Advanced risk management using stochastic optimization with financial applications

By | September 1, 2003

On September 1-3 the workshop "Advanced risk management using
stochastic optimization with financial applications" will take place
in Heidelberg, Germany.

The course will introduce techniques for writing and solving
multistage stochastic programs and techniques for scenario generation
and validation in the field of Financial Modeling and Optimization. It
will be a mixture of presentations, computer modeling exercises, case
studies, and group discussions.

Here is a short outline:

Day 1: Fundamentals: The need for Stochastic Programming. Scenario
generation techniques.
Day 2: Case study: International Asset Management. Solution methods.
Approximations of stochastic programs using tree reduction
Day 3: Validation and interpretation of model results: Contamination,
back-testing and stress testing techniques.

Instructors are Prof. Dr. Jitka Dupacova (Prague), Dr.
Nicole Groewe-Kuska (Berlin), Dr. Søren S. Nielsen (Denmark), Prof.
Dr. Werner Römisch (Berlin), Prof. Dr. Hercules Vladimirou (Cyprus)

The fee is is 1250 Euro + VAT. This includes lunches, coffee breaks,
and a sightseeing tour. There is a discount of 25% for the second and
subsequent participant from the same company. A special academic rate
of 950 Euro + VAT is available.

You will find more detailed information at:

Yours sincerely,

Ellen Schwarz