Workshop announcement The Fraunhofer Chalmers Centre FCC together with by getagrip


									             Workshop announcement
     The Fraunhofer Chalmers Centre FCC together with the
     Fraunhofer Institute for Industrial Mathematics ITWM
     announces a one-day workshop on

  „Simulation Techniques and Models
  for Applications in the Finance and
         Insurance Industry“
given by
          Prof. Dr. Ralf Korn (Univ. Kaiserslautern & Fraun-
          hofer Institute for Industrial Mathematics ITWM)
          Dipl. Math. Johan de Kock (ITWM, Kaiserslautern)
          MSc. Tech.Math. Sema Yilmaz (ITWM,

Date: November 15, 2007, preliminary from 08.00 to 17.00
Venue: Swedish Insurance Federation, Room “Sergels Torg”,
       Floor 6, Karlavägen 108, Stockholm

Workshop finance and insurance   page 1(3)       2007-10-01 /RK
The workshop will contain:
   • A well-chosen mixture between theoretical background
     and hands-on real applications
   • Introduction to popular models for the evolution of eco-
     nomic indicators and processes such as stock prices, inte-
     rest rates, exchange rates, mortality dynamics and others
   • Practical use of modern simulation techniques in the
     finance and insurance industry
   • Computer workshops and software demonstrations
   • Freely available software
   • A Certificate of Participation
The course contains both introductory and advanced aspects of modelling techniques and
simulation methods in financial and actuarial mathematics which are widely used in financial
engineering and which are relevant for actuarial practise. All methods are thoroughly
introduced and illustrated by computer examples. Stress is laid on the practical application.
For each topic numerical algorithms are presented and professional software will be handed
out (time-limited licenses) to the course attendants. This software is the simulation tool
SimIns developed at FCC for the purpose of asset liability management and dynamic financial
analysis. Participants are encouraged to bring their laptops along to the course as practical
exercises and demonstrations are a substantial part of the workshop!
Due to its structure the course aims at a wide range of audience which includes financial eco-
nomists, financial engineers and actuarial engineers and mathematicians.

A preliminary schedule includes:
       Basics of Monte Carlo Simulation
       Black-Scholes and Co: Popular models for stock price evolution and economic
       Vasicek and Co: Interest rate modelling with applications in the insurance business
       Calculation of the profit-loss-distribution and risk measures
       ALM: A simulation framework for asset liability management
       Introduction to SimIns
       Performing advanced simulations with SimIns

Workshop finance and insurance          page 2(3)                        2007-10-01 /RK
About the instructors:
Prof. Dr. Ralf Korn holds a chair (C4 professorship) in Financial Mathematics at the Univer-
sity of Kaiserslautern (Germany). He has written two well-known books and has published
numerous articles in the area of mathematical finance. He is an associate editor of Mathe-
matical Finance and of Mathematical Methods of Operations Research. On the industry
sector, he has built up a group of now 11 mathematicians working on research and consultancy
projects (on credit rating, Basel II, asset liability management, pricing of exotic derivatives,
convertible bonds, stochastic volatility models, inflation linked products, …) for the finance
and insurance industry as part of the Fraunhofer Institute for Industrial Mathematics (ITWM)
at Kaiserslautern. Further, he is deputy-chair of the German Association for Actuarial and
Financial Mathematics (DGVFM).
Dipl. Math. Johan de Keck and MSc. Tech.Math. Sema Yilmaz are members of the Financial
Mathematics group at Fraunhofer ITWM. They are both experts in programming software for
applications in financial and actuarial mathematics and will present the software package
SimIns created by Dr. Joachim Johansson from FCC in a project with the Swedish Insurance

Workshop finance and insurance          page 3(3)                         2007-10-01 /RK

To top