+---------------------------------------------------------------+
| PRisMa 2006 - One-Day Workshop on Portfolio Risk Management |
| Tuesday, September 26, 2006 |
| <http://www.fam.tuwien.ac.at/prisma2006/> |
+---------------------------------------------------------------+
organized by PRisMa Lab and FAM @ TU Wien
Location: Vienna University of Technology,
Main Building, Karlsplatz 13, 1040 Vienna, Austria
Lecture Hall "HS 18 - Czuber Hörsaal"
(staircase/Stiege II, 2nd floor)
Time: Tuesday, September 26, 2006, 9 am to 7 pm
Program:
9.00-9.10 Prof. Dr. Uwe Schmock (FAM @ TU Wien)
Welcome and Presentation of the Christian Doppler
Laboratory for Portfolio Risk Management (PRisMa Lab)
9.10-9.20 Dr. Johann Strobl (Chief Financial Officer and Chief Risk
Officer, Member of the Board of Directors of BA-CA)
Forschungskooperation aus der Sicht der BA-CA
9.20-9.30 Prof. Dr. Walter Schachermayer, (FAM @ TU Wien)
Introduction of Prof. Josef Teichmann, Laureate
of the START Prize
9.30-10.20 Prof. Dr. Josef Teichmann (FAM @ TU Wien)
Calculation of Greeks by Cubature Formulas
10.20-10.50 Coffee Break
10.50-11.20 Dr. Stefan Gerhold (PRisMa Lab, FAM @ TU Wien)
An Implementation of the LIBOR Market Model for
Pricing Exotic Constant Maturity Swaps
11.20-12.00 Dr. Irina Slinko (FAM @ TU Wien)
On Finite Dimensional Realizations of Two-Country
Interest Rate Models
12.00-14:00 Lunch Break
14.00-14:40 Dr. Friedrich Hubalek (FAM @ TU Wien)
Simple Explicit Variance-Optimal Hedging for
Path-Dependent and Multi-Asset Derivatives
14:40-15:20 Dr. Jan Palczewski (Warsaw University)
Portfolio Optimisation with Economic Factors
and Transaction Costs
15:20-15:50 Coffee Break
15:50-16:30 Dr. Gregory Temnov (PRisMa Lab, FAM @ TU Wien)
Combined Methodology for Modelling and Measuring
Operational Risk
16:30-17:10 DI Christian Bayer (FAM @ TU Wien)
Discretization of SDEs: Euler Methods and Beyond
17:10-17:50 DI Barbara Forster (FAM @ TU Wien)
Computation of Price Sensitivities
17:50-19:00 Bread and Wine
General Information
Participation is free, and there is no official registration -
nevertheless for administrative reasons we would be happy if you
write a short e-mail to our secretary, Mr. Christian Gawrilowicz
(secr(a)fam.tuwien.ac.at), with your name and university or company.
Everyone is welcome, practitioners are especially encouraged to attend.
Organiser: Prof. Dr. Uwe Schmock
(Financial and Actuarial Mathematics Group (FAM),
Vienna University of Technology)
Workshop Secretary:
Mr. Christian Gawrilowicz (FAM @ TU Wien)
Phone: +43-1-58801-10511
E-mail: secr(a)fam.tuwien.ac.at
Attendance of the above workshop can be conveniently combined with:
+------------------------------------------------------------------+
| FERM06 - Workshop on Financial Engineering and Risk Management |
| Monday, September 25, 2006 |
| <http://www.univie.ac.at/crm/ferm06/> |
+------------------------------------------------------------------+
Location: Marietta-Blau-Saal
University of Vienna
Dr. Karl Lueger Ring 1
A-1010 Vienna, Austria
Speakers:
- Engelbert J. Dockner (Department of Finance, University of Vienna)
tba
- Georg Wachberger (Erste Bank)
Quantitative challenges within dynamic financial institutions
- Rudolf Diewald (Versicherungsverband Österreich)
Rebel without a Cause
- Johannes Ziegelbecker (Österreichische Pensionskassen AG)
Risk Management in Austrian Pension Funds
- Uwe Schmock (Institute for Mathematical Methods in Economics,
Vienna University of Technology)
Modelling and Aggregation of Dependent Credit and Operational Risks
- Stavros A. Zenios (HERMES European Center of Excellence
on Computational Finance and Economics)
Financial Products with Guarantees:
Applications, Models and Internet-based services
- Gautam Mitra (CARISMA, Brunel University)
Models and Tools for Portfolio Planning
- Ronald Hochreiter and Georg Ch. Pflug
(Computational Risk Management Group, University of Vienna)
The AURORA Financial Management System
General Information:
Registration is mandatory
<http://homepage.univie.ac.at/nikola.broussev/php/register.php>,
participation fee is ¤ 150,-.
Contact: Gerald Kamhuber <mailto:gerald.kamhuber@univie.ac.at>
+------------------------------------------------------------------+
| Job offer at FAM @ TU Wien: |
| Ph.D. Student or Postdoc in Credit Risk Modeling |
| <http://www.fam.tuwien.ac.at/jobs/20060824.php> |
+------------------------------------------------------------------+
Some low cost airlines to reach Vienna:
http://www.airberlin.com/
http://www.flyniki.com/
http://www.germanwings.com/
http://www.aua.com/
http://www.intersky.biz/
http://www.skyeurope.com/ (via Bratislava)
With best regards,
Uwe Schmock
-----
Prof. Dr. Uwe Schmock
Institute for Mathematical Methods in Economics
Research Unit: Financial and Actuarial Mathematics
Vienna University of Technology
Wiedner Hauptstrasse 8-10/105-1
A-1040 Vienna
Austria
Personal Home Page:
<http://www.fam.tuwien.ac.at/~schmock/>
Financial and Actuarial Mathematics (FAM) at TU Vienna
<http://www.fam.tuwien.ac.at/>
CD-Laboratory for Portfolio Risk Management (PRisMa Lab)
<http://www.prismalab.at/>