========================================================== PRisMa 2013: One-Day Workshop on Portfolio Risk Management ========================================================== 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 ===================================================== 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 ========================================================= Wednesday, September 10 - Friday, September 12, 2014 Vienna University of Technology, Wiedner Hauptstraße 8, 1040 Wien http://www.fam.tuwien.ac.at/eaj2014/