[MRM] Workshops FERM06 und PRisMA 2006

[INFORM]

Sehr geehrte Damen und Herren,

Anbei Ankuendigungen fuer zwei Workshops am 25. und 26. September.

Mit besten Gruessen,

Markus Fulmek

P.S. im Sinne des Telekommunikationsgesetzes: Sie erhalten
diese Information, weil Sie Mitglied des Wissenschaftlichen
Vereins INFORM
    http://www.inform.ac.at
sind, oder weil Sie in der Mailing-Liste von INFORM
    http://www.fam.tuwien.ac.at/mailman/listinfo/mrm-l
eingetragen sind. Wenn Sie diese Informationen NICHT (mehr)
wuenschen, senden Sie bitte einfach diese Email zurueck.

----------------------------------------------------
++++++++ Wissenschaftlicher Verein INFORM ++++++++++
Insurance, Financial and Operational Risk Management
Fakultaet fuer Mathematik          Universitaet Wien
Nordbergstrasse 15                       A-1090 Wien
@: inform at inform.ac.at   W3: http://www.inform.ac.at
----------------------------------------------------

+------------------------------------------------------------------+
|  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 Oesterreich)
    Rebel without a Cause
  - Johannes Ziegelbecker (Oesterreichische 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 EUR 150,-.

  Contact: Gerald Kamhuber gerald.kamhuber at univie.ac.at

Attendance of the above workshop can be conveniently combined with:

+---------------------------------------------------------------+
|  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 Hoersaal"
              (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 at 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 at fam.tuwien.ac.at