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2021
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Rudloff, Birgit. 2021. A Set-Valued Bellman Principle. INFORMS, Anaheim, CA (via Zoom), Vereinigte Staaten/USA, 26. October 2021.
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Rudloff, Birgit. 2021. A Set-Valued Bellman Principle. SIAM Conference on Financial Mathematics and Engineering, online, Vereinigte Staaten/USA, 04. Juni 2021.
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Rudloff, Birgit. 2021. Epic Math Battles: Nash vs Pareto. PhD Label Workshop, Gumpoldskirchen, Österreich, 15. September 2021.
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Rudloff, Birgit. 2021. Epic Math Battles: Nash vs Pareto. LSE Joint Risk and Stochastics and Financial Mathematics Seminar, London (online), Vereinigtes Königreich von Großbrit. u. Nordirland, 07. October 2021.
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Rudloff, Birgit. 2021. Multivariate Dynamic Programming: from dynamic Nash games to the Mean-Risk problem. Vienna Seminar in Mathematical Finance and Probability, Vienna, Österreich, 25. March 2021.
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Rudloff, Birgit. 2021. Set-valued optimization. VGSCO Seminar, Wien, Österreich, 04. Mai 2021.
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Rudloff, Birgit. 2021. Time consistency of the mean-risk-problem A Set-Valued Bellman Principle. German Probability and Statistics Days, Mannheim (online), Deutschland, 01. October 2021. Invited Talk
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2020
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Rudloff, Birgit. 2020. Multivariate Dynamic Programming: from the Mean-Risk Problem to dynamic Nash games. Recent Advances in Multi-Objective Optimization Workshop, Linz (online), Österreich, 17.09.2020. Invited Talk
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Rudloff, Birgit. 2020. Multivariate Dynamic Programming: from the Mean-Risk Problem to Dynamic Nash Games. ERÖFFNUNGSKOLLOQUIUM doc.funds doctoral school Modeling – Analysis – Optimization of discrete, continuous, and stochastic systems, University Klagenfurt, Österreich, 27.10.2020. Invited Talk
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2019
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Frey, Rüdiger, Kurt, Kevin, Damian, Camilla. 2019. Conditionally affine processes with Markov modulated mean reversion and applications in credit risk. QMF 2019 - Quantitative Methods in Finance 2019 Conference, University of Technology, Sydney, Australien, 17.12.-20.12. Invited Talk
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Frey, Rüdiger. 2019. Dynamic hedging of reinsurance counterparty risk and classical solutions of IPDEs. 12th International Workshop on Stochastic Models and Control, Cottbus, Deutschland, 19.03.-22-03. Invited Talk
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Rudloff, Birgit. 2019. Dynamic Multivariate Programming. SIAM Conference on Financial Mathematics & Engineering, Toronto, Kanada, 05.06.2019.
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Rudloff, Birgit. 2019. Dynamic Multivariate Programming. Seminar University of Vienna, Wien, Österreich, 14.06.2019.
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Rudloff, Birgit. 2019. Dynamic Multivariate Programming. Set Optimization for Applications, Jena, Deutschland, Febr. 11-15.
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Eksi-Altay, Zehra. 2019. Momentum and mean reversion under partial information. Vienna Congress on Mathematical Finance, Vienna, Austria, 09.09.-11.09.
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Rudloff, Birgit. 2019. Multivariate dynamic programming: from the Mean-Risk Problem to dynamic Nash games. Tag der Mathematik OeMG, TU Graz, Österreich, 22.11.2019. Invited Talk
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Rudloff, Birgit. 2019. time consistency on the mean-risk asset allocation problem. QuantMinds International, Wien, Österreich, 14.05.2019.
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Frey, Rüdiger, Köck, Verena. 2019. Value adjustments and dynamic hedging of reinsurance counterparty risk. UNSW-Macquarie University workshop “Risk: Modelling, Optimisation and Inference" Sydney, Australien, 12.12.-13.12. Invited Talk
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2018
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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
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Cuchiero, Christa. 2018. Calibration of financial models using neural networks. DEM Workshop in Financial Mathematics, Verona, Italien, 31.10. Invited Talk
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Rudloff, Birgit. 2018. Dynamic Multivariate Programming. Vienna Workshop of Computational Optimization, Vienna, Österreich, 17-19 of December 2018.
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Cuchiero, Christa. 2018. Infinite dimensional polynomial processes. 9th International Workshop on applied Probability, Budapest, Ungarn, 18.06.-21.06.
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Cuchiero, Christa. 2018. Infinite dimensional polynomial processes. Mathematical finance workshop, Connecticut, Vereinigte Staaten/USA, 13.10.
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Cuchiero, Christa. 2018. Infinite dimensional polynomial processes. • Workshop on Stochastic Modelling and Financial Applications, Verona, Italien, 01.06.-02.06. Invited Talk
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Cuchiero, Christa. 2018. Infinite dimensional polynomial processes. Advanced Methods in Mathematical Finance, Angers, Frankreich, 28.08.-31.08.
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Cuchiero, Christa. 2018. Infinite dimensional polynomial processes. Innovative Research in Mathematical Finance in Honor of Yuri Kabanov, Zürich, Schweiz, 07.09. Invited Talk
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Cuchiero, Christa. 2018. Markovian representations of stochastic Volterra equations. Stochastic Analysis and its Applications, Banff, Oaxaca, Kanada, 13.05.-18.05.
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Cuchiero, Christa. 2018. Markovian representations of stochastic Volterra equations. Mini-Workshop on high-dimensional BSDEs and PDEs, Essen, Deutschland, 24.05.-25.05.
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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
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Eksi-Altay, Zehra, Altay, Sühan, Colaneri, Katia. 2018. Pairs Trading under Drift Uncertainty and Risk Penalization. DSF-R 2018, Vienna, Austria, 13.09.2018.
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Cuchiero, Christa. 2018. Rough covariance modeling - theory and empirics. Quantitative Methods in Finance, Sydney, Australien, 11.12.-14.12. Invited Talk
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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
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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.
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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
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Rudloff, Birgit. 2018. Time consistency of the mean-risk problem. LMU Mathematics Institute, Oberseminar Finanz- und Versicherungsmathematik, Munich, Deutschland, 02.07.2018.
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Rudloff, Birgit. 2018. Time consistency of the mean-risk problem. Bachelier Finance Society 10th world congress, Dublin, Irland, 16.-20. July 2018.
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Rudloff, Birgit. 2018. Time consistency of the mean-risk problem. IWAP 9TH INTERNATIONAL WORKSHOP ON APPLIED PROBABILITY, Budapest, Ungarn, 18-21.06.2018.
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2017
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Cuchiero, Christa. 2017. (Probability) measure-valued polynomial diffusions. • Mathematical Finance Workshop, Paris-Diderot, Frankreich, 07.12.
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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
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Cuchiero, Christa. 2017. (Probability) measure-valued polynomial diffusions. 8th General AMaMeF Conference, Amsterdam, Netherlands, 19.06-23.06. Invited Talk
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Szölgyenyi, Michaela. 2017. Convergence of Euler-Maruyama for SDEs in stochastic control. Stochastic Models and Control 2017, Trier, Deutschland, 22.03.-24.03.
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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.
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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.
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Rudloff, Birgit. 2017. Dynamic programming for multivariate problems involving risk measures. VGSCO Colloquium, Wien, Österreich, 06.12.2017.
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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
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Rudloff, Birgit. 2017. Dynamic programming for multivariate problems involving risk measures. Risk and Stochastics Conference, LSE, United Kingdom, 20-21.04.2017. Invited Talk
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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
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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.
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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.
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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.
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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.
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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
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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
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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
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Pötzelberger, Klaus. 2017. Local Alternatives of Signal Detection Tests. CFE-CM Statistics 2017, London, Großbritannien, 16.12.-18.12.
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Rudloff, Birgit. 2017. Mengen- und Vektoroptimierung in der Finanzmathematik. Women in Optimization, Trier, Germany, 20-22.03.2017. Invited Talk
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Cuchiero, Christa. 2017. Non-linear (PI)DEs and affine processes. International Workshop on BSDEs, SPDEs and their Applications, Edinburgh, Großbritannien, 03.07.-07.07.
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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
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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
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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.
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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.
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Cuchiero, Christa. 2017. Rough volatility modeling from an affine point of view. • Stochastic analysis and modeling conference, Verona, Italien, 18.12. Invited Talk
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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.
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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.
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2016
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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.
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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.
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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.
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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.
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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.
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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.
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Rudloff, Birgit. 2016. Measures of Systemic Risk. Joint Mathematics Meeting, Seattle, United States/USA, 06.-09.01. Invited Talk
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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
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Rudloff, Birgit. 2016. Multivariate Risks. Scientific Day of the German Actuarial Society, Bremen, Germany, 29.04.2016. Invited Talk
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Rudloff, Birgit. 2016. Multivariate Risks. Conference "Robust Finance and Beyond" ZiF, Bielefeld, Germany, 30.05-03.06. 2016. Invited Talk
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Rudloff, Birgit. 2016. Multivariate Risks and its connection to set- and vector optimization. Workshop Set Optimization for Applications, Vienna, Österreich, 19-23.09.2016.
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Szölgyenyi, Michaela. 2016. Numerics for controlled processes. German Probability and Statistics Days, Bochum, Deutschland, 01.03.-04.03.
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Szölgyenyi, Michaela. 2016. Numerics for multidimensional SDEs with discontinuous drift. Austrian Stochastics Days, Graz, Österreich, 30.06.-01.07.
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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, .
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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, .
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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.
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Pötzelberger, Klaus. 2016. Properties of estimators of the quantization dimension of distributions. CFE-CM Statistics 2016, Sevilla, Spanien, 9.12.-11.12.
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Pötzelberger, Klaus. 2016. Properties of Estimators of the Quantization Dimension of Distributions. CFE-CMStatistics, Sevilla, Spanien, 09.12.-12.12.
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Pötzelberger, Klaus. 2016. Properties of estimators of the quantization dimension of distributions. CFE-CM Statistics 2016, Sevilla, Spanien, 9.12.-11.12.
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Rudloff, Birgit. 2016. Set-valued Risk Measures. Workshop Random Sets in Action, Bern, Switzerland, June 8-10, 2016. Invited Talk
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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
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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.
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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.
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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
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Rudloff, Birgit. 2016. Systemic Risk. Seminar JKU Linz, Linz, Austria, June 21, 2016. Invited Talk
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2015
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Szölgyenyi, Michaela. 2015. Solving SDEs with discontinuous drift. Tenth IMACS Seminar on Monte Carlo Methods, Linz, Österreich, 06.07.-10.07..
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Frey, Rüdiger. 2015. Book launch: "Quantitative Risk Management" (Revised Edition), with Alexander McNeil and Paul Embrechts. ETH Risk Day 2015, Zürich, Schweiz, 11.09.
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Pötzelberger, Klaus. 2015. Consistency of estimators of dimension. 9th CEF 2015, London, Großbritannien, 11. - 14. 12. 2015.
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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.
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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
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Pötzelberger, Klaus. 2015. Estimating the dimension of probability distributions. WSC 2015, Rio de Janeiro, Brasilien, 26. - 31. 07. 2015.
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(Details) |
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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
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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
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Feinstein, Zachary, Rudloff, Birgit, Weber, Stefan. 2015. Measures of systemic risk. Seminar at Department of Mathematics, Politecnico di Milano, Italy, 15.07.
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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.
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Rudloff, Birgit. 2015. Multivariate Risiken. Research Seminar at Brandenburgische Technische Universität Cottbus, Cottbus, Germany, 17.01.2015.
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Rudloff, Birgit. 2015. Multivariate Risiken. Research Seminar Otto-von-Guericke-Universität Magdeburg, Magdeburg, Germany, 23.01.2015.
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Rudloff, Birgit. 2015. Multivariate Risks. Research Seminar at Vienna University of Economics and Business, Vienna, Austria, 21.01.2015.
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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
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Feinstein, Zachary, Rudloff, Birgit, Weber, Stefan. 2015. Systemic risk. Bozen-Bolzano Risk School, Bolzano, Italy, 22.-23.09. Invited Talk
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Rudloff, Birgit, Feinstein, Zachary, Weber, Stefan. 2015. Systemic risk. PhD Seminar, WU Wien, Austria, 07.10.
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Feinstein, Zachary, Rudloff, Birgit, Weber, Stefan. 2015. Systemic risk and beyond: scalar versus multivariate approaches. ISOR colloquium, University of Vienna, Austria, 30.11.
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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
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Rudloff, Birgit, Ulus, Firdevs, Vanderbei, Robert. 2015. Vector Optimization. PhD Seminar, WU Wien, Austria, 21.10.
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2014
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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.
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(Details) |
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Szölgyenyi, Michaela. 2014. Dividend maximization under Markov switching. Third Austrian Stochastics Days, Leoben, Österreich, 24.09.
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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.
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Szölgyenyi, Michaela. 2014. Maximizing dividend payouts in hidden Markov models. Doktorandentreffen Stochastik 2014, Halle (Saale), Deutschland, 07.08.
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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
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Rudloff, Birgit. 2014. Measures of Systemic Risk. Seminar at Collegio Carlo Alberto, Torino, Italy, 05.11.-07.11.
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Rudloff, Birgit. 2014. Measures of systemic risk. CEQURA Conference on Advances in Financial & Insurance Risk Management, Munich, Germany, 01.10.-02.10.
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Feinstein, Zachary, Rudloff, Birgit, Weber, Stefan. 2014. Measures of systemic risk. Conference "Set Optimization meets Finance" Free University of Bolzano, Italy, 08.-12.09.
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(Details) |
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Feinstein, Zachary, Rudloff, Birgit, Weber, Stefan. 2014. Measures of systemic risk. 10th Princeton-Cambridge Conference, Cambridge University, Großbritannien, 26.-27.09. Invited Talk
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(Details) |
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Rudloff, Birgit. 2014. Multivariate Risks. Seminar at University Kassel, Kassel, Germany, 06.06.2014.
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Rudloff, Birgit. 2014. Multivariate Risks. Seminar at Hausdorff Center for Mathematics, University of Bonn, Bonn, Germany, 27.11.2014.
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Rudloff, Birgit. 2014. Multivariate Risks. Seminar at University Siegen, Siegen, Germany, 02.09.2014.
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Szölgyenyi, Michaela. 2014. On dividend maximization in hidden Markov models. 2nd European Actuarial Journal (EAJ) Conference 2014, Wien, Österreich, 10.09.
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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
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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.
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2013
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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.
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Szölgyenyi, Michaela. 2013. Dividend Maximization and Ruin Probabilities under Incomplete Information. The 17th International Congress on Insurance: Mathematics and Economics, Kopenhagen, Dänemark, 02.07.
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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.
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Rudloff, Birgit. 2013. Dynamic risk measures in markets with transaction costs. Seventh Bachelier Colloquium, Metabief, France, 13.01.-20.01.
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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.
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Rudloff, Birgit. 2013. Multivariate Risiken: illiquide Märkte und systemisches Risiko. Seminar at Goethe University, Frankfurt, Deutschland, 27.06.2013.
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Rudloff, Birgit. 2013. Multivariate Risks. Seminar at Technical University Chemnitz, Chemnitz, Germany, 28.10.2013.
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Rudloff, Birgit. 2013. Multivariate risks: illiquid markets and systemic risk. Seminar at Stevens Institute of Technology, Hoboken, United States/USA, 12.12.2013.
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Rudloff, Birgit. 2013. Risk measures. guest lecture at RTG Summer School in Financial Mathematics, Princeton University, Princeton, United States/USA, 17.06.-28.06.
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Rudloff, Birgit. 2013. Risk measures for multivariate risks. Seminar at the Department of Mathematics, University of Trento, Trento, Italy, 04.07.
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Rudloff, Birgit. 2013. Risk measures for multivariate risks. Seminar at University of Verona, Verona, Italy, 03.07.
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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.
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Rudloff, Birgit. 2013. Superhedging and risk measures under transaction costs. Financial Mathematics Seminar, University of Pittsburgh, Pittsburgh, United States/USA, 26.03.
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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.
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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.
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2012
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Szölgyenyi, Michaela. 2012. Bayesian Dividend Maximization and Finite Time Ruin Probabilities. 1st Austrian Stochastics Days, Linz, Österreich, 24.09.
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Rudloff, Birgit. 2012. Märkte mit Transaktionskosten: dynamische Risikomaße und Preisschranken. Seminar at Philipps-University Marburg, Marburg, Germany, 29.11.2012.
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Rudloff, Birgit. 2012. Multivariate Risks. Seminar at Technical University Dresden, Dresden, Germany, 24.10.2013.
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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.
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Rudloff, Birgit. 2012. Superhedging and risk measures under transaction costs. Research presentation at Bloomberg, New York City, Vereinigte Staaten/USA, 18.10.2012.
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Rudloff, Birgit. 2012. Superhedging and risk measures under transaction costs. Sixth Bachelier Colloquium, Metabief, France, 15-22.01.2012. Invited Talk
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Rudloff, Birgit. 2012. Superhedging in markets with transaction costs. Joint Mathematics Meeting/AMS Meeting, Boston, United States/USA, 04.01.2012. Invited Talk
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Rudloff, Birgit. 2012. Superhedging under transaction costs. Conference Set Optimization meets Finance, Lutherstadt Wittenberg, Germany, 08.2012.
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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
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2011
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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.
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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
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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
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Rudloff, Birgit. 2011. Calculation of superhedging prices and risk measures in markets with transaction costs. Research Seminar at Humboldt University, Berlin, Deutschland, July 2011.
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Rudloff, Birgit. 2011. Superhedging and portfolio optimization in markets with transaction costs. INFORMS, Charlotte, United States/USA, 15.11.2011. Invited Talk
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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.
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2010
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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
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Rudloff, Birgit. 2010. Hedging and Risk Measurement under Proportional Transaction Costs. University of Michigan, Financial Mathematics Seminar, Michigan, Vereinigte Staaten/USA, 01.04.2010.
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Rudloff, Birgit. 2010. Risikomaße und Hedging. Mathematical Finance Seminar, Technical University Munich, Munich, Germany, 09.02.2010.
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Rudloff, Birgit. 2010. Risk measures for multivariate random variables in markets with transaction costs. Analysis, Stochastics, and Applications Conference, Vienna, Österreich, 15.07.2010.
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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.
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Rudloff, Birgit. 2010. Risk measures in a multiasset model with transaction costs. INFORMS, Austin, Texas, Vereinigte Staaten/USA, 07.11.2010. Invited Talk
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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.
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Rudloff, Birgit. 2010. Risk measures in a multiasset model with transaction costs. 6th Oxford-Princeton Workshop, Oxford, United Kingdom, 08.10.2010. Invited Talk
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2009
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Rudloff, Birgit. 2009. Dualitätsmethoden in der Finanzmathematik. Mathematical Finance Seminar, University of Würzburg, Würzburg, Germany, 19.03.2009.
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Rudloff, Birgit. 2009. Hedging under Proportional Transaction Costs. SPA Berlin 2009: 33rd Conference on Stochastic Processes and Their Applications, Berlin, Deutschland, July 2009.
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Rudloff, Birgit. 2009. Hedging under Proportional Transaction Costs. 2nd Princeton-Humboldt Conference, Princeton, Vereinigte Staaten/USA, 31.10.2009.
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Rudloff, Birgit. 2009. Hedging under Proportional Transaction Costs. VIII Brazilian Workshop on Continuous Optimization, Rio de Janeiro, Brazil, July 2009.
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Rudloff, Birgit. 2009. Optimal Investment Strategies Under Bounded Risk. University of Toronto, Seminar of Actuarial Science and Mathematical Finance, Toronto, Canada, 17.04.2009.
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Rudloff, Birgit. 2009. Portfolio Optimization Under Bounded Risk. IMPA, Mathematical Economics Seminar, Rio de Janeiro, Brasilien, 21.06.2010.
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Rudloff, Birgit. 2009. Utility Maximization under Risk Constraints. oint Mathematics Meeting/AMS Meeting, Washington, D.C. Vereinigte Staaten/USA, 07.01.2009.
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2008
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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.
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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.
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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.
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Rudloff, Birgit. 2008. Research presentation. Seminar, Princeton University, Princeton, United States/USA, 05.11.2008.
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Rudloff, Birgit. 2008. Utility Maximization under Bounded Risk. 4th Cambridge - Princeton Conference, Cambridge, United Kingdom, 19.08.2008. Invited Talk
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2007
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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.
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Rudloff, Birgit. 2007. Convex Hedging in incomplete markets. Boston University, Stochastics and Finance Seminar, Boston, United States/USA, 05.07.2007.
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Rudloff, Birgit. 2007. Convex Hedging in incomplete markets. Cornell University, Financial Engineering Seminar, Cornell, United States/USA, 04.05.2007.
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Rudloff, Birgit. 2007. Convex Hedging in incomplete markets. Princeton University, Stochastic Analysis Seminar, Princeton, United States/USA, 21.02.2007.
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Rudloff, Birgit. 2007. Convex Hedging in incomplete markets. University of Texas at Austin, Mathematical Finance Seminar, Austin, United States/USA, 27.04.2007.
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Rudloff, Birgit. 2007. Convex Hedging in incomplete markets. AMaMeF Advanced Mathematical Methods for Finance Conference, Vienna, Österreich, 19.09.2007.
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Rudloff, Birgit. 2007. Convex Hedging in incomplete markets. 1st Humboldt - Princeton Conference, Berlin, Deutschland, 28.10.2007.
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Rudloff, Birgit. 2007. Convex Hedging in incomplete markets. Oxford - Princeton Workshop on Financial Mathematics, Oxford, United Kingdom, 18.05.2007.
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2006
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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.
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Rudloff, Birgit. 2006. Convex Hedging in Incomplete Markets and Generalizations. Princeton University, ORFE Colloquia, Princeton, United States/USA, 12.04.2006.
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Rudloff, Birgit. 2006. Convex Hedging in Incomplete Markets and Generalizations. IMPA, Mathematical Economics Seminar, Rio de Janeiro, Brasilien, 11.01.2006.
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2005
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Rudloff, Birgit. 2005. Coherent Hedging in incomplete markets. IMPA, Finance Seminar, Rio de Janeiro, Brazil, 11.03.2005.
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Rudloff, Birgit. 2005. Convex Hedging and Generalizations. Martin-Luther-University Halle-Wittenberg, Research Seminar, Halle, Deutschland, 10.11.2005.
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Rudloff, Birgit. 2005. Convex Hedging in incomplete markets. ETH Zurich, Research Colloquium, Zurich, Switzerland, November 2005.
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Rudloff, Birgit. 2005. Convex Hedging in incomplete markets. Second Brazilian Conference on Statistical Modelling in Insurance and Finance, Maresias, Brazil, 02.09.2005.
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Rudloff, Birgit. 2005. Convex Hedging in Incomplete Markets and Generalizations. University of São Paulo, Financial Mathematics Seminar, São Paulo, Brazil, 09.09.2005.
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Rudloff, Birgit. 2005. Convex Hedging in Incomplete Markets and Generalizations. Vienna University of Technology, Financial and Actuarial Mathematics Seminar, Vienna, Austria, 15.11.2005.
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Rudloff, Birgit. 2005. Kohärentes und Konvexes Hedging. MLU Halle-Wittenberg, Research Seminar, Halle, Germany, 02.06.2005.
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2004
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Rudloff, Birgit. 2004. Hedgefehlerminimierung mittels kohärenter Risikomaße und Konvexer Analysis. MLU Halle-Wittenberg, Research Seminar, Halle, Germany, 15.04.2004.
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Rudloff, Birgit. 2004. Kohärentes Hedging in unvollständig Finanzmärkten. Workshop on Stochastic Analysis, Klingenthal, Germany, 27-29.09.2004.
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Rudloff, Birgit. 2004. Kohärentes Hedging in unvollständig Finanzmärkten. German Mathematical Society (DMV) Conference, Heidelberg, Germany, 14.09.2004.
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Rudloff, Birgit. 2004. Kohärentes Hedging in unvollständig Finanzmärkten. MLU Halle-Wittenberg, Research Seminar, Halle, Germany, 11.11.2004.
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