Wissenschaftliche Artikel

Prokaj, V., Rásonyi, M., & Schachermayer, W. (2011). Hiding a constant drift. Annales de l’Institut Henri Poincaré, Probabilités et Statistiques, 47(2). https://doi.org/10.1214/10-aihp363 ( reposiTUm)
Gerhold, S. (2011). The Longstaff-Schwartz Algorithm for Lévy Models: Results on Fast and Slow Convergence. Annals of Applied Probability, 21(2). https://doi.org/10.1214/10-aap704 ( reposiTUm)
Beiglböck, M., & Schachermayer, W. (2011). Duality for Borel measurable cost functions. Transactions of the American Mathematical Society, 363(08), 4203–4203. https://doi.org/10.1090/s0002-9947-2011-05174-3 ( reposiTUm)
Kazianka, H., Mulyk, M., & Pilz, J. (2011). A Bayesian approach to estimating linear mixtures with unknown covariance structure. Journal of Applied Statistics, 38(9), 1801–1817. https://doi.org/10.1080/02664763.2010.529879 ( reposiTUm)
Hubalek, F., & Kuznetsov, A. (2011). A convergent series representation for the density of the supremum of a stable process. Electronic Communications in Probability, 16(none). https://doi.org/10.1214/ecp.v16-1601 ( reposiTUm)
Hubalek, F., & Posedel, P. (2011). Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models. Quantitative Finance, 11(6), 917–932. https://doi.org/10.1080/14697680903547907 ( reposiTUm)
Ekeland, I., & Schachermayer, W. (2011). Law invariant risk measures on $(R^d)$. Statistics & Risk Modeling, 28(3), 195–225. https://doi.org/10.1524/stnd.2011.1099 ( reposiTUm)
Hubalek, F., & Sgarra, C. (2011). On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps. Journal of Computational and Applied Mathematics, 235(11), 3355–3365. https://doi.org/10.1016/j.cam.2011.01.049 ( reposiTUm)
Kazianka, H., & Pilz, J. (2011). Bayesian spatial modeling and interpolation using copulas. Computers and Geosciences, 37(3), 310–319. https://doi.org/10.1016/j.cageo.2010.06.005 ( reposiTUm)
Gerhold, S. (2011). Counting Finite Languages by Total Word Length. Integers, 11(6). https://doi.org/10.1515/integ.2011.068 ( reposiTUm)
Keller-Ressel, M., Schachermayer, W., & Teichmann, J. (2011). Affine processes are regular. Probability Theory and Related Fields, 151(3–4), 591–611. https://doi.org/10.1007/s00440-010-0309-4 ( reposiTUm)
GRANDITS, P., KAINHOFER, R., & TEMNOV, G. (2010). On the impact of hidden trends for a compound Poisson model with Pareto-type claims. International Journal of Theoretical and Applied Finance, 13(06), 959–978. https://doi.org/10.1142/s0219024910006066 ( reposiTUm)
Gerhold, S., & Zeiner, M. (2010). Convergence Properties of Kemp’s q-Binomial Distribution. Sankhya A, 72(2), 331–343. https://doi.org/10.1007/s13171-010-0019-0 ( reposiTUm)
Gerhold, S., Schmock, U., & Warnung, R. (2010). A Generalization of the Panjer Recursion and Numerically Stable Risk Aggregation. Finance and Stochastics, 14(1), 81–128. https://doi.org/10.1007/s00780-009-0104-1 ( reposiTUm)
Gerhold, S. (2010). Unimodality of Two Distributions Related to the Negative Binomial Distribution. Journal of Statistical Theory and Applications, 9(1), 1–7. http://hdl.handle.net/20.500.12708/167079 ( reposiTUm)
Guasoni, P., Rásonyi, M., & Schachermayer, W. (2010). The fundamental theorem of asset pricing for continuous processes under small transaction costs. Annals of Finance, 6(2), 157–191. https://doi.org/10.1007/s10436-008-0110-x ( reposiTUm)
Grandits, P., & Temnov, G. (2010). A global consistency result for the two-dimensional Pareto distribution in the presence of mis-specified inflation. Finance and Stochastics, 14(4), 569–591. https://doi.org/10.1007/s00780-010-0126-8 ( reposiTUm)
Gerhold, S. (2010). Asymptotic Estimates for Some Number Theoretic Power Series. Acta Arithmetica, 142(2), 187–196. https://doi.org/10.4064/aa142-2-8 ( reposiTUm)
Gerhold, S., Flajolet, P., & Salvy, B. (2010). Lindelöf Representations and (Non)Holonomic Sequences. Electronic Journal of Combinatorics, 17(1), 28. http://hdl.handle.net/20.500.12708/167069 ( reposiTUm)
Kupper, M., & Schachermayer, W. (2009). Representation Results for Law Invariant Time Consistent Functions. Mathematics and Financial Economics, 2(3), 189–210. https://doi.org/10.1007/s11579-009-0019-9 ( reposiTUm)
Gerhold, S. (2009). The Shape of the Value Sets of Linear Recurrence Sequences. Journal of Integer Sequences, 12(3), 4. http://hdl.handle.net/20.500.12708/166044 ( reposiTUm)
Schachermayer, W., & Teichmann, J. (2009). Characterization of optimal Transport Plans for the Monge-Kantorovich-Problem. Proceedings of the American Mathematical Society, 137(02), 519–529. https://doi.org/10.1090/s0002-9939-08-09419-7 ( reposiTUm)
Schachermayer, W., Sîrbu, M., & Taflin, E. (2009). In which Financial Markets do Mutual Fund Theorems hold true? Finance and Stochastics, 13(1), 49–77. https://doi.org/10.1007/s00780-008-0072-x ( reposiTUm)
Rásonyi, M., Schachermayer, W., & Warnung, R. (2009). Hiding a Drift. Annals of Probability, 37(6). https://doi.org/10.1214/09-aop469 ( reposiTUm)
Klöppel, S., Reda, R., & Schachermayer, W. (2009). A rotationally invariant technique for rare event simulation. Risk Magazine, 22(10), 90–94. http://hdl.handle.net/20.500.12708/166034 ( reposiTUm)
Hubalek, F., & Sgarra, C. (2009). On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps. Stochastic Processes and Their Applications, 119(7), 2137–2157. https://doi.org/10.1016/j.spa.2008.10.005 ( reposiTUm)
Gerhold, S. (2009). Asymptotic Analysis of Some Discrete Distributions by the Saddle Point Method. Communications in Statistics - Theory and Methods, 38(2), 262–271. https://doi.org/10.1080/03610920802192489 ( reposiTUm)
Schachermayer, W., Schmock, U., & Teichmann, J. (2009). Non-monotone convergence in the quadratic Wasserstein distance. Lecture Notes in Mathematics, 131–136. https://doi.org/10.1007/978-3-642-01763-6_3 ( reposiTUm)
Beiglböck, M., Goldstern, M., Maresch, G., & Schachermayer, W. (2009). Optimal and better transport plans. Journal of Functional Analysis, 256(6), 1907–1927. https://doi.org/10.1016/j.jfa.2009.01.013 ( reposiTUm)
Gerhold, S., & Warnung, R. (2009). Finding efficient recursions for risk aggregation by computer algebra. Journal of Computational and Applied Mathematics, 223(1), 499–507. https://doi.org/10.1016/j.cam.2008.01.025 ( reposiTUm)
Shevchenko, P., & Temnov, G. (2009). Modeling operational risk data reported above a time-varying threshold. The Journal of Operational Risk, 4(2), 19–42. http://hdl.handle.net/20.500.12708/166037 ( reposiTUm)
Bell, J. P., Gerhold, S., Klazar, M., & Luca, F. (2008). Non-Holonomicity of Sequences defined via Elementary Functions. Annals of Combinatorics, 12(1), 1–16. https://doi.org/10.1007/s00026-008-0333-6 ( reposiTUm)
Barndorff-Nielsen, O. E., & Hubalek, F. (2008). Probability measures, Lévy measures and analyticity in time. Bernoulli, 14(3). https://doi.org/10.3150/07-bej6114 ( reposiTUm)
Föllmer, H., & Schachermayer, W. (2008). Asymptotic Arbitrage and Large Deviations. Mathematics and Financial Economics, 1(3–4), 213–249. https://doi.org/10.1007/s11579-008-0009-3 ( reposiTUm)
Leitner, J. (2008). Fair (intra-bank transfer) prices for credits with stochastic recovery. Annals of Finance, 4(2), 243–253. https://doi.org/10.1007/s10436-006-0070-y ( reposiTUm)
Gerhold, S., Glebsky, L., Schneider, C., Weiss, H., & Zimmermann, B. (2008). Computing the complexity for Schelling segregation models. Communications in Nonlinear Science and Numerical Simulation, 13(10), 2236–2245. https://doi.org/10.1016/j.cnsns.2007.04.023 ( reposiTUm)
Grandits, P. (2008). A regularity theorem for a Volterra integral equation of the third kind. Journal of Integral Equations and Applications, 20(4). https://doi.org/10.1216/jie-2008-20-4-507 ( reposiTUm)
Schaller, P., & Temnov, G. (2008). Fast and efficient computation of convolutions: applying FFT to heavy tailed distributions. Computational Methods in Applied Mathematics, 8(2), 187–200. http://hdl.handle.net/20.500.12708/170975 ( reposiTUm)
Schachermayer, W., & Teichmann, J. (2008). How close are the Option Pricing Formulas of Bachelier and Black-Merton-Scholes? Mathematical Finance, 18(1), 155–170. http://hdl.handle.net/20.500.12708/170837 ( reposiTUm)
Guasoni, P., Rásonyi, M., & Schachermayer, W. (2008). Consistent Price Systems and Face-Lifting Pricing under Transaction Costs. Annals of Applied Probability, 18(2). https://doi.org/10.1214/07-aap461 ( reposiTUm)
Leitner, J. (2008). Convex Pricing by a Generalized Entropy Penalty. Annals of Applied Probability, 18(2). https://doi.org/10.1214/07-aap466 ( reposiTUm)
Jouini, E., Schachermayer, W., & Touzi, N. (2008). Optimal risk sharing for law invariant monetary utility functions. Mathematical Finance, 18(2), 269–292. http://hdl.handle.net/20.500.12708/170840 ( reposiTUm)
Temnov, G., & Warnung, R. (2008). A Comparison of Loss Aggregation Methods for Operational Risk. The Journal of Operational Risk, 3(1), 3–23. http://hdl.handle.net/20.500.12708/170842 ( reposiTUm)
Leitner, J. (2008). Optimal portfolios with lower partial moment constraints and LPM-risk optimal martingale measures. Mathematical Finance, 18(2), 317–331. http://hdl.handle.net/20.500.12708/170841 ( reposiTUm)
Leitner, J. (2008). Risk-adjusted value allocation for (non-traded) assets with performance ratios. Quantitative Finance, 8(1), 93–102. https://doi.org/10.1080/14697680601175449 ( reposiTUm)
Reda, R. (2008). All that Glisters is not Gold. Global View, 4, 8–9. http://hdl.handle.net/20.500.12708/171066 ( reposiTUm)
Altay, S., & Kücüközmen, C. C. (2008). Linear and non-linear Dependence in the Stock Market Returns: Validity Check of the weak-form efficient Market Hypothesis. Yapi Kredi Economic Review, 19(2), 45–62. http://hdl.handle.net/20.500.12708/171277 ( reposiTUm)
Schöftner, R. (2008). On the estimation of credit exposure using regression-based Monte Carlo simulation. Journal of Credit Risk, 4(4), 37–62. http://hdl.handle.net/20.500.12708/171307 ( reposiTUm)
Klöppel, S., & Schweizer, M. (2007). Dynamic Indifference Valuation via Convex Risk Measures. Mathematical Finance, 17(4), 599–627. https://doi.org/10.1111/j.1467-9965.2007.00317.x ( reposiTUm)
Bell, J. P., & Gerhold, S. (2007). On the positivity set of a linear recurrence sequence. Israel Journal of Mathematics, 157(1), 333–345. https://doi.org/10.1007/s11856-006-0015-1 ( reposiTUm)
Alzer, H., Gerhold, S., Kauers, M., & Lupaş, A. (2007). On Turán’s inequality for Legendre polynomials. Expositiones Mathematicae, 25(2), 181–186. https://doi.org/10.1016/j.exmath.2006.11.001 ( reposiTUm)
Jeanblanc, M., Klöppel, S., & Miyahara, Y. (2007). Minimal fq-martingale measures for exponential Lévy processes. Annals of Applied Probability, 17(5–6). https://doi.org/10.1214/07-aap439 ( reposiTUm)
Grandits, P., Hubalek, F., Schachermayer, W., & Žigo, M. (2007). Optimal expected exponential utility of dividend payments in a Brownian risk model. Scandinavian Actuarial Journal, 2007(2), 73–107. https://doi.org/10.1080/03461230601165201 ( reposiTUm)
Schachermayer, W., & Teichmann, J. (2007). Wie K. Itô den stochastischen Kalkül revolutionierte. Internationale Mathematische Nachrichten, 205, 11–22. http://hdl.handle.net/20.500.12708/168770 ( reposiTUm)
Grandits, P., & Summer, C. (2007). Risk averse asymptotics and the optional decomposition. Theory of Probability & Its Applications, 51(2), 325–334. https://doi.org/10.1137/s0040585x97982384 ( reposiTUm)
Warnung, R. (2007). Beyond Value-at-Risk: Managable Alternatives. GARP Risk Review, JULY/AUGUST(37), 38–40. http://hdl.handle.net/20.500.12708/168782 ( reposiTUm)
Glogova, E., & Warnung, R. (2006). Modeling Dependent Credit Risks for Application to Off-Site Banking Supervision. Financial Stability Report, OENB, 12, 79–91. http://hdl.handle.net/20.500.12708/172134 ( reposiTUm)

Beiträge in Tagungsbänden

Hubalek, F., & Kyprianou, E. (2011). Old and new examples of scale functions for spectrally negative Levy processes. In Seminar on Stochastic Analysis, Random Fields and Applications VI (pp. 119–145). Springer. https://doi.org/10.1007/978-3-0348-0021-1_8 ( reposiTUm)
Kainhofer, R. F. (2010). A MusicXML Test Suite and a Discussion of Issues in MusicXML 2.0. In Proceedings of the LAC 2010 Conference (pp. 153–160). Hogeschool voor de Kunsten. http://hdl.handle.net/20.500.12708/41050 ( reposiTUm)
Kainhofer, R. F. (2010). OrchestralLily: A Package for Professional Music Publishing with LilyPond and LaTeX. In Proceedings of the LAC 2010 Conference (pp. 109–115). Hogeschool voor de Kunsten. http://hdl.handle.net/20.500.12708/41022 ( reposiTUm)
Kainhofer, R. F. (2010). An extensive MusicXML 2.0 test suite. In Proceedings of CMMR 2010, 7th International Symposium on Computer Music Modeling and Retrieval (pp. 143–147). University of Malaga. http://hdl.handle.net/20.500.12708/41023 ( reposiTUm)

Beiträge in Büchern

Drapeau, S., Kupper, M., & Reda, R. (2011). A note on robust representations of law-invariant quasiconvex functions. In Advances in Mathematical Economics (pp. 27–39). Springer. https://doi.org/10.1007/978-4-431-53930-8_2 ( reposiTUm)
Kazianka, H., & Pilz, J. (2011). Model-Based Geostatistics. In International Encyclopedia of Statistical Science (pp. 833–836). Springer. https://doi.org/10.1007/978-3-642-04898-2_372 ( reposiTUm)
Benoit, A., Chyzak, F., Darrasse, A., Gerhold, S., Mezzarobba, M., & Salvy, B. (2010). The Dynamic Dictionary of Mathematical Functions (DDMF). In Mathematical Software – ICMS 2010 (pp. 35–41). Springer. https://doi.org/10.1007/978-3-642-15582-6_7 ( reposiTUm)
Schachermayer, W. (2010). Equivalent martingale measures and ramifications. In Encyclopedia of Quantitative Finance (pp. 583–589). John Wiley & Sons. http://hdl.handle.net/20.500.12708/26846 ( reposiTUm)
Schachermayer, W. (2010). Risk Neutral Pricing. In Encyclopedia of Quantitative Finance (pp. 1581–1585). John Wiley & Sons. http://hdl.handle.net/20.500.12708/26847 ( reposiTUm)
Schachermayer, W. (2010). The fundamental theorem of asset pricing. In Encyclopedia of Quantitative Finance (pp. 792–801). John Wiley & Sons. http://hdl.handle.net/20.500.12708/26848 ( reposiTUm)
Schachermayer, W. (2008). The Notion of Arbitrage and Free Lunch in Mathematical Finance. In M. Yor (Ed.), Aspects of Mathematical Finance (pp. 15–22). Springer. http://hdl.handle.net/20.500.12708/26204 ( reposiTUm)
Temnov, G. (2008). Managing operational risk: methodology and prospects. In Mathematical Control Theory and Finance (pp. 397–417). Springer. http://hdl.handle.net/20.500.12708/26244 ( reposiTUm)

Präsentationen

Blümmel, T. (2011). Brownian Moving Averages and Applications Towards Interest Rate Modelling. PRisMa Day - Workshop on Portfolio Risk Management, Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/119900 ( reposiTUm)
Hirhager, K. (2011). Adapted Dependence. PRisMa Day - Workshop on Portfolio Risk Management, Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/119902 ( reposiTUm)
Hirz, J. (2011). Optimizing Investment Strategies under a General Approach to Cost-Efficiency. FAM-Seminar, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/119885 ( reposiTUm)
Schmock, U. (2011). Modellierung und Schätzung stochastischer Abhängigkeiten. Kolloquium aus Finanz- und Versicherungsmathematik, TU Graz, Austria. http://hdl.handle.net/20.500.12708/119887 ( reposiTUm)
Schmock, U. (2011). Modeling and estimation of dependent credit rating transitions. International Congress on Insurance: Mathematics and Economics, Leuven, Belgium, Non-EU. http://hdl.handle.net/20.500.12708/119888 ( reposiTUm)
Schmock, U. (2011). Modeling and estimation of dependent credit rating transitions. Seminar on Stochastic Analysis, Random Fields and Applications, Ascona, Switzerland, Non-EU. http://hdl.handle.net/20.500.12708/119886 ( reposiTUm)
Porkert, P. (2011). On Weak Solutions to Stochastic Differential Equations in Finite and Infinite Dimensions. FAM-Seminar, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/119884 ( reposiTUm)
Hirz, J. (2011). Design of Optimal Cost-Efficient Payoffs and Corresponding Investment Contracts. PRisMa Day - Workshop on Portfolio Risk Management, Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/119901 ( reposiTUm)
Hubalek, F. (2010). Explicit variance-optimal hedging for processes with stationary and independent increments. Universität Innsbruck, Austria. http://hdl.handle.net/20.500.12708/119639 ( reposiTUm)
Hubalek, F. (2010). On exact simulation of moderately tractable infinite activity Lévy processes and their exponential transform. Universität Innsbruck, Austria. http://hdl.handle.net/20.500.12708/119638 ( reposiTUm)
Schmock, U. (2010). Modellierung und Schätzung stochastischer Abhängigkeiten. Mitgliederversammlung der Schweizerischen Aktuarsvereinigung, St. Gallen, Schweiz, Non-EU. http://hdl.handle.net/20.500.12708/119642 ( reposiTUm)
Hubalek, F. (2010). LIBOR Market Models with Jumps, Approximation and Interpolation. PRisMa Lab Evaluation, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/119641 ( reposiTUm)
Schmock, U. (2010). On the Asymptotic Behaviour of the Estimator of Kendall’s Tau. PRisMa Lab Evaluation, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/119643 ( reposiTUm)
Gerhold, S. (2010). Refined volatility expansion in the Heston model. Conference on Analysis, Stochastics, and Applications (AnStAp), Vienna University, Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/119644 ( reposiTUm)
Gerhold, S. (2010). Refined volatility expansion in the Heston model. European Summer School in Financial Mathematics, Paris, France, EU. http://hdl.handle.net/20.500.12708/119645 ( reposiTUm)
Gerhold, S. (2010). Refined Volatility Expansion in the Heston Model. PRisMa Lab Evaluation, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/119647 ( reposiTUm)
Gerhold, S. (2010). Refined Volatility Expansion in the Heston Model. PRisMa Day - Workshop on Portfolio Risk Management, Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/119646 ( reposiTUm)
Kazianka, H. (2010). Geostatistical Modeling Using Non-Gaussian Copulas. nternational Symposium on Spatial Accuracy Assessment in Natural Resources and Environmental Sciences, Leicester, UK, EU. http://hdl.handle.net/20.500.12708/119650 ( reposiTUm)
Kainhofer, R. F. (2010). Scenario Generation for Long Horizon Yield Curve Movements. PRisMa Lab Evaluation, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/119649 ( reposiTUm)
Gerhold, S. (2010). Refined Volatility Expansion in the Heston Model. Dublin City University, Ireland, EU. http://hdl.handle.net/20.500.12708/119648 ( reposiTUm)
Kazianka, H. (2010). Objective Bayesian Analysis of Spatially Correlated Data Including Measurement Error. PRisMa Lab Evaluation, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/119653 ( reposiTUm)
Kazianka, H. (2010). Objective Bayesian analysis for the correlation parameters in Gaussian copula-based spatial models. International Conference on Geostatistics for Environmental Applications, Gent, Belgium, EU. http://hdl.handle.net/20.500.12708/119652 ( reposiTUm)
Kazianka, H. (2010). Objective Bayesian Analysis of Spatially Correlated Data Including Measurement Error. Joint Statistical Meeting, Vancouver, Canada, Non-EU. http://hdl.handle.net/20.500.12708/119651 ( reposiTUm)
Reda, R. (2010). On the Fatou Property of Law Invariant Quasiconvex Functions. Conference on Stochastic Processes and Their Applications, Osaka, Japan, Non-EU. http://hdl.handle.net/20.500.12708/119606 ( reposiTUm)
Reda, R. (2010). Stress Tests for Credit Portfolios in Economically Volatile Times. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/119607 ( reposiTUm)
Reda, R. (2010). On the Fatou Property of Law Invariant Quasiconvex Functions. Tokyo University, Tokyo, Austria. http://hdl.handle.net/20.500.12708/119608 ( reposiTUm)
Altay, S. (2010). Dependence in the Term Structure of Interest Rates and Credit Spreads. PRisMa Lab Evaluation, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/119613 ( reposiTUm)
Altay, S. (2010). Long-Horizon Yield Curve Generation. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/119612 ( reposiTUm)
Six, M. (2010). Surplus Distribution Systems in a Markovian Life Insurance Model and Their Effects on the Profitability of the Life Settlement Market. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/119631 ( reposiTUm)
Hirhager, K. (2010). Variable Annuities. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/119633 ( reposiTUm)
Hirhager, K. (2010). Adapted Dependence. PRisMa Lab Evaluation, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/119635 ( reposiTUm)
Goldammer, V. (2010). Modeling and Estimation of Dependent Credit Rating Transitions. World Congress of the Bachelier Finance Society, Tokyo, Japan, Non-EU. http://hdl.handle.net/20.500.12708/119654 ( reposiTUm)
Goldammer, V. (2010). Modelling of Dependent Credit Rating Transitions. Conference on Analysis, Stochastics, and Applications (AnStAp), Vienna University, Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/119655 ( reposiTUm)
Goldammer, V. (2010). Modelling of Dependent Credit Rating Transitions. PRisMa Lab Evaluation, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/119656 ( reposiTUm)
Rudolph, C. (2010). Towards a Generalized Panjer Recursion for Dependent Claim Numbers. PRisMa Lab Evaluation, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/119657 ( reposiTUm)
Hula, A. (2010). Implementation Results for a Lévy-LIBOR Market Model. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/119586 ( reposiTUm)
Blum, B. (2010). No-Arbitrage and Transaction Costs in Continuous Multiasset Models. PRisMa Lab Evaluation, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/119587 ( reposiTUm)
Blum, B. (2010). The Fundamental Theorem of Asset Pricing on Multiasset Models with Small Proportional Transaction Costs. Workshop on Advanced Mathematical Methods for Finance, TU Munich, Germany, Austria. http://hdl.handle.net/20.500.12708/119588 ( reposiTUm)
Blum, B. (2010). Superreplication and No-Arbitrage in Multiasset Models with Transaction Costs. PRisMa Day - Workshop on Portfolio Risk Management, Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/119589 ( reposiTUm)
Blum, B. (2010). Superreplication and No-Arbitrage in Multiasset Models with Transaction Costs. PRisMa Lab Evaluation, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/119590 ( reposiTUm)
Kainhofer, R. F. (2010). An extensive MusicXML 2.0 test suite. International Symposium on Computer Music Modeling and Retrieval, Málaga, Spain, EU. http://hdl.handle.net/20.500.12708/119396 ( reposiTUm)
Kainhofer, R. F. (2010). OrchestralLily: A Package for Professional Music Publishing with LilyPond and LaTeX. Linux Audio Conference, Utrecht, Netherlands, EU. http://hdl.handle.net/20.500.12708/119397 ( reposiTUm)
Hubalek, F. (2010). Some statistical, analytical, and computational aspects of an affine stochastic volatility model with jumps. Workshop on Stochastic Volatility, Affine Processes and Transform Methods, University Rome, Italy, EU. http://hdl.handle.net/20.500.12708/119412 ( reposiTUm)
Gerhold, S. (2010). On Refined Volatility Smile Expansion In The Heston Model. FAM -Seminar, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/119400 ( reposiTUm)
Gerhold, S. (2010). On Refined Volatility Smile Expansion In The Heston Model. World Congress of the Bachelier Finance Society, Tokyo, Japan, Non-EU. http://hdl.handle.net/20.500.12708/119399 ( reposiTUm)
Kainhofer, R. F. (2010). A MusicXML Test Suite and a Discussion of Issues in MusicXML 2.0. Linux Audio Conference, Utrecht, Netherlands, EU. http://hdl.handle.net/20.500.12708/119398 ( reposiTUm)
Hubalek, F. (2010). On exact simulation of moderately tractable infinite activity Levy processes and their exponential transform. Workshop on Quantitative Finance, Università die Perugia, Italy, EU. http://hdl.handle.net/20.500.12708/119410 ( reposiTUm)
Grandits, P. (2010). Optimal consumption in a Brownian model with absorption and finite time horizon. University Vienna, Vienna, Austria. http://hdl.handle.net/20.500.12708/119409 ( reposiTUm)
Schmock, U. (2010). On the Asymptotic Behaviour of the Estimator of Kendall’s Tau. International Congress on Insurance: Mathematics and Economics, Leuven, Belgium, Non-EU. http://hdl.handle.net/20.500.12708/119402 ( reposiTUm)
Schmock, U. (2010). On the Asymptotic Behaviour of the Estimator of Kendall’s Tau. Conference of Advanced Mathematical Methods for Finance, Antalya, Turkey, Non-EU. http://hdl.handle.net/20.500.12708/119403 ( reposiTUm)
Gerhold, S. (2010). On Refined Volatility Smile Expansion In The Heston Model. University Vienna, Vienna, Austria. http://hdl.handle.net/20.500.12708/119401 ( reposiTUm)
Kazianka, H. (2010). Objective Bayesian Analysis of Spatially Correlated Data Including Measurement Error. World Meeting of the International Society for Bayesian Analysis, Benidorm, Spain, EU. http://hdl.handle.net/20.500.12708/119406 ( reposiTUm)
Grandits, P. (2010). On some optimization problems in risk theory. Kolloquium aus Finanz- und Versicherungsmathematik, TU Graz, Austria. http://hdl.handle.net/20.500.12708/119407 ( reposiTUm)
Schmock, U. (2010). Generalization of the Dybvig-Ingersoll-Ross Theorem and Asymptotic Minimality. Frankfurt MathFinance Conference, Frankfurt, Germany, EU. http://hdl.handle.net/20.500.12708/119404 ( reposiTUm)
Reda, R. (2010). How creative is innovation? IncrediblEurope, Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/119405 ( reposiTUm)
Grandits, P. (2010). Optimal consumption in a Brownian model with finite time horizon. Université de Lausanne, Lausanne, Switzerland. http://hdl.handle.net/20.500.12708/119408 ( reposiTUm)
Hubalek, F. (2009). On Fourier and Laplace transform methods for simple, multi-asset, and path-dependent options/accuracy and efficiency. Politecnico di Milano, Dipartimento di Matematica, Milano, Austria. http://hdl.handle.net/20.500.12708/119194 ( reposiTUm)
Schmock, U. (2009). Numerisch stabile Verallgemeinerung der Panjer-Rekursion und Anwendung auf abhängige Kreditrisiken. Ruhr-Universität Bochum, Germany, EU. http://hdl.handle.net/20.500.12708/119197 ( reposiTUm)
Dengler, B. (2009). On the Asymptotic Variance of the Estimator of Kendall’s Tau for the t-Distribution. Quantitative Methods in Finance Conference (QMF), Sydney, Australia, Non-EU. http://hdl.handle.net/20.500.12708/119202 ( reposiTUm)
Dengler, B. (2009). On the Asymptotic Variance of the Estimator of Kendall’s Tau for the t-Distribution. PRisMa Day - Workshop on Portfolio Risk Management, Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/119201 ( reposiTUm)
Wohlmuth, S. (2009). A Nonparametric Test of Independence - Dealing with Tied Observations. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/119224 ( reposiTUm)
Hirhager, K. (2009). Adapted Dependence. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/119223 ( reposiTUm)
Blum, B. (2009). The Facelifting Theorem for Proportional Transaction Costs in Multi-Asset Models. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/119225 ( reposiTUm)
Leitner, J. (2009). Robust Martingale Representation Results for Marked Point Processes. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/119219 ( reposiTUm)
Puhl, M. (2009). Assessment of Different Credit Risk Models in Terms of Credit Quality. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/119221 ( reposiTUm)
Reda, R. (2009). On the Fatou Property for Quasi-Convex Functions. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/119220 ( reposiTUm)
Brodowicz, C. (2009). Pricing Synthetic Collateralized Debt Obligations using Normal Approximation. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/119226 ( reposiTUm)
Hula, A. (2009). Variants of LIBOR-Market-Models. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/119227 ( reposiTUm)
Altay, S. (2009). Term structure of defaultable bonds - an approach with Jacobi Processes. Colloquium for Master and PhD students, University Vienna, Austria. http://hdl.handle.net/20.500.12708/119184 ( reposiTUm)
Reda, R. (2009). Introduction to Risk Measures (Part II). Working seminar for PhD and Diploma students of the Mathematical Finance Group, University Vienna, Vienna, Austria. http://hdl.handle.net/20.500.12708/119153 ( reposiTUm)
Reda, R. (2009). Introduction to Risk Measures (Part I). Working seminar for PhD and Diploma students of the Mathematical Finance Group, University Vienna, Vienna, Austria. http://hdl.handle.net/20.500.12708/119152 ( reposiTUm)
Reda, R. (2009). Rotational Invariant Importance Sampling. City University of New York, City College, New York, USA, Austria. http://hdl.handle.net/20.500.12708/119151 ( reposiTUm)
Reda, R. (2009). Rotational Invariant Importance Sampling. International Business Research Conference, Dubai, UAE, Non-EU. http://hdl.handle.net/20.500.12708/119150 ( reposiTUm)
Leitner, J. (2009). A robust Predictable Martingale Representation Property for Marked Point Processes and Super-Additive Insurance Markets. Dublin City University, Ireland, EU. http://hdl.handle.net/20.500.12708/119176 ( reposiTUm)
Leitner, J. (2009). Robuste Martingal-Darstellungen für markierte Punkt-Prozesse und Super-additive Versicherungsmärkte. University of Augsburg, Germany, EU. http://hdl.handle.net/20.500.12708/119175 ( reposiTUm)
Schmock, U. (2009). Generalization of the Dybvig-Ingersoll-Ross Theorem and Asymptotic Minimality. Conference of Advanced Mathematical Methods for Finance, Antalya, Turkey, Non-EU. http://hdl.handle.net/20.500.12708/119168 ( reposiTUm)
Schmock, U. (2009). Mathematik und Kreditrisiken. WWTF Mathematik und ...-Tag, Vienna, Austria. http://hdl.handle.net/20.500.12708/119169 ( reposiTUm)
Leitner, J. (2009). Robuste Martingal-Darstellungen für markierte Punkt-Prozesse und Super-additive Versicherungsmärkte. University of Würzburg, Germany, EU. http://hdl.handle.net/20.500.12708/119172 ( reposiTUm)
Leitner, J. (2009). Robuste Martingal-Darstellungen für markierte Punkt-Prozesse und Super-additive Versicherungsmärkte. Mathematisches Kolloquium, University Düsseldorf, Germany, EU. http://hdl.handle.net/20.500.12708/119173 ( reposiTUm)
Leitner, J. (2009). A robust Predictable Martingale Representation Property for Marked Point Processes and Super-Additive Insurance Markets. Heriot-Watt University, Edinburgh, England, EU. http://hdl.handle.net/20.500.12708/119174 ( reposiTUm)
Reda, R. (2009). Rotational Invariant Importance Sampling. International Conference on Intelligent Computing and Information Systems ICICIS, Cairo, Egypt, Non-EU. http://hdl.handle.net/20.500.12708/119149 ( reposiTUm)
Reda, R. (2009). Die Finanzkrise und der Luftballon. FameLab, Graz, Austria. http://hdl.handle.net/20.500.12708/119148 ( reposiTUm)
Gerhold, S. (2009). Lindelöf integral representations and asymptotic analysis of a certain power series with closed-form coefficients. Institut für Diskrete Mathematik und Geometrie, Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/119154 ( reposiTUm)
Gerhold, S. (2009). Non-Holonomic Sequences and Functions. ÖMG-DMV Kongress, Graz, Austria. http://hdl.handle.net/20.500.12708/119155 ( reposiTUm)
Grandits, P. (2008). Optimal investment and optimal divident strategies for an insurance company. Universität Ljubljana, Ljubljana, EU. http://hdl.handle.net/20.500.12708/118701 ( reposiTUm)
Dengler, B., & Schramek, A. (2008). Testing for independence and application to credit risk data. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118697 ( reposiTUm)
Leitner, J. (2008). Non-additive pricing of CDS. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118698 ( reposiTUm)
Altay, S. (2008). Bond Prices Via Nuclear Space Valued Semi-Martingales. Conference on recent Developments in Financial Mathematics and Stochastic Calculus, Ankara, Turkey, Non-EU. http://hdl.handle.net/20.500.12708/118700 ( reposiTUm)
Blum, B. (2008). No-arbitrage and consistent price systems for discontinuous processes. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118699 ( reposiTUm)
Kainhofer, R. F. (2008). Die Erstellung von Rechnungsgrundlagen - Ausflug eines Mathematikers in die Praxis. Kolloquium aus Finanz- und Versicherungsmathematik, TU Graz, Austria. http://hdl.handle.net/20.500.12708/118651 ( reposiTUm)
Reda, R., & Ziehaus, C. (2008). Macrofactor selection. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118658 ( reposiTUm)
Schmock, U. (2008). Risk aggregation, numerical stability and a variation of Panjer’s recursion. Winter School on Mathematical Finance, Lunteren, Netherlands, EU. http://hdl.handle.net/20.500.12708/118660 ( reposiTUm)
Reda, R., & Ziehaus, C. (2008). Macrofactor selection. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118659 ( reposiTUm)
Schachermayer, W. (2008). Optimal & better Transport plans II. Pacific Institute for the Mathematical Sciences (PIMS), Vancouver, Canada, Non-EU. http://hdl.handle.net/20.500.12708/118677 ( reposiTUm)
Schachermayer, W. (2008). Optimal & better Transport plans I. Pacific Institute for the Mathematical Sciences (PIMS), Vancouver, Canada, Non-EU. http://hdl.handle.net/20.500.12708/118676 ( reposiTUm)
Hubalek, F. (2008). On Fourier methods for simple, multi-asset, and path-dependent options / accuracy and efficiency. Workshop on Quantitative Finance, Università die Perugia, Italy, EU. http://hdl.handle.net/20.500.12708/118663 ( reposiTUm)
Hubalek, F. (2008). Explicit Variance-Optimal Hedging for independent increments and related problems. Universität Ljubljana, Ljubljana, EU. http://hdl.handle.net/20.500.12708/118665 ( reposiTUm)
Hubalek, F. (2008). Some aspects of Levy LIBOR market models. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118664 ( reposiTUm)
Schachermayer, W. (2008). In which Financial Markets do Mutual Fund Theorems hold true? University of Oxford, Department of Materials, University of Oxford, EU. http://hdl.handle.net/20.500.12708/118673 ( reposiTUm)
Schachermayer, W. (2008). The only time-consistent law-invariant dynamic convex risk measure is the entropic one? Oberwolfach Workshop: Stochastic Analysis in Finance and Insurance, Oberwolfach, Germany, Austria. http://hdl.handle.net/20.500.12708/118671 ( reposiTUm)
Schachermayer, W. (2008). In which Financial Markets do Mutual Fund Theorems hold true? University Cambridge, Cambridge, UK, Austria. http://hdl.handle.net/20.500.12708/118672 ( reposiTUm)
Hubalek, F. (2008). Some aspects of Libor market models with jumps. University of Aarhus, Aarhus, DK, EU. http://hdl.handle.net/20.500.12708/118667 ( reposiTUm)
Hubalek, F. (2008). On optimal strategies and Levy process-driven models in mathematical finance and insurance mathematics - Variance-optimal hedging. Habilitationsvortrag, Wien, Austria. http://hdl.handle.net/20.500.12708/118668 ( reposiTUm)
Hubalek, F. (2008). Some aspects of Libor market models with jumps. University of Aarhus, Aarhus, DK, EU. http://hdl.handle.net/20.500.12708/118666 ( reposiTUm)
Schmock, U. (2008). A generalization of Panjer’s recurssion and numerically stable risk aggregation. General AMaMeF Conference, Stefan Banach International Mathematical Center, Bedlewo, Poland, EU. http://hdl.handle.net/20.500.12708/118661 ( reposiTUm)
Schmock, U. (2008). A Generalization of Panjer’s Recursion and Numerically Stable Risk Aggregation. International Workshop: Credit Risk, Université Evry-Val-d’Essonne, France, EU. http://hdl.handle.net/20.500.12708/118662 ( reposiTUm)
Schachermayer, W. (2008). For which financial markets does the mutual fund theorem hold true? University Vienna, Vienna, Austria. http://hdl.handle.net/20.500.12708/118674 ( reposiTUm)
Schachermayer, W. (2008). Hiding the Drift. Seminar on Stochastic Analysis, Random Fields and Applications, Ascona, Switzerland, Non-EU. http://hdl.handle.net/20.500.12708/118675 ( reposiTUm)
Temnov, G. (2008). Theoretical and practical issues of operational risk measurement. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118687 ( reposiTUm)
Schmock, U. (2008). Generalization of the Dybvig-Ingersoll-Ross Theorem and Asymptotic Minimality. Special Semester on Stochastics with Emphasis on Finance, (RICAM) Austrian Academy of Sciences (ÖAW) , Linz, Austria. http://hdl.handle.net/20.500.12708/118900 ( reposiTUm)
Leitner, J. (2008). Robust Martingale Representations for Marked Point Processes. Finance Seminar, Imperial College, London, UK, Austria. http://hdl.handle.net/20.500.12708/118939 ( reposiTUm)
Leitner, J. (2008). Pricing and hedging with globally and instantaneously vanishing risk. TU Munich, Germany, Austria. http://hdl.handle.net/20.500.12708/118940 ( reposiTUm)
Schmock, U. (2008). Generalization of the Dybvig-Ingersoll-Ross Theorem and Asymptotic Minimality. Quantitative Methods in Finance Conference (QMF), Sydney, Australia, Non-EU. http://hdl.handle.net/20.500.12708/118901 ( reposiTUm)
Hirhager, K. (2008). Adapted Dependence. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118829 ( reposiTUm)
Schachermayer, W. (2008). The Fundamental Theorem of Asset Pricing for Continuous Processes under Small Transaction Costs. European Congress of Mathematics, Amsterdam, Netherlands, EU. http://hdl.handle.net/20.500.12708/118863 ( reposiTUm)
Temnov, G. (2008). On the role of asymptotic statistics in the modelling of actuarial data. International Conference on Asymptotic Statistics, Barcelona, Spain, EU. http://hdl.handle.net/20.500.12708/118878 ( reposiTUm)
Gerhold, S. (2008). On a Certain Functional Equation: Oscillations in the Solutions and their Taylor Coefficients. INRIA, Rocquencourt, Austria. http://hdl.handle.net/20.500.12708/118879 ( reposiTUm)
Gerhold, S. (2008). Lévy-Sheffer Systems and the Longstaff-Schwartz Algorithm for American Option Pricing. PRisMa Day - Workshop on Portfolio Risk Management, Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118880 ( reposiTUm)
Dengler, B. (2008). On the Asymptotic Normality of a Rank-Based Test for Independence. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118852 ( reposiTUm)
Goldammer, V. (2008). Modeling and Estimation of Dependent Credit Rating Transitions. Special Semester on Stochastics with Emphasis on Finance, (RICAM) Austrian Academy of Sciences (ÖAW) , Linz, Austria. http://hdl.handle.net/20.500.12708/118885 ( reposiTUm)
Goldammer, V. (2008). Implied Rating Models. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118884 ( reposiTUm)
Hubalek, F. (2008). On Trades, Volume, and the Martingale Estimating Function Approach for Stochastic Volatility Models with Jumps. PRisMa Day - Workshop on Portfolio Risk Management, Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118887 ( reposiTUm)
Goldammer, V. (2008). Modeling and Estimation of Dependent Credit Rating Transitions. EBIM Doctoral Workshop, Universität Bielefeld, Bielefeld, Germany, EU. http://hdl.handle.net/20.500.12708/118886 ( reposiTUm)
Blum, B. (2008). The Facelifting Theorem in Exponential Lévy Models. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118895 ( reposiTUm)
Hula, A. (2008). Discrete LIBOR Approximation. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118894 ( reposiTUm)
Klöppel, S., Reda, R., & Schachermayer, W. (2008). Importance Sampling for Credit Risk Portfolios via Auxiliary, Rotational Invariant Densities. Workshop der Austrian Working Group on Banking and Finance, Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118897 ( reposiTUm)
Reda, R. (2008). Importance Sampling for Credit Risk Portfolios using Rotationally Invariant Densities. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118896 ( reposiTUm)
Hubalek, F. (2008). On the Esscher transforms, minimum entropy, and other equivalent martingale measures: From exponential Levy models to a stochastic volatility models with jumps. University of Jyvaeskylae, Jyvaeskylaer, Finland, EU. http://hdl.handle.net/20.500.12708/118890 ( reposiTUm)
Hubalek, F. (2008). On trades, volume, and the martingale estimating function approach for stochastic volatility models with jumps. Special Semester on Stochastics with Emphasis on Finance, (RICAM) Austrian Academy of Sciences (ÖAW) , Linz, Austria. http://hdl.handle.net/20.500.12708/118888 ( reposiTUm)
Hubalek, F. (2008). Probability Measures, Levy Measures, and Analyticity in Time. University of Jyvaeskylae, Jyvaeskylaer, Finland, EU. http://hdl.handle.net/20.500.12708/118889 ( reposiTUm)
Schachermayer, W. (2008). Pricing and Hedging under transaction costs. Special Semester on Stochastics with Emphasis on Finance, (RICAM) Austrian Academy of Sciences (ÖAW) , Linz, Austria. http://hdl.handle.net/20.500.12708/118864 ( reposiTUm)
Gerhold, S. (2008). Lévy-Sheffer Systems and the Longstaff-Schwartz Algorithm for American Option Pricing. Conference on Numerical Methods for American and Bermudan Options, Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118881 ( reposiTUm)
Goldammer, V. (2008). Modeling and Estimation of Dependent Credit Rating Transitions. PRisMa Day - Workshop on Portfolio Risk Management, Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118883 ( reposiTUm)
Goldammer, V. (2008). Modeling and Estimation of Dependent Credit Rating Transitions. European Summer School in Financial Mathematics, Paris, France, EU. http://hdl.handle.net/20.500.12708/118882 ( reposiTUm)
Leitner, J. (2008). Robust Martingale Representations for Marked Point Processes. Habilitationsvortrag, Wien, Austria. http://hdl.handle.net/20.500.12708/118891 ( reposiTUm)
Leitner, J. (2008). Robust Martingale Representations for Marked Point Processes. Special Semester on Stochastics with Emphasis on Finance, (RICAM) Austrian Academy of Sciences (ÖAW) , Linz, Austria. http://hdl.handle.net/20.500.12708/118892 ( reposiTUm)
Altay, S. (2008). Term Structure of Defaultable Bonds, an Approach with Jacobi Processes. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118893 ( reposiTUm)
Temnov, G. (2007). Fourier Transform as an Efficient Methodology for Loss Aggregation. Mid-Term Conference on Advanced Mathematical Methods for Finance, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/118413 ( reposiTUm)
Hubalek, F. (2007). On Tractable Finite-Activity Lévy Libor Market Models. Conference on Levy Processes: Theory and Applications, Copenhagen, Denmark, EU. http://hdl.handle.net/20.500.12708/118492 ( reposiTUm)
Leitner, J. (2007). Risk-Adjusted Value Allocation. PRisMa Lab Evaluation, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/118433 ( reposiTUm)
Goldammer, V. (2007). Modelling and Estimation of Dependent Credit Rating Transition Matrices. PRisMa Lab Evaluation, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/118437 ( reposiTUm)
Warnung, R. (2007). Advanced Recursions for Risk Aggregation. PRisMa Lab Evaluation, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/118439 ( reposiTUm)
Blum, B. (2007). No-Arbitrage under Transaction Costs. PRisMa Lab Evaluation, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/118438 ( reposiTUm)
Schachermayer, W. (2007). Optimal Risk Sharing for Law Invariant Monetary Utility Functions. Conference on Stochastic Programming (SPXI), University Vienna, Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118388 ( reposiTUm)
Föllmer, H., & Schachermayer, W. (2007). Asymptotic arbitrage and large deviations. Colloquium in Honor of Hans Föllmer, Humboldt University, Berlin, Germany, EU. http://hdl.handle.net/20.500.12708/118385 ( reposiTUm)
Keller-Ressel, M., & Steiner, T. (2007). Yield curves shapes in affine term structure models. Conference on Levy Processes: Theory and Applications, Copenhagen, Denmark, EU. http://hdl.handle.net/20.500.12708/118397 ( reposiTUm)
Temnov, G. (2007). Managing Operational Risk: Models, Loss Aggregation and Insurance. Workshop on Mathematical Control Theory and Finance, Instituto Superior de Economia e Gestão, Lisbon, Portugal, EU. http://hdl.handle.net/20.500.12708/118399 ( reposiTUm)
Leitner, J. (2007). Pricing and Hedging with Globally and Instantaneously Vanishing Risk. START-Seminar, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/118421 ( reposiTUm)
Schmock, U. (2007). Presentation of the Laboratory and its Activities, Introduction of the Scientific Talks. PRisMa Lab Evaluation, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/118431 ( reposiTUm)
Temnov, G. (2007). Operational Risk Analytics: General Methodology and Special Topics. PRisMa Lab Evaluation, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/118432 ( reposiTUm)
Temnov, G. (2007). Combined Methodology for Managing Operational Risk. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118455 ( reposiTUm)
Schmock, U. (2007). Aggregation von Risiken und eine Modifikation der Panjer-Rekursion. Versicherungsmathematisches Kolloquium, University Cologne, Germany, EU. http://hdl.handle.net/20.500.12708/118456 ( reposiTUm)
Keller-Ressel, M., & Steiner, T. (2007). Yield Curve Shapes and the Asymptotic Short Rate Distribution in Affine One-Factor Models. FAM-Seminar, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118393 ( reposiTUm)
Steiner, T., & Keller-Ressel, M. (2007). Yield Curve Shapes and the Asymptotic Short Rate Distribution in Affine One-Factor Models. FAM-Seminar, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118392 ( reposiTUm)
Gerhold, S. (2007). The LIBOR Market Model: Implementation, Acceleration, and Analysis. PRisMa Lab Evaluation, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/118441 ( reposiTUm)
Hula, A. (2007). Modelling LIBOR by Finite-Activity Lévy Processes. PRisMa Lab Evaluation, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/118440 ( reposiTUm)
Dengler, B. (2007). Estimating Correlation with Kendall’s Tau. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118454 ( reposiTUm)
Steiner, T. (2007). Yield Curve Shapes in Affine Term Structure Models. PRisMa Lab Evaluation, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/118436 ( reposiTUm)
Klöppel, S. (2007). Risk-Based Capital Allocation. PRisMa Lab Evaluation, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/118434 ( reposiTUm)
Dengler, B. (2007). On the Asymptotic Behaviour of the Estimator of Kendall’s Tau. PRisMa Lab Evaluation, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/118435 ( reposiTUm)
Blum, B. (2007). Deterministische Bewertung von Optionen in exponentiellen. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118449 ( reposiTUm)
Klöppel, S. (2007). Discussion of the model and the calculation method. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118448 ( reposiTUm)
Goldammer, V. (2007). Credit Rating Dynamics and Markov Mixture Models. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118452 ( reposiTUm)
Schachermayer, W. (2007). Consistent Price Systems and Face-Lifting Pricing under Transaction Costs. Conference on Further Developments in Quantitative Finance, ICMS Edinburgh, UK, EU. http://hdl.handle.net/20.500.12708/118386 ( reposiTUm)
Schachermayer, W. (2007). Optimal Risk Sharing for Law Invariant Monetary Utility Functions. Session of the International Statistical Institute (ISI), Lissabon, Portugal, EU. http://hdl.handle.net/20.500.12708/118387 ( reposiTUm)
Leitner, J. (2007). Risk-Adjusted Value allocation for (Non-Trade)assets with performance ratios. Cass Business School London, London, UK, EU. http://hdl.handle.net/20.500.12708/118416 ( reposiTUm)
Grandits, P. (2007). Estimation of parameters for the Pareto and the GPD distribution in the presence of inflation. IME Conference on Insurance, Mathematics and Economics, Piräus, Greece, EU. http://hdl.handle.net/20.500.12708/118403 ( reposiTUm)
Blum, B. (2007). Deterministische Bewertung von Optionen in exponentiellen Lévy-Modellen. Tag der Mathematik, TU München, Munich, Germany, EU. http://hdl.handle.net/20.500.12708/118402 ( reposiTUm)
Steiner, T. (2007). Yield Curve Shapes in Affine One-Factor Models. Mid-Term Conference on Advanced Mathematical Methods for Finance, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/118412 ( reposiTUm)
Keller-Ressel, M., & Steiner, T. (2007). Yield curves shapes in affine term structure models. Conference on Levy Processes: Theory and Applications, Copenhagen, Denmark, EU. http://hdl.handle.net/20.500.12708/118396 ( reposiTUm)
Teichmann, J. (2007). New Classes of OU-processes and applications to Optimization procedures. START-Seminar, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/118419 ( reposiTUm)
Warnung, R. (2007). On the construction of an integrand hiding the drift of a Brownian motion with drift. FAM-Seminar, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118418 ( reposiTUm)
Siopacha, M. (2007). Weak and Strong Taylor methods for approximative solutions of stochastic differential equations. Radon Workshop on Financial and Actuarial Mathematics, University Linz, Austria, Austria. http://hdl.handle.net/20.500.12708/118339 ( reposiTUm)
Siopacha, M. (2007). Taylor expansions of option prices. FAM -Seminar, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118338 ( reposiTUm)
Teichmann, J. (2007). Introductory Mini Course on “Stochastic gradient flows in finite and infinite dimensions.” Wolfgang Pauli Institut, WPI, Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118352 ( reposiTUm)
Teichmann, J. (2007). Convexity Propagation in Interest Rate Theory. General AMaMeF Conference, Stefan Banach International Mathematical Center, Bedlewo, Poland, EU. http://hdl.handle.net/20.500.12708/118351 ( reposiTUm)
Schachermayer, W. (2007). Arbitrage theory and transaction costs - Semi-Martingales and beyond. Hungarian Academy of Science, Budapest, Hungary, EU. http://hdl.handle.net/20.500.12708/118383 ( reposiTUm)
Schachermayer, W. (2007). Finance and Stochastics - A Mutually Fruitful Relationship. General Meeting of the French Applied Math Society (SMAI), Praz sur Arly, France, EU. http://hdl.handle.net/20.500.12708/118384 ( reposiTUm)
Siopacha, M. (2007). Weak and Strong Taylor methods for approximative solutions of stochastic differential equations. General AMaMeF Conference, Stefan Banach International Mathematical Center, Bedlewo, Poland, EU. http://hdl.handle.net/20.500.12708/118340 ( reposiTUm)
Siopacha, M. (2007). Taylor Expansions of Option Prices with applications to Interest Rate Theory. Seminar on Data Analysis and Modeling, University Freiburg, Germany, EU. http://hdl.handle.net/20.500.12708/118341 ( reposiTUm)
Gerhold, S. (2007). Pricing of Exotic Swaps with Early Exercise Features. PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118342 ( reposiTUm)
Dengler, B. (2007). Studium der Technischen Mathematik. FIT - Frauen in Technik, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/118345 ( reposiTUm)
Warnung, R. (2007). Stable Recurrences for Risk Aggregation. FAM-Seminar, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118346 ( reposiTUm)
Schmock, U. (2007). Efficient and Numerically Stable Aggregation of Dependent Risks. Mathematisches Forschungsinstitut Oberwolfach, Austria. http://hdl.handle.net/20.500.12708/118330 ( reposiTUm)
Klöppel, S. (2007). Project report about capital allocation (PRisMa Lab, module 3). PRisMa Lab Presentation, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118344 ( reposiTUm)
Gerhold, S. (2007). The Sign Structure of Linear Recurrence Sequences. Conference on Progress on Difference Equations, University Laufen, Germany, EU. http://hdl.handle.net/20.500.12708/118343 ( reposiTUm)
Teichmann, J. (2007). Deterministic Methods for the weak approximation of high-dimensional SDEs with Application to mathematical Finance. Technische Universität München, Austria. http://hdl.handle.net/20.500.12708/118347 ( reposiTUm)
Teichmann, J. (2007). Deterministic Methods for the weak approximation of high-dimensional SDEs with Application to mathematical Finance. Universität Ljubljana, Ljubljana, EU. http://hdl.handle.net/20.500.12708/118348 ( reposiTUm)
Teichmann, J. (2007). Hypoellipticity for SDE in infinite dimensions. Universität Bonn, Bonn, Germany, EU. http://hdl.handle.net/20.500.12708/118349 ( reposiTUm)
Teichmann, J. (2007). A heat kernel approach to Interest Rate Models. START-Seminar, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/118350 ( reposiTUm)
Teichmann, J. (2007). An invitation to random Schrödinger operators III. START-Seminar, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/118355 ( reposiTUm)
Teichmann, J. (2007). An invitation to random Schrödinger operators II. START-Seminar, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/118354 ( reposiTUm)
Teichmann, J. (2007). Finanzmathematik und Ertragswertverfahren. Weiterbildungszentrum der TU Wien, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/118353 ( reposiTUm)
Teichmann, J. (2007). Stochastic heat equation and Intersection local times. Conference on Stochastic Analysis and Related Fields, Toulouse, France, EU. http://hdl.handle.net/20.500.12708/118356 ( reposiTUm)
Hubalek, F. (2007). On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models. Conference on Levy Processes: Theory and Applications, Copenhagen, Denmark, EU. http://hdl.handle.net/20.500.12708/118379 ( reposiTUm)
Schachermayer, W. (2007). Optimal Risk Sharing for Law Invariant Monetary Utility Functions. Research Seminar in Economic Theory, University Vienna, Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118380 ( reposiTUm)
Schachermayer, W. (2007). Finance and Stochastics - A Mutually Fruitful Relationship. Jahrestagung der DMV, Klagenfurt, Austria. http://hdl.handle.net/20.500.12708/118381 ( reposiTUm)
Schachermayer, W. (2007). Über die Messbarkeit des Nutzens. Feierstunde zu Ehren von Dr. Franz Alt, University Vienna, Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118382 ( reposiTUm)
Schmock, U. (2007). Dependence Properties of Dynamic Credit Risk Models. General AMaMeF Conference, Stefan Banach International Mathematical Center, Bedlewo, Poland, EU. http://hdl.handle.net/20.500.12708/118332 ( reposiTUm)
Schmock, U. (2007). Lecture: Introduction to Model and Credit Risk. Executive MBA Mergers & Acquisitions, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/118334 ( reposiTUm)
Schmock, U. (2007). Dependence Properties of Dynamic Credit Risk Models. Universität München, München, Germany, Austria. http://hdl.handle.net/20.500.12708/118333 ( reposiTUm)
Teichmann, J. (2007). Hypo-ellipticity in infinite dimensions. Stochastic Partial Differential Equations, Mittag-Leffier Institut, Stockholm, Sweden, EU. http://hdl.handle.net/20.500.12708/118359 ( reposiTUm)
Teichmann, J. (2007). Convexity Theorems in Interest Rate Theory. Workshop on PDE and Finance, Stockholm, Sweden, EU. http://hdl.handle.net/20.500.12708/118358 ( reposiTUm)
Teichmann, J. (2007). An invitation to random Schrödinger operators V. START-Seminar, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/118357 ( reposiTUm)
Teichmann, J. (2007). Natural OU-processes on Lie groups with applications to simulated annealing. Complex Stochastic Systems: Discrete vs. Continuous, University Bonn, Bonn, Germany, EU. http://hdl.handle.net/20.500.12708/118362 ( reposiTUm)
Teichmann, J. (2007). Convexity in Interest Rate Theory - some conceptual considerations. University of Uppsala, Uppsala, Sweden, EU. http://hdl.handle.net/20.500.12708/118360 ( reposiTUm)
Hubalek, F. (2007). Explicit formulas for pricing and variance-optimal hedging of multi-asset and path dependent options in affine models. Politecnico di Milano, Milan, Italy, EU. http://hdl.handle.net/20.500.12708/118377 ( reposiTUm)
Hubalek, F. (2007). On precision and efficienciy of slow and fast Fourier transform for simple, multi-asset, and path-dependent options. Frankfurt MathFinance Colloquium, Frankfurt School of Finance and Management, Frankfurt, Germany, EU. http://hdl.handle.net/20.500.12708/118378 ( reposiTUm)
Hubalek, F. (2007). On small- and large-time expansions for Levy semigroups on the real line. Mini-Workshop: Levy Processes and Related Topics in Modelling, Oberwolfach, Germany, EU. http://hdl.handle.net/20.500.12708/118376 ( reposiTUm)
Schmock, U. (2007). Large and Moderate Deviations of U-Empirical Measures: The Quest for the Best Topology. Universität Karlsruhe, Karlsruhe, Deutschland, Austria. http://hdl.handle.net/20.500.12708/118328 ( reposiTUm)
Schmock, U. (2007). Investitionsstrategien für das virtuelle Glücksrad. FIT - Frauen in Technik, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/118329 ( reposiTUm)
Schmock, U. (2007). Dependence Properties of Dynamic Credit Risk Models. Conference on Extreme Value Analysis, University Bern, Switzerland, Non-EU. http://hdl.handle.net/20.500.12708/118335 ( reposiTUm)
Schmock, U. (2007). Computation of the Portfolio Loss Distribution for Dependent Credit or Operational Risks. Workshop “Models of Credit and Operational Risks in the Financial Sector,” University Bozen, Italy, EU. http://hdl.handle.net/20.500.12708/118336 ( reposiTUm)
Schmock, U. (2007). Efficient and Numerically Stable Aggregation of Dependent Risks. Bank Austria, Wien, Austria. http://hdl.handle.net/20.500.12708/118331 ( reposiTUm)
Temnov, G. (2007). Measuring operational risk: from modelling to the insurance. European Conference on Operational Research, Vilnius, Lithuania. http://hdl.handle.net/20.500.12708/118400 ( reposiTUm)