NEWS

CURRENT EVENTS

Current vacant positions / Aktuelle Stellenausschreibungen

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

To receive full consideration, applications must include all documents mentioned in the job offer and must be submitted on or before 15.06.2024 and must refer to Job ID 2491.

Universitätsassistent*in Praedoc im START-Forschungsprojekt "Universelle Strukturen in der Finanzmathematik"

Um im vollen Umfang berücksichtigt zu werden, sind zur Bewerbung ebenfalls die in der Ausschreibung geforderten Dokumente bis zum 15.06.2024 unter der Stellen ID 2491 abzugeben.

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

To receive full consideration, applications must include all documents mentioned in the job offer and must be submitted on or before 15.06.2024 and must refer to Job ID 2943.

Universitätsassistent*in Postdoc im START-Forschungsprojekt "Universelle Strukturen in der Finanzmathematik"

Um im vollen Umfang berücksichtigt zu werden, sind zur Bewerbung ebenfalls die in der Ausschreibung geforderten Dokumente bis zum 15.06.2024 unter der Stellen ID 2943 abzugeben.

 WORLD ONLINE SEMINARS ON MACHINE LEARNING IN FINANCE

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

 ISOR COLLOQUIUM

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

Find more information here.

PAST EVENTS

 Quantum Computing for Finance Minicourse held by Prof. Antoine (Jack) Jacquier- 04.12.23-07.12.23

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.

 Talk by Sam Cohen on "Estimation of Hawkes processes and models of limit order books"

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.

 WPI-Workshop: Stochastics, Statistics, Machine Learning and their Application to Sustainable Finance and Energy Markets

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.

 UNIQA CHALLENGE

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 26th of April and 17th 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.

 13th EUROPEAN SUMMER SCHOOL IN FINANCIAL MATHEMATICS

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