FAM-ily  

Financial and Actuarial Mathematics  
at Vienna University of Technology, Austria  

 

Modules

M2: Risk-adjusted value functionals and capital allocation

  • Module leader: Univ.Prof. Dr. Uwe Schmock
  • Staff: DI Piet Porkert
  • Bank Austria: Dr. Christoph Konvicka; Dr. Silvia Lafer-Stuppnig

M4: Dependence modelling for pricing and risk management

  • Module leader: Univ.Prof. Dr. Uwe Schmock
  • Staff: DI Karin Hirhager (for FJA); Jonas Hirz, MSc (for FJA); DI Ismail Cetin Gülüm (for Bank Austria); Dipl.-Math. Cordelia Rudolph (for Bank Austria)
  • Bank Austria: DI Wolfgang Weidinger
  • FJA: Dipl.-Math. Axel Helmert; Dr. Christian Weber

M6: Credit risk models and credit derivatives

  • Module leader: Univ.Prof. Dr. Uwe Schmock
  • Staff: Jonas Hirz, MSc
  • OeKB: Mag. Karl Heinz Überlackner; Mag. Johannes Pflügl; Dr. Christoph Schwärzler; Heidemarie Ptacnik

M8: Modelling of market risk with jump processes

  • Module leader: Univ.Ass. Dr. Friedrich Hubalek
  • Staff: Dipl.-Math. Tilmann Blümmel
  • Bank Austria: Univ.Doz. Dr. Peter Schaller

M9: Modelling of fixed income markets

  • Module leader: Dr. Reinhold Kainhofer
  • Staff: Sühan Altay, MSc; Dr. Reinhold Kainhofer
  • ÖBFA: DI Roland Kapl; Mag.(FH) Gerald Nebenführ; DI Kristin Radek

Former modules:

M1: Measuring operational risk with methods from insurance mathematics (Jan. 2006 - Dec. 2010)

  • Module leader: Ao.Univ.Prof. Dr. Peter Grandits

M3: Measures of risk and risk-based capital allocation (Jan. 2006 - Dec. 2010, merged into M2)

  • Module leader: o.Univ.Prof. Dr. Walter Schachermayer

M5: Pricing and hedging under transaction costs (Jan. 2007 - Dec. 2010)

  • Module leader: o.Univ.Prof. Dr. Walter Schachermayer

M6: Credit risk models and credit derivatives (Jan. 2006 - Dec. 2008, with Bank Austria)

  • Module leader: Univ.Prof. Dr. Uwe Schmock

M7: Numerical methods in finance (Jan. 2006 - Dec. 2010)

  • Module leader: Dr. Reinhold Kainhofer

M5 old: Modelling of fixed income markets (Oct. 2005 - Sept. 2007)

  • Module leader: Ao.Univ.Prof. Dr. Josef Teichmann