Guests of PRisMa Lab

2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006

2010

Dr. Antoine Jacquier, Institut für Mathematik, TU Berlin, Germany;
Research visit: December 13-16, 2010;
Talk: "Implied volatility asymptotics in affine stochastic volatility models with jumps", December 14, 2010.

Christoph Brodowitz, Raiffeisen Capital Management, Vienna, Austria;
Research visit: October 1, 2010;
Talk: "Pricing Synthetic Collateralized Debt Obligations using Normal Approximation", PRisMa Day 2010, October 1, 2010.

Annemarie Mayer, Generali Holding Vienna AG, Vienna, Austria;
Research visit: October 1, 2010;
Talk: "Bondoptionen im Risikomanagement der Generali Versicherung AG ", PRisMa Day 2010, October 1, 2010.

Dr. Richard Warnung, Raiffeisen Capital Management, Vienna, Austria;
Research visit: October 1, 2010;
Talk: "Improved Recursions for Risk Aggregation", PRisMa Day 2010, October 1, 2010.

Prof. Walter Farkas, ETH Zürich und Universität Zürich, Switzerland;
Research visit: September 30 - October 1, 2010;
Talk: "On Modelling and Option Pricing using Lévy Copula Processes", Prisma Day 2010, October 1, 2010.

Dr. Zorana Grbac, Freiburg Center for Data Analysis and Modelling, University of Freiburg, Germany;
Research visit: September 30 - October 1, 2010;
Talk: "Conditional Markov chains and credit risk in the Lévy Libor model", Prisma Day 2010, October 1, 2010.

Dr. Robert Schöftner, UBS, Zürich, Switzerland;
Research visit: September 30 - October 1, 2010;
Talk: "Market and Credit Risk Aggregation: A Bottom-Up Approach", Prisma Day 2010, October 1, 2010.

Prof. Anna Rita Bacinello, Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche, University of Triest, Italy;
Research visit: September 30 - October 2, 2010;
Talk: "Variable Annuities: Risk Identification and Risk Assessment", Prisma Day 2010, October 1, 2010.

Dirk Banholzer, Technische Universität München, Munich, Germany;
Research visit: July 1-3, 2010;
Talk: "Intensitätsbasierte Kreditrisikomodelle", July 2, 2010.

Alexander Hullmann, Institut für Numerische Simulation, Universität Bonn, Deutschland;
Research visit: June 15-16, 2010;
Talk: "The Generative Topographic Mapping for Dimensionality Reduction and Data Analysis", June 15, 2010.

Prof. Wolfgang Runggaldier, Dipartimento di Matematica Pura ed Applicata, Università degli Studi di Padova, Italy;
Research visit: June 14-15, 2010.

Prof. Markus Leippold, Swiss Banking Institute, University Zurich, Switzerland;
Research visit: June 15, 2010.

Dr. Peter Gruber, Facoltà di scienze economiche, Universitá della Svizzera Italiana, Lugano, Switzerland;
Research visit: June 11, 2010;
Talk: "Three Make a Dynamic Smile - Unspanned Skewness and Interacting Volatility Components in Option Valuation", June 11, 2010.

Markus Zahrnhofer, Institut für Statistik, TU Graz, Austria;
Research visit: June 1, 2010;
Talk: "Modeling and pricing of temperature derivatives", June 1, 2010.

Karl F. Bannör, Frankfurt am Main, Germany;
Research visit: May 17, 2010;
Talk: "The Longstaff-Schwartz approach to the optimal stopping problem", May 17, 2010.

Prof. Dilip B. Madan, Robert H. Smith School of Business, University of Maryland, U.S.A.;
Research visit: May 9-12, 2010;
Talk: "Unlimited Liabilities, Reserve Capital Requirements and the Taxpayer Put Option", May 11, 2010.

Dr. Gregory Temnov, Edgeworth Centre for Financial Mathematics, School of Mathematical Sciences, University College Cork, Ireland;
Research visit: April 26-May 1, 2010;
Talk: "Extended stability property for exponential families: a model for financial applications", April 27, 2010.

Prof. Peter Eichelsbacher, Fakultät fuer Mathematik, Ruhr-Universität Bochum, Germany;
Research visit: March 17-19, 2010.

Katja Krol, Institut für Mathematik, Humboldt Universität zu Berlin, Germany;
Research visit: March 6-10, 2010;
Talk: "Minimal Entropy Martingale Measure for Lévy Processes", March 9, 2010.

Dr. Hannes Kazianka, Institut für Statistik, Universität Klagenfurt, Austria;
Research visit: January 22, 2010.

Dr. Pavel Shevchenko, Division of Mathematical and Information Sciences, Commonwealth Scientific and Industrial Research Organisation (CSIRO), Sydney, Australia;
Research visit: January 11-13, 2010;
Talk: "Quantitative modelling of financial risks", Lecture Series Financial and Actuarial Mathematics, January 12, 2010.

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