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PRisMa 2013: One-Day Workshop on Portfolio Risk Management
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WEB PAGE: <http://www.fam.tuwien.ac.at/prisma2013/>
ORGANIZED BY:
- PRisMa Lab <http://www.prismalab.at/>
DATE/TIME:
Friday, September 27th, 2013,
9:20 - 16:30 plus bread & wine afterwards
SPONSORED BY:
- Christian Doppler Research Association
- Bank Austria
- Austrian Federal Financing Agency (ÖBFA)
- COR&FJA
- Österreichische Kontrollbank (OeKB)
LOCATION:
Vienna University of Technology
Karlsplatz 13, 1040 Vienna, Austria
Lecture Hall 6 (Main Building "Hauptgebäude" of TU Wien, ground floor)
Participation is free. See information for registration below.
Everyone is welcome, practitioners are especially encouraged to attend.
PROGRAM:
9:20 - 9:30
Prof. Dr. Uwe Schmock
Welcome
9:30 - 10:30
Prof. Dr. Andreas Kyprianou
Censored Stable Processes
10:30 - 10:50 Coffee Break
10:50 - 11:30
Dr. Christa Cuchiero
An HJM Approach to Multiple-Curve Modeling
11:30 - 12:00
Sühan Altay, MSc
Yield Curve Scenario Generation with Independent Component Analysis
12:00 - 13:30 Lunch Break
13:30 - 14:15
PD Dr. Stefan Gerhold
Local Volatility Models: Approximation and Regularization
14:15 - 15:00
Jonas Hirz, MSc
Risk Measures: From the Unconditional to the Conditional Case
15:00 - 15:20 Coffee Break
15:20 - 16:00
Dr. Julia Eisenberg
Optimal Consumption Under Deterministic Income
16:00 - 16:30
DI I. Cetin Gülüm
On the Existence of an Equivalent Martingale Measure in the
Dalang-Morton-Willinger Theorem, which Preserves the Dependence Structure
16:30 - 18:00 Bread and Wine
ABSTRACTS and LINKS: <http://www.fam.tuwien.ac.at/prisma2013/>
REGISTRATION: Participation is free, and there is no official
registration - nevertheless for administrative reasons we would be happy
if you write a short email to our secretary (see below) with your name
and university or company.
Everyone is welcome, practitioners are especially encouraged to attend.
For actuaries, this workshop counts up to 5 points for their continuing
professional development (morning and afternoon part each 2.5 points).
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 (see below) and
sign up when you actually attend the workshop.
Organisers:
- Prof. Dr. Uwe Schmock (FAM @ TU Wien)
- Prof. Dr. Thorsten Rheinländer (FAM @ TU Wien)
Workshop Secretary:
Ms. Sandra Trenovatz and Mr. Martin Trenovatz (FAM @ TU Wien)
Phone: +43-1-58801-10511
E-mail: fam(a)fam.tuwien.ac.at
FURTHER EVENTS:
Lecture Series in Financial and Actuarial Mathematics
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Monday, September 16, 2013, 16:30
Vienna University of Technology, 1040 Wien, Wiedner Hauptstrasse 8,
Freihaus building, yellow area, 2nd floor, lecture hall "Freihaus Hörsaal 3"
Prof. Dr. Nikolai V. Kolev
(Department of Statistics, University of Sao Paulo, Brazil)
"Continuous Bivariate Distributions with Linear Sum of
the Hazard Gradient Components and Actuarial Applications"
http://www.fam.tuwien.ac.at/vr/20130916.php
For actuaries, this talk counts 1 point for their continuing
professional development.
EAJ 2014 - 2nd European Actuarial Journal Conference 2014
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Wednesday, September 10 - Friday, September 12, 2014
Vienna University of Technology, Wiedner Hauptstraße 8, 1040 Wien
http://www.fam.tuwien.ac.at/eaj2014/