This week we refer to a talk at University of Vienna. Please find below already detailed information about the yearly PRisMa Workshop at TU Wien on Friday, October 1st.
Fr, September 24, 2010, 14:00-15:00, Seminarraum C 209, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien
Aldo Pratelli: t.b.a. (Seminar Finanzmathematik)
========================================================== PRisMa 2010: One-Day Workshop on Portfolio Risk Management ==========================================================
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@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@fam.tuwien.ac.at and sign up when you actually attend the workshop.