[MRM] PRisMa 2009: One-Day Workshop on Portfolio Risk Management

[Sandra Trenovatz]

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 at 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 at 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/>