| PROGRAM - EWGCFM Winter 2013 (EURO Working Group for Commodities and Financial Modelling) | ||
Wednesday, 11th December | ||
| 17:00 - 18:45 | Registration | Department of Statistics and OR, Room 06.511, 6th floor, Oskar-Morgenstern-Platz 1, 1090 Vienna |
| 19:00 | Walk through the Vienna Christmas market including a hot punch drink | |
Thursday, 12th December, Skylounge, 12th floor, Oskar-Morgensternplatz 1, 1090 Vienna | ||
| 08:50 - 09:00 | Opening | |
| 09:00 - 09:45 | S. Zenios, University of Cyprus | The Cyprus Debt Crisis: what we learned about the Eurozone and some modeling needs |
| 09:45 - 10:15 | A. Krzemienowski, Warsaw University of Technology | The Multivariate Robust Distribution of Asset Returns |
| 10:15 - 10:45 | D. Wolff, Universität Gießen | Analyzing Hedging Strategies for Fixed Income Portfolios: A Bayesian Approach for Model Selection |
| 10:45 - 11:00 | break | |
| 11:00 - 11:30 | S. Vitali, University of Bergamo | Reward and risk in the fixed income markets |
| 11:30 - 12:00 | A. Kresta, VSB - Technical University of Ostrava | Backtesting of copula-GARCH models for VaR estimation |
| 12:00 - 12:30 | N. Alyousef, King Saud University | Modeling and forecasting crude oil prices using ARCH-type models |
| 12:00 - 13:00 | R. D'Ecclesia, Sapienza Università di Roma | Natural Gas and Crude Oil in Europe: Have they decoupled? |
| 13:00 - 14:00 | Lunchbreak at Skylounge | |
| 14:00 - 14:40 | A. Kholodnyi, Verbund - Austrian Power Trading AG | Extracting Forward-Looking Market-Implied Risk-Neutral Probability Distributions for Energy Spot Prices in the Unified Framework of the Non-Markovian Approach |
| 14:40 - 15:10 | Z. Zmeskal, VSB - Technical University of Ostrava | Hybrid game real option model |
| 15:10 - 15:40 | T. Tichy, VSB - Technical University of Ostrava | Extension of an FT-smoothing filter for financial multidimensional problems |
| 16:00 - 16:30 | M. Kopa, Charles University, Prague | Arbitrage-free semiparametric modelling of implied volatility |
| 16:30 - 17:00 | M. Smid, Institute of Information Theory and Automation | Determinants of Stocks' Choice in Portfolio Competitions |
| 17:30 - 18:00 | A. Belenky, National Research University Higher School of Economics | Game models for optimally selling commodities and for estimating the size of investment in restructuring an enterprise |
| 19:00 | Conference Dinner at Heuriger in Vienna | |
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Friday, 13th December, Lecture Room 17, 2nd floor, Oskar-Morgensternplatz 1, 1090 Vienna | ||
| 09:00 - 09:40 | G. Petritsch, e&t Energie Handelsges.m.b.H | Research and Analysis in an Energy Trading Company |
| 09:40 - 10:10 | G. Makridou, ESCP Europe Business School | Measuring the Efficiency of Energy-Intensive Industires Across 26 EU Countries |
| 10:10 - 10:40 | E. Tilica, The Bucharest University of Economic Studies | The Determinants for the Level of Market Efficiency in the Post Communist East-European Countries: Frictions |
| 10:40 - 11:00 | break | |
| 11:00 - 11:30 | J. Valecky, VSB-TUO, Faculty of Economics | Modelling of the Solvency Capital Requirements on Non-life Underwriting Risk: Empirical GLM Analysis |
| 11:30 - 12:00 | V. Dragota, Bucharest University of Economic Studies | Re-examining Capital Structure: New Factors in the List of Country-Specific Determinants? |
| 12:00 - 12:30 | B. Pérez-Gladish, Universidad de Valencia | Ranking firms based on flexible social performance valuations |
| 12:30 - 13:30 | break | |
| 13:30 - 14:30 | Round table discussion Participants: Rita L. D'Ecclesia, Jaap Spronk, Stavros Zenios, David Stack, Manuele Monti. | Commodity and Financial Modeling: Public Private partnership opportunities |
| Closing | ||
Conference and Event Management