VFN-L September 2003

vfn-l@fam.tuwien.ac.at

3 participants
7 discussions

[VFN] Public Lecture Prof. Andrei Shleifer October 17th
by Gutmann Center-D.Grimm 30 Sep '03

30 Sep '03

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (http://www.gutmann-center.at) is pleased to announce the following PUBLIC LECTURE: Date: October, 17th, 11.00 a.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: Andrei SHLEIFER, Harvard University http://post.economics.harvard.edu/faculty/shleifer/shleifer.html The Whipple V.N. Jones Professor of Economics at Harvard University, Andrei Shleifer holds an undergraduate degree from Harvard and a Ph.D. from MIT. Before coming to Harvard in 1991, he has taught at Princeton and the Chicago Business School. Shleifer has worked in the areas of comparative corporate governance, law and finance, behavioral finance, as well as institutional economics. He has published four books, including The Grabbing Hand (with Robert Vishny), and Inefficient Markets: An Introduction to Behavioral Finance, as well as over a hundred articles. Shleifer has served as the Editor of the Quarterly Journal of Economics between 1989 and 1999, and as an Associate Editor of both the Journal of Finance and the Journal of Financial Economics. He is currently the Editor of the Journal of Economic Perspectives and an Advisory Editor of the JFE. Shleifer is a fellow of the Econometric Society and of the American Academy of Arts and Sciences. In 1999, Shleifer won the John Bates Clark medal of the American Economic Association. Title: "A Normal Country" Russia's reforms Abstract: "During the 1990s, Russia underwent an extraordinary transformation from a communist dictatorship to a multi-party democracy, from a centrally planned economy to a market economy, and from a belligerent adversary of the West to a cooperative partner. Yet a consensus in the US circa 2000 viewed Russia as a disastrous and threatening failure, and the 1990s as a decade of catastrophe for its citizens. Analyzing a variety of economic and political data, we demonstrate a large gap between this perception and the facts. In contrast to the common image, by the late 1990s Russia had become a typical middle-income capitalist democracy." 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

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[VFN] Position in Financial Mathematics at Florida State Universty
by VFN-L admin * Andreas Schamanek 27 Sep '03

27 Sep '03

Our colleagues at the Department of Mathematics of Florida State University, are inviting applications for a junior level tenure-track position beginning in August 2004. Details are at http://www.math.fsu.edu/Jobs/financial.html -- -- Andreas Schamanek

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[VFN] Gutmann Symposium on Capital Market Based Pension Systems Dec.1st 2003
by Gutmann Center-D.Grimm 24 Sep '03

24 Sep '03

+ CONFERENCE ANNOUNCEMENT + GUTMANN SYMPOSIUM ON CAPITAL MARKET BASED PENSION SYSTEMS Gutmann Center for Portfolio Management (www.gutmann-center.at) LOCATION: UNIVERSITY OF VIENNA (Austria) DATE: DECEMBER 1st, 2003 The reform of pension systems is one of the greatest challenges for most industrialized countries. As traditional pay-as-you-go-systems increasingly face budgetary constraints, capital market based solutions will become crucial. The internationally recognized speakers at our symposium approach this hot topic from an academic as well as from a practitioner's point of view: · Lawrence N. Bader, American Academy of Actuaries "Funding Corporate Pension Plans" · David Blake, Pensions Institute, Birkbeck College, University of London PensionMetrics: On the stochastic design of pension plans during the accumulation & distribution phases · Bill Fung, London Business School "Is there sufficient Absolute Return Capacity to meet Absolute Liabilities of Pension Funds?" · Jeremy Gold, Wharton School, University of Pennsylvania/ Jeremy Gold Pensions Accounting/Actuarial Bias Enables Equity Investment by Defined Benefit Pension Plans · Kristian R. Miltersen, Norwegian School of Economics and Business Administration International Comparison of Interest Rate Guarantees in Life Insurance · Andrea Prat, London School of Economics "Pension Fund Governance and the Choice between Defined Benefit and Defined Contribution Plans" · Christian Schlag, Goethe-Universität Frankfurt a.M. "Money-Back Guarantees in Individual Pension Accounts: Evidence from the German Pension Reform" The sessions will be discussed and chaired by members of the Academic Advisory Board: · Michael Brennan, University of California, Los Angeles · Elroy Dimson, London Business School · Engelbert Dockner, University of Vienna · Robert Korajczyk, Northwestern University · Klaus Spremann, University St. Gallen · Neal Stoughton, University of California, Irvine · René M. Stulz, Ohio State University, Fisher · Suresh Sundaresan, Columbia University · Maria Vassalou, Columbia University · Josef Zechner, University of Vienna, Director of the Gutmann Center for Portfolio Management The symposium will be followed by a panel discussion and a reception. Participation fee: the participation is free, but all participants are required to register. Please find further information about registration, programme, papers etc on the homepage: http://www.gutmann-center.at. Contact: gutmann.bwl(a)univie.ac.at or dorothea.grimm(a)univie.ac.at phone: +43-1-4277-38186 fax: +43-1-4277-38074 The Gutmann Center for Portfolio Management is sponsored by Bank Gutmann AG (www.gutmann.at).

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[VFN] Stellenausschreibung, Inst. f. BWL des Auszenhandels
by VFN-L admin * Andreas Schamanek 17 Sep '03

17 Sep '03

-------- forwarded message ---------- Date: Wed, 17 Sep 2003 09:56:39 +0200 From: Yvette Fuchs <Yvette.fuchs(a)wu-wien.ac.at> Subject: Stellenausschreibung A u s s c h r e i b u n g Am Institut für Betriebswirtschaftslehre des Außenhandels der Wirtschaftsuniversität Wien ist 2 Posten für Wissenschaftliche MitarbeiterInnen (Ausbildungverhältnis) voraussichtlich ab 01. November 2003 zu besetzen. Gesetzliche Aufnahmebedingungen: Abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften Zusätzlich erwünschte Kenntnisse: Fundierte Kenntnisse im Bereich der Betriebswirtschaftlehre des Außenhandels (facheinschlägige wissenschaftliche Arbeiten (Diplomarbeit) und/oder einschlägige praktische Erfahrungen mit dem Fokus Finanzierung des Auslandsgeschäfts), überdurchschnittlicher Studienerfolg, Fremdsprachenkenntnisse, Fähigkeit zur Betreuung wissenschaftlicher Forschungsprojekte, pädagogische Ausbildung, Bereitschaft zur Mitarbeit im Lehrbetrieb und in der Institutsadministration, Stressresistenz, Flexibilität und hohe Selbstmotivation Schriftliche Bewerbungen mit Lebenslauf und Angaben über den Studienerfolg (ohne Originalzeugnisse) sind an die Personalabteilung im Wege der Universitätsdirektion, Augasse 2-6, 1090 Wien zu richten. Ende der Bewerbungsfrist: 07.10.2003 Die Wirtschaftsuniversität Wien hat sich eine Erhöhung des Frauenanteils am wissenschaftlichen Personal zum Ziel gesetzt. Deshalb werden nachdrücklich Frauen aufgefordert, sich zu bewerben. Es wird darauf hingewiesen, dass Frauen bei gleicher Qualifikation bevorzugt aufgenommen werden und dass an der Wirtschaftsuniversität ein Arbeitskreis für Gleichbehandlungsfragen eingerichtet ist. ***

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[VFN] Programmaenderung - Workshop
by Hermine Panzenboeck 17 Sep '03

17 Sep '03

Ich bitte um nochmalige Veröffentlichung der folgenden Ankündigung, da ein Programmpunkt dazugekommen ist. Besten Dank R. Tichy In the course of the FWF-project Quasi-Monte Carlo Methods in Finance and Insurance the Graz University of Technology in cooperation with the University of Linz organizes a Workshop on Financial and Actuarial Mathematics (October 2 - 3) at the Department of Mathematics of the Graz University of Technology, Steyrergasse 30. Program: October 2, 2003: 15.00: Jörn Sass (Österr. Akademie d. Wissenschaften): "Optimizing the Terminal Wealth: An HMM for the Stock Returns" 16.00: Coffee break 16.30: Ralf Korn (Univ. Kaiserslautern): "Optimal investment and possible crashes" 17.30: L.C.G. Rogers (Univ. Cambridge): "Pricing and optimal exercise of credit-risky callable convertible bonds" October 3, 2003: 10.00: Walter Schachermayer (TU Wien): "Optimizing Expected Utility of Dividend Payments for a Brownian Risk Process and a Peculiar Nonlinear ODE (Going Beyond Linear Barrier Strategies)" 11.00: Hansjörg Albrecher (KU Leuven): "Extensions of the Cramer-Lundberg model in Ruin Theory" 14.00: Paul Embrechts (ETH Zürich): "Modelling dependence structures for multivariate high frequency data in finance" 15.00: Coffee break 15.30: Uwe Schmock (TU Wien): "Modelling dependent credit risks" 16.30: Soren Asmussen (Univ. Aarhus): "Heavy tails, importance sampling and cross entropy". R. Tichy

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[VFN] Public Lecture Michael Brennan October 6th
by Gutmann Center-D.Grimm 17 Sep '03

17 Sep '03

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (http://www.gutmann-center.at) is pleased to announce the following PUBLIC LECTURE: Date: October, 6th (Monday), 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: Michael J. BRENNAN former Irwin and Goldyne Hearsh Professor of Banking and Finance at the University of California, Los Angeles Professor of Finance at the London Business School. Prof. Brennan, a consultant and Director of Smith Breeden Associates, is the former Irwin and Goldyne Hearsh Professor of Banking and Finance at the University of California, Los Angeles, and Professor of Finance at the London Business School. Dr. Brennan's research interests include asset pricing, corporate finance, the pricing and role of derivative securities, market microstructure, and the role of information in capital markets, and he has published extensively in all of these areas. He is currently working on several issues, including the problem of asset allocation when investors face time varying opportunity sets, the determinants of international flows of portfolio investment, and the valuation of assets under time-varying market risk aversion. A former President of the American Finance Association, the Society for Financial Studies, and the Western Finance Association, Dr. Brennan has also served as Editor of the Journal of Finance and was the Founding Editor of the Review of Financial Studies. He has consulted extensively for corporations in Canada and the US, and in 1995 he was awarded the INQUIRE Europe prize for his work on corporate hedging strategies Title: "REASONABLE BELIEFS" Abstract: "In this talk I will be concerned with the assessment of the equity premium the difference between the expected returns on stocks and bonds. I will argue that traditional ways of assessing the premium are inappropriate in world in which the premium varies over time, and propose alternatives. Finally, I will discuss the implications of time-variation in the equity premium for the spending policies of endowments." 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

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[VFN] Workshop
by Hermine Panzenboeck 17 Sep '03

17 Sep '03

Ich bitte um Veröffentlichung der folgenden Ankündigung. Besten Dank R. Tichy In the course of the FWF-project Quasi-Monte Carlo Methods in Finance and Insurance the Graz University of Technology in cooperation with the University of Linz organizes a Workshop on Financial and Actuarial Mathematics (October 2 - 3) at the Department of Mathematics of the Graz University of Technology, Steyrergasse 30. Program: October 2, 2003: 15.00: Jörn Sass (Österr. Akademie d. Wissenschaften): "Optimizing the Terminal Wealth: An HMM for the Stock Returns" 16.00: Coffee break 16.30: Ralf Korn (Univ. Kaiserslautern): "Optimal investment and possible crashes" 17.30: L.C.G. Rogers (Univ. Cambridge): "Pricing and optimal exercise of credit-risky callable convertible bonds" October 3, 2003: 11.00: Hansjörg Albrecher (KU Leuven): "Extensions of the Cramer-Lundberg model in Ruin Theory" 14.00: Paul Embrechts (ETH Zürich): "Modelling dependence structures for multivariate high frequency data in finance" 15.00: Coffee break 15.30: Uwe Schmock (TU Wien): "Modelling dependent credit risks" 16.30: Soren Asmussen (Univ. Aarhus): "Heavy tails, importance sampling and cross entropy". R. Tichy

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VFN-L September 2003