VFN-L January 2010

vfn-l@fam.tuwien.ac.at

4 participants
7 discussions

[VFN] Swissquote Conference on Interest Rate and Credit Risk (fwd)
by VFN-L admin * Andreas Schamanek 25 Jan '10

25 Jan '10

---------- Forwarded message ---------- Date: Mon, 25 Jan 2010 12:21:32 +0100 From: Filipovic Damir <damir.filipovic(a)epfl.ch> Subject: Swissquote Conference on Interest Rate and Credit Risk Dear colleagues, may I draw your attention to the conference announcement http://sfi.epfl.ch/page85028.html. Kind regards, Damir Filipovic Swissquote Professor of Quantitative Finance Swiss Finance Institute Ecole Polytechnique Fédérale de Lausanne Quartier UNIL-Dorigny, Extranef 218 1015 Lausanne, Switzerland Tel: +41 21 693 0108 http://sfi.epfl.ch [PDF attachment with same content as on web page removed by admin]

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[VFN] ÖVFA Kapitalmarktpreis 2010
by office＠ovfa.at 21 Jan '10

21 Jan '10

Sehr geehrte Damen und Herren! Der ÖVFA Kapitalmarktpreis 2009 war ein voller Erfolg, daher hat sich die ÖVFA entschlossen ihn auch heuer wieder auszuschreiben. Auch 2010 dient der Kapitalmarktpreis der Förderung des Wissentransfers von der Wissenschaft zur Praxis. Der Preis ist mit insgesamt 10.000 Euro dotiert. Davon sind 7.500 € für Habilitationen, Dissertationen und Beiträge in referierten Zeitschriften vorgesehen; bis zu 2.500 Euro sind für ausgezeichnete Diplomarbeiten reserviert. Neben dem Bereichen volkswirtschaftliche Aspekte des Kapitalmarktes und Finance ist ein Themenschwerpunkt Kapitalmarktrecht. Bitte entnehmen Sie die Details unserer Website http://www.oevfa.at/oevfa/oevfa_v3.nsf/sysPages/OEVFA_Kapitalmarktpreis.htm Die Einreichungsfrist läuft bis 31. März 2010. Mit freundlichen Grüßen Doris Jahn _____________________________________ ÖVFA - Österreichische Vereinigung für Finanzanalyse und Asset Management Eßlinggasse 17/5, A-1010 Wien T +431 533 50 50 15 F +431 533 50 50 33 E office(a)ovfa.at www.oevfa.at

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[VFN] Overview of related mailing lists
by VFN-L admin * Andreas Schamanek 16 Jan '10

16 Jan '10

Dear VFN-L subscribers, My colleague Sandra Trenovatz from FAM TU Vienna compiled a comprehensive list of Vienna based mailing lists focusing on mathematical finance and economics (thanks Sandra!). +------------------- | MAILING LISTS +------------------------------ > *FAM-news* mailing list talks and events in the area of financial and actuarial mathematics, everything at FAM TU Vienna [ http://www.fam.tuwien.ac.at/events/ ], additionally sometimes even more. sent once a week. > *FAM-vr* mailing list talks within the lecture series financial and actuarial mathematics organised by FAM in cooperation with AVÖ (Aktuarvereinigung), GVFW (Österreichische Gesellschaft für Versicherungsfachwissen) UniVie and VIF: http://www.fam.tuwien.ac.at/vr/ . Only a few mails per year - mainly for practitioners. > *FAM-jobs* mailing list job offers in the area of financial and actuarial mathematics in austria (and internship offers for students worldwide): http://www.fam.tuwien.ac.at/jobs/ announcements of job offers are free! (for worldwide jobs we refer to http://www.math-jobs.com/ ) > *VFN-L* - Vienna Finance Newsletter announcements of lectures, conferences (and more) about finance and economics. everybody can post - a moderator decides what is sent to the mailing list: http://www.fam.tuwien.ac.at/mailman/listinfo/vfn-l > *VGSF* newsletter talks & announcements of the Vienna Graduate School of Finance http://www.vgsf.ac.at/vgsf/activities/seminar > *Math@UniVie, ESI, WPI, WK* talks/events calendar: http://plone.mat.univie.ac.at/vortrage ***

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[VFN] Postdoc position at Oxford-Man (fwd)
by VFN-L admin * Andreas Schamanek 15 Jan '10

15 Jan '10

---------- Forwarded message ---------- Date: Fri, 15 Jan 2010 16:50:33 +0000 (GMT) From: Xunyu Zhou <zhouxy(a)maths.ox.ac.uk> Subject: Postdoc position at Oxford-Man Dear colleagues In addition to the 2 Nomura Postdoctoral Positions with Oxford's Maths Finance Group, Oxford-Man Institute of Quantitative Finance has a 3-year postdoctoral position open; see http://www.oxford-man.ox.ac.uk/jobs/home.html (note a rather tight deadline the 31st January 2010.) Regards -- Xunyu Zhou Nomura Professor of Mathematical Finance Director, Nomura Centre for Mathematical Finance Mathematical Institute University of Oxford 24-29 St Giles', Oxford OX1 3LB, UK Email: zhouxy(a)maths.ox.ac.uk Tel.: +44 1865 280614 Fax: +44 1865 270715 http://people.maths.ox.ac.uk/~zhouxy/

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[VFN] Jacod/Todorov/Podolskij Talks on Jan 13
by Friedrich Hubalek 12 Jan '10

12 Jan '10

I am very sorry to bother everybody again, but it was necessary to reschedule the Viktor Todorv's talk once more. Below is the updated information for the talks on Jan 13. Friedrich Hubalek We, 13.01.2010, 11:00-12:00, Seminar room C 7.14 (Wofgang Pauli Inst.), (1090 Wien, Nordbergstr. 15, Univ. Wien, UZA4, 7th floor) Jean Jacod (Université Paris VI): "Statistics for high frequency data: some open problems" We, 13.01.2010, 13:15 - 14:15, Seminar room D 1.01 (Mathematik), (1090 Wien, Nordbergstr. 15, Univ. Wien, UZA4, 1st floor) Viktor Todorov (Kellogg School of Management): "Tails, Fears and Risk Premia" We, 13.01.2010, 15:15-16:00 Uhr, Seminar room C 2.09 (1090 Wien, Nordbergstr. 15, Univ. Wien, UZA4, 2nd floor) Mark Podolskij (ETH Zurich) "Stein's Method, Malliavin Calculus and Central Limit Theorems" (Außerordentliches Mathematisches Kolloquium) ---

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[VFN] January 20th: GUTMANN CENTER PUBLIC LECTURE: Thorsten Hens "Behavioral Finance for Private Banking"
by Grimm, Dorothea 12 Jan '10

12 Jan '10

The Gutmann Center for Portfolio Management has been relaunched as the WU GUTMANN CENTER FOR PORTFOLIO MANAGEMENT www.gutmann-center.at We are pleased to announce the continuation of our successful and renowned activities and would like to invite you to our first WU GUTMANN CENTER PUBLIC LECTURE (apologies for any cross-listings!) Date: January 20th, 2010 (Wednesday) - 4:30 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. THORSTEN HENS, University of Zurich http://www.isb.uzh.ch/institut/staff/hens.thorsten/index.php Title: BEHAVIORAL FINANCE FOR PRIVATE BANKING Abstract: This presentation shows how behavioral finance can be applied to private banking. The application is based on a mixture of scientific methods: laboratory experiments, careful economic modelling and mathematical reasoning. Moreover, the application draws from profound experience that we could gather in the Swiss Banking Industry. About Thorsten Hens: Thorsten Hens is an economist from Germany. He is Swiss Finance Institute Professor of Financial Economics and director of the Swiss Banking Institute at the University of Zürich, Switzerland as well as a Fellow of CEPR and an Adjunct Professor of Finance at the Norwegian of Economics and Business Administration in Bergen. He studied at the University of Bonn and at DELTA in Paris and previously held professorships at Stanford University and at the University of Bielefeld. His research areas are -- among others -- Behavioral Finance and Evolutionary Finance. According to the Handelsblatt ranking Thorsten Hens was ranked among the top 10 economics professors in the German spoken area (Germany, Switzerland and Austria). In researching how investors make their decisions, Professor Hens draws on work in Psychology and applies insights from Biology in order to understand the dynamics of financial markets. His consulting experience includes application of Behavioral Finance for Private Banking and evolutionary finance for asset management. Please REGISTER: Mail: dorothea.grimm(a)wu.ac.at Phone: +43-1-31336-4244 Contact and further information: WU Gutmann Center for Portfolio Management WU Wien - Department of Finance, Accounting and Statistics Mag. Dorothea GRIMM Heiligenstädter Str. 46-48, 1190 Wien www.gutmann-center.at

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[VFN] Jacod and Todorov talks at the Pauli Institute
by Friedrich Hubalek 11 Jan '10

11 Jan '10

As part of the thematic program at the Wolfgang Pauli Institute (WPI) Vienna "The interplay between Financial and Insurance Mathematics, Statistics and Econometrics" there will be two talks on Wednesday January 13, 2010 at the seminar room C714 at the Pauli Institute <http://www.wpi.ac.at/address.php> 11:00-12:00 Jean Jacod (Université Paris VI): tba 15:00-16:00 Viktor Todorov (Kellogg School of Management): Tails, Fears and Risk Premia Abstract: We show that the compensation for rare events accounts for a large fraction of the average equity and variance risk premia. As such, our results suggest that any satisfactory equilibrium-based asset pricing model must be able to generate both large and time-varying compensations for fears of disasters. Our empirical investigations are essentially model-free, involving new extreme value theory approximations based on ``medium'' size jumps in high-frequency intraday prices for estimating the expected values of the tails under the statistical probability measure, and short maturity out-of-the money options and new model-free implied variation measures for estimating the corresponding risk neutral expectations. Friedrich Hubalek

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VFN-L January 2010