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(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.