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PRisMa 2010: One-Day Workshop on Portfolio Risk Management
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WEB PAGE:
http://www.fam.tuwien.ac.at/prisma2010/
ORGANIZED BY:
- PRisMa Lab:
http://www.prismalab.at/
- FAM @ TU Vienna:
http://www.fam.tuwien.ac.at/
DATE: Friday, October 1, 2010, 9:00-19:00
SPONSORED BY:
- Christian Doppler Research Association
- Bank Austria
- Austrian Federal Financing Agency (ÖBFA)
- FJA
LOCATION:
Vienna University of Technology
Wiedner Hauptstrasse 8-10 ("Freihaus")
1040 Vienna, Austria
Lecture Hall FH-HS 8 "Nöbauer" (yellow area, 2nd floor)
Participation is free. Everyone is welcome, practitioners are especially
encouraged to attend. Please find information for registration below the
program.
PROGRAM:
09.00-09.10: Welcome
09.10-10.00:
Prof. Dr. Anna Rita Bacinello (University of Triest)
"Variable Annuities: Risk Identification and Risk Assessment"
10.00-10.30: Coffee Break
10.30-11.15:
Prof. Dr. Walter Farkas (ETH Zürich, Universität Zürich)
"On Modelling and Option Pricing using Lévy Copula Processes"
11.15-12.00:
Dr. Zorana Grbac (Freiburg Center for Data Analysis and Modelling)
"Conditional Markov Chains and Credit Risk in the Lévy Libor Model"
12.00-14.00: Lunch Break
14.00-14.30:
Dr. Stefan Gerhold (FAM @ TU Wien)
"Refined Volatility Expansion in the Heston Model"
14.30-15.00:
Dr. Robert Schöftner (UBS Zürich)
"Market and Credit Risk Aggregation: A Bottom-Up Approach"
15.00-15.30:
Dipl.-Math. Benedikt Blum (FAM @ TU Wien)
"Superreplication and No-Arbitrage in Multiasset Models with
Transaction Costs"
15.30-16.00: Coffee Break
16.00-17.30: Presentations of Prize Winning Thesis
16.00-16.30:
Magdalena Six, MSc. (Institut für Betriebswirtschaftslehre,
Universität Wien)
"Dividendenverteilungsmechanismen in einem Markov'schen
Lebensversicherungsmodell"
(1st Prize 2009 of the Actuarial Association of Austria)
16.30-17.00:
Dipl.-Ing. Annemarie Mayer
"Bondoptionen im Risikomanagement der Generali Versicherung AG"
(2nd Prize 2009 of the Actuarial Association of Austria)
17.00-17.30:
Christoph Brodowicz, MSc.
"Pricing Synthetic Collateralized Debt Obligations using Normal
Approximation"
(3rd Prize 2009 of the Actuarial Association of Austria)
17.30-19.00: Bread and Wine
ABSTRACTS and LINKS:
http://www.fam.tuwien.ac.at/prisma2010/
REGISTRATION:
There is no official registration - nevertheless for administrative
reasons we would be happy about a short e-mail to Mr. Christian
Gawrilowicz <secr(a)fam.tuwien.ac.at> including your name and organization.
CPD:
For actuaries, this workshop counts for their continuing professional
development. For a corresponding certificate, please register in advance
for the morning and/or afternoon part of the workshop by sending an
email with your name and postal address to the workshop secretary Mr.
Christian Gawrilowicz <secr(a)fam.tuwien.ac.at> and sign up when you
actually attend the workshop.
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Sandra Trenovatz, email sandra(a)fam.tuwien.ac.at, phone +43-1-58801-10511
Financial & Actuarial Mathematics (FAM@TU Wien)
http://fam.tuwien.ac.at/
Wiedner Hauptstrasse 8 / E105-1 FAM, 1040 Vienna, Austria (DVR: 0005886)