birgit. 2018. Time consistency of the mean-risk problem. (Details)
2016 Ararat, Çagin and Rudloff, Birgit. 2016. Dual representations for systemic risk measures. (Details)
  Colaneri, Katia, Eksi-Altay, Zehra, Frey, Rüdiger, Szölgyenyi, Michaela. 2016. Optimal liquidation under partial information with price impact. (Details)

Lecture notes/article in lecture notes

2007 Strasser, Helmut. 2007. Introduction to Probability Theory and Stochastic Processes. 2. Auflage Wien: Eigenverlag (Vienna Graduate School of Finance). (Details)

Habilitation

2017 Eksi-Altay, Zehra. 2017. Continuous-time Partial Information Models in Finance: Inference and Applications. Habilitationsschrift, WU Vienna University of Economics and Business. (Details)
2016 Rudloff, Birgit. 2016. Multivariate Risks. Habilitationsschrift, Vienna University of Economics and Business. (Details)

Dissertation

2015 Szölgyenyi, Michaela. 2015. Dividend maximization in hidden Markov models and analysis of associated stochastic differential equations. Dissertation, Johannes Kepler Univesität Linz. (Details)
2006 Rudloff, Birgit. 2006. Hedging in Incomplete Markets and Testing Compound Hypotheses via Convex Duality. Dissertation, Martin-Luther-University Halle-Wittenberg. (Details)

Master thesis

2015 Szölgyenyi, Michaela. 2015. Optimal control of an energy storage facility in a hidden Markov model. Masterarbeit, JKU Linz. (Details)
2011 Szölgyenyi, Michaela. 2011. Performance analysis of certain put-write strategies with different methods. Masterarbeit, JKU Linz. (Details)

Diploma thesis

2002 Rudloff, Birgit. 2002. Valuation of Default Correlations and Application to Pricing synthetic CDO's. Diplomarbeit, Martin-Luther-University Halle-Wittenberg. (Details)

Unpublished lecture

2018 Cuchiero, Christa. 2018. Rough affine covariance models. London Mathematical Finance Seminar Series, London, 08.11.18 (Details)
  Cuchiero, Christa. 2018. Infinite dimensional polynomial processes. Probability Seminar at Korteweg-de Vries Institute for Mathematics, Amsterdam, 25.06.18 (Details)
  Cuchiero, Christa. 2018. High and Infinite Dimensional Finance in the Light of Affine and Polynomial Processes. Probability and Computational Finance Seminars, Carengie Mellone University, Pittsburgh, 29.01.18 (Details)
2017 Cuchiero, Christa. 2017. (Probability) measure-valued polynomial diffusions. de Finetti Risk Seminars, Università degli Studi di Milano, 21.12.17 (Details)
  Cuchiero, Christa. 2017. Markovian representations of stochastic Volterra equations. Bachelier Seminar, Paris, 08.12.17 (Details)
  Frey, Rüdiger. 2017. Summer School "Quantitative Risk Management" (August 21 to August 24, 2017) organized by the Centre des Recherches Mathematiques and Mc Gill University, Montréal as part of the thematic semester "Risk in Complex Systems" Summer School "Quantitative Risk Management" Montréal, Canada, 21.08. (Details)
  Cuchiero, Christa. 2017. (Probability) measure-valued polynomial diffusions. Seminari di Finanza Quantitativa, Pisa, 29.06.17 (Details)
  Szölgyenyi, Michaela. 2017. Numerical methods for SDEs in financial and insurance mathematics. Hearing for Associate Professor position, TU Graz, Austria, 26.06. (Details)
  Szölgyenyi, Michaela. 2017. Utility indifference pricing of catastrophe derivatives in a PDMP model. Brown Bag Seminar of the Institute of Statistics and Mathematics, Wien, Österreich, 03.05. (Details)
  Cuchiero, Christa. 2017. Modelfree portfolio optimization in the long run. Mathematical and Computational Finance Seminar, University of Oxford, 09.03.17 (Details)
  Szölgyenyi, Michaela. 2017. Convergence of numerical methods for SDEs with applications in insurance mathematics. Job talk, ETH Zürich, Switzerland, 18.01. (Details)
  Szölgyenyi, Michaela. 2017. A numerical method for SDEs appearing in insurance and financial mathematics. Brown Bag Seminar of the Institute of Statistics and Mathematics, Wien, Österreich, 11.01. (Details)
2016 Cuchiero, Christa. 2016. Cover's Universal Portfolio, Stochastic Portfolio Theory. Finance and Stochastics Seminar, Imperial College, 07.12.16 (Details)
  Frey, Rüdiger. 2016. - 29th International Summer School of the Swiss Association of Actuaries on Quantitative Risk Management, University of Lausanne, 15.-19.8.2016 (Lecturer, with Alex McNeil, Paul Embrechts and Marius Hofert), Lausanne, Switzerland, 15.08. (Details)
  Szölgyenyi, Michaela. 2016. The first numerical method for multidimensional SDEs with discontinuous drift. Brown Bag Seminar of the Institute of Statistics and Mathematics, Wien, Österreich, 20.04. (Details)
2015 Szölgyenyi, Michaela. 2015. Energy storage optimization under partial information. Brown Bag Seminar of the Institute of Statistics and Mathematics, Wien, Österreich, 01.10. (Details)
  Frey, Rüdiger. 2015. Book launch: "Quantitative Risk Management" (Revised Edition), with Alexander McNeil and Paul Embrechts. Quantitative Risk Management Workshop and Book Launch, WU Wien, Wien, 10.06. (Details)
  Szölgyenyi, Michaela. 2015. Stochastic differential equations in stochastic optimization. Brown Bag Seminar of the Institute of Statistics and Mathematics, Wien, Österreich, 01.05. (Details)
2014 Szölgyenyi, Michaela. 2014. On maximizing dividends and solving related SDEs. Research Seminar, Cottbus, Deutschland, 30.10. (Details)
  Szölgyenyi, Michaela. 2014. On stochastic differential equations appearing in risk theory. Seminar des Instituts für Finanzmathematik, Linz, Österreich, 01.10. (Details)
  Szölgyenyi, Michaela. 2014. Dividend maximization under incomplete information and associated SDEs. Research Seminar, Lausanne, Schweiz, 09.05. (Details)
  Szölgyenyi, Michaela. 2014. On the existence of solutions of a class of SDEs with discontinuous drift and singular diffusion. Seminar des Instituts für Stochastik, Linz, Österreich, 01.01. (Details)
2013 Szölgyenyi, Michaela. 2013. Bayesian dividend maximization and associated SDEs. Vienna Seminar in Mathematical Finance and Probability, Wien, Österreich, 14.11. (Details)
2012 Szölgyenyi, Michaela. 2012. Bayesian dividend maximization. Seminar des Instituts für Finanzmathematik, Linz, Österreich, 01.11. (Details)
  Szölgyenyi, Michaela. 2012. Dividend optimization - literature overview and problem formulation. Seminar des Instituts für Finanzmathematik, Linz, Österreich, 01.02. (Details)
2011 Szölgyenyi, Michaela. 2011. Regime Switching and Hidden Markov Models. Seminar des Instituts für Aktuarwissenschaften, Lausanne, Schweiz, 11.11. (Details)

Miscellaneous

2017 Frey, Rüdiger. 2017. Panelist, panel discussion "Ultra-low interest rates in insurance business" at Conference Insurance, Mathematics and Economics, TU Wien, July 2017. (Details)
2016 Frey, Rüdiger. 2016. Modul Marktrisiko im Universitätslehrgang Finanzmarktaufsicht 15/17. Executive Academy, WU Wien (10. und 11.10.2016) . (Details)

Projects

2000
Boundary Crossing Probability (2000-2010) (Details)
1996
Robustness of PLS for estimating latent structure models (1996-1998) (Details)
1990
Quantization (1990-2010) (Details)
1980
Mathematical foundations of asymptotic statistics (Details)
  • Böhm, Walter (Details)
  • Cuchiero, Christa (Details)
  • Eksi-Altay, Zehra (Details)
  • Frey, Rüdiger (Details)
  • Gazzani, Guido (Details)
  • Gür, Sercan (Former researcher)
  • Katzenbeisser, Walter (Former researcher)
  • Löcker, Florian (Former researcher)
  • Pötzelberger, Klaus (Details)
  • Rudloff, Birgit (Details)
  • Strasser, Helmut (Details)
  • Szölgyenyi, Michaela (Former researcher)
  • Tirler, Günter (Former researcher)