[MRM] PRisMa 2010: One-Day Workshop on Portfolio Risk Management

[INFORM]

Sehr geehrte Damen und Herren,

Ich leite Ihnen untenstehende Einladung zum PRisMa 2010 Workshop weiter,
die vielleicht fuer Sie von Interesse ist.

Mit besten Gruessen,

Markus Fulmek

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PRisMa 2010: One-Day Workshop on Portfolio Risk Management
==========================================================

WEB PAGE: http://www.fam.tuwien.ac.at/prisma2010/

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

DATE: Friday, October 1, 2010, 9:00-19:00

SPONSORED BY:
- Christian Doppler Research Association
- Bank Austria
- Austrian Federal Financing Agency (BFA)
- FJA

LOCATION:
Vienna University of Technology
Wiedner Hauptstrasse 8-10 ("Freihaus")
1040 Vienna, Austria
Lecture Hall FH-HS 8 "Nbauer" (yellow area, 2nd floor)

Participation is free. Everyone is welcome, practitioners are especially 
encouraged to attend.
Please find information for registration below the program.

PROGRAM:

09.00-09.10: Welcome

09.10-10.00:
  Prof. Dr. Anna Rita Bacinello (University of Triest)
  "Variable Annuities: Risk Identification and Risk Assessment"

10.00-10.30: Coffee Break

10.30-11.15:
  Prof. Dr. Walter Farkas (ETH Zrich, Universitt Zrich)
  "On Modelling and Option Pricing using Lvy Copula Processes"

11.15-12.00:
  Dr. Zorana Grbac (Freiburg Center for Data Analysis and Modelling)
  "Conditional Markov Chains and Credit Risk in the Lvy Libor Model"

12.00-14.00: Lunch Break

14.00-14.30:
  Dr. Stefan Gerhold (FAM @ TU Wien)
  "Refined Volatility Expansion in the Heston Model"

14.30-15.00:
  Dr. Robert Schftner (UBS Zrich)
  "Market and Credit Risk Aggregation: A Bottom-Up Approach"

15.00-15.30:
  Dipl.-Math. Benedikt Blum (FAM @ TU Wien)
  "Superreplication and No-Arbitrage in Multiasset Models with
   Transaction Costs"

15.30-16.00: Coffee Break

16.00-17.30: Presentations of Prize Winning Thesis

16.00-16.30:
  Magdalena Six, MSc. (Institut fr Betriebswirtschaftslehre,
  Universitt Wien)
  "Dividendenverteilungsmechanismen in einem Markov'schen
   Lebensversicherungsmodell"
  (1st Prize 2009 of the Actuarial Association of Austria)

16.30-17.00:
  Dipl.-Ing. Annemarie Mayer
  "Bondoptionen im Risikomanagement der Generali Versicherung AG"
  (2nd Prize 2009 of the Actuarial Association of Austria)

17.00-17.30:
  Christoph Brodowicz, MSc.
  "Pricing Synthetic Collateralized Debt Obligations using Normal
  Approximation"
  (3rd Prize 2009 of the Actuarial Association of Austria)

17.30-19.00: Bread and Wine

ABSTRACTS and LINKS: http://www.fam.tuwien.ac.at/prisma2010/

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.

----------------------------------------------------
++++++++ 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
----------------------------------------------------