Current vacant positions / Aktuelle Stellenausschreibungen

 University Assistant Predoctoral in the research project "Universal structures in Mathematical Finance"

For more information, announcements & zoom links please visit the website.

• March, 30th:
  Manuela Veloso
  JP Morgan AI Research and CMU
  Title: AI in Finance: Scope and Examples

• April, 13th:
  Josef Teichmann
  ETH Zurich
  Title: Consistent Recalibration Models, Deep Calibration and Learning of Constraint Dynamics
  
  
• April, 27th:
  Iuliia Manziuk
  Ecole Polytechnique
  Title: Adaptive Trading Strategies Across Liquidity Pools

• May, 11th:
  Justin Sirignano
  University of Oxford
  Title: Reinforcement Learning: Theory and Applications
  
  
• May, 25th:
  Andreea Minca
  Cornell University May
  Title: Clustering Heterogeneous Financial Networks
  
  
• June, 8th:
  Giuseppe Nuti, UBS & Cornell University
  Lluís Antoni Jiménez Rugama, UBS
  Title: Applying Explanable Bayesian Decision Trees to Traiding
  
  
• June, 22nd:
  Thaleia Zariphopoulou
  The University of Texas at Austin
  Tile: TBD

The departmental seminar is held each Monday during the semester from 16.45 to 17.45.

Find more information here.

Mon. 04.12.23- Thurs. 07.12.23
University of Vienna, 1090 Wien, Kolingasse 14-16

Abstract:

Quantum Computing, relegated for decades as a spooky distant myth, is now becoming a reality. To wit, quantum computers (albeit small in scale) are already available, developed by the likes of IBM, Rigetti, D-Wave, Google, Microsoft, ..... However, a quantum computer is not simply a bigger and more powerful computer, and requires a whole new set of algorithms to be written to perform useful tasks. These, and the underlying technology, draw from the laws of quantum mechanics, fundamentally different from our usual numerical toolbox.

The goal of this course is to provide a mathematical introduction to Quantum Computing and to highlight applications in Quantitative Finance, in particular for Monte Carlo simulations, machine learning and optimisation. Numerical examples (through python) will also be introduced to provide a tangible reality.

Mon., 24.04.2023, 13:15 CEST, Seminarraum 19 or online via Zoom
University of Vienna, 1090 Wien, Kolingasse 14-16

Abstract:

Self exciting point processes are the workhorse model for ultra-high frequency financial data. However, these models are not Markov (except under restrictive assumptions), so computing a likelihood comes at superlinear (typically quadratic) cost. When you have a serious amount of data, this makes exact calibration of these models impractical. In this talk we will consider a class of estimation methods for linear Hawkes models (with general excitation kernels and time dependence) which can be calibrated using a stochastic gradient method, for large data sets. We will see that this provides novel insights into the interactions of orders of different types in equity markets, at a high-frequency scale.

The workshop aims to bring together an interdisciplinary group of leading researches with interest in stochastic methods for sustainable finance and energy markets. Particular emphasis will be given to Environmental Social Governance (ESG) finance, climate/weather modeling, optimal control problems and optimal contract theory e.g. in view of fostering renewable energy sources.

The WPI-Workshop: Stochastics, Statistics, Machine Learning and their Application to Sustainable Finance and Energy Markets was held as an on-site event at the Department of Statistics and OR of the University of Vienna from 11th September - 14 September 2023 and was jointly organized with the Wolfgang Pauli Institute.

Do you enjoy connecting and analyzing data from multiple sources and would you like to let your creativity run free? If yes, get ready!

Join our Data Science Challenge organized by AVÖ (Actuarial Association Of Austria), SSA (Slovak Society of Actuaries) and UNIQA. Impress with your visualization and analysis skills in the field of finance or insurance and win prizes with a total value of € 2.000.

The challenge takes place between 26^th of April and 17^th of Mai 2021. For further information (rules, conditions of participation, etc.) please visit: https://www.uniqa4ward.com/en/challenge.html or become a member of our Facebook or LinkedIn Group UNIQA Forum MathematiQum.

The European Summer School in Financial Mathematics aims at bringing together young researchers in Mathematical Finance.

The 13th European Summer School in Financial Mathematics was held as a hybrid event at the Department of Statistics and OR of the University of Vienna from 31 August - 4 September 2020 and was jointly organized with the Wolfgang Pauli Institute.

The Summer School was focused on two main themes:

• Machine Learning in Finance
• McKean-Vlasov Equations and Mean Field Games in Finance