EU-Workshop Series on Mathematical Optimization Models for Financial Institutions EUMOptFin is a series of Workshops sponsored by the European Community dealing with Mathematical Optimisation Models for Financial Institutions.
The scientific committee consists of:
	Georg Pflug (chair, University of Vienna) Marida Bertocchi (University of Bergamo) Flavio Cocco (Prometeia Calculo, Italy) Andrea Consiglio (University of Calabria, Italy) Jitka Dupacova (Charles University Prague) Alexej Gaivoronski (Norwegian University of Science and Technology) Gregory Prastacos (Athens University, Greece) Jaap Spronk (Erasmus University) Stavros Zenios (University of Cyprus)

The three workshops are:

EUMOptFin 1: The technology of asset and liability modelling

Date: January 13-17, 2003

This workshop was devoted to the methodological side of asset and liability management.

Venue:

Haus Semmering
Bundesstrasse 16
A-8685 Steinhaus am Semmering

Tel. +43 3853 8104 (from abroad)
03853 8104 (from Austria)
0676 7073033 (mobile)
e-mail: haussemmeringhotel@aon.at

List of young scientists:

1	BARRO	Diana	Italy	"Dynamic portfolio optimization: time decomposition with a scenario approach"
2	BERGENTHUM	Jan	Germany
3	CIRAOLO	Stefania	Italy
4	EWALD	Christian	Germany	"Malliavin Calculus an Localization for the computation of greeks"
5	GISMONDI	Riccardo	Austria
6	HERZIG	Bernhard	Austria
7	HOCHREITER	Ronald	Austria	"Component based financial management: financial market scenario generation"
8	KABASINSKAS	Audrius	Lithuania	"Study in financial market modeling"
9	KLEIN	Irene	Austria	"Duality in constrained optimal investment and consumption problems"
10	KOPA	Milo	Czech Republic	"Utility functions and portfolio selection problem"
11	LAUKAITIS	Algirdas	Lithuania	"Functional and high frequency financial data"
12	LOMBARDO	Daniela	Italy
13	MERINO	Maria	Spain	"On the Mortagage-Backed Securities Portfolio Structuring Problem Under Uncertainty"
14	MAVRI	Maria	Greece	"Mathematical models in Banking sector"
15	MORITSCH	Hans	Austria
16	NARDON	Martina	Italy	"An analysis of the effects of continuous dividends on the exercise of American options"
17	NICKEL	Nils	Germany
18	NING	Haikun	The Netherlands
19	ORLANDO	Giuseppe	Italy
20	ORTOBELLI	Sergio	Italy	"A semiparametric approach to value the risk of asset derivative portfolios"
21	PSYCHOYIOS	Dimitris	Greece	"New Methods for Hedging Volatility Risk"
22	RAGEA	Valentin	Romania
23	SKINTZIS	Georgia	Greece	"Applications of Real Options in Supply Chain Management"
24	SKINTZI	Vasiliki	Greece	"The effect of mis-estimating correlation on Value-at-Risk"
25	TICHY	Thomas	Czech Republic	"Effectiveness of option replication methods"
26	TOPALOGLOU	Nikolas	Greece	"Incorporating Derivative Securities in International Portfolios"
27	VALENTE	Patrik	United Kingdom	"Modelling and solving chance-constrained and recourse Asset/Liability Management problems in SPInE"
28	WOLF	Michael	Germany	"Flexible multivariate GARCH modeling with an appl.to intern. stock market"
	PISTOVCAK	Filip	Slovakia
	VAGSTAD	Frank	Norway
	HARAM	Lars	Norway

 

The program contained also longer lectures given by:

INVITED SPEAKERS		Country	title of presentation..	..held on..
Bertocchi	Marida	Italy	Robustness in bond portfolio management via stochastic programming	Friday
D'Ecclesia	Rita	Italy	Expectation Hypotesis of the Term Structure: The case of Italy
Frauendorfer	Karl	Swizzerland	Portfolio selection using multistage stochastic quadratic programing	Tuesday
Gaivoronski	Alexej	Norway	Optimization based decision support for portfolio selection and risk management	Wednesday
Mitra	Gautam	U.K.	Modelling environments and solution algorithms for large scale QP and QMIP models for portfolio planning	Friday
Pflug	Georg	Austria	Multiperiod risk measures: properties and applications	Monday
Schachermayer	Walter	Austria	Utility maximization in incomplete financial markets	Friday
Tompkins	Robert	Austria
Uryasev	Stanislaus	U.S.A.	Risk management and portfolio rebalancing strategies for hedge funds	Tuesday
Vladimirou	Hercules	Cyprus	Risk management models for international investment portfolios	Thursday
Willomitzer	M.	Austria	Practical aspects of AL-management for insurance companies
Zenios	Stavros	Cyprus	The tail that wags the dog - Integrated credit risk in asset portfolios	Monday
Ziemba	Bill	Canada	Utility function and risk measures for asset liability management and trading models	Wednesday

 

 

Photos of the workshop can be seen under http://mailbox.univie.ac.at/bernhard.herzig/eumoptfin

 

EUMOptFin2: Asset and Liability modelling for large institutions

Date: November 10.- 14. 2003

In this workshop specific asset liability models for classes of financial institutions were be presented.

Venue: University of Cyprus, Hermes European Center of Excellence on Computation Finance and Economics. The Hermes Laboratory, which has been in operation since 1992, has been selected as European Center of Excellence in 2000. It is currently funded for three years by a generous grant from the EC.

http://www.hermes.ucy.ac.cy/conferences/EUMOptFin/index.htm

EUMOptFin3: The drivers of performance of large financial institutions

Date: May 17. - 21. 2004

This workshop will present the state-of-the art on the studies of the performance of financial institutions and current efforts to develop a general framework that links operations, profitability, quality of services and financial intermediation in optimisation models. The topic has two aspects: Operational issues in service delivery and the optimal design of the financial intermediating process.

Venue: University of Bergamo. Bergamo is a historic town, about one hour drive from Milano, which is the main financial place in Italy.

Contact address: Marida Bertocchi (marida@unibg.it)

http://www.unibg.it/struttura/struttura.asp?cerca=eumoptfin3

Participation: for senior speakers and young scientists only by invitation.