[MRM] 29. September: One-Day Workshop on Portfolio Risk Management

[INFORM]

Sehr geehrte Damen und Herren,

Auf Ersuchen von Herrn Professor Schmock/TU Wien leite ich Ihnen
die folgende Einladung weiter.

Mit besten Gruessen,

Markus Fulmek

P.S. im Sinne des Telekommunikationsgesetzes: Sie erhalten
diese Information, weil Sie Mitglied des Wissenschaftlichen
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    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.

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PRisMa 2008: One-Day Workshop on Portfolio Risk Management
==========================================================

WEB PAGE: <http://www.fam.tuwien.ac.at/prisma2008/>

ORGANIZED BY:
- PRisMa Lab <http://www.prismalab.at/>
- FAM @ TU Vienna <http://www.fam.tuwien.ac.at/>

DATE: Monday, September 29, 2008, 9:00-19:00

SPONSORED BY:
- Christian Doppler Research Association
- Bank Austria
- Austrian Federal Financing Agency

LOCATION:
Vienna University of Technology
Wiedner Hauptstr. 8-10 (Freihaus)
1040 Vienna, Austria
Lecture Hall FH HS 8 - Nšbauer Hšrsaal

Participation is free. Everyone is welcome, practitioners are especially 
encouraged to attend.

PROGRAM:

09:00-09:10 Welcome

09.10-10.00
ÊProf. Damir Filipovic (Vienna Institute of Finance)
Ê"CDO Term Structure Modeling"

10.00-10.30 Coffee Break

10.30-11.15
ÊDr. Antonis Papapantoleon (FAM @ TU Wien)
Ê"Strong Taylor Approximation of SDEs and Application to the LŽvy LIBOR 
Model"

11.15-12.00
ÊDr. Friedrich Hubalek (FAM @ TU Wien)
Ê"On Trades, Volume, and the Martingale Estimating Function Approach
ÊÊfor Stochastic Volatility Models with Jumps"

12.00-14:00 Lunch Break

14.00-14:45
ÊDr. Stefan Gerhold (PRisMa Lab, FAM @ TU Wien)
Ê"LŽvy-Sheffer Systems and the Longstaff-Schwartz Algorithm
ÊÊfor American Option Pricing"

14:45-15:30
ÊDipl.-Math. Verena Goldammer (PRisMa Lab, FAM @ TU Wien)
Ê"Modeling and Estimation of Dependent Credit Rating Transitions"

15:30-16:00 Coffee Break

16:00-16:45
ÊDr. Stefan Tappe (Vienna Institute of Finance)
Ê"Bilateral Gamma Processes in Finance"

16:45-17:30
ÊDr. Miklos Rasonyi (Hungarian Academy)
Ê"Modelling Markets with Transaction Costs"

17:30-19:00 Bread and Wine

ABSTRACTS: <http://www.fam.tuwien.ac.at/prisma2008/>

REGISTRATION: There is no official registration - nevertheless we would be 
happy if you write for administrative reasons a short e-mail to Mr. 
Christian Gawrilowicz <secr at fam.tuwien.ac.at> with your name and 
university or company.

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>

NOTABLE EVENT: Exhibition Vincent van Gogh <http://www.albertina.at/>


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/>
----------------------------------------------------
++++++++ 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
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