The Frankfurt MathFinance Colloquium is addressed to faculty and students of Frankfurt's Universities, the community of financial engineers and risk managers in Frankfurt and its neighborhood. You are invited to come as a guest or as a speaker. Please notify Uwe Wystup in order to allow some decent planning. Related talks are scheduled in the Finance Colloquium.

Thursdays 6:15 - 8 pm, Robert-Mayer-Strasse 10, room 110.
Or Thursdays 6:30 - 8 pm, Frankfurt School of Finance & Management

Upcoming Talks:

• November 6 2008 18:30 Frankfurt School of Finance & Management, Room: TBA
  - Stefanie Müller (University of Kaiserslautern) The Decoupling Approach to Binomial Pricing for Multiasset Options
• March 28 2009 9:00 - 18:00
  - George Skiadopoulos (University of Pireus) Training Course on Advanced Value-at-Risk
• March 30-31, 2009 9th Frankfurt MathFinance Conference

Previous Talks:

• June 25 2008 18:30 Frankfurt School of Finance & Management Room NB 13
  - Dr. Andreas Pechtl (LBBW), Occupation Time of a Brownian Bridge with Drift
• June 4-6 2008 9:00 - 18:00 Frankfurt School of Finance & Management
  - Dr Attilio Meucci (Lehman Brothers New York & New York University) Advanced Portfolio and Risk management
• April 14-18 2008 9:00 - 18:00
  - Christoph Becker, Andreas Weber und Uwe Wystup (MathFinance AG) Einführung in Monte Carlo und C++ im Financial Engineering. Training Course produced by MathFinance AG
• March 17-18 2008 8th Frankfurt MathFinance Conference
• March 15 2008 9:00 - 18:00 Frankfurt School of Finance & Management Room 16
  - Professor Dr Eckhard Platen (University of Technology in Sydney) A Benchmark Approach to Quantitative Finance
• March 6 2008 18:30 Frankfurt School of Finance & Management Room NB 01
  - Professor Susanne Kruse (University of Applied Sciences - Bonn), Pricing Inflation Options
• Feb 7 2008 18:15 Goethe University, Robert-Mayer-Str. 10(first floor) Room 110 , Faculty of Mathematics
  - Stefan Tappe (Wirtschaftsuniversität Wien) Lévy term structure models as solutions of infinite dimensional SDE's
• Nov 29 2007 18:30 Frankfurt School of Finance & Management Room 11
  - Professor Karel In't Hout (University of Antwerp), ADI schemes for multi-dimensional PDEs modelling option prices
• Nov 22 2007 18:30 Frankfurt School of Finance & Management Room 3 - Guido Venier (Dresdner Kleinwort Investment Bank), A new Model for Stock Price Movements
• Oct 31 2007 14:15 Frankfurt School of Finance & Management Audimax - Professor Carl Chiarella (University Technology Sydney), A Survey of American Option Pricing under Jump Diffusion and Stochastic Volatility Dynamics
• Sept 27 2007 18:30 Frankfurt School of Finance & Management Room 14 - Dieter Kaiser (Director Alternative Investments, Feri Institutional Advisors GmbH, Bad Homburg) Datenqualität, Heterogenität und der Lebenszyklus von Hedgefonds
• Jul 2-6 2007 9:00 - 18:45 Frankfurt School of Finance & Management, Raum 7 - Christoph Becker (HfB), Andreas Weber (MathFinance AG) und Uwe Wystup, C++ und Monte Carlo in Financial Engineering - Wochenseminar
• July 6 2007 16:15 Fachbereich Informatik und Mathematik, Robert-Mayer-Strasse 10, Raum 711 gross, 7. OG. - Prof. Dr. Claudia Klüppelberg (TU München), On a Levy-driven continuous time GARCH model
• July 6 2007 17:45 Fachbereich Informatik und Mathematik, Robert-Mayer-Strasse 10, Raum 711 gross, 7. OG. - Prof. Dr. Hanspeter Schmidli (Universität zu Köln), Optimisation problems in non-life insurance
• June 28 2007 18:00 Frankfurt School of Finance & Management Room 3 - Dr. Friedrich Hubalek (Research Unit of Financial and Actuarial Mathematics at Vienna University of Technology), On Fourier methods for simple, multi-asset, and path dependent options and their Greeks - accuracy, efficiency, asymptotics
• June 21 2007 18:15 Fachbereich Informatik und Mathematik, Robert-Mayer-Strasse 10, Raum 110, 1. OG. - Dr. Tina Marquardt (TU München), Long memory continuous-time series analysis using fractional Lévy processes
• May 31 2007 18:00 Frankfurt School of Finance & Management Room 5 - Dr. Walter Sanddorf-Köhle (das wirtschaftsseminar), A conditional distribution model for limited stock index returns
• May 3 2007 18:00 Frankfurt School of Finance & Management Room 3 - Prof. Stewart Hodges (Warwick Business School), The Dynamics of the Volatility Skew: a Kalman Filter Approach
• Monday+Tuesday 26-27 March 2007 7th Frankfurt MathFinance Workshop
• Oct 6 2005 18:00 HfB Room 2 - Prof. Dr. Heinz Cremers (HfB - Business School of Finance and Managment), Arbitrage Theorie - Modelle und Friktionen
• Saturday+Sunday 24-25 March 2007 Two-Day Training Course - Dr. Attilio Meucci (Lehman Brothers), Advanced Quantitative Risk and Portfolio Management
• March 22 2007 18:00 Frankfurt School of Finance & Management Room 2 - Andreas Kolbe (HVB-Stiftungsinstitut für Finanzmathematik, Zentrum Mathematik, TU München), A Hybrid-Form Model for the Prepayment-Risk-Neutral Valuation of Mortgage-Backed Securities
• Tuesday March 6 2007 17:15 Fachbereich Informatik und Mathematik, Robert-Mayer-Strasse 10, Raum 110, 1. OG. - Prof. Suresh Sethi (University of Texas at Dallas), Optimal Consumption and Portfolio Decisions With Partially Observable Real Prices
• February 22 2007 11 a.m. to 5 p.m. Credit Suisse Offices - Frankfurt - Credit Suisse Graduate Recruitment team invites for Presentation and workshop on Equity Derivatives
• Friday Feb 2 2007 16:15 Fachbereich Informatik und Mathematik, Robert-Mayer-Strasse 10, Raum 711 groß, 7. OG. - Dr. Berthold Ströter (Vorstand der FORTIS Deutschland Lebensversicherung AG), Das Berufsbild des Aktuars
• Tuesday Jan 23 2007 10:15 Fachbereich Informatik und Mathematik, Robert-Mayer-Strasse 10, Raum 711 klein, 7. OG. - Anna Battauz (Universita Bocconi, Milano), Multiperiod Arbitrage and the Marginal Utility of Optimal Intertemporal Wealthmodels
• Wednesday Jan 10 2007 18:00 HfB Room NB11 - Antonis Papapantoleon (University of Freiburg), Duality and valuation of exotic derivatives in Levy models
• Dec 14 2006 18:00 HfB Room 2 - Morten Nalholm (University of Copenhagen), Dynamic or Static Hedging? An Empirical Comparison for Reverse Barrier Options
• Nov 16 2006 18:00 HfB Room 2 - Tino Siragusano (HfB & Berenberg Bank), Currency Overlay Management with a Behavioural Finance based momentum strategy
• Nov 9 2006 18:00 HfB Room 2 - Dr. Christoph Burgard (Barclays Capital, London), Options on Variance
• Oct 12 2006 18:00 HfB Room 3 - Dr. Michael Dirkmann (Sal. Oppenheim), A multifactor, stochastic volatility HJM model in a low dimensional markov representation: theory overview and implementation details
• Tuesday, Aug 29 2006 12:00 HfB Room 3 - Prof. Eckhard Platen (University of Technology Sydney), On the Pricing and Hedging of Long Dated Zero Coupon Bonds
• July 20 2006 5:00 p.m. (Room 711 groß, Robert-Mayer-Str. 10, Faculty of Mathematics, Goethe-University) - Andreas Kyprianou (University of Bath), First passage of reflected strictly stable processes
• July 13 2006 18:00 HfB Room 3 - Prof Wolfgang Stummer (University of Erlangen-Nürnberg), Some discrete-time and continuous-time optimal decisions about alternative financial models
• Jul 10-14 2006 9:00 - 18:45 HfB Room 12 - Christoph Becker and Uwe Wystup (HfB), C++ und Monte Carlo in Financial Engineering - Wochenseminar
• July 6 2006 18:00 HfB Room NB02 - Dr. Matthias Ehrhardt (Technical University Berlin ), Finite differences for Financial derivative models
• June 8 2006 18:15 Department of Mathematics, Goethe-University, Robert-Mayer-Strasse 10, Room 711 (groß) - Prof Rolf Poulsen (University of Copenhagen), Barrier Options and Their Static Hedges: Simple Derivations and Extensions
• June 8 2006 17:00 Department of Mathematics, Goethe-University, Robert-Mayer-Strasse 10, Room 711 (groß) - Christian-Oliver Ewald (University of Leeds), Malliavin calculus
• June 1 2006 19:00 HfB Room 12 - Carlos Veiga (Universidade Nova de Lisboa and Millennium bcp investimento), Exploring the Limits of Closed Pricing Formulas in the Black and Scholes Framework
• May 4 2006 18:00 HfB Room 2 - Constanze Wäldrich (University of Jena), An estimation of the default rate of borrowers
• Feb 9 2006 18:00 HfB Room TBA - Christian Schmaltz (HfB - Business School of Finance and Managment), Liquidity Management: Status Quo and Perspectives
• Jan 26 2006 18:00 HfB Room TBA - Susanne Griebsch (HfB - Business School of Finance and Managment), Special issues of the Heston Model
• Jan 20 2006 15:00 HfB Room 16 - Dr. Hans-Peter Deutsch (d-fine GmbH), Way above the efficient frontier- asset allocation in downturn or stagnant markets
• Jan 19 2006 13:30 HfB Room 16 - Dr. Werner Koch (ComInvest), Consistent Return Estimates in the Asset Allocation Process - The Black-Litterman Approach
• Weekly from Sept 27 2006 18:00 HfB Room NB 11 - Prof. Wolfgang Schmidt and Prof. Uwe Wystup Seminar on Lévy Processes in Finance
• Dec 15 2005 18:00 HfB Room 3 - Dr. Wolfgang Kluge (University of Freiburg), The Lévy Libor model with default risk
• Dec 1 2005 18:00 HfB Room 3 - Prof. Dr. Joachim K. Anlauf (University of Bonn), Pricing of Derivatives by Fast, Hardware Based Monte Carlo Simulation
• Nov 21-25 2005 daily 9:00-17:00 HfB Room 7 - Christoph Becker, Dr. Bernd Engelmann and Prof. Dr. Uwe Wystup (MathFinance, Quanteam and HfB), Computational Finance I -- C++ in Financial Engineering with a Focus on Monte Carlo Methods
• Nov 17 2005 18:00 HfB Room 5 - Thorsten Sauder (Bankgesellschaft Berlin), Importance Sampling and MM-Algorithms with Applications to Options Pricing
• Nov 3 2005 18:00 HfB Room 3 - Natalie Packham (HfB - Business School of Finance and Managment), An introduction to CDO pricing models
• Oct 20 2005 18:00 HfB Room 3 - Prof. Dr. Robert G. Tompkins (HfB - Business School of Finance and Managment), Borrow Low, Invest High: Euro Forward Prices vs. Expected Future Spot Prices
• Sept 22 2005 18:00 HfB Room 10 (Audimax) - Dr. Erik Schloegl (Sydney University of Technology), Spoken and Implied: Factor Distributions Implied by Quoted CDO Spreads and the Pricing of Bespoke Tranches
• Jul 27-29 2005 9:00 - 16:00 HfB Room 7 - Christoph Becker and Uwe Wystup (HfB), C++ und Monte Carlo in Financial Engineering - Drei Tage Seminar
• Jun 30 2005 18:00 HfB - Dr. Matthias Fengler (Sal. Oppenheim), Arbitrage-free smoothing of the implied volatility surface
• April 21 2005 18:00 HfB - Dagmar Wicht (Börsenjournalisten), Introduction to Technical Indicator Analysis using Price Data

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