Program (updated: December 9th, 2013)

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PROGRAM - EWGCFM Winter 2013 (EURO Working Group for Commodities and Financial Modelling)  

Wednesday, 11th December
17:00 - 18:45RegistrationDepartment of Statistics and OR, Room 06.511, 6th floor, Oskar-Morgenstern-Platz 1, 1090 Vienna
19:00Walk through the Vienna Christmas market including a hot punch drink

Thursday, 12th December
, Skylounge, 12th floor, Oskar-Morgensternplatz 1, 1090 Vienna
08:50 - 09:00Opening 
09:00 - 09:45S. Zenios, University of CyprusThe Cyprus Debt Crisis: what we learned about the Eurozone and some modeling needs
09:45 - 10:15A. Krzemienowski, Warsaw University of TechnologyThe Multivariate Robust Distribution of Asset Returns
10:15 - 10:45D. Wolff, Universität GießenAnalyzing Hedging Strategies for Fixed Income Portfolios: A Bayesian Approach for Model Selection
10:45 - 11:00break
11:00 - 11:30S. Vitali, University of BergamoReward and risk in the fixed income markets
11:30 - 12:00A. Kresta, VSB - Technical University of OstravaBacktesting of copula-GARCH models for VaR estimation
12:00 - 12:30N. Alyousef, King Saud UniversityModeling and forecasting crude oil prices using ARCH-type models
12:00 - 13:00R. D'Ecclesia, Sapienza Università di RomaNatural Gas and Crude Oil in Europe: Have they decoupled?
13:00 - 14:00Lunchbreak at Skylounge
14:00 - 14:40A. Kholodnyi, Verbund - Austrian Power Trading AGExtracting Forward-Looking Market-Implied Risk-Neutral Probability Distributions for Energy Spot Prices in the Unified Framework of the Non-Markovian Approach
14:40 - 15:10Z. Zmeskal, VSB - Technical University of OstravaHybrid game real option model
15:10 - 15:40T. Tichy, VSB - Technical University of OstravaExtension of an FT-smoothing filter for financial multidimensional problems
16:00 - 16:30M. Kopa, Charles University, PragueArbitrage-free semiparametric modelling of implied volatility
16:30 - 17:00M. Smid, Institute of Information Theory and AutomationDeterminants of Stocks' Choice in Portfolio Competitions
17:30 - 18:00A. Belenky, National Research University Higher School of EconomicsGame models for optimally selling commodities and for estimating the size of investment in restructuring an enterprise
19:00Conference Dinner at Heuriger in Vienna


Friday, 13th December
, Lecture Room 17, 2nd floor, Oskar-Morgensternplatz 1, 1090 Vienna  
09:00 - 09:40G. Petritsch, e&t Energie Handelsges.m.b.HResearch and Analysis in an Energy Trading Company
09:40 - 10:10G. Makridou, ESCP Europe Business SchoolMeasuring the Efficiency of Energy-Intensive Industires Across 26 EU Countries
10:10 - 10:40E. Tilica, The Bucharest University of Economic StudiesThe Determinants for the Level of Market Efficiency in the Post Communist East-European Countries: Frictions
10:40 - 11:00break
11:00 - 11:30J. Valecky, VSB-TUO, Faculty of EconomicsModelling of the Solvency Capital Requirements on Non-life Underwriting Risk: Empirical GLM Analysis
11:30 - 12:00V. Dragota, Bucharest University of Economic StudiesRe-examining Capital Structure: New Factors in the List of Country-Specific Determinants?
12:00 - 12:30B. Pérez-Gladish, Universidad de ValenciaRanking firms based on flexible social performance valuations
12:30 - 13:30break
13:30 - 14:30Round table discussion
Rita L. D'Ecclesia, Jaap Spronk, Stavros Zenios, David Stack, Manuele Monti.
Commodity and Financial Modeling: Public Private partnership opportunities
Conference and Event Management