+---------------------------------------------------------------+ | 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/>