The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna
www.gutmann-center.at
is pleased to announce the following
PUBLIC LECTURE:
(We apologize for any cross-postings)
Date: March, 25th (Thursday), 4.30 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010
Wien
www.gutmann.at
Title: "Asset Allocation Optimization: Theory and Practice"
Speaker: Prof. Dr. William F. SHARPE
STANCO 25 Professor of Finance, Emeritus
at Stanford University's Graduate School of
Business
Nobel Prize in Economic Sciences, 1990
http://gobi.stanford.edu/facultybios/bio.asp?ID=151
Prof. Sharpe was one of the originators of the Capital Asset
Pricing Model, developed the Sharpe Ratio for investment
performance analysis, the binomial method for the valuation of
options, the gradient method for asset allocation optimization,
and returns-based style analysis for evaluating the style and
performance of investment funds.
Dr. Sharpe has published articles in a number of professional
journals, including Management Science, The Journal of Business,
The Journal of Finance, The Journal of Financial Economics, The
Journal of Financial and Quantitative Analysis, The Journal of
Portfolio Management, and The Financial Analysts' Journal.
He has also written six books, including Portfolio Theory and
Capital Markets (McGraw-Hill, 1970 and 2000), Asset Allocation
Tools (Scientific Press, 1987), Fundamentals of Investments
(with Gordon J. Alexander and Jeffrey Bailey, Prentice-Hall,
2000) and Investments (with Gordon J. Alexander and Jeffrey
Bailey, Prentice-Hall, 1999).
Prof. Sharpe is past President of the American Finance
Association. In 1990 he received the Nobel Prize in Economic
Sciences.
He received his Ph.D., M.A. and B.A. in Economics from the
University of California at Los Angeles. He is also the
recipient of a Doctor of Humane Letters, Honoris Causa from
DePaul University, a Doctor Honoris Causa from the University of
Alicante (Spain), and the UCLA Medal, UCLA's highest honor.
Dr. Sharpe is a trustee of the AXA Rosenberg mutual funds and a
member of the board of Financial Engines, Incorporated.
Please register - Contact:
Brigitte Juchelka, Bank Gutmann AG
mail: brigitte.juchelka(a)gutmann.at
Tel.: +43-1-50220-357
Fax: +43-1-50220-249
Further information:
Dorothea Grimm
Gutmann Center for Portfolio Management
mail: dorothea.grimm(a)univie.ac.at
Phone: +43-1-4277-38186
web: http://www.gutmann-center.at
EURANDOM Workshop on
"Exotic option pricing under advanced Lévy models"
EURANDOM, Eindhoven, The Netherlands
May 3 and 4, 2004.
http://www.eurandom.nl/workshops/2004/Exotic%20pricing/exotic_pricing.htm
Summary
In recent years more and more attention has been given to stochastic
models of financial markets which depart from the traditional
Black-Scholes model; that is to say both in academia and financial
institutions alike. In particular focus has been placed on modelling
risky assets with semi-martingales. For example Lévy process based
models are able to take into account different important stylised
features of financial time series. The consequence of working with more
advanced stochastic models forces a number of new mathematical
challenges with respect to exotic derivatives. Exotic derivatives are
gaining increasing importance as financial instruments and are traded
nowadays in large quantities in over the counter markets. Examples of
these exotic options are lookback, barrier, Asian, Parisian, Bermudian,
Russian, Israeli, Passport, Cliquet, digital, swing, corridor, Variance
Swap options etc. Moreover these instruments are finding their way into
other businesses like the (re-)insurance; for example catastrophe
options, weather derivatives and energy derivatives are useful in
handling different kinds of risk.
Mathematical issues at stake include: multiple inverse Fourier transform
techniques, issues of smooth and continuous pasting in free boundary and
optimal stopping problems, extracting overshoot distributions from
Wiener-Hopf factorisations, characterizing distributions of functionals
of Levy processes, wavelet and other sub-basis methods for American-type
option pricing, Monte-Carlo simulations and other numerical techniques.
This workshop aims to bring people together from both industry and
academia to overview recent results, discuss imminent problems and
motivate new research.
Special lectures by
Dilip Madan,University of Maryland at College Park
Peter Carr, New York University and Bloomberg
Marc Yor, Université Paris VI
Albert Shiryaev, Stekolov Mathematical Institute and Moscow State
University
Speakers and Discussion chairmen
Hansjörg Albrecher, Technische Universität Graz
Paulinne Barrieu, London School of Economics
Peter Carr, New York University and Bloomberg
Freddy Delbaen, ETH-Zentrum
Richard Hudson, The Wall Street Journal
Christoph Kühn, Johann Wolfgang Goethe-Universität
Andreas Kyprianou, Universiteit Utrecht
Elisa Nicolato,University of Aarhus
David Nualart, Universitat de Barcelona
Dilip Madan ,University of Maryland at College Park
Goran Peskir, University of Aarhus
Frédérique Petit , Université Paris VI
Wim Schoutens, K.U.Leuven - U.C.S.
Albert Shiryaev, Stekolov Mathematical Institute and Moscow State
University Nick Webber, Cass Business School Marc Yor, Université Paris VI
REGISTRATION FEE
For academia there is no fee.
For non-academic people the fee is
500 Euro* (For inscriptions before 31th of March, 2004)
700 Euro* (For inscriptions after 31th of March, 2004)