VFN-L February 2006

vfn-l@fam.tuwien.ac.at

4 participants
5 discussions

[VFN] New Directions in Financial Modelling, Demonstrations of specialist financial software systems
by Xiaochen Sun 22 Feb '06

22 Feb '06

New Directions in Financial Modelling <http://www.unicom.co.uk/finance> Seminar and Workshop Series, 22 May 2006 - 25 May 2006, London, UK 22 May: Pre-Seminar Workshop Financial Innovation & New Structured Products in the Equity World 23-24 May: Two-day, multi-speaker seminar, with the following themes: * Day One: Recent Developments in Financial Modelling * Day Two: Recent Developments in Portfolio Planning 25 May: Demonstrations of specialist financial software systems This meeting is organised by CARISMA (The Centre for the Analysis of Risk and Optimisation Modelling Applications), Brunel University in collaboration with a number of other leading research institutions: Hermes Centre of Excellence, University of Cyprus Department of Statistics and Decision Support Systems, University of Vienna The Centre for Financial Research, Judge Business School, Cambridge. The Centre for Quantitative Finance, Imperial College The Risk Management and Financial Engineering (RMFE) Lab, University of Florida The theme of the final day is to present specialist financial software systems. Some systems are commercial and others have been developed in academic labs and are migrating to commercial applications. Those presenting/demonstrating systems will include: CARISMA University of Vienna The Centre for Financial Research, Judge Business School, Cambridge The Centre for Quantitative Finance, Imperial College APT Insightful Speakers for 23-24 May confirmed to date include: Nicos Christofides The Centre for Quantitative Finance, Imperial College (confirmed) Michael Dempster The Centre for Financial Research, Judge Business School, Cambridge (confirmed) Gerd Infanger Stanford University (confirmed) Dilip Madan Robert H Smith School of Business, University of Maryland/Consultant to Morgan Stanley (confirmed) Gautam Mitra CARISMA (The Centre for the Analysis of Risk and Optimisation Modelling Applications), Brunel University (confirmed) Georg Pflug Department of Statistics and Decision Support Systems, University of Vienna (confirmed) Stan Uryasev The Risk Management and Financial Engineering (RMFE) Lab, University of Florida (confirmed) Stavros Zenios Hermes Centre of Excellence, University of Cyprus (confirmed) Daniel Di Bartolomeo Northfield Systems (confirmed) Norbert Jobst Standard & Poor's (confirmed) Zari Rachev FinAnalytica (confirmed) Andrew Robinson APT (confirmed) Benefits of Attending You will learn about the latest developments in the field from acknowledged research leaders, gathered together in London. By networking and listening to the presentations, you will gain valuable knowledge and practical techniques to apply your own area of practice or research. You will gain first hand experience of the innovative thinking and best practices currently being developed in some of the world's leading educational institutions. The target audience is Academics PhD Research Students Project leaders and Quants from Financial Institutions For further details please go to www.unicom.co.uk/finance <http://www.unicom.co.uk/finance> , either download brochure or email info(a)unicom.co.uk <mailto:info@unicom.co.uk> for a PDF filer. We look forward to welcoming you to the workshops; please also make your colleagues aware of it. I believe this information will be of interest to you and your colleagues With regards Michael Sun Michael(Xiaochen) Sun CARISMA, www.carisma.brunel.ac.uk Centre for the Analysis of Risk and Optimisation Modelling Application; School of Computing, Information Systems and Mathematics Brunel University Middlesex Uxbridge, UB8 3PH United Kingdom * xiaochen.sun(a)brunel.ac.uk <mailto:xiaochen.sun@brunel.ac.uk> http://mam3xs.blogspot.com/ *(+44) (0)1895 265625 *(+44) (0)7841873292

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[VFN] Ausschreibung Stellen WissenschaftlicheR MitarbeiterIn
by Christopher Casey 16 Feb '06

16 Feb '06

Sehr verehrte Damen, sehr geehrte Herren, am Institut für Finanzierung und Finanzmärkte der Wirtschaftsuniversität Wien, Abteilung für Investmentbanking und Katallaktik, o.Univ.Prof. Dr. Otto Loistl, sind voraussichtlich ab Anfang März 2006 bis 30. September 2008 zwei Stellen eines Wissenschaftlichen Mitarbeiters/einer Wissenschaftlichen Mitarbeiterin vollbeschäftigt zu besetzen. Nähere Informationen entnehmen Sie bitte der Ausschreibung obiger zwei Stellen unter: http://www.wu-wien.ac.at/home/jobs/ausschrwisspers#w48 (Bewerbungsfrist: 1. März 2006). Mit der Bitte um wohlwollende Kenntnisnahme und gegebenenfalls Weiterleitung an InteressentInnen verbleibe ich mit freundlichen Grüßen Christopher Casey -------------------------------------------------------------------- ao.Univ.-Prof. Dr. Christopher Casey Institut fuer Finanzierung und Finanzmaerkte Abteilung für Investmentbanking und Katallaktik Wirtschaftsuniversität Wien Althanstrasse 39-45, 1090 Wien, Oesterreich Tel.: 0043-1-31336-4167 Fax: 0043-1-31336-761 Email: Christopher.Casey(a)wu-wien.ac.at http://ifm.wu-wien.ac.at/ --------------------------------------------------------------------

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[VFN] Reminder: February 21st Gutmann Center Public Lecture: Vasant Naik "Quantitative Investing in Global Interest Rate and Currency Markets"
by Gutmann Center-D.Grimm 16 Feb '06

16 Feb '06

GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna - http//:www.gutmann-center.at invites to the following PUBLIC LECTURE: (Apologies for any cross-listings!): Date: February 21st, 2006 - 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Vasant NAIK, Lehman Brothers in London Title: QUANTITATIVE INVESTING IN GLOBAL INTEREST RATE AND CURRENCY MARKETS The talk will outline our ongoing research into applications of quantitative approaches for investment decision making in global fixed-income and currency markets. We will consider tactical market-timing type decisions as well as strategies aimed at exploiting risk premia over a long horizon. About Vasant Naik: Vasant Naik is the head of the Quantitative Market Strategies Group of the Fixed Income Research division of Lehman Brothers in London. He has been with Lehman Brothers for 7 years. He is responsible for a team that is engaged in building quantitative models useful for investment decision-making in global fixed income markets. As such, the group conducts research projects characterizing risk and return in global bond, currency and volatility markets. Vasant’s group also works on questions of optimal portfolio construction, portfolio risk modeling and investment process design. This research is made available to clients of Lehman Brothers which include the largest institutional investors around the globe. Quantitative research is one of the dimensions along which Lehman Brothers excels in the financial industry. Prior to joining Lehman Brothers, Vasant was a faculty member at the University of British Columbia in Canada for 10 years. In his academic research, he has developed models of equity returns, the yield curve, derivatives valuation and hedging and real options. Also, he taught under-graduate, graduate and doctoral students in different areas of Finance. Vasant graduated from Indian Institute of Management Bangalore in 1983 and from University of California, Berkeley in 1988 with a doctorate in finance. Please REGISTER: Mail: gutmann.bwl(a)univie.ac.at Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074 Contact and further information: Gutmann Center for Portfolio Management University of Vienna - Mag. Dorothea GRIMM Bruenner Str. 72 - 1210 Wien (Austria) phone: +43-1-4277-38186 - fax: +43-1-4277-38074 mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at

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[VFN] VGSF Research Seminar of Vasant Naik
by Michael Halling 15 Feb '06

15 Feb '06

Prof. Vasant Naik from Lehman Brothers (London) is giving a VGSF research seminar on "Global Savings - Investment Imbalances: A Look Through the Life-Cycle Model" on MONDAY, Feb. 20th, from 15:30 to 17:00 at the BWZ, Lecture Room (HS) 3. There is going to be the possibility to talk to Vasant on Tuesday. If you would like to discuss your research projects and ideas with him, please contact michael.halling(a)univie.ac.at. Best, Michael Halling

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[VFN] Invitation March 27th : Gutmann Center Symposium on Real Assets and Portfolio Management
by Gutmann Center-D.Grimm 02 Feb '06

02 Feb '06

The Gutmann Center for Portfolio Management at the University of Vienna http://www.gutmann-center.at is pleased to announce the GUTMANN CENTER SYMPOSIUM 2006: "REAL ASSETS AND PORTFOLIO MANAGEMENT" March 27th, 2006, 9.00 am – 6.00 pm University of Vienna - "Kleiner Festsaal" Dr. Karl-Lueger-Platz 1, 1010 Wien Real estate, a major driver of both the overall economy and of individual wealth, has become an increasingly important asset class for portfolio managers. Other real assets such as private equity and venture capital have also generated a lot of interest recently as additional opportunities to optimize asset allocation. However, for most investors, these alternative investment opportunities remain rather opaque. Internationally recognized experts will present their analyses of these asset classes at our symposium from both an academic and practitioner’s perspective. KEY-NOTE ADDRESS “Homeownership as a Constraint on Asset Allocation” Eduardo Schwartz, UCLA SESSION I: REAL ESTATE: PORTFOLIO CHOICE AND RETURN CHARACTERISTICS - “Efficient Portfolios when Housing is a Hedge against Rent Risk” Loriana Pelizzon, Università Ca' Foscari di Venezia - “Illiquidity and Pricing Biases in the Real Estate Market” Kerry D. Vandell, University of Wisconsin-Madison - “Hot and Cold Housing Markets: International Evidence” Javier Suarez, CEMFI SESSION II: REAL ASSETS AND PORTFOLIO CHOICE - “Comovement After Joining an Index: Spillovers of Nonfundamental Effects” Dong Wook Lee, University of Kentucky - “Better Regulation and Underwriter Reputation have done nothing for IPO Underpricing over the 20th Century: Empirical Evidence from IPOs on the London Stock Exchange” Elroy Dimson, London Business School - “Beautiful Asset: Art as Investment” Michael Moses, New York University SESSION III: PERFORMANCE OF PRIVATE EQUITY AND VENTURE CAPITAL - “Determinants of Venture Capital Performance: Europe and the United States” Ulrich Hege, HEC - “Risk-Adjusted Returns of Private Equity Investments” Alexander Groh, Technische Universität Darmstadt - “The Performance of Private Equity Funds” Ludovic Phalippou, University of Amsterdam, SESSION IV: EXPECTED RETURNS IN REAL ESTATE - “Expected Returns and the Expected Growth in Rents of Commercial Real Estate” Walter Torous, UCLA - “Assessing High House Prices: Bubbles, Fundamentals and Misperceptions” Charles P. Himmelberg, Goldmann Sachs Sessions will be chaired and discussed by members of the Academic Advisory Board: - Elroy Dimson, London Business School - Engelbert Dockner, University of Vienna - Robert Korajczyk, Northwestern University - Klaus Spremann, University St. Gallen - Neal Stoughton, University of Calgary - Josef Zechner, University of Vienna The participation is free, but all participants are required to REGISTER: mail: gutmann.bwl(a)univie.ac.at Detailed program is available at www.gutmann-center.at ! Contact: Gutmann Center for Portfolio Management University of Vienna Bruenner Str. 72 1210 Wien - Austria phone: +43-1-4277-38186 fax: +43-1-4277-38074 mail: gutmann.bwl(a)univie.ac.at web: www.gutmann-center.at

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VFN-L February 2006