PRisMa 2009: One-Day Workshop on Portfolio Risk Management ========================================================== WEB PAGE: <http://www.fam.tuwien.ac.at/prisma2009/> ORGANIZED BY: - PRisMa Lab <http://www.prismalab.at/> - FAM @ TU Vienna <http://www.fam.tuwien.ac.at/> DATE: Monday, September 28, 2009, 9:00-19:00 SPONSORED BY: - Christian Doppler Research Association - Bank Austria - Austrian Federal Financing Agency - FJA LOCATION: Vienna University of Technology Karlsplatz 13 (Main Building) 1040 Vienna, Austria Lecture Hall HS 13 Ernst Melan (Court VII, 2nd floor) Participation is free. Everyone is welcome, practitioners are especially encouraged to attend. PROGRAM: 09.00-09.10: Welcome 09.10-10.00: Prof. Dr. Alexander Schied (Universität Mannheim) "Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem" 10.00-10.30: Coffee Break 10.30-11.15: Prof. Dr. Walter Schachermayer (Universität Wien) "Representation Results for Law Invariant Time Consistent Functions" 11.15-12.00: Dr. Beatrice Acciaio (University of Perugia) "Risk Assessment for Cash Flows under Model and Discounting Ambiguity" 12.00-14.00: Lunch Break 14.00-14.45: Dipl.-Math. Barbara Dengler (PRisMa Lab, FAM @ TU Wien) "On the Asymptotic Variance of the Estimator of Kendall's Tau for the t-Distribution" 14.45-15.30: Dipl.-Math. Verena Goldammer (FAM @ TU Wien) "Generalization of the Dybvig-Ingersoll-Ross Theorem and Asymptotic Minimality" 15.30-16.00: Coffee Break 16.00-16.45: Dr. Gregory Temnov (University College Cork) "Natural Exponential Family with Stability Property with Application to Financial Modelling" 16.45-17.30: Dipl.-Ing. Christa Cuchiero (ETH Zürich) "Affine Processes on Positive semidefinite matrices" 17.30-19.00: Bread and Wine ABSTRACTS and LINKS: <http://www.fam.tuwien.ac.at/prisma2009/> 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. LOCAL AIRLINES: - Fly Niki <http://www.flyniki.com/> - Austrian Airlines: <http://www.aua.com/> RAILWAY: <http://www.oebb.at/> NEARBY HOTELS: <http://alm.fam.tuwien.ac.at/hotels.php> See you in Vienna! 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/>