VFN-L January 2003

vfn-l@fam.tuwien.ac.at

2 participants
5 discussions

[VFN] DGF-Jahrestagung 2003 - Call for papers (fwd)
by VFN-L admin * Andreas Schamanek 31 Jan '03

31 Jan '03

---------- Forwarded message ---------- Date: Fri, 31 Jan 2003 19:17:47 +0100 From: dgf(a)cofar.uni-mainz.de To: Andreas.Schamanek(a)univie.ac.at Subject: DGF-Jahrestagung 2003 - Call for papers ANKÜNDIGUNG UND CALL FOR PAPERS 10. Jahrestagung der Deutschen Gesellschaft für Finanzwirtschaft e.V. (DGF) vom 10. -11. Oktober 2003, Mainz http://www.cofar.uni-mainz.de/dgf2003 Sehr geehrte Damen und Herren, im Namen des Vorstandes der Deutschen Gesellschaft für Finanzwirt- schaft (DGF) lade ich Sie sehr herzlich zu unserer 10. Jahrestagung am 10.-11. Oktober 2003 an die Johannes Gutenberg-Universität Mainz ein. Während der Tagung werden Arbeitspapiere zu aktuellen Themen und Bereichen der Finanzmarktforschung präsentiert und diskutiert. Ihre Arbeitspapiere können Sie elektronisch via Webformular auf unserer Homepage http://www.cofar.uni-mainz.de/dgf2003 bis zum 1. April 2003 einreichen. (...)

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[VFN] Finance Research Seminar: IHS (fwd)
by VFN-L admin * Andreas Schamanek 22 Jan '03

22 Jan '03

---------- Forwarded message ---------- Date: Wed, 22 Jan 2003 12:53:01 +0100 From: Gabriel Lee <lee(a)ihs.ac.at> To: vfn-admin(a)fam.tuwien.ac.at Subject: Finance Research Seminar: IHS We are pleased to announce a seminar talk by Dominique Y. Dupont University of Twente on Monday, January 27, 2003, 16:00, HS II: Finance Research Seminar "Hedging Barrier Options: Current Methods and Alternatives" Abstract This paper applies to the static hedge of barrier options a technique, mean-square hedging, designed to minimize the size of the hedging error when perfect replication is not possible. It introduces an extension of this technique which preserves the computational e±ciency of meansquare hedging while being consistent with any prior pricing model or with any linear constraint on the hedging residual. This improves on current static hedging methods, which aim at exactly replicating barrier options and rely on strong assumptions on the availability of traded options with certain strikes or maturities, or on the distribution of the underlying asset. Paper to download http://www.sms.utwente.nl/download.asp?link='/files/2906/hedging.pdf'&linkID=11887 gabe lee

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[VFN] Prmia Summit Award Competition: Essays On Risk (fwd)
by VFN-L admin * Andreas Schamanek 22 Jan '03

22 Jan '03

--------- Forwarded Message --------- Date: Wed, 22 Jan 2003 11:53:27 +0100 From: Eugen Puschkarski <puschkarski(a)hotmail.com> To: vfn-l(a)fam.tuwien.ac.at Subject: PRMIA SUMMIT AWARDS COMPETITION: ESSAYS ON RISK PRMIA ANNOUNCES THE US$35,000 PRMIA SUMMIT AWARDS COMPETITION: ESSAYS ON RISK January 16, 2002 - To celebrate our first anniversary and in association with the 2003 Summits in Paris and Boston, we are very excited to announce the PRMIA Summit Awards: Essays on Risk. This is a new competition for original thought and the expression of ideas about risk management practice and theory. In keeping with PRMIA's focus on standards setting and education, we are soliciting papers from members on specific and contemporary subjects of interest to the risk profession. These papers will then be published in a library for members and visitors to freely access on the PRMIA web site. To encourage participation, monetary awards and scholarships will be granted for original essays written by members in four distinct areas, two for each Summit. Entrants will compete in the Open Class, where all submissions are welcome, and the Student Class, which is restricted to bone fide students. Associated with each respective Summit, PRMIA will grant up to four awards in the Open Class and one award in the Student Class. In addition, one single paper will be selected as the overall PRMIA Summit Award winner, recognizing its author or authors for their contribution to the free exchange of ideas about risk management. The PRMIA Summit Awards will consist of full scholarships to the respective PRMIA Summit and ensuing Risk Congress, having value of approximately US$3,500 per award. In addition to the conference scholarship, the top student paper will be awarded US$500 to help with travel expenses to the Summit, while the top Open Class paper will be awarded US$750 for same. The best overall paper will be given the PRMIA Summit Award for Excellence and a US$1,000 additional prize. The author or authors of the winning paper will be invited present their work in a featured session at the respective PRMIA Summit. The total value of potential scholarships and prizes is in excess of US$35,000 and is being made possible by the sponsors of the PRMIA Summit, Risk Conferences and PRMIA. "PRMIA is intent upon being innovative in the fulfillment of its Mission to facilitate the free exchange of ideas," said David R. Koenig, PRMIAs Chair. "We believe that all submissions, whether selected as prize winners or not, will serve as tremendous resources for those in the risk management field. We are very grateful for the support we are receiving in this endeavor." We hope you agree that this is a very exciting opportunity to celebrate good work in writing and research, to celebrate our first year as a professional association and to bring resources to members throughout the world via our web site. To learn more about the PRMIA Summit Awards: Essays on Risk, click the links below: view the details of the European Summit Awards: http://www.prmia.org/summits2003/europe.html view the rules of the competition: http://www.prmia.org/summits2003/rules.html

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[VFN] Gutmann Center-Vortrag Montag, 27.01.03
by Gutmann Center-D.Grimm 22 Jan '03

22 Jan '03

REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER Das GUTMANN CENTER FOR PORTFOLIO MANAGEMENT an der Universität Wien lädt alle Interessierten herzlich zu dem folgenden Vortrag ein: Vortragender: Prof. Dr. Alexander KEMPF, Universität Köln (http://www.wiso.uni-koeln.de/finanzierung/) Thema: "TOURNAMENTS IN MUTUAL FUND FAMILIES" Datum: Montag, 27. Januar 2003, 16.00 Uhr Ort: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin Abstract: This lecture deals with the optimal risk taking strategy of mutual fund managers in rank-order tournaments. The empirical study provides three major results: First, in addition to the well documented segment tournamentfund managers also play a tournament within their fund family. Second, the behaviour of fund managers in both tournaments depends crucially on the number of competitors of the fund manager. Third, the risk taking behaviour of fund managers in the segment tournament has changed dramatically over time. Paper zum download: http://www.gutmann-center.at/z_activities/z_public_lectures/paper_kempf.pdf Der Vortrag wird in deutscher Sprache stattfinden. Weitere Informationen zum Vortrag und zum Gutmann Center: www.gutmann-center.at. oder: Mag. Dorothea Grimm - e-mail: dorothea.grimm(a)univie.ac.at, Tel: 01/4277-38186 Anmeldung: Die Teilnahme ist kostenlos, es wird jedoch um Anmeldung gebeten: Frau Alexandra Laugofsky, Bank Gutmann AG alexandra.laugofsky(a)gutmann.at oder Tel.: 01/50220-381

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[VFN] Announcement - Gutmann Center for Portfolio Management - Public lecture with Prof. Alexander Kempf (fwd)
by VFN-L admin * Andreas Schamanek 09 Jan '03

09 Jan '03

-------- forwarded message --------- Date: Wed, 8 Jan 2003 15:58:00 +0100 From: Zeiner Sonja <Sonja.Zeiner(a)gutmann.at> To: "'vfn-l(a)fam.tuwien.ac.at'" <vfn-l(a)fam.tuwien.ac.at> Subject: Announcement - Gutmann Center for Portfolio Management - Public lecture with Prof. Alexander Kempf Talk with Prof. Alexander Kempf, University of Cologne Date: 27.1.2003 Time: 04:00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin Title of the talk: Tournaments in Mutual Fund Families Abstract: This lecture deals with the optimal risk taking strategy of mutual fund managers in rank-order tournaments. The empirical study provides three major results: First, in addition to the well documented segment tournament fund managers also play a tournament within their fund family. Second, the behaviour of fund managers in both tournaments depends crucially on the number of competitors of the fund manager. Third, the risk taking behaviour of fund managers in the segment tournament has changed dramatically over time. The lecture will be held in German! Registration: until 22.1.2003 Frau Sonja Zeiner (Tel.: 01/502 20-357 or sonja.zeiner(a)gutmann.at)

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VFN-L January 2003