Sehr geehrte Damen und Herren,
am Institut für Finanzierung und Finanzmärkte der Wirtschaftsuniversität
Wien,
Abteilung für Betriebliche Finanzierung, o.Univ.Prof. Dr. Stefan Bogner,
sind voraussichtlich ab 1. September 2005 bis 31. August 2009 zwei Stellen
eines Wissenschaftlichen Mitarbeiters/einer Wissenschaftlichen Mitarbeiterin
vollbeschäftigt zu besetzen.
Nähere Informationen entnehmen Sie bitte den Ausschreibungen obiger zwei
Stellen
unter http://www.wu-wien.ac.at/home/jobs/ausschrwisspers#w24 sowie unter
http://www.wu-wien.ac.at/home/jobs/ausschrwisspers#w25 (Bewerbungsfrist:
24. August 2005).
Mit der Bitte um Kenntnisnahme und gegebenenfalls Weiterleitung
an Interessenten verbleibe ich
mit freundlichen Grüßen
Christian Wagner
--------------------------------------------------------------
Christian Wagner
Institute of Finance and Financial Markets
Department of Corporate Finance
Vienna University of Economics and B.A.
Nordbergstraße 15
A-1090 Vienna, Austria
Tel: +43-1-31336-4253
Fax: +43-1-31336-736
email: christian.wagner(a)wu-wien.ac.at
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 1. September 2005 bis 30. September 2008 zwei Stellen
eines Wissenschaftlichen Mitarbeiters/einer Wissenschaftlichen Mitarbeiterin
vollbeschäftigt zu besetzen.
Nähere Informationen entnehmen Sie bitte den Ausschreibungen obiger zwei
Stellen
unter http://www.wu-wien.ac.at/home/jobs/ausschrwisspers#w22 sowie unter
http://www.wu-wien.ac.at/home/jobs/ausschrwisspers#w23 (Bewerbungsfrist:
17. August 2005).
Mit der Bitte um wohlwollende Kenntnisnahme und gegebenenfalls Weiterleitung
an InteressentInnen verbleibe ich
mit freundlichen Grüßen
Alexander Veverka
----------------------------------------------------------------------------------------
Dr. Alexander Veverka, Assistant Professor
Institute for Finance and Financial Markets
Chair for Investmentbanking and Catallactics
Vienna University of Economics and Business Administration
Althanstrasse 39-45, 1090 Vienna, Austria, Europe
Phn: +43 1 31336 4183
Fax: +43 1 31336 761
email: alexander.veverka(a)wu-wien.ac.at
----------------------------------------------------------------------------------------
Sehr geehrte Damen und Herren,
Ende November veranstalten wir neben der bereits angekündigten
wissenschaftlichen Tagung auch einen Praktikerworkshop zum Thema
Kreditrisikomanagement im Universitätszentrum Obergurgl.
Als keynote speaker konnten wir Prof. Stefan Pichler von der WU Wien gewinnen,
der zum Thema "Der ökonomische Wert von Ratingsystemen" sprechen wird.
Genauen Termin, Programm, Zielgruppe und weitere Informationen finden Sie unter
http://ibf.uibk.ac.at/krmw.html
Wir würden uns freuen, Sie im November in Obergurgl bei dieser Veranstaltung
begrüßen zu dürfen.
Beste Grüße aus Innsbruck,
Matthias Bank und Michael Hanke
--
Prof. Dr. Michael Hanke
University of Innsbruck
Department of Finance
Universitaetsstrasse 15
6020 Innsbruck, Austria
Phone: (+43)5125077552, Fax: (+43)5125072846
Workshop
Martin Ruckes
A Dynamic Analysis of Growth via Acquisition
Firday, June 24th
3:30-5:00 pm
Wiener Boerse
Wallnerstrasse 8
1010 Wien
The paper will be downloadable by tomorrow.
------------
This is the last seminar for this academic year. Enjoy the holidays.
Alfred Lehar
The research group Financial and Actuarial Mathematics of TU Vienna is
looking for a PostDoc or PhD student for the two research projects
* "Mathematics and Credit Risk", granted by the WWTF, and
* "Extensions of CreditRisk+" in cooperation with
the Austrian Central Bank.
Details are available at
http://www.fam.tuwien.ac.at/jobs/20050601a.php
Regards,
--
-- Andreas Schamanek
vfn-L-admin
CCEFM Workshop
Roman Inderst
Keeping the Board in the Dark: CEO Compensation and Entrenchment
Friday, June 17th, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
The paper is downloadable from:
http://www.vgsf.ac.at/
---------------------
The next CCEFM workshop is by
Martin Ruckes
TBA
Friday, June 24th, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
----------------------
Alfred Lehar
University of Vienna
Bruenner Strasse 72
A-1210 Wien
------EINLADUNG------------------
Preisverleihung des
GUTMANN CENTER MASTER THESIS GRANT
und
EHRUNG VERDIENTER LEKTORINNEN UND LEKTOREN
der Fakultät für Wirtschaftswissenschaften der Universität Wien
Datum: Dienstag, 14. Juni 2005, 17.00 Uhr
Ort: Universität Wien, Kleiner Festsaal, Dr.
Karl-Lueger-Ring 1, 1010 Wien
Anmeldung: elisabeth.reeh(a)univie.ac.at - Tel: 01/4277-37047
Die Fakultät für Wirtschaftswissenschaften der Universität Wien und das
Gutmann Center for Portfolio Management an der Universität Wien laden zu
einer gemeinsamen Festveranstaltung ein.
Das Gutmann Center schrieb im vergangenen Jahr einen Diplomarbeitspreis
aus. AbsolventInnen der Universität Wien, der Technischen Universität
Wien sowie der Wirtschaftsuniversität Wien waren eingeladen,
hervorragende Diplomarbeiten aus dem Bereich Finanzwirtschaft mit Bezug
zum Schwerpunktthema Portfolio Management einzureichen. Es werden 3
Preise in Höhe von gesamt 5.000 Euro vergeben.
Informationen zu den Preisträgern und ihren Arbeiten sind im Internet
erhältlich unter www.gutmann-center.at
Die mit der Autonomie der Universitäten neu entstandene Fakultät für
Wirtschaftswissenschaften der Universität Wien ehrt verdiente Fachleute
aus verschiedenen Bereichen der Wirtschaft. Dekan o. Univ.Prof. Dr. Udo
Wagner bedankt sich für die seit vielen Jahren kontinuierlich
abgehaltenen Lehrveranstaltungen an der Fakultät, die einen wichtigen
Beitrag zum hohen wissenschaftlichen und praxisnahmen Niveau in der
Ausbildung leisten.
Informationen zur Ehrung unter:
http://www.dieuniversitaet-online.at/kalender/index.php?module=PostCalendar…
INVITATION
Gutmann Center for Portfolio Management
www.gutmann-center.at
at the University of Vienna is pleased to invite to a
GUTMANN CENTER PUBLIC LECTURE
Date: June 13th (Monday), 2005 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
- apologies for any cross-listings -
Speaker: Prof. Dr. K. Geert ROUWENHORST, Yale School of Management
http://mayet.som.yale.edu/~geert/
Title: THE LONG-TERM PERFORMANCE OF COMMODITY FUTURES
Abstract:
We construct an equally-weighted index of commodity futures monthly
returns over the period between July of 1959 and December of 2004 in
order to study simple properties of commodity futures as an asset class.
Fully-collateralized commodity futures have historically offered the
same return and Sharpe ratio as equities. While the risk premium on
commodity futures is essentially the same as equities, commodity futures
returns are negatively correlated with equity returns and bond returns.
The negative correlation between commodity futures and the other asset
classes is due, in significant part, to different behavior over the
business cycle. In addition, commodity futures are positively correlated
with inflation, unexpected inflation, and changes in expected inflation.
About Geert Rouwenhorst:
K. Geert Rouwenhorst is Professor of Finance at the Yale School of
Management and Deputy Director of the International Center for Finance
at Yale, which he joined after receiving his PhD from the University of
Rochester. He has held visiting positions at MIT and the IMF. Geert's
research interests include business cycles and empirical work on the
tradeoff between risk and return in developed and emerging stock
markets. In his recent work he examines commodity investments, hedge
fund strategies, mutual fund settlement, and the history of finance.
Geert's articles have been published in academic journals such as the
Journal of Finance, the Journal of Financial Economics, and the Review
of Financial Studies, as well as in applied journals such as the
Financial Analyst Journal and the Journal of Portfolio Management. His
upcoming book Origins of Value (with William Goetzmann ed.) surveys key
historical innovations in the field of finance.
Registration: brigitte.juchelka(a)gutmann.at
Further info: Gutmann Center for Portfolio Management
Dorothea Grimm - +43-1-4277-38186
dorothea.grimm(a)univie.ac.at
www.gutmann-center.at
CCEFM Workshop
Hayne Leland,
Purely Financial Synergies and the Optimal Scope of the Firm: Implications
for Mergers, Spin-Offs, and Structured Finance
Friday, June 3rd, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
The paper is downloadable from:
http://www.vgsf.ac.at/
---------------------
The next CCEFM workshop is by
Klaus Ritzberger,
Who Controls Allianz?
Friday, June 10th, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
----------------------
Alfred Lehar
University of Vienna
Bruenner Strasse 72
A-1210 Wien
Sehr geehrte Damen und Herren,
ich ersuche um Veröffentlichung der folgenden Ausschreibung einer Professur
an der WU Wien über den Vienna Finacial Newsletter:
Professur "Versicherungswirtschaft"
An der WU Wien ist zum nächstmöglichen Zeitpunkt eine unbefristete
Universitätsprofessur für "Versicherungswirtschaft", Kennzahl 40890, zu
besetzen.
Die Bewerberin/Der Bewerber soll im Bereich der Versicherungswirtschaft in
der internationalen Forschung durch hochrangige Publikationen ausgewiesen
sein. Erwünscht sind Forschungsschwerpunkte im Kernbereich des Faches, d.h.
vor allem im Bereich des Risikotransfers, der Risikosteuerung und des
Risikocontrolling in Versicherungsunternehmen, des
Asset-Liability-Managements in Versicherungsunternehmen sowie neuerer
Entwicklungen bezüglich der Rechnungslegungsstandards und der
Regulierungsnormen für Versicherungsunternehmen. Der wissenschaftliche
Ansatz der Bewerberin/des Bewerbers soll analytisch sein und sich an den
international anerkannten Fachjournalen orientieren. Es wird von der
Bewerberin/dem Bewerber erwartet, sich im Rahmen eines Forschungsinstituts
"Versicherungswesen" auch mit institutionell geleiteten Forschungsfragen
(z.B. auch Produkt- und Unternehmensbesteuerung) und mit
anwendungsbezogenen Forschungsthemen zu befassen.
Die Professur ist im Department Finanzwirtschaft und Rechnungswesen
intensiv in das gemeinsame Lehr- und Forschungsprogramm aller Lehrstühle im
Bereich der Finanzwirtschaft integriert.
In der Lehre wird die Mitarbeit in betriebswirtschaftlichen
Lehrveranstaltungen des Bakkalaureatsstudiums, insbesondere im Rahmen der
Speziellen Betriebswirtschaftslehre "Finanzwirtschaft", im Masterstudium im
Rahmen des Masterprogrammes "Finance and Accounting", im Rahmen
fachrelevanter Weiterbildungsprogramme (z.B. MBA) und im Doktoratsprogramm
der WU erwartet. Lehrveranstaltungen in den Master- und Doktoratsprogrammen
sind in englischer Sprache abzuhalten.
Nähere Auskünfte über die zu besetzende Professur erteilt o. Univ.Prof. Dr.
Stefan Bogner (stefan.bogner(a)wu-wien.ac.at).
Bewerberinnen/Bewerber mit einschlägiger Habilitation oder einer
gleichzuhaltenden wissenschaftlichen Eignung mögen ihre Bewerbung mit den
üblichen Bewerbungsunterlagen (Lebenslauf, Publikationsverzeichnis, Liste
abgehaltener Lehrveranstaltungen sowie fünf wesentliche wissenschaftliche
Publikationen) bis zum 30.6.2005 Posteingang) an den Rektor der
Wirtschaftsuniversität Wien, A-1090 Wien, Augasse 2-6, richten.
Elektronische Bewerbungen können an
<mailto:brigitte.parnigoni@wu-wien.ac.at>brigitte.parnigoni(a)wu-wien.ac.at
geschickt werden.
Da sich die WU eine Erhöhung des Frauenanteils beim wissenschaftlichen
Personal zum Ziel gesetzt hat, werden Frauen nachdrücklich aufgefordert,
sich zu bewerben. Frauen werden bei gleicher Qualifikation vorrangig
aufgenommen. An der WU ist ein Arbeitskreis für Gleichbehandlungsfragen
eingerichtet.
Mit herzlichem Dank im Voraus und freundlichen Grüßen
Brigitte Parnigoni
*********************************************************************
Diese e-mail (und ihre Anhänge) ist ausschließlich für die/den darin
genannte/n Empfängerin/Empfänger bestimmt. Sie enthält rechtlich geschützte
und vertrauliche Informationen. Die Verwendung, Verarbeitung oder
Übermittlung dieser e-mail, ihrer Anhänge oder irgendwelcher Teile davon
kann Rechte von Betroffenen verletzen und ist deshalb strikt untersagt.
Wenn Sie diese Nachricht irrtümlich erhalten oder aus anderen Gründen nicht
die/der bestimmungsgemäße Empfängerin/Empfänger sind, informieren Sie mich
bitte sofort unter der unten genannten Adresse und vernichten Sie diese
Nachricht (einschließlich ihrer Anhänge) und allfällige Vervielfältigungen
davon unverzüglich. Die/der Absender trägt keine Haftung insbesondere für
unvollständige, verspätete oder verfälschte Nachrichten, sofern diesem kein
vorsätzliches Verhalten
vorgeworfen werden kann.
*********************************************************************
Mag.a Brigitte Parnigoni
WU Wien, Personalabteilung
A - 1090, Augasse 2-6
Tel.: (01)313 36 4934
Fax: (01)313 36 701
mailto: brigitte.parnigoni(a)wu-wien.ac.at
INVITATION
Gutmann Center for Portfolio Management
www.gutmann-center.at
at the University of Vienna is pleased to invite to a
GUTMANN CENTER PUBLIC LECTURE
Date: June 13th (Monday), 2005 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010
Wien
Speaker: Prof. Dr. K. Geert ROUWENHORST, Yale
http://mayet.som.yale.edu/~geert/
Title: THE LONG-TERM PERFORMANCE OF COMMODITY FUTURES
Abstract:
We construct an equally-weighted index of commodity futures
monthly returns over the period between July of 1959 and
December of 2004 in order to study simple properties of
commodity futures as an asset class. Fully-collateralized
commodity futures have historically offered the same return and
Sharpe ratio as equities. While the risk premium on commodity
futures is essentially the same as equities, commodity futures
returns are negatively correlated with equity returns and bond
returns. The negative correlation between commodity futures and
the other asset classes is due, in significant part, to
different behavior over the business cycle. In addition,
commodity futures are positively correlated with inflation,
unexpected inflation, and changes in expected inflation.
About Geert Rouwenhorst:
K. Geert Rouwenhorst is Professor of Finance at the Yale School
of Management and Deputy Director of the International Center
for Finance at Yale, which he joined after receiving his PhD
from the University of Rochester. He has held visiting positions
at MIT and the IMF. Geert's research interests include business
cycles and empirical work on the tradeoff between risk and
return in developed and emerging stock markets. In his recent
work he examines commodity investments, hedge fund strategies,
mutual fund settlement, and the history of finance. Geert's
articles have been published in academic journals such as the
Journal of Finance, the Journal of Financial Economics, and the
Review of Financial Studies, as well as in applied journals such
as the Financial Analyst Journal and the Journal of Portfolio
Management. His upcoming book Origins of Value (with William
Goetzmann ed.) surveys key historical innovations in the field
of finance.
Registration: brigitte.juchelka(a)gutmann.at
Further info: Gutmann Center for Portfolio Management
Dorothea Grimm - +43-1-4277-38186
dorothea.grimm(a)univie.ac.at
www.gutmann-center.at
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: May 30th, 2005 - 5.00 p.m.:
Speaker: Prof. Dr. Hayne E. LELAND, Berkeley
http://www.haas.berkeley.edu/faculty/leland.html
Title: OPTIMAL PORTFOLIO IMPLEMENTATION
with Transactions Costs and Taxes
Abstract:
Traditional portfolio theory, developed by Markowitz and others,
helps to determine an "ideal" set of asset proportions. But it
ignores the costs of implementation, including trading costs and
taxes. How does one take these factors into account when
selecting and managing a portfolio? We provide some answers to
these questions.
CV:
Hayne Leland is Professor of Finance at the University of
California, Berkeley. His research has covered topics in asset
management, corporate finance, and economics.
He is a founding principal of Leland Rubinstein Obrien
Associates (LOR), which invented the technique of "portfolio
insurance." In 1987 he was named one of Fortune Magazine's
"Businessmen of the Year." In 1990 LOR pioneered and launched
the first-ever Exchange-Traded Fund (ETF), the SuperTrust.
Leland is a past President of the American Finance Association,
and serves on the Scientific Advisory Boards of numerous
academic and financial institutions, including the EuroNext and
Wells Fargo Asset Management.
Location: Bank Gutmann AG
(http://www.gutmann.at),
Schwarzenbergplatz 16, 1010 Wien
Registration: brigitte.juchelka(a)gutmann.at
phone: +43-1-50220-357
Further information at: www.gutmann-center.at
Contact: gutmann.bwl(a)univie.ac.at
phone: 43-1-4277-38186
The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna
http://www.gutmann-center.at
is pleased to announce the following two PUBLIC
LECTURES:
- Apologies for any cross-listings!! -
Date: May 23rd, 2005 - 5.00 p.m.
Speaker: Prof. Dr. Suresh SUNDARESAN, Columbia University
http://www0.gsb.columbia.edu/faculty/ssundaresan/
Title: DISINTERMEDIATION OF CREDIT RISK - OPPORTUNITIES &
CHALLENGES
Abstract:
Over the last three decades capital markets have become the
repository of credit risk of households, corporations and
governments. At the level of households, residential mortgages,
home equity loans, credit card loans, auto loans, and student
loans have been securitized and sold to the secondary markets.
At the corporate level, bank loans [including leveraged loans]
are traded in secondary markets, and more bank loans are placed
into collateralized loan obligations or CLOs. More recently, a
growing market has developed for buying and selling protection
on corporate names: Single Name Credit Default Swaps or CDS. A
similar market has also developed for credit default swaps on
portfolio of names. These innovations have enabled asset
management firms to short a portfolio of corporate names in a
way that was not possible before. Finally, there is a growing
trend in which sovereign loan markets are being supplanted by
sovereign bond markets. CDS markets are developing in some
sovereign names as well. The presentation will survey these
developments and explore the challenges and opportunities that
have arisen as a consequence of these developments. Implications
for asset management, regulatory oversights, and contract design
will be discussed.
****************************************************************
********************
Date: May 30th, 2005 - 5.00 p.m.:
Speaker: Prof. Dr. Hayne E. LELAND, Berkeley
http://www.haas.berkeley.edu/faculty/leland.html
Title: OPTIMAL PORTFOLIO IMPLEMENTATION with Transactions
Costs and Taxes
Abstract:
Traditional portfolio theory, developed by Markowitz and others,
helps to determine an "ideal" set of asset proportions. But it
ignores the costs of implementation, including trading costs and
taxes. How does one take these factors into account when
selecting and managing a portfolio? We provide some answers to
these questions.
Location both talks: Bank Gutmann AG (http://www.gutmann.at),
Schwarzenbergplatz 16, A - 1010
Vienna, Austria
Registration: brigitte.juchelka(a)gutmann.at
phone: +43-1-50220-357
Further information at: www.gutmann-center.at
Contact: gutmann.bwl(a)univie.ac.at
phone: 43-1-4277-38186
We had to move the seminar again. The final time is from 16:30-18:00
--------------------------------------------
CCEFM Workshop
Suresh Sundaresan, Columbia University
Irreversible Investment in General Equilibrium
!*************** different time ************************!
Friday, May 20th, 16:30-18:00
Wiener Börse, Wallnerstrasse 8, 1010 Wien
!*************** different time *********************!
The paper is downloadable from:
http://www.vgsf.ac.at/
---------------------
The next CCEFM workshop is by
Hayne Leland,
Purely Financial Synergies and the Optimal Scope of the Firm: Implications
for Mergers, Spin-Offs, and Structured Finance
Friday, June 3rd, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
----------------------
Alfred Lehar
University of Vienna
Bruenner Strasse 72
A-1210 Wien
CCEFM Workshop
Suresh Sundaresan, Columbia University
Irreversible Investment in General Equilibrium
!*************** different time ************************!
Friday, May 20th, 13:00-14:30
Wiener Börse, Wallnerstrasse 8, 1010 Wien
!*************** different time *********************!
The paper is downloadable within the next few days from:
http://www.vgsf.ac.at/
---------------------
The next CCEFM workshop is by
Hayne Leland,
Purely Financial Synergies and the Optimal Scope of the Firm: Implications
for Mergers, Spin-Offs, and Structured Finance
Friday, June 3rd, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
----------------------
Alfred Lehar
University of Vienna
Bruenner Strasse 72
A-1210 Wien
Austria / Europe
Tel: +43 1 4277 38077
Fax: +43 1 4277 38074
The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna
http://www.gutmann-center.at
is pleased to announce the following PUBLIC LECTURE:
- Apologies for any cross-listings!! -
Date: May 23rd, 2005 - 5.00 p.m.
Speaker: Prof. Dr. Suresh SUNDARESAN, Columbia University
Title: DISINTERMEDIATION OF CREDIT RISK - OPPORTUNITIES &
CHALLENGES
Abstract:
Over the last three decades capital markets have become the
repository of credit risk of households, corporations and
governments. At the level of households, residential mortgages,
home equity loans, credit card loans, auto loans, and student
loans have been securitized and sold to the secondary markets.
At the corporate level, bank loans [including leveraged loans]
are traded in secondary markets, and more bank loans are placed
into collateralized loan obligations or CLOs. More recently, a
growing market has developed for buying and selling protection
on corporate names: Single Name Credit Default Swaps or CDS. A
similar market has also developed for credit default swaps on
portfolio of names. These innovations have enabled asset
management firms to short a portfolio of corporate names in a
way that was not possible before. Finally, there is a growing
trend in which sovereign loan markets are being supplanted by
sovereign bond markets. CDS markets are developing in some
sovereign names as well. The presentation will survey these
developments and explore the challenges and opportunities that
have arisen as a consequence of these developments. Implications
for asset management, regulatory oversights, and contract design
will be discussed.
Location: Bank Gutmann AG (http://www.gutmann.at),
Schwarzenbergplatz 16, A - 1010 Vienna,
Austria
Please REGISTER:
brigitte.juchelka(a)gutmann.at
phone: +43-1-50220-357
****************************************************************
******
PLEASE NOTE: NEXT PUBLIC LECTURE:
May 30th, 2005 - 5.00 p.m.:
Prof. Dr. Hayne LELAND, Berkely
"OPTIMAL PORTFOLIO IMPLEMENTATION with Transactions Costs and
Taxes"
****************************************************************
******
Further information at www.gutmann-center.at
Contact: gutmann.bwl(a)univie.ac.at phone: 43-1-4277-38186
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Wed, 11 May 2005 11:42:28 +0200 (CEST)
From: INFORM <inform(a)fam.tuwien.ac.at>
Subject: Vortrag Michael Haas Mittwoch 18. Mai 18:00 Nordbergstrasse 15
Sehr geehrte Damen und Herren,
Das Seminar "Finanzmathematik" wird in diesem Semester gemeinsam
mit dem Institut fuer Kreditwirtschaft der WU Wien (Univ.Prof.
Dr. Stefan Pichler) durchgefuehrt.
Im Rahmen des Seminars haelt Herr Michael Haas (Deutsche Bank AG)
einen Vortrag mit dem Titel
"Deutsche Bank: A road map to credit risk management."
Nach dem Vortrag stehen Getraenke und Erfrischungen zur Staerkung
fuer anschliessende Diskussionen bereit.
Zeit: Mittwoch, 18.5., 18:00 - 19:30.
Ort: Hoersaal D204 (Ebene 2, Gebaeudeteil "D")
UZA 4
Wirtschaftsuniversitaet Wien
Nordbergstrasse 15
1090 Wien.
!!! ACHTUNG - NEUER ORT NORDBERGSTRASSE 15 !!!
!!! Zu erreichen: U4-Station Friedensbruecke, !!!
!!! Ausgang "Gussenbauerstrasse", !!!
!!! Spittelauer Laende ueberqeren, !!!
!!! Tepserngasse entlanggehen. !!!
!!! http://www.mat.univie.ac.at/~mfulmek/documents/Lageplan.pdf !!!
!!! Rolltreppen fuehren auf Ebene 2, !!!
!!! Gebaeudeteil "D" ist gelb markiert. !!!
Mit besten Gruessen,
Markus Fulmek
----------------------------------------------------
++++++++ Wissenschaftlicher Verein INFORM ++++++++++
Insurance, Financial and Operational Risk Management
Fakultaet fuer Mathematik Universitaet Wien
Nordbergstrasse 15 A-1090 Wien
@: inform(a)inform.ac.at W3: http://www.inform.ac.at
----------------------------------------------------
CCEFM Workshop
Alfred Lehar, University of Vienna
Using Price Information as an Instrument of Market Discipline in Regulating
Bank Risk
Friday, May 13th, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
----------------------
The next CCEFM workshop is by
Suresh Sundaresan, Columbia University
Irreversible Investment in General Equilibrium
Friday, May 20th, TBA,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
----------------------
Alfred Lehar
University of Vienna
Bruenner Strasse 72
A-1210 Wien
Austria / Europe
Tel: +43 1 4277 38077
Fax: +43 1 4277 38074
Sehr geehrte Kollegen und -innen,
ich möchte auf einen Workshop zum Thema Kreditrisikomanagement
hinweisen, der von Kollegen Bank und mir am 25./26. November im
Universitätszentrum Obergurgl veranstaltet wird. Den Call for Papers
sowie nähere Informationen finden Sie unter
http://www.uibk.ac.at/c/c4/c434/krm.html
Hinweis: Vor diesem Workshop wird am 24./25.11. am gleichen Ort ein
"Praktikerworkshop" stattfinden. Details dazu (Vortragende und Programm)
folgen in ca. 14 Tagen.
Beste Grüße aus Tirol,
Michael Hanke
--
Prof. Dr. Michael Hanke
University of Innsbruck
Department of Banking and Finance
Universitaetsstrasse 15
6020 Innsbruck, Austria
Phone: +43 512 5077552, Fax: +43 512 5072846
---------- Forwarded message ----------
From: Uwe Schmock
---------- Forwarded message ----------
From: Rita Laura D Ecclesia <rita.decclesia(a)uniroma1.it>
Subject: June 2005 Summer School in Rome
Date: Tue, 3 May 2005 10:22:18 +0200
Dear friends,
I am attaching a preliminary program for June Summer School in Rome.
I will be grateful if you could pass the information to colleagues and
students of your Department to collect participants which may be willing
to attend the school or send a contributed paper.
Looking forward to hearing from you soon
best regards
Rita
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Sehr geehrte Damne und Herren,
ich ersuche um Veröffentlichung der folgenden Ausschreibung über den Vienna
Finacial Newsletter:
Ausschreibung einer Universitätsprofessur an der WU Wien
An der Wirtschaftsuniversität Wien ist ab 1.10.2005 eine unbefristete
Professur zu besetzen:
Universitätsprofessor/Universitätsprofessorin für "Finanzierung", Kennzahl
39890
Die Bewerberin/Der Bewerber soll im Bereich Finanzierung insbesondere die
Gebiete Risikomanagement und Financial Engineering in Forschung und Lehre
wahrnehmen. Sie/Er soll in der Forschung breit ausgewiesen sein und sowohl
empirische als auch formal-theoretische sowie methodisch innovative
Arbeiten vorweisen können. Erwünscht sind Forschungsschwerpunkte in
Finanzderivaten, insbesondere Financial Futures, und deren Märkten sowie in
Fragestellungen der Corporate Finance wie beispielsweise der Bewertung von
Zahlungsströmen oder der Kapitalallokation. Darüber hinaus ist eine
wissenschaftliche Beschäftigung mit den Grundlagen von Risikomanagement und
Financial Engineering, wie etwa mit statistischen Aspekten von
Kapitalmarktrenditen, wünschenswert. Der wissenschaftliche Ansatz des
Bewerbers/der Bewerberin soll die Verbindung einer
entscheidungstheoretischen Perspektive auf Ebene der Individuen und
Unternehmen einerseits und einer Kapitalmarkt-Orientierung andererseits
herstellen.
In der Lehre sind im Vertiefungsfach "Betriebliche Finanzierung" die
Eingangslehrveranstaltungen zu betreuen, insbesondere auch während der
Übergangszeit zu den neu einzurichtenden Bakkalaureatsprogrammen. Die
Stelleninhaberin/Der Stelleninhaber soll zudem verantwortlich das neu zu
entwickelnde gemeinsame Lehrangebot des Fachbereichs "Finanzwirtschaft und
Rechnungswesen" für die Bakkalaureatsprogramme und die Masterstudien
mittragen. Es wird erwartet, dass die Stelleninhaberin/der Stelleninhaber
fähig ist, sowohl in Deutsch als auch in Englisch zu unterrichten und am
englischsprachigen Lehrveranstaltungsprogramm der WU mitzuwirken
Nähere Auskünfte über die zu besetzende Professur erteilt o. Univ.Prof. Dr.
Stefan Bogner.
Bewerberinnen/Bewerber mit einschlägiger Habilitation oder einer
gleichzuhaltenden wissenschaftlichen Eignung mögen ihre Bewerbung mit den
üblichen Bewerbungsunterlagen (Lebenslauf, Publikationsverzeichnis, Liste
abgehaltener Lehrveranstaltungen sowie fünf wesentliche wissenschaftliche
Publikationen) bis zum 25.5.2005 (Posteingang) an den Rektor der
Wirtschaftsuniversität Wien, A-1090 Wien, Augasse 2-6, richten.
Elektronische Bewerbungen können an
<mailto:brigitte.parnigoni@wu-wien.ac.at>brigitte.parnigoni(a)wu-wien.ac.at
geschickt werden.
Da sich die WU eine Erhöhung des Frauenanteils beim wissenschaftlichen
Personal zum Ziel gesetzt hat, werden Frauen nachdrücklich aufgefordert,
sich zu bewerben. Frauen werden bei gleicher Qualifikation vorrangig
aufgenommen. An der WU ist ein Arbeitskreis für Gleichbehandlungsfragen
eingerichtet.
Mit bestem Dank im Voraus und freundlichen Grüßen
Brigitte Parnigoni
*********************************************************************
Diese e-mail (und ihre Anhänge) ist ausschließlich für die/den darin
genannte/n Empfängerin/Empfänger bestimmt. Sie enthält rechtlich geschützte
und vertrauliche Informationen. Die Verwendung, Verarbeitung oder
Übermittlung dieser e-mail, ihrer Anhänge oder irgendwelcher Teile davon
kann Rechte von Betroffenen verletzen und ist deshalb strikt untersagt.
Wenn Sie diese Nachricht irrtümlich erhalten oder aus anderen Gründen nicht
die/der bestimmungsgemäße Empfängerin/Empfänger sind, informieren Sie mich
bitte sofort unter der unten genannten Adresse und vernichten Sie diese
Nachricht (einschließlich ihrer Anhänge) und allfällige Vervielfältigungen
davon unverzüglich. Die/der Absender trägt keine Haftung insbesondere für
unvollständige, verspätete oder verfälschte Nachrichten, sofern diesem kein
vorsätzliches Verhalten
vorgeworfen werden kann.
*********************************************************************
Mag.a Brigitte Parnigoni
WU Wien, Personalabteilung
A - 1090, Augasse 2-6
Tel.: (01)313 36 4934
Fax: (01)313 36 701
mailto: brigitte.parnigoni(a)wu-wien.ac.at
to whom it may concern
Ich bitte um Verteilung des First Call for Papers der Austrian Working Group
on Banking & Finance.
Besten Dank im voraus
MfG - stp
20. WORKSHOP
AUSTRIAN WORKING GROUP ON BANKING & FINANCE
18. / 19. November 2005
KARL-FRANZENS-UNIVERSITÄT GRAZ
First CALL for PAPERS
Der Workshop findet am Freitag, dem 18. November 2005, Nachmittag, und am
Samstag, dem
19. November 2005, Vormittag, an der KARL-FRANZENS-UNIVERSITÄT GRAZ statt.
Bezüglich der Themen ist keine Einschränkung vorgesehen.
Papers oder Extended Abstracts (ca. 2 Seiten) können bis spätestens 21.
Oktober 2005 bei
o.Univ.-Prof. Dr. Peter Steiner
Institut für Banken und Finanzierung, Universitätsstraße 15/F2, A 8010 Graz
Tel.: +43(0)316 380-7300 Fax: +43(0)316 380-9580 E-Mail: bafin(a)uni-graz.at
oder bei
o.Univ.-Prof. Dr. Edwin O. Fischer
Institut für Industrie und Fertigungswirtschaft, Universitätsstraße 15/G2, A
8010 Graz
Tel.: +43(0)316 380-3510 Fax: +43(0)316 380-9555 E-Mail:
vera.pospisil(a)uni-graz.at
eingereicht werden.
Um den angestrebten Workshopcharakter der Veranstaltung zu fördern, können
papers auch
durch einen discussant besprochen werden. Jene Teilnehmer, die eine solche
Vorgangsweise
wünschen, werden gebeten, ihr Manuskript bis 7. Oktober 2005 einzureichen.
AUSTRIAN WORKING GROUP ON BANKING AND FINANCE
Ziele: Schaffen eines österreichweiten Diskussionsforums für theoretische
und empirische Forschungs-
arbeiten auf dem Gebiet des Bankwesens und der Finanzwirtschaft. Förderung
der Zusammenar-
beit innerhalb der Hochschulen und der Zusammenarbeit mit der Praxis.
Teilnehmer: Angesprochen sind sowohl der wissenschaftliche Nachwuchs an
allen österreichischen Universi-
täten und verwandten Institutionen der Forschung als auch Praktiker in
Kreditinstituten und
Finanzabteilungen von Unternehmen.
Schwerpunkte (Auswahl): Arbitrage Pricing - Capital Market Theory - Capital
Requirements of Financial
Intermediaries - Commercial Banking - Contingent Claims Analysis - Corporate
Finance - Financial Innovations -
Financial Markets Research - International Banking and Finance - Investment
Banking - Options
and Futures - Performance Measurement - Portfolio Management - Risk
Management - Security Analysis.
CCEFM Workshop
Viral Acharya, London Business School
Cash-in-the-Market Pricing and Optimal Bank Bailout Policy
Friday, April 29th, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
----------------------
The next CCEFM workshop is by
Alfred Lehar, University of Vienna
Using Price Information as an Instrument of Market Discipline in Regulating
Bank Risk
Friday, May 13th, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
----------------------
Alfred Lehar
University of Vienna
Bruenner Strasse 72
A-1210 Wien
Austria / Europe
Tel: +43 1 4277 38077
Fax: +43 1 4277 38074
CCEFM Workshop
Youchang Wu, University of Vienna
Security Characteristics and Expected Returns: Evidence from the Chinese
Stock Market (paper)
Friday, April 22th, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
The paper can be downloaded from
http://www2.wu-wien.ac.at/ccefm/vgsf/activities/workshops.htm
---------------------
The next CCEFM workshop is by
Viral Acharya,
TBA
Friday, April 29th, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
----------------------
Alfred Lehar
University of Vienna
Bruenner Strasse 72
A-1210 Wien
Austria / Europe
Tel: +43 1 4277 38077
Fax: +43 1 4277 38074
CCEFM Workshop
Suleyman Basak, London Business School
On the Role of Arbitrageurs in Rational Markets
Friday, April 15th, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
The paper can be downloaded from
http://www2.wu-wien.ac.at/ccefm/vgsf/activities/workshops.htm
---------------------
The next CCEFM workshop is by
Youchang Wu, University of Vienna
Security Characteristics and Expected Returns: Evidence from the Chinese
Stock Market
Friday, April 22th, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
----------------------
Alfred Lehar
University of Vienna
Bruenner Strasse 72
A-1210 Wien
Austria / Europe
Tel: +43 1 4277 38077
Fax: +43 1 4277 38074
CCEFM Workshop
Jun Liu, UCLA
Private Information, Diversication, and Asset Pricing
Friday, April 8th, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
The paper can be downloaded from
http://www2.wu-wien.ac.at/ccefm/vgsf/activities/workshops.htm
---------------------
The next CCEFM workshop is by
Suleyman Basak, London Business School
On the Role of Arbitrageurs in Rational Markets
Friday, April 15th, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
----------------------
Dr. Alfred Lehar
University of Vienna
Bruenner Strasse 72
A-1210 Wien
Austria / Europe
Tel: +43 1 4277 38077
Fax: +43 1 4277 38074
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Thu, 31 Mar 2005 11:50:12 +0200
From: Hans-Joachim Zwiesler <zwiesler(a)mathematik.uni-ulm.de>
Subject: SCOR-Preis für Aktuarwissenschaften 2005
Sehr geehrte Kolleginnen und Kollegen,
zum nunmehr neunten Mal stiftet das Rückversicherungsunternehmen SCOR
Deutschland, Tochtergesellschaft der französischen SCOR-Gruppe, die zu den
Top Ten unter den internationalen Rückversicherern zählt, in Zusammenarbeit
mit der Universität Ulm drei Preise zur Förderung von
Nachwuchswissenschaftlern deutschsprachiger Universitäten, deren Arbeiten
einen Bezug zu aktuarwissenschaftlichen Fragestellungen aufweisen. Die
Ausschreibung ist bewusst breit und interdisziplinär angelegt und erlaubt
auch die Einreichung von Dissertationen und Diplomarbeiten.
Im Namen der Jury und von SCOR Deutschland möchte ich Sie herzlich bitten,
die beiliegende Ausschreibung an geeignete Interessenten weiterzugeben.
Mit freundlichen Grüßen
Hans-Joachim Zwiesler
[attachment removed and saved to below URL by admin]
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Type: PDF document, version 1.4
Size: 23438
CCEFM Workshop
The next CCEFM workshop is by
Thomas Steinberger
Defined Benefit Plans: Risk Sharing, Default and Regulation
Friday, April 1st, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
---------------------
The next CCEFM workshop is by
Jun Liu
TBA
Friday, April 8th, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
----------------------
Alfred Lehar
University of Vienna
Bruenner Strasse 72
A-1210 Wien
Austria / Europe
Tel: +43 1 4277 38077
Fax: +43 1 4277 38074
The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna
http://www.gutmann-center.at
is pleased to announce the following PUBLIC LECTURE:
- Apologies for any cross-listings!! -
Date: April 13th, 2005 - 5.00 p.m.
Speaker: Prof. Dr. Suleyman BASAK
London Business School
http://faculty.london.edu/sbasak/
Title: "IMPLICIT INCENTIVES AND BENCHMARKING IN MONEY
MANAGEMENT"
Abstract:
Money managers are rewarded for increasing the value of assets
under management, and predominantly so in the mutual fund
industry. This gives the manager an implicit incentive to
exploit the well-documented positive fund-flows to
relative-performance relationship by manipulating her risk
exposure. In a dynamic asset allocation framework, this
presentation
will argue that as the year-end approaches, the ensuing
convexities in the manager's objective induce her to closely
mimic the index, relative to which her performance is evaluated,
when the fund's year-to-date return is sufficiently high. As her
relative performance falls behind, she chooses to deviate from
the index by either increasing or decreasing the volatility of
her portfolio. The maximum deviation is achieved at a critical
level of underperformance. It may be optimal for the manager to
reach such deviation via selling the risky asset despite its
positive risk premium. Costs of misaligned
incentives to investors resulting from the manager's policy are
economically significant. The presentation then will demonstrate
how a simple risk management practice that accounts for
benchmarking can ameliorate the adverse effects of managerial
incentives.
Location: Bank Gutmann AG (http://www.gutmann.at),
Schwarzenbergplatz 16, A - 1010 Vienna,
Austria
Please REGISTER:
brigitte.juchelka(a)gutmann.at
phone: +43-1-50220-357
Further information about the Gutmann Center:
Gutmann Center for Portfolio Management
University of Vienna
Bruenner Str. 72
A-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
CCEFM Workshop
Doron Avramov, University of Maryland
Investing in Mutual Funds when Returns are Predictable
Friday, March 18th, 3.30-5.00 pm
!****** different location *******!
HS 2,Institute for advanced studies, Stumpergasse 56, 1060 Wien
!****** different location *******!
The paper is downloadable from:
http://www.vgsf.ac.at/
---------------------
The next CCEFM workshop is by
Thomas Steinberger,
Defined Benefit Plans: Risk Sharing, Default and Regulation
Friday, April 1st, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
----------------------
Alfred Lehar
University of Vienna
Bruenner Strasse 72
A-1210 Wien
Austria / Europe
Tel: +43 1 4277 38077
Fax: +43 1 4277 38074
CCEFM Workshop
Christine Parlour, Carnegie Mellon University
"Credit Risk Transfer"
Friday, March 11th, 3.30-5.00 pm,
!****** different location *******!
HS 2,Institute for advanced studies, Stumpergasse 56,
1060 Wien
!****** different location *******!
The paper will be downloadable within the next few days from:
http://www.vgsf.ac.at/
---------------------
The next CCEFM workshop is by
Doron Avramov, University of Maryland
Title: TBA
Friday, March 18th, 3.30-5.00 pm,
Location: TBA
----------------------
Alfred Lehar
University of Vienna
Bruenner Strasse 72
A-1210 Wien
Austria / Europe
Tel: +43 1 4277 38077
Fax: +43 1 4277 38074
---------- Forwarded message ----------
Date: Wed, 16 Feb 2005 11:15:27 +0100
From: christine.neumeyer(a)univie.ac.at
To: vfn-l(a)fam.tuwien.ac.at
Subject: Stellenausschreibung
Anbei übermitteln wir Ihnen ein Infoblatt über eine
Stellenausschreibung am Institut für Finanzwirtschaft der Universität
Wien.
[attachment converted to plain text by vfn-l-admin, see below]
mfG
Christine Neumeyer
University of Vienna
Department of Finance
Bruenner Strasse 72
1210 Vienna
Austria
Tel: + 43 (01) 4277-38262
Fax: + 43 (01) 4277-38264
E-Mail: christine.neumeyer(a)univie.ac.at
www.univie.ac.at/bwl/fidi
GESUCHT: Assistentin / Assistent in Ausbildung
Der Lehrstuhl für Finanzdienstleistungen und Öffentliche Wirtschaft
des Institutes für Finanzwirtschaft der Fakultät für
Wirtschaftswissenschaften stellt mit ehestmöglichem Datum eine/n
Assistent/in ein.
Voraussetzungen: Abgeschlossenes Studium der Wirtschaftswissenschaften
(Diplom- oder Magistergrad)
Beschaeftigungsausmaß: 100 %
Gewünschte Zusatzqualifikationen: Kenntnisse in der
Regulierungstheorie- und praxis sowie die Bereitschaft, eine
Dissertation zu einem Thema im Bereich der Regulierung von
Kapitalmärkten und Finanzinstituten oder Infrastrukturunternehmen zu
verfassen.
Beschäftigungsdauer: 4 Jahre
Gehalt: ca. 1800,-
Bewerbung bis spät. 8. März 2005 an: Bewerbungsformulare
( http://www.univie.ac.at/Personalabteilung ) mit unterschriebenem
Lebenslauf an: Universität Wien - Zentrale Verwalung,
Personalabteilung / 1010 Wien, Dr. Karl Lueger Ring 1, bitte KENNZAHL
37551/BM unbedingt anführen.
***
---------- Forwarded message ----------
Date: Wed, 16 Feb 2005 08:58:58 +0100
From: Windsperger Josef <josef.windsperger(a)univie.ac.at>
Subject: ECONOMICS and MANAGEMENT of NETWORKS, EMNet 2005, Budapest,
September 15-17
Dear colleague,
as organizing chair of the international conference on Economics and
Management of Networks (EMNet 2005) in Budapest, September 15 - 17,
2005, I want to invite you to submit a paper for presentation. You will
find the call for papers and the registration form under
http://www.univie.ac.at/EMNET <http://www.univie.ac.at/EMNET>.
Best regards,
Josef Windsperger
University of Vienna
Center for Business Studies
--
Josef Windsperger, PhD
Associate Professor of Organization and Management (ao. Univ.-Prof.)
University of Vienna, Center for Business Studies
Bruenner Str. 72; A-1210 Vienna, Austria
Phone: +431 4277 38180; Fax: +431 4277 38174
Email: josef.windsperger(a)univie.ac.at
URL: http://www.univie.ac.at/im
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Tue, 8 Feb 2005 08:06:37 -0500
From: IAA Secretariat AAI <secretariat(a)actuaries.org>
To: AFIR Members List / Liste des membres d'AFIR <afir(a)lists.actuaries.org>
Subject: Workshop on the Interface between Quantitative Finance and
Insurance / Atelier sur l'interface entre la finance quantitative et
l'assurance
Workshop on the Interface between Quantitative Finance and Insurance
A satellite workshop of the Quantitative Finance Programme of the Isaac
Newton Institute
and a 2005 Regional Seminar of the AFIR Section of the International
Actuarial Association
Edinburgh, 4 - 8 April 2005
Workshop Summary
The Workshop starts with Registration (between 9.30 and 10.30am) on Monday 4
April and finishes on Friday 8 April at around 4pm. It is possible to
register for the first two days only.
This workshop aims to discuss leading-edge research on the interface between
insurance, pensions and quantitative finance. The meeting will concentrate
on two closely linked themes. First, all insurance companies and pension
plans are subject to a degree of financial and economic risk as well as
their traditional insurance risks. Considerable research in the
international actuarial community is ongoing which attempts to model and
manage these risks. Much of this research is building upon existing
knowledge in financial mathematics. Equally, though, the specific problems
being encountered are throwing back new challenges for financial
mathematicians. This introduces us to the second theme: the issue of
securitisation of insurance risks. This presents many new challenges that
require a combination of actuarial mathematics, financial mathematics,
mathematical economics and good contract design.
The workshop will bring together leading international experts from both
academia and practice to promote exchange of ideas and help make progress on
research into current issues.
Applications and payment must be received by Monday 21 March. Places will be
confirmed on receipt of payment. You may apply online at the following
address:
http://www.ma.hw.ac.uk/icms/meetings/2005/quantfinance/reg_form.html
----------------------------------------------------------------------------
----
Atelier sur l'interface entre la finance quantitative et l'assurance
Un atelier satellite du Programme sur la finance quantitative du Isaac
Newton Institute et un séminaire régional 2005 de la Section AFIR de
l'Association Actuarielle Internationale
Édinburgh, du 4 au 8 avril 2005
Sommaire de l'atelier
L'atelier débute avec les inscriptions (entre 9 h 30 et 10 h 30), lundi 4
avril et se termine le vendredi 8 avril vers 16 h. Il est possible de
s'inscrire pour les deux premiers jours seulement.
Le but de l'atelier est de favoriser les discussions sur les recherches de
pointe concernant l'interface entre l'assurance, les régimes de retraite et
la finance quantitative. La réunion portera principalement sur deux thèmes
en étroit rapport. Premièrement, toutes les compagnies d'assurance et les
régimes de retraite sont sujets à un certain niveau de risque financier et
économique, de même qu'aux risques d'assurance traditionnels. De nombreuses
recherches au sein de la communauté actuarielle internationale sont en cours
afin de tenter de modéliser et de gérer ces risques. Ces efforts sont
principalement fondés sur les connaissances actuelles dans le domaine des
mathématiques financières. Cependant, les problèmes particuliers rencontrés
posent de nouveaux défis aux mathématiciens du secteur financier. Ceci nous
amène au deuxième thème, soit la question de la titrisation des risques
d'assurance. Ceci pose de nombreux défis nouveaux qui requièrent une
combinaison de mathématiques actuarielles, de mathématiques financières,
d'économie mathématique et de bonne conception de contrats.
L'atelier permettra à des chefs de file internationaux du secteur académique
et des domaines mettant ces connaissances en pratique de se rencontrer et
d'échanger sur ces questions dans le but de faire progresser la recherche
dans ces domaines.
Les inscriptions et le paiement doivent être reçus au plus tard lundi le 21
mars . Les places seront confirmées sur réception du paiement. Vous pouvez
vous inscrire en ligne à l'adresse suivante :
http://www.ma.hw.ac.uk/icms/meetings/2005/quantfinance/reg_form.html
Please distribute the following announcement via the newsletter. Thanks,
Hansjoerg Albrecher
--------------------------------------
FIRST ANNOUNCEMENT
May 9-11, 2005, Workshop "Risk Measures & Risk Management: General Aspects", EURANDOM, Eindhoven, NL
The workshop focuses on the theoretically interesting and practically
important topic of risk measures and risk management. The workshop will
bring together leading researchers from academia and from practice.
Topics that will be included are: axiomatic aspects, performance of risk
measures, computational and statistical aspects. Furthermore applications
of risk measures in (re-)insurance, finance and portfolio optimization
are treated. Special emphasis lies on interest rate models and on credit risk.
For more information and registration please consult
URL: http://www.eurandom.tue.nl/workshops/2005/RiskMeasures/RiskMeasures_main.htm
CCEFM/IHS Workshop
Bernard Dumas, INSEAD
What To Do About Excessive Volatility?
Friday, January 28th, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
The paper can be downloaded from
http://www2.wu-wien.ac.at/ccefm/activities/workshops.htm
----------------------
The next workshop will be by Christine Parlour on March 11th.
----------------------
Alfred Lehar
University of Vienna
Bruenner Strasse 72
A-1210 Wien
Austria / Europe
Tel: +43 1 4277 38077
Fax: +43 1 4277 38074
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Fri, 14 Jan 2005 15:28:02 -0500
From: Vicky Henderson <vhenders(a)Princeton.EDU>
Subject: Developments in Quantitative Finance, 4-8 July 2005
Dear collegues,
Please find below the announcement for the INI conference
"Developments in Quantitative Finance" to be held in Cambridge this July.
We have generous funding from the EC and Nomura for this event, so will
be able to fund local expenses of students, young participants and
Europeans working outside the EU.
The official website for the conference can be found :
http://www.newton.cam.ac.uk/programmes/DQF/dqfw02.html
where there is an application form. The deadline is 28th February.
There are also more details about funding categories and accomodation
options on a second website :
http://www.bath.ac.uk/~masdgh/INI/conference.html
Please accept our apologies if you receive multiple announcements - we
want to advertise widely.
Best wishes,
Vicky Henderson
David Hobson
Stan Pliska
Chris Rogers
------------------------------------------------------------
Isaac Newton Institute for Mathematical Sciences, Cambridge, UK
Quantitative Finance: Developments, Applications & Problems
(4 - 8 July 2005)
Supported by the European Commission, Sixth Framework Programme
Marie Curie Conferences and Training Courses - MSCF-CT-2004-516558 and
NOMURA
in association with the Newton Institute programme entitled Developments
in Quantitative Finance (24 January to 22 July 2005)
Organisers: V Henderson (Princeton), D Hobson (Bath), S Pliska
(Illinois), C Rogers (Cambridge).
Theme of Conference: The objective of this conference is to bring
together academics from various fields, including mathematicians, but
also researchers from economics and finance, together with industry
practitioners, to discuss the latest developments in the theory of
mathematical finance, the application of this theory to current issues
facing the industry and to identify the substantive problems confronting
academic researchers and finance professionals. Many individual themes
within quantitative finance are covered elsewhere in the programme, and
this conference will aim to promote the developments in those areas to a
wider audience, whilst simultaneously providing a forum for the
discussion of advances in other areas within the field.
Invited Speakers: Y Ait-Sahalia (Princeton), P. Bank (Columbia), M.
Baxter (Nomura), D. Becherer (Imperial), N. Branger (Frankfurt), M.
Davis (Imperial), D. Duffie* (Stanford), R Frey (Leipzig), S Hodges
(Warwick), L. Hughston (Kings), R. Jarrow* (Cornell), E. Jouini
(Ceremade), S Kou (Columbia), D. Kramkov (Carnegie-Mellon), M. Monoyios
(Brunel), P. Mykland (Chicago), E Platen (UTS), J-C Rochet (Toulouse),
S. Ross (MIT), S. Shreve (Carnegie-Mellon), R Sircar (Princeton) and M.
Zervos (Kings).
*to be confirmed
Location & Cost: The Conference will take place at the Newton Institute
and accommodation for participants will be provided in single study
bedrooms with shared bathroom at Wolfson Court. The conference package,
costing 440GBP, includes accommodation, breakfast and dinner from dinner
on Sunday 3 July to breakfast on Saturday 9 July 2005, and lunch and
refreshments during the days that lectures take place. Self-supporting
participants are very welcome to apply.
Further Information and Applications Forms are available from the WWW at:
http://www.newton.cam.ac.uk/programmes/DQF/dqfw02.html
Completed application forms should be sent to Tracey Andrew at the
address below, or via email to: t.andrew(a)newton.cam.ac.uk
Closing Date for the receipt of applications is 28 February 2005
CCEFM/IHS Workshop
Florian Heider, ECB
Capital structure, risk and asymmetric information
Friday, January 21st, 3.30-5.00 pm
Wiener Börse, Wallnerstrasse 8, 1010 Wien
The paper can be downloaded from
http://www2.wu-wien.ac.at/ccefm/activities/workshops.htm
----------------------
The next workshop will be by Bernard Dumas on January 28th.
----------------------
Alfred Lehar
University of Vienna
Bruenner Strasse 72
A-1210 Wien
Austria / Europe
Tel: +43 1 4277 38077
Fax: +43 1 4277 38074
CCEFM Workshop, 14.1.2005, 3:30-5:00 pm
Christian Pierdzioch (Universität Kiel)
"Sources of Predictability of European Stock Markets for High-Technology Firms"
Wiener Börse,
Wallnerstrasse 8
1010 Wien
The paper can be downloaded from:
http://www2.wu-wien.ac.at/ccefm/activities/workshops.htm
--------------------------------------------------------------
Invitation
The Second MTS Conference on Financial Markets:
The Organisation and Performance of Fixed-Income Markets
Hosted by Universität Wien und ISK Wien
Palais Coburg, 16-18 December 2004
Please register at
isk(a)iskwien.at
+43 (1) 51818-900
--------------------------------------------------------------
Thursday, December 16
13.15 Welcome by Marco Pagano
14.00 Session 1 - Secondary Markets, Chair: Gustavo Piga
Automation versus Intermediation: Evidence from Treasuries Going Off the Run
M. Barclay, T. Hendershott, K. Kotz
Discussant: G. Garbi
Financial Intermediation and the Costs of Trading in an Opaque Market
R. Green, B. Hollifield, N. Schurhoff
Discussant: C. D'Souza
MTS Time Series
A. Dufour
Key Note Address
Chester Spatt
Moderator: Bruno Biais
Friday, December 17
8.30 Session 2 - Primary Markets, Chair: Ernst-Ludwig von Thadden
Illiquidity Spillovers: Theory and Evidence from European Telecom Bond Issuance
Y. Newman, M. Rierson
Discussant: A. Melnik
Order Flow and the Formation of Dealer bids: An Analysis of Information and Strategic Behaviour in the Government of Canada Security Auctions
A. Hortacsu, S. Sereen
Discussant: C. Upper
Dicriminatory Auctions with Seller Discretion: Evidence from German Treasury Auctions
J. Rocholl
Discussant: A. Hortacsu
13.30 Session 3 - Liqudity and Risk, Chair: Giorgio Basevi
Flight to Quality, Flight to Liquidity, and the Pricing of Risk
D. Vayanos
Liquidity Discovery and Asset Pricing
M. Gallmeyer, B. Hollifield, D. Seppi
Discussant: V. Acharya
Welcome by Prof. Niels Thygesen
Roundtable: Bond Market: Liquidity, Risk and Regulation, Chair: A. Lamfalussy
A. Grünbichler, T. Padoa Schioppa, G. Szapary
Saturday, December 18
9.00 - 13.30 Press Sessions
--------------------------------------------------------------
Further information:
Dr. Otto Randl
Institut für strategische Kapitalmarktforschung
Coburgbastei 4/1
A-1010 Wien
T: +43 (1) 518 18 - 900
F: +43 (1) 518 18 - 920
E: otto.randl(a)iskwien.at
Programme:
http://www.iskwien.at/upload/Preliminary_Programme_Vienna.pdf
There is no conference fee, but registration at isk(a)iskwien.at is required.
Due to the limited number of participants please register asap.
--------------------------------------------------------------
CCEFM/IHS Workshop
Youchang Wu and Josef Zechner, University of Vienna
Closed-end Fund Governance, Portfolio Performance, and the Discount
Friday, December 10th, 3.30-5.00 pm,
Location: (!) BWZ HS 9 (!) Brünner Strasse 72, 1210 Wien
The paper can be downloaded from
http://www2.wu-wien.ac.at/ccefm/activities/workshops.htm
----------------------
This is the last workshop for this year. The next workshop will be on
January 14th.
Merry Christmas!
----------------------
Alfred Lehar
University of Vienna
Bruenner Strasse 72
A-1210 Wien
Austria / Europe
Tel: +43 1 4277 38077
Fax: +43 1 4277 38074
Dear colleague,
as organizing chair I want to invite you to the international conference on
Economics and Management of Networks (EMNet 2005) (see
www.univie.ac.at/EMNET).
This conference will take place in Budapest, September 15 - 17, 2005.
Best regards,
Josef
Please send this message to colleagues and friends!
--
Josef Windsperger, PhD
Associate Professor of Organization and Management (ao. Univ.-Prof.)
University of Vienna, Center for Business Studies
Bruenner Str. 72; A-1210 Vienna, Austria
Phone: ++431 4277 38180; Fax: ++431 4277 38174
Email: josef.windsperger(a)univie.ac.at
URL: http://www.univie.ac.at/im
An der Abteilung für Quantitative Betriebswirtschaftslehre und Operations
Research (http://www.wu-wien.ac.at/inst/or/tafel.html),
Wirtschaftsuniversität Wien (http://www.wu-wien.ac.at) ist voraussichtlich
ab 1. Jänner 2005 bis 31. Dezember 2008 1 Posten für einen
Wissenschaftlichen Mitarbeiter/eine Wissenschaftliche Mitarbeiterin,
vollbeschäftigt, (ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128
UG 2002 idgF), ersatzmäßig zu besetzen.
Notwendige Kenntnisse und Qualifikationen:
EU-Bürger/in, abgeschlossenes Studium der Sozial- und
Wirtschaftswissenschaften oder Mathematik oder Informatik oder
Wirtschaftsinformatik
Erwünschte Kenntnisse und Qualifikationen:
Eignung zur Mitarbeit in Lehre (insbesondere Finanzierung) und Forschung
der Abteilung, Mitarbeit im organisatorisch-administrativen Bereich der
Abteilung, Unterstützung der Abteilung in allen EDV- Belangen
(EDV-Beauftragte/r der Abteilung), insbesondere Administration des
Abteilungsservers (LINUX) und WEB-Design (HTML) zur Betreuung der
Abteilungshomepage
Kennzahl: 30605
Schriftliche Bewerbungen mit Lebenslauf und Angabe über den Studienerfolg
(ohne Originalzeugnisse) sind unter Angabe der angeführten Kennzahl an die
PERSONALABTEILUNG der Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien
zu richten.
Ende der Bewerbungsfrist: 15. Dezember 2004
Bitte die Kennzahl unbedingt anführen!
Mit freundlichen Grüßen
Michaela Nettekoven
-------------------------------------------------------------
Univ. Ass. Dr. Michaela Nettekoven
Wirtschaftsuniversitaet Wien
Abt. f. Quantitative Betriebswirtschaftslehre und Operations Research
UZA 4, 4. Stock, Bauteil D
Nordbergstraße 15, A - 1090 Wien
Tel.: (++43)-1-31336-4561, Fax: (++43)-1-31336-708
E_mail: michaela.nettekoven(a)wu-wien.ac.at
Web: <http://www.wu-wien.ac.at/wwwu/institute/or/tafel.html>
--------------------------------------------------------------
Invitation
The Second MTS Conference on Financial Markets:
The Organisation and Performance of Fixed-Income Markets
Hosted by Universität Wien und ISK Wien
Palais Coburg, 16-18 December 2004
PLEASE REGISTER BY FRIDAY, NOVEMBER 26 AT ISK(a)ISKWIEN.AT
(no conference fee, but registration is required)
Preliminary Programme:
http://www.iskwien.at/upload/Preliminary_Programme_Vienna.pdf
--------------------------------------------------------------
Thursday, December 16
13.15 Welcome by Marco Pagano
14.00 Session 1 - Secondary Markets, Chair: Gustavo Piga
Automation versus Intermediation: Evidence from Treasuries Going Off the Run
M. Barclay, T. Hendershott, K. Kotz
Discussant: G. Garbi
Financial Intermediation and the Costs of Trading in an Opaque Market
R. Green, B. Hollifield, N. Schurhoff
Discussant: C. D'Souza
MTS Time Series
A. Dufour
Key Note Address
Chester Spatt
Moderator: Bruno Biais
Friday, December 17
8.30 Session 2 - Primary Markets, Chair: Ernst-Ludwig von Thadden
Illiquidity Spillovers: Theory and Evidence from European Telecom Bond Issuance
Y. Newman, M. Rierson
Discussant: A. Melnik
Order Flow and the Formation of Dealer bids: An Analysis of Information and Strategic Behaviour in the Government of Canada Security Auctions
A. Hortacsu, S. Sereen
Discussant: C. Upper
Dicriminatory Auctions with Seller Discretion: Evidence from German Treasury Auctions
J. Rocholl
Discussant: A. Hortacsu
13.30 Session 3 - Liqudity and Risk, Chair: Giorgio Basevi
Flight to Quality, Flight to Liquidity, and the Pricing of Risk
D. Vayanos
Liquidity Discovery and Asset Pricing
M. Gallmeyer, B. Hollifield, D. Seppi
Discussant: V. Acharya
Welcome by Prof. Niels Thygesen
Roundtable: Bond Market: Liquidity, Risk and Regulation, Chair: A. Lamfalussy
A. Grünbichler, T. Padoa Schioppa, G. Szapary
Saturday, December 18
9.00 - 13.30 Press Sessions
--------------------------------------------------------------
Further information:
Dr. Otto Randl
Institut für strategische Kapitalmarktforschung
Coburgbastei 4/1
T: +43 (1) 518 18 - 900
F: +43 (1) 518 18 - 920
E: otto.randl(a)iskwien.at
Registration: isk(a)iskwien.at
There is no conference fee, but registration is required.
Due to the limited number of participants please register asap.
--------------------------------------------------------------
AUSSCHREIBUNG
An der Abt. Finanzwirtschaft und Controlling
(http://www.imw.tuwien.ac.at/fc/), Institut für Institut für
Managementwissenschaften, der Technischen Universität Wien
(http://www.tuwien.ac.at/), ist voraussichtlich
ab 1.12.2004
auf die Dauer von 6 Jahren
eine Stelle für einen/eine Universitätsassistenten/in zu besetzen.
Beschäftigungsausmaß:
vollbeschäftigt
Aufnahmebedingungen:
einschlägig abgeschlossenes Doktoratsstudium bzw eine gleichwertige
wissenschaftliche Befähigung
Sonstige Kenntnisse:
Rechnungswesen und Risikocontrolling
Bewerbungsfrist:
bis 8.12.2004
Bewerbungen sind an die Personalabteilung I
(http://www.tuwien.ac.at/zv/pers1/ bzw.
http://info.tuwien.ac.at/histu/inst/0104.html) der TU Wien, Karlsplatz
13, A-1040 Wien, zu richten.
Für weitergehende Auskünfte steht
a.o.Univ.-Prof. Dr. Wolfgang Aussenegg
(Email: waussen(a)pop.tuwien.ac.at)
zur Verfügung.
Mit freundlichen Grüßen,
Wolfgang Aussenegg
--
***********************************************************
a.o.Univ.-Prof. Dr. Wolfgang Aussenegg
Institut für Managementwissenschaften
Abt. Finanzwirtschaft und Controlling
Technische Universität Wien
Phone: +43-1-58801 - 33082
Fax: +43-1-58801 - 33098
E-mail: waussen(a)pop.tuwien.ac.at
Web: http://info.tuwien.ac.at/E330/
Adresse: Favoritenstraße 9-11
A-1040 Wien
Österreich
CCEFM/IHS Workshop
Andrew Ellul, Indiana University
External Governance and Debt Agency Costs of Family Firms
The paper can be downloaded from
http://www2.wuwien.ac.at/ccefm/activities/workshops.htm
Friday, December 3rd, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010
Wien
----------------------
The next workshop after this one will be by:
Youchang Wu and Josef Zechner, University of Vienna
Closed-end Fund Governance, Portfolio Performance, and the Discount
Friday, December 10th, 3.30-5.00 pm, Location: (!) BWZ HS 9 (!)
----------------------
Alfred Lehar
University of Vienna
Bruenner Strasse 72
A-1210 Wien
Austria / Europe
Tel: +43 1 4277 38077
Fax: +43 1 4277 38074
EINLADUNG ZUM 19. WORKSHOP DER AUSTRIAN WORKING GROUP ON BANKING AND
FINANCE
Freitag, 26. 11., 14.00 - 18.30
Samstag, 27. 11., 9.00 - 12.45
Wirtschaftsuniversität Wien
Augasse 2-6, 1090 Wien
Hörsaal 01, UZA1, Kern A
Das Programm der Veranstaltung und eine Möglichkeit zur Anmeldung sind
unter http://www.wu-wien.ac.at/wwwu/institute/ikw/hp/awg19.html
abrufbar. Anmeldeschluss ist der 24. 11. 2004.
Auf Ihr Kommen freuen sich die Abteilung für Betriebliche Finanzierung
und das Institut für Kreditwirtschaft an der Wirtschaftsuniversität
Wien.
Mit freundlichen Grüßen
Stefan Bogner Stefan Pichler
-------------------
Stud. Ass. Cüneyt KAZOKOGLU
Wirtschaftsuniversität Wien
Institut für Kreditwirtschaft
UZA 4, 6. Stock Kern B
Nordbergstraße 15
A-1090 Wien
Tel: ++43 1 31336 4686
Fax: ++43 1 3100580
E-mail: cuneyt.kazokoglu(a)wu-wien.ac.at
Web: http://www.wu-wien.ac.at/wwwu/institute/ikw/
---------------------
INVITATION TO
GUTMANN CENTER SYMPOSIUM ON HEDGE FUNDS
November 29th, 2004
University of Vienna
Dr. Karl Lueger-Ring 1, 1010 Wien
Program as pdf:
http://gutmann-center.univie.ac.at/bridging/gutmann_symposia/200
4_on_hedge_funds/Symp04-Folder.pdf
REGISTRATION IS REQUIRED!:
gutmann.bwl(a)univie.ac.at
Further information:
www.gutmann-center.at
In cooperation with: www.diepresse.com
----------------------------------------------------------------
-----------------
In times of falling stock markets and not very promising bond
markets, investors are looking for alternatives. Hedge Funds
promise stable and attractive returns both during rising as well
as falling marketsbut come with the disadvantage that they are
frequently a black box for investors.The internationally
recognized speakers at our symposium will shed some light on
this hot topic from an academic as well as a practitioner's
point of view.
PROGRAM
08.30 - 09.00 Registration (Kleiner Festsaal)
09.00 - 09.15 Welcome (Kleiner Festsaal)
Josef Zechner, University of Vienna
Session 1 (Kleiner Festsaal)
Chair: Josef Zechner, University of Vienna
09.15 - 09.45 Mila Getmansky, Isenberg School of Management at
UMASS
"The Life Cycle of Hedge Funds: Fund
Flows, Size and Performance"
Discussant: Stefan Pichler, Vienna
University of Economics and BA
09.45 - 10.15 Julien Hugonnier, University of Lausanne
"Mutual Fund Portfolio Choice in the
Presence of Dynamic Flows"
Discussant: Thomas Dangl, Vienna
University of Technology
10.15 - 10.45 Narayan Y. Naik, London Business School
"Flows, Performance, and Managerial
Incentives in Hedge Funds
Discussant: Otto Randl, ISK Vienna
10.45 - 11.15 - Coffee Break -
Session 2 (Kleiner Festsaal)
Chair: Klaus Spremann, University of St. Gallen
11.15 - 11.45 Ryan J. Davies, Babson College
"Fund of Hedge Funds Portfolio
Selection:
A Multiple-Objective Approach"
Discussant: Steven Thorley, Brigham
Young University
11.45 - 12.15 Terry Marsh, Quantal Inc./ UC Berkeley
"Equity Market Neutral Hedge Funds"
Discussant: Engelbert Dockner,
University of Vienna
12.15 -12.45 Oleg Bondarenko, Washington University in St.
Louis
"Market Price of Variance Risk and
Performance of Hedge Funds"
Discussant: Shmuel Kandel, Tel Aviv
University
12.45 - 14.15 - Lunch Buffet -
PARALLEL SESSIONS:
Session 3a Parallel Session I (Kleiner Festsaal)
Chair: Shmuel Kandel, Tel Aviv University
14.15 14.45 Martin Ruckes, University of Wisconsin-Madison
"Liquidity, Borrowing Structure, and
Limits to Arbitrage"
Discussant: Alfred Lehar, University of
Vienna
14.45 15.15 Maria Vassalou, Columbia University
"Corporate Innovation and its Effects on
Equity Returns"
Discussant: Neal Stoughton, University
of Calgary
15.15 15.45 Kuan Xu, Dalhousie University
"Myopic Loss Aversion and Margin of
Safety"
Discussant: Elroy Dimson, London
Business School
Session 3b Parallel Session II (Hörsaal 16)
Chair: Terry Marsh, Quantal
International Inc./ UC Berkeley
14.15 14.45 George O Aragon, Boston College
"Share Restrictions and Asset Pricing
Evidence from the Hedge Fund Industry"
Discussant: Peter Pope, Lancaster
University
14.45 15.15 Yong Chen, Boston College
"Timing ability in the focus market of
hedge funds"
Discussant: Michael Halling, University
of Vienna
15.15. 15.45 Robert Kosowski, INSEAD
"Is Stellar Hedge Fund Performance for
Real?"
Discussant: Robert Korajczyk,
Northwestern University
Panel Discussion (Kleiner Festsaal)
16.00 - 17.30 Hedge Funds Temporary Fad or Here to Stay?
Chair: Michael Prüller, Die Presse
Discussants:
- Elroy Dimson, London Business
School
- Terry Marsh, UC Berkeley/
Quantal International Inc.
- Friedrich Strasser, Bank Gutmann
AG
- Josef Zechner, University of
Vienna
----------------------------------------------------------------
-----------
Gutmann Center for Portfolio Management
University of Vienna
Bruenner Strasse 72
A-1210 Wien/Vienna
Austria
Phone: +43-1-4277-38186
Fax: +43-1-4277-38074
e-mail: gutmann.bwl(a)univie.ac.at
Homepage: www.gutmann-center.at
--------------------------------------------------------------
Invitation
The Second MTS Conference on Financial Markets:
The Organisation and Performance of Fixed-Income Markets
Hosted by Universität Wien und ISK Wien
Palais Coburg, 16-18 December 2004
Preliminary Programme:
http://www.iskwien.at/upload/Preliminary_Programme_Vienna.pdf
PLEASE REGISTER at isk(a)iskwien.at
--------------------------------------------------------------
Thursday, December 16
13.15 Welcome by Marco Pagano
14.00 Session 1 - Secondary Markets, Chair: Gustavo Piga
Automation versus Intermediation: Evidence from Treasuries Going Off the Run
M. Barclay, T. Hendershott, K. Kotz
Discussant: G. Garbi
Financial Intermediation and the Costs of Trading in an Opaque Market
R. Green, B. Hollifield, N. Schurhoff
Discussant: C. D'Souza
MTS Time Series
A. Dufour
Key Note Address
Chester Spatt
Moderator: Bruno Biais
Friday, December 17
8.30 Session 2 - Primary Markets, Chair: Ernst-Ludwig von Thadden
Illiquidity Spillovers: Theory and Evidence from European Telecom Bond Issuance
Y. Newman, M. Rierson
Discussant: A. Melnik
Order Flow and the Formation of Dealer bids: An Analysis of Information and Strategic Behaviour in the Government of Canada Security Auctions
A. Hortacsu, S. Sereen
Discussant: C. Upper
Dicriminatory Auctions with Seller Discretion: Evidence from German Treasury Auctions
J. Rocholl
Discussant: A. Hortacsu
13.30 Session 3 - Liqudity and Risk, Chair: Giorgio Basevi
Flight to Quality, Flight to Liquidity, and the Pricing of Risk
D. Vayanos
Liquidity Discovery and Asset Pricing
M. Gallmeyer, B. Hollifield, D. Seppi
Discussant: V. Acharya
Welcome by Prof. Niels Thygesen
Roundtable: Bond Market: Liquidity, Risk and Regulation, Chair: A. Lamfalussy
A. Grünbichler, T. Padoa Schioppa, G. Szapary
Saturday, December 18
9.00 - 13.30 Press Sessions
--------------------------------------------------------------
Further information:
Dr. Otto Randl
Institut für strategische Kapitalmarktforschung
Coburgbastei 4/1
T: +43 (1) 518 18 - 900
F: +43 (1) 518 18 - 920
E: otto.randl(a)iskwien.at
Registration: isk(a)iskwien.at
There is no conference fee, but registration is required.
Due to the limited number of participants please register asap.
--------------------------------------------------------------
CCEFM/IHS Workshop
Ernst Maug, Humboldt University
Do Shareholders Vote Strategically? Evidence on the Advisory Role of Annual
General Meetings
The paper can be downloaded from
http://www2.wu-wien.ac.at/ccefm/activities/workshops.htm
Friday, November 12th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010
Wien
You might be interested in the
Artificial Economics'2005 Conference:
Symposium in Agent-based Computational Methods
in Finance, Game Theory and their applications
I am including the full CfP because the website is not yet available.
-- Andreas Schamanek
*******************************************************
PRELIMINARY CALL FOR PAPERS
for
+-----------------------------+
| Artificial Economics'2005 |
+-----------------------------+
Symposium in Agent-based Computational Methods
in Finance, Game Theory and their applications
Lille, September 15--16, 2005
http://cisco.univ-lille1.fr/ae2005
*******************************************************
----------------------------------------------------------------------
CONTEXT
----------------------------------------------------------------------
Agent-based Computational Economics (ACE) deals with the computational
study of economies as complex adaptive systems implying interacting
agents with cognitive skills. This area has provoked, in various
fields of Economics, a great deal of academic interest, in relation
with the Complex System approaches.
One of the first use of agent based models has been popularized by
Axelrod in his theory of evolution of cooperation. In this early work
he used extensively computational simulations and methods in order to
study strategic behaviour in the iterated prisoner's dilemma. This
work is still influencing many researches in various scientific
fields. It has for instance been the foundations of a new approach of
the game theory based on computational ideas.
In the mid eighties, under the impulsion of the Santa-Fe Institute,
and especially Christopher Langton, a new field of research, called
Artificial Life (AL), has emerged. The idea of AL was to mimic real
life under its various aspects to understand the basic principles of
life. This has lead to encompass wider ideas such as complexity,
evolution, auto-organisation and emergence. All concepts induced by
those approaches have influenced social scientists among others.
Following those initial attempts to mix computational approaches and
social sciences, for instance among the pioneering works using ACE in
finance, one can refer to the Artificial Stock Market by Palmer,
Arthur, Holland, LeBaron, and Taylor. This model, based on bounded
rationality and inductive reasoning, is one of the first allowing
correct simulations of real world stock market dynamics. This work has
been done by people coming from various scientific fields (Economics,
Game Theory, Computer Science and Finance).
Recently, another growing field appeared, dealing with the study of
the formation and the dynamics of social networks. To understand the
spread of information as well as the social beliefs one has to
consider the underlying social networks that can have different
effects on those processes. This special topic is another where
physicists, computer scientists and economists join their efforts to
explore the idea that economic activity is embedded in social
structure.
All thoses approaches intensively use computer simulation as well as
artificial intelligence concepts mostly based on multi-agents
systems. In this context, the most used models come from game theory.
Therefore, Agent-based Computational Economics is more and more an
important methodology in many Social-Sciences (the Management
Sciences, Sociology, Economics, Conflicts Resolution, etc). It becomes
now widely used to test theoretical models or to investigate their
properties when analytical solutions are not possible.
----------------------------------------------------------------------
AIMS AND SCOPES
----------------------------------------------------------------------
The main aims of the event are to:
* present computer-science based multi-agent methodologies and tools
with their applications to social-scientists (mainly people from
economics and the management sciences)
* present uses and needs of multi-agent based models and their
constraints, as used by those social scientists, to computer
scientists
* favor the meeting of people and ideas of those two communities in
order to be able to construct a much structured multi-disciplinary
approach.
For its first edition, the Symposium will thus present recent
scientific advances in the fields of ACE but is also widely open to
methodological surveys. Topics include but are not limited to the
following:
* Computational Game Theory (Non-Cooperative, Cooperative,
Evolutionary, Pure coordination Games...)
* Discrete choice models in Economics and the Management Sciences
* Emergence and dynamics of Norms and Conventions
* Financial Market and Organization Models (Stock prices dynamics,
Herding in Financial Markets)
* Epistemology and Agent-based Methodological issues
* Dynamics of social and economic networks
----------------------------------------------------------------------
IMPORTANT DATES
----------------------------------------------------------------------
* March 1st, 2005 : Submission of papers
* April 8th, 2005 : Notification of acceptance
* June 1st, 2005 : Final paper due
* September 15-16, 2005 : AE'2005
The symposium will last two days and will take place in Lille, which
is very well connected to most major european cities. It will offer
presentations of papers selected by the program committee as well as
special invited keynote sessions. Exchanges and discussions will have
a large space in the final program.
----------------------------------------------------------------------
PAPER SUBMISSION AND PROCEEDINGS
and original works, has to be sent by electronic mail and in acrobat
(.pdf) format to the following email address:
ae2005(a)univ-lille1.fr
Short versions of the paper must be 5 pages long. Further details and
authors guideline will also be available from the main website at
http://cisco.univ-lille1.fr/ae2005
All accepted papers will be published in proceedings of the symposium
which will have an ISBN. After the event we plan to publish a special
issue of a journal presenting some selected papers, which may have
been modified after remarks and discussions done during the
conference.
----------------------------------------------------------------------
ORGANIZING COMMITTEE
----------------------------------------------------------------------
* Bruno BEAUFILS, USTL/CNRS
* Olivier BRANDOUY, USTL/CNRS
* Julien DERVEEUW, USTL/CRNS
* Denis PHAN, Universite' de Rennes I
* Philippe MATHIEU, USTL/CNRS
----------------------------------------------------------------------
PROGRAM COMMITTEE
----------------------------------------------------------------------
Chair : Pr Philippe MATHIEU
* Fre'de'ric AMBLARD - Universite' de Toulouse 1, France
* Ge'rard BALLOT - ERMES, Universite' de Paris 2, France
* Bruno BEAUFILS - LIFL, USTL, France
* Paul BOURGINE - CREA, E'cole Polytechnique, France
* Olivier BRANDOUY - CLAREE, USTL, France
* Charlotte BRUUN - Aalborg University, Danemark
* Jose' Maria CASTRO CALDAS - ISCTE, DINAMIA, Portugal
* Christophe DEISSENBERG - GREQAM, France
* Jean-Paul DELAHAYE - LIFL, USTL, France
* Jacques FERBER - LIRMM, Universite' de Montpellier II, France
* Bernard FORGUES - CLAREE, USTL, France
* Wander JAGER - University of Groningen, The Netherlands
* Marco JANSSEN - CIPEC, Indiana University, USA
* Philippe LAMARRE - LINA, Universite' de Nantes, France
* Luigi MARENGO - DSGSS, Universita` di Teramo, Italy
* Philippe MATHIEU - LIFL, USTL, France
* Denis PHAN - Universite' de Rennes I, France
* Juliette ROUCHIER - GREQAM, France
* Elpida TZAFESTAS - National Technical University of Athens, Greece
* Nicolaas VRIEND - Queen Mary University of London, United Kingdom
* Bernard WALLISER - CERAS, ENPC, France
* Murat YILDIZOGLU - IFREDE-E3I, Universite' Montesquieu Bordeaux IV,
France
----------------------------------------------------------------------
CONTACT
----------------------------------------------------------------------
Pr Philippe MATHIEU
email : philippe.mathieu(a)lifl.fr
www : http://cisco.univ-lille1.fr/ae2005
----------------------------------------------------------------------
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna
http://www.gutmann-center.at
is pleased to invite to the following
PUBLIC LECTURE:
- Apologies for any cross-postings!! -
Date: November 9th 2004, 4.30 p.m. -
LOCATION: Bank Gutmann AG (http://www.gutmann.at),
Schwarzenbergplatz 16, A - 1010 Vienna, Austria
Speaker: ERNESTO ROSSI DI MONTELERA, Observatoire de la
Finance http://www.obsfin.ch/
Title: "PROFIT AND ETHICS: ENEMIES, PARTNERS, OR
UNCONCERNED?"
Abstract:
Why should we talk about ethics in the context of financial
activities, a field that would appear to be highly and
exclusively technical ? Anyway, we must face the fact that the
topic of ethics is more and more widely addressed (but also
feared) in the economic and financial communities. It looks as
if ethics were simultaneously perceived as an obstacle to the
competition for profit but also as a profitable sales
proposition ! Do we have in fact a clear idea of what ethics are
and what is the meaning of the word ? It certainly has something
to do with the idea of trust and of shared rules (and values) as
a necessary condition for a smooth establishment and functioning
of financial relations. So the question arises : are ethics a
cost that should be born in the superior interest of the civil
society, or a condition for better performances ? Should one
expect from "ethical funds" a better return or a better
conscience ? The obvious need for trust leads to the question of
Common Good, a notion of respectable antiquity, but very
difficult to define and to implement. Basical questions should
than be raised : how do we take into consideration the
complexity of any reality ? How can we define its various levels
and bring them to bear in our decisions ? What help can we find
in certain traditional doctrines, as for instance the doctrine
of virtues (of which maybe the virtue of liberalitas is a good
example in our case) ? Are we not sometime (or too often) the
victims of utopian illusions, as in the case of the quest for a
risk-free (zero risk !) society ? What could we say of such
trends as "responsible investment" or "microfinance" ? The
primary problem of ethics is not the definition of the correct
behaviours or the drafting of codes of deontology, but the
search for the ends and means to be discovered in the reality of
things, in the nature of man and in the meaning of his actions :
before the questions about how things should be comes the
question of what things are and to what ends we should direct
them. In our case the primary question could be, for instance :
what is money ?
Please REGISTER:
brigitte.juchelka(a)gutmann.at
phone: +43-1-50220-357
Further information about the Gutmann Center:
Mag. Dorothea Grimm
Gutmann Center for Portfolio Management
University of Vienna
phone: +43-1-4277-38186
mail: dorothea.grimm(a)univie.ac.at
web: www.gutmann-center.at
BSI Gamma, ISK Wien and Universität Wien invite to a
CONFERENCE and PANEL DISCUSSION on
CORPORATE GOVERNANCE
November 11, 2004
Palais Coburg
-----------------------------------------------------
Please register by November 4, 2004 at isk(a)iskwien.at
-----------------------------------------------------
Programme: www.iskwien.at/upload/invito_vienna_04.pdf
13.15 Welcome
Prof. Josef Zechner, Prof. Rene Stulz
13.30 - 15.00 Session 1
Predicting Firms' Corporate Governance Choices: Evidence from Korea
Bernard Black, Hasung Jang, Woochan Kim
Discussant: Rene Stulz
Watching the Stop from the Front Seat: Determinant of Venture Capitalists' Representation on the Board
Eli Talmor, Reddi Kotha
Discussant: Thomas Dangl
15.30 - 17.00 Session 2
The Valuation Effect of Corporate Governance Changes: Evidence from Cross-Border Mergers
Arturo Bris, Christos Cabolis
Discussant: Klaus Gugler
Corporate Governance and Earnings Management: International Evidence
Francois Degeorge, Yuan Ding, Thomas Jeanjean, Herve STolowy
Discussant: Alex Stomper
17.30 - 19.15 Session 3
The Corporate Governance Role of the Media: Clinical Evidence from Russia
Luigi Zingales, Alexander Dyck
Discussant: Ernst Maug
PANEL DISCUSSION: Can corporate insiders be tamed?
Alexander Dyck, Harvard Business School
Michael Eberhartinger, Austrian Corporate Governance Committee
Ernst Maug, University of Berlin
Stefan Zapotocky, CEO Vienna Stock Exchange
19.15 Cocktails
-----------------------------------------------------
Further information:
Dr. Otto Randl
Institut für strategische Kapitalmarktforschung
Coburgbastei 4/1
1010 Wien
T: +43-1-51818-900
T: +43-1-51818-920
E: otto.randl(a)iskwien.at
CCEFM/IHS Workshop
Rick Green, Carnegie Mellon University
Financial Intermediation and the Costs of Trading in an Opaque Market
The paper will by downloadable from
http://www2.wu-wien.ac.at/ccefm/activities/workshops.htm within the next few
days.
(!) Wednesday (!), Nov 3rd, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
----------------------
The next workshop is by
Ernst Maug, Humboldt University
Do Shareholders Vote Strategically? Evidence on the Advisory Role of Annual
General Meetings
Friday, November 12th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010
Wien
----------------------
Alfred Lehar
University of Vienna
Bruenner Strasse 72
A-1210 Wien
Austria / Europe
Tel: +43 1 4277 38077
Fax: +43 1 4277 38074
We would like to invite you to the following presentation at the Institut
für Kreditwirtschaft, WU Wien:
Financial Engineering and Quantitative Research: Experiences at JPMorgan
Wednesday, November 10, 2004 at 18:00 h
Hörsaal D205 (UZA4)
Abstract:
The aim of this talk is to give an insight into everyday life of JPMorgan's
derivatives business across asset classes. On the one hand, we will point
out areas of responsibilities of structurers, traders and quants as well as
the interplay between these three teams. On the other hand, we will give a
number of examples showing typical challenges (in terms of product
development, model requirements and implementation issues) and how we solved
them. In this regard, we will discuss equity specific and credit specific
products, as well as some ideas concerning the interplay of equity and
credit. Finally, we conclude by describing typical job profiles for a
marketer, trader or quant and how to prepare successfully for interviews.
Speaker & Discussant:
Dr Eva Strasser, Associate with JPMorgan London, working in Equity
Derivatives Research and specializing on the development of equity-specific
models and products as well as on equity-credit related topics
Johannes Sommer, Associate with JPMorgan London, working in Investment
Banking Advisory, specializing on M&A, equity and debt transactions for
listed real estate companies
--
|dr christopher summer ||wu wien, institut fuer kreditwirtschaft
|tel +43 1 31336 5006 ||www.wu-wien.ac.at/usr/kredit/csummer
|fax +43 1 3100580 ||christopher.summer(a)wu-wien.ac.at
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna
http://www.gutmann-center.at
is pleased to invite to the following
PUBLIC LECTURE:
- Apologies for any cross-postings!! -
Date: November 9th 2004, 4.30 p.m. -
Speaker: Ernesto Rossi di Montelera, Observatoire de la
Finance http://www.obsfin.ch/
Title: "PROFIT AND ETHICS: ENEMIES, PARTNERS, OR
UNCONCERNED?"
Abstract:
Why should we talk about ethics in the context of financial
activities, a field that would appear to be highly and
exclusively technical ? Anyway, we must face the fact that the
topic of ethics is more and more widely addressed (but also
feared) in the economic and financial communities. It looks as
if ethics were simultaneously perceived as an obstacle to the
competition for profit but also as a profitable sales
proposition ! Do we have in fact a clear idea of what ethics are
and what is the meaning of the word ? It certainly has something
to do with the idea of trust and of shared rules (and values) as
a necessary condition for a smooth establishment and functioning
of financial relations. So the question arises : are ethics a
cost that should be born in the superior interest of the civil
society, or a condition for better performances ? Should one
expect from "ethical funds" a better return or a better
conscience ? The obvious need for trust leads to the question of
Common Good, a notion of respectable antiquity, but very
difficult to define and to implement. Basical questions should
than be raised : how do we take into consideration the
complexity of any reality ? How can we define its various levels
and bring them to bear in our decisions ? What help can we find
in certain traditional doctrines, as for instance the doctrine
of virtues (of which maybe the virtue of liberalitas is a good
example in our case) ? Are we not sometime (or too often) the
victims of utopian illusions, as in the case of the quest for a
risk-free (zero risk !) society ? What could we say of such
trends as "responsible investment" or "microfinance" ? The
primary problem of ethics is not the definition of the correct
behaviours or the drafting of codes of deontology, but the
search for the ends and means to be discovered in the reality of
things, in the nature of man and in the meaning of his actions :
before the questions about how things should be comes the
question of what things are and to what ends we should direct
them. In our case the primary question could be, for instance :
what is money ?
Location: Bank Gutmann AG (http://www.gutmann.at),
Schwarzenbergplatz 16, A - 1010 Vienna, Austria
Participation is free, but REGISTRATION required:
brigitte.juchelka(a)gutmann.at
phone: +43-1-50220-357
Further information about the Gutmann Center:
Mag. Dorothea Grimm
Gutmann Center for Portfolio Management
University of Vienna
phone: +43-1-4277-38186
mail: dorothea.grimm(a)univie.ac.at
web: www.gutmann-center.at
***** LAST CALL FOR PAPERS *****
Der 19. Workshop der Austrian Working Group on Banking and Finance
findet am 26. und 27. November 2004 an der Wirtschaftsuniversität Wien
statt.
Angesprochen sind sowohl Forscher/inn/en an allen österreichischen
Universitäten und verwandten Institutionen als auch Praktiker/innen, die
wissenschaftliche Arbeiten im Bereich Banken und Finanzwirtschaft einem
kritischen Fachpublikum vorstellen möchten. Bei der Auswahl der Vorträge
wird besonders auf die Förderung des wissenschaftlichen Nachwuchses Wert
gelegt.
Alle Interessent/inn/en sind herzlich eingeladen Papers oder Extended
Abstracts bis 31. Oktober 2004 an Prof. Stefan Bogner
(stefan.bogner(a)wu-wien.ac.at)
oder Prof. Stefan Pichler (stefan.pichler(a)wu-wien.ac.at) zu senden.
Mit freundlichen Grüßen Stefan Pichler
*******************************************
Univ.-Prof. Mag. Dr. Stefan Pichler
Wirtschaftsuniversität Wien
Institut für Kreditwirtschaft
UZA 4, 6. Stock Kern B
Nordbergstraße 15
A-1090 Wien
Tel: ++43 1 31336 4691
Fax: ++43 1 3100580
E-mail: <mailto:stefan.pichler@wu-wien.ac.at>
stefan.pichler(a)wu-wien.ac.at
Web: <http://www.wu-wien.ac.at/wwwu/institute/ikw/>
http://www.wu-wien.ac.at/wwwu/institute/ikw/
*******************************************
BSI Gamma, ISK Wien and Universität Wien invite to a
CONFERENCE and PANEL DISCUSSION on
CORPORATE GOVERNANCE
November 11, 2004
Palais Coburg
-----------------------------------------------------
Programme:
13.15 Welcome
Prof. Josef Zechner, Prof. Rene Stulz
13.30 - 15.00 Session 1
Predicting Firms' Corporate Governance Choices: Evidence from Korea
Bernard Black, Hasung Jang, Woochan Kim
Discussant: Rene Stulz
Watching the Stop from the Front Seat: Determinant of Venture Capitalists' Representation on the Board
Eli Talmor, Reddi Kotha
Discussant: Thomas Dangl
15.30 - 17.00 Session 2
The Valuation Effect of Corporate Governance Changes: Evidence from Cross-Border Mergers
Arturo Bris, Christos Cabolis
Discussant: Klaus Gugler
Corporate Governance and Earnings Management: International Evidence
Francois Degeorge, Yuan Ding, Thomas Jeanjean, Herve STolowy
Discussant: Alex Stomper
17.30 - 19.15 Session 3
The Corporate Governance Role of the Media: Clinical Evidence from Russia
Luigi Zingales, Alexander Dyck
Discussant: Ernst Maug
PANEL DISCUSSION: Can corporate insiders be tamed?
Alexander Dyck, Harvard Business School
Michael Eberhartinger, Austrian Corporate Governance Committee
Ernst Maug, University of Berlin
Stefan Zapotocky, CEO Vienna Stock Exchange
19.15 Cocktails
-----------------------------------------------------
Please reply by October 29, 2004 to gamma.foundation(a)bsi.ch or isk(a)iskwien.at
-----------------------------------------------------
Further information:
Dr. Otto Randl
Institut für strategische Kapitalmarktforschung
Coburgbastei 4/1
1010 Wien
T: +43-1-51818-900
T: +43-1-51818-920
E: otto.randl(a)iskwien.at
CCEFM Workshop
Yihong Xia, University of Pennsylvania, Wharton School
(Gutmann Center Research Fellow)
"Persistence, Predictability, and Portfolio Planning"
Friday, October 22nd, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
The paper is downloadable from:
http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html
---------------------------------------------
The next CCEFM workshop is by
Rick Green, Carnegie Mellon University
(sponsored by Gutmann Center for Portfolio Management)
TBA
Wednesday (!), Nov 3rd, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
----------------------
Alfred Lehar
University of Vienna
Bruenner Strasse 72
A-1210 Wien
Austria / Europe
Tel: +43 1 4277 38077
Fax: +43 1 4277 38074
CCEFM Workshop
Raman Uppal, London Business School
(Gutmann Center Research Fellow)
"How inefficient are simple asset-allocation strategies?"
Friday, October 15th, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
The paper will be downloadable within the next few days from:
http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html
---------------------------------------------
The next CCEFM workshop is by
Yihong Xia, University of Pennsylvania
(Gutmann Center Research Fellow)
TBA
Friday, October 22th, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
* REMINDER * REMINDER * REMINDER * REMINDER * REMINDER
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 13th, 2004 (Wednesday), 4.00 p.m.
Speaker: Prof. Dr. Raman UPPAL
London Business School
http://faculty.london.edu/ruppal/
Title:
"PORTFOLIO SELECTION WITH PARAMETER AND MODEL UNCERTAINTY"
Abstract:
In this paper, we extend the mean-variance portfolio model where
expected returns are obtained using maximum likelihood
estimation to explicitly account for uncertainty about estimated
expected returns. In contrast to the Bayesian approach to
estimation error, where there is only a single prior and the
investor is neutral to uncertainty, we allow for multiple priors
and aversion to uncertainty. The multi-prior model has several
attractive features: One, just like the Bayesian model, the
multi-prior model is firmly grounded in decision theory; Two, it
is flexible enough to allow for uncertainty about expected
returns estimated jointly for all assets or different levels of
uncertainty about expected returns for different subsets of the
assets; Three, we show how in several special cases of the
multi-prior model one can obtain closed-form expressions for the
optimal portfolio, which can be interpreted as a shrinkage of
the mean-variance portfolio towards either he risk-free asset or
the minimum variance portfolio. We illustrate how to implement
the multi-prior model using both international and domestic
data. Our analysis suggests that allowing for parameter
uncertainty reduces the fluctuation of portfolio weights over
time and, for the data set considered, improves substantially
the out-of sample performance.
Location: Bank Gutmann AG (http://www.gutmann.at),
Schwarzenbergplatz 16, A - 1010 Vienna,
Austria
Participation is free, but REGISTRATION required:
brigitte.juchelka(a)gutmann.at
phone: +43-1-50220-357
Further information:
Dorothea Grimm
Administrative Director
Gutmann Center for Portfolio Management
University of Vienna
Bruenner Str. 72
A-1210 Wien
Austria
phone: +43-1-4277-38186
fax: +43-1-4277-38074
mail: dorothea.grimm(a)univie.ac.at
web: www.gutmann-center.at
CCEFM Workshop
Russ Wermers (University of Maryland), Eugene Kandel (Hebrew University)
(Gutmann Center International Research Grant 2002)
"Evaluating Asset Managers by Decomposing Their Active Decisions"
Friday, October 8th, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
The paper will be downloadable within the next few days from:
http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html
---------------------
The next CCEFM workshop is by
Raman Uppal, London Business School
(Gutmann Center Research Fellow)
Title: TBA
Friday, October 15th, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna
http://www.gutmann-center.at
is pleased to announce the following PUBLIC LECTURE:
- Apologies for any cross-postings!! -
Date: October 13th, 2004 (Wednesday), 4.00 p.m.
Speaker: Prof. Dr. Raman UPPAL
London Business School
http://faculty.london.edu/ruppal/
Title: "Portfolio Selection with Parameter and Model
Uncertainty"
Abstract:
In this paper, we extend the mean-variance portfolio model where
expected returns are obtained using maximum likelihood
estimation to explicitly account for uncertainty about estimated
expected returns. In contrast to the Bayesian approach to
estimation error, where there is only a single prior and the
investor is neutral to uncertainty, we allow for multiple priors
and aversion to uncertainty. The multi-prior model has several
attractive features: One, just like the Bayesian model, the
multi-prior model is firmly grounded in decision theory; Two, it
is flexible enough to allow for uncertainty about expected
returns estimated jointly for all assets or different levels of
uncertainty about expected returns for different subsets of the
assets; Three, we show how in several special cases of the
multi-prior model one can obtain closed-form expressions for the
optimal portfolio, which can be interpreted as a shrinkage of
the mean-variance portfolio towards either he risk-free asset or
the minimum variance portfolio. We illustrate how to implement
the multi-prior model using both international and domestic
data. Our analysis suggests that allowing for parameter
uncertainty reduces the fluctuation of portfolio weights over
time and, for the data set considered, improves substantially
the out-of sample performance.
Location: Bank Gutmann AG (http://www.gutmann.at),
Schwarzenbergplatz 16, A - 1010 Vienna,
Austria
Participation is free, but REGISTRATION required:
brigitte.juchelka(a)gutmann.at
phone: +43-1-50220-357
Further information:
Dorothea Grimm
Administrative Director
Gutmann Center for Portfolio Management
University of Vienna
Bruenner Str. 72
A-1210 Wien
Austria
phone: +43-1-4277-38186
fax: +43-1-4277-38074
mail: dorothea.grimm(a)univie.ac.at
web: www.gutmann-center.at
The Gutmann Center for Portfolio Management
at the University of Vienna
http://www.gutmann-center.at
is pleased to announce the
GUTMANN CENTER SYMPOSIUM ON HEDGE FUNDS
Date: November 29th, 2004
Location: University of Vienna, Austria
In times of falling stock markets and not very promising bond
markets, investors are looking for alternatives. Hedge Funds
promise stable and attractive returns both during rising as well
as falling markets but come with the disadvantage that they are
frequently a black box for investors. The internationally
recognized speakers at our symposium will shed some light on
this hot topic from an academic as well as a practitioner's
point of view:
- George O. Aragon, Boston College
"Share Restrictions and Asset Pricing - Evidence from
the Hedge Fund Industry"
- Oleg Bondarenko, University of Illinois at Chicago
"Market Price of Variance Risk and Performance of Hedge
Funds"
- Yong Chen, Boston College
"Timing ability in the focus market of hedge funds"
- Ryan J. Davies, Babson College
"Fund of Hedge Funds Portfolio Selection: A
Multiple-Objective Approach"
- Mila Getmansky, Isenberg School of Management at UMASS,
Amherst
"The Life Cycle of Hedge Funds: Fund Flows, Size and
Performance"
- Julien Hugonnier, University of Lausanne
"Mutual Fund Portfolio Choice in the Presence of Dynamic
Flows"
- Narayan Naik , London Business School
"Flows, Performance, and Managerial Incentives in the
Hedge Fund Industry"
- Robert Kosowski, INSEAD
"Is Stellar Hedge Fund Performance for Real?"
- Martin Ruckes, University of Wisconsin-Madison
"Liquidity, Borrowing Structure, and Limits to
Arbitrage"
- Terry Marsh, Quantal/ UC Berkeley
"Equity Market Neutral Hedge Funds"
- Maria Vassalou, Columbia University
"Corporate Innovation and its Effects on Equity Returns"
- Kuan Xu, Dalhousie University
"Myopic Loss Aversion and Margin of Safety"
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 California, Irvine
- Josef Zechner, University of Vienna
The presentations will be followed by a PANEL DISCUSSION.
The participation is free, but all participants are required to
REGISTER:
mail: gutmann.bwl(a)univie.ac.at
Contact:
Gutmann Center for Portfolio Management
University of Vienna
Bruenner Str. 72
A-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
Apologies for cross postings!!
Ausschreibung an der Karl-Franzens-Universität Graz
Sozial- und Wirtschaftswissenschaftliche Fakultät
Am Institut für Banken und Finanzierung ist eine halbe Stelle einer
wissenschaftlichen Mitarbeiterin oder eines wissenschaftlichen
Mitarbeiters im Forschungs- und Lehrbetrieb gem. § 100 UG 02 (befristete
Ersatzkraft), ab
sofort befristet bis voraussichtlich 17. Mai 2005, zu besetzen.
Aufnahmebedingungen: Abgeschlossenes Doktoratsstudium der Sozial- und
Wirtschaftswissenschaften bzw. eine dem Doktorat gleich zu wertende
wissenschaftliche Befähigung.
Erwünschte Kenntnisse bzw. Qualifikationen: Ausgezeichneter Erfolg im
Prüfungsfach "Banking & Finance", Englisch in Wort und Schrift.
Ende der Bewerbungsfrist: 06. Oktober 2004 (Kennzahl: 23/68/99).
Bewerbungen (mit Lebenslauf und Zeugnissen) sind unter Angabe der
Kennzahl einzureichen an:
Karl-Franzens-Universität
Administration und Dienstleistungen
Personalwesen
Universitätsplatz 3
8010 Graz
AUSSCHREIBUNG
An der Abt. Finanzwirtschaft und Controlling
(http://info.tuwien.ac.at/E330/), Institut für Betriebswissenschaften,
Arbeitswissenschaft und Betriebswirtschaftslehre (Neue Bezeichung:
Institut für Managementwissenschaften), der Technischen Universität Wien
(http://www.tuwien.ac.at/), ist voraussichtlich
ab 1.10.2004
auf die Dauer von 6 Jahren
eine Stelle für einen/eine Universitätsassistenten/in zu besetzen.
Beschäftigungsausmaß:
vollbeschäftigt
Aufnahmebedingungen:
einschlägig abgeschlossenes Doktoratsstudium bzw eine gleichwertige
wissenschaftliche Befähigung
Sonstige Kenntnisse:
Rechnungswesen, Finanzwirtschaft, Controlling und Risikomanagement,
Statistik/Ökonometrie, Informatikkenntnisse und Programmiererfahrung
Bewerbungsfrist:
15.9.2004 bis 6.10.2004
Bewerbungen sind an die Personalabteilung I
(http://www.tuwien.ac.at/zv/pers1/ bzw.
http://info.tuwien.ac.at/histu/inst/0104.html) der TU Wien, Karlsplatz
13, A-1040 Wien, zu richten.
Für weitergehende Auskünfte steht
a.o.Univ.-Prof. Dr. Wolfgang Aussenegg
(Email: waussen(a)pop.tuwien.ac.at)
(www: http://info.tuwien.ac.at/E330/Staff/Aussenegg.htm)
zur Verfügung.
Mit freundlichen Grüßen,
Wolfgang Aussenegg
--
***********************************************************
a.o.Univ.-Prof. Dr. Wolfgang Aussenegg
Institut für Managementwissenschaften
Abt. Finanzwirtschaft und Controlling
Technische Universität Wien
Phone: +43-1-58801 - 33082
Fax: +43-1-58801 - 33098
E-mail: waussen(a)pop.tuwien.ac.at
Web: http://info.tuwien.ac.at/E330/
Adresse: Favoritenstraße 9-11
A-1040 Wien
Österreich
***** CALL FOR PAPERS *****
Der 19. Workshop der Austrian Working Group on Banking and Finance
findet am 26. und 27. November 2004 an der Wirtschaftsuniversität Wien
statt.
Angesprochen sind sowohl Forscher/inn/en an allen österreichischen
Universitäten und verwandten Institutionen als auch Praktiker/innen, die
wissenschaftliche Arbeiten im Bereich Banken und Finanzwirtschaft einem
kritischen Fachpublikum vorstellen möchten. Bei der Auswahl der Vorträge
wird besonders auf die Förderung des wissenschaftlichen Nachwuchses Wert
gelegt.
Alle Interessent/inn/en sind herzlich eingeladen Papers oder Extended
Abstracts bis 31. Oktober 2004 an Prof. Stefan Bogner
(stefan.bogner(a)wu-wien.ac.at)
oder Prof. Stefan Pichler (stefan.pichler(a)wu-wien.ac.at) zu senden.
Mit freundlichen Grüßen Stefan Pichler
*******************************************
Univ.-Prof. Mag. Dr. Stefan Pichler
Wirtschaftsuniversität Wien
Institut für Kreditwirtschaft
UZA 4, 6. Stock Kern B
Nordbergstraße 15
A-1090 Wien
Tel: ++43 1 31336 4691
Fax: ++43 1 3100580
E-mail: stefan.pichler(a)wu-wien.ac.at
Web: http://www.wu-wien.ac.at/wwwu/institute/ikw/
*******************************************
------ Ende der weitergeleiteten Nachricht ------
Second Announcement:
-------------------
Dear Ladies and Gentlemen,
We want to alert you to the forthcoming
Austrian Workshop on Asset Liability Management (ALM 2004)
for Insurance Companies and Pension Funds
from September 23 - 25 in Vienna, featuring
- an introductory crash course,
- a practicioners' day and
- a day of cutting edge research.
The workshop is jointly organised by
- the Vienna University of Technology,
- the FMA (Austrian Financial Market Authority),
- the University of Applied Sciences BFI in Vienna,
- the Actuarial Association of Austria,
- the Scientific Association "Insurance, Financial,
and Operational Risk Management" and
- the Vienna University of Economics and Business Administration.
Please find further information on the web page
http://alm.fam.tuwien.ac.at/
Best regards,
M. Fulmek, T. Hudetz, M. Jeckle, Ch. Krischanitz, S. Pichler,
M. Predota, W. Schachermayer, H. Schicketanz, U. Schmock
We apologize for any cross-postings.
An der Universität Innsbruck wird am Institut für Betriebliche
Finanzwirtschaft demnächst folgende Stelle ausgeschrieben:
Wissenschaftl. Mitarbeiter Kategorie 2 (ohne Doktorat) ab 1.9.2004
Voraussetzung: abgeschlossenes Universitätsstudium, Fachrichtung:
Wirtschaftswissenschaften (BW, VW,...)
Vertiefte Kenntnisse in einem oder mehreren der folgenden Bereiche
erwünscht: Optionsbewertung, Risikomanagement, quantitative Methoden
in der Finanzwirtschaft, Programmierkenntnisse
Aufgabenbereich:
Unterstützung der Institutsmitarbeiter in Forschung und Lehre,
eigenständige Forschung (Dissertation, Verwaltungsarbeiten)
Nähere Informationen gibt es bei Prof. Michael Hanke (e-mail:
Michael.Hanke(a)wu-wien.ac.at).
Bewerbungen sind erst nach Erscheinen der Ausschreibung im nächsten
Mitteilungsblatt der Universität Innsbruck möglich. Die
Bewerbungsfrist sowie sonstige Bewerbungserfordernisse sind ebenfalls
dem Mitteilungsblatt zu entnehmen.
Reminder
CCEFM Workshop
Martin Dierker (University of Houston)
"Do Shareholder Rights affect the Cost of Bank Loans"
Friday, June 4th, 3.30-5.00 pm
Wiener Börse, Wallnerstrasse 8, 1010 Wien
The paper is downloadable from:
http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html
The Institut für strategische Kapitalmarktforschung and the Zentrum MBA/Finance & Public Management at Donau-Universität Krems kindly invite to a seminar on Venture Capital Economics.
Please find more information below.
Otto Randl
Institut für strategische Kapitalmarktforschung
-------------------------
VENTURE CAPITAL ECONOMICS
The seminar will be given by
Michael J. Brown, Chairman, Chrysalix Energy Management Inc.
Topics Covered
Basic Structures of Venture Capital
Characteristics of VC Portfolios
Individual Company Performance
Investment Managers
Expectations and Needs of Investors
For a more detailed seminar outline please send an e-mail to isk(a)iskwien.at
Date
Tuesday, 8 June 2004, 2:00 pm - 6:30 pm
Location
Palais Coburg, Coburgbastei 4/1, 1010 Wien
Deadline for enrollment
2 June 2004
Fee
EUR 250 (no VAT) (inclusive snacks, coffee & drinks)
---------- Forwarded message ----------
Date: Mon, 24 May 2004 16:01:55 +0200
From: Jochen Lawrenz <Jochen.Lawrenz(a)uibk.ac.at>
Subject: Einladung zur AWG 2004 - Innsbruck
Sehr geehrte Damen und Herren,
wir laden hiermit alle Interessierten recht herzlich zur diesjährigen
AWG 2004
in Innsbruck ein.
Der workshop findet am 18./19. Juni statt; ...
Weitere Informationen finden Sie außerdem auf der webseite:
http://ibf.uibk.ac.at/awg.html
Viele Grüße aus Innsbruck
i.A.
J.Lawrenz
The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna
http://www.gutmann-center.at
is pleased to announce the following Public Lecture
- Apologies for any cross-listings!! -
Date: May 17th, 2004 (Monday), 5.00 p.m.
Speaker: Prof. Dr. Leonid KOGAN
Massachusetts Institute of Technology (MIT)
http://web.mit.edu/lkogan2/www/
Title: "Evaluating Portfolio Policies: A Duality Approach"
Abstract:
The performance of a given portfolio policy can in principle be
evaluated by comparing its expected utility with that of the
optimal policy. Unfortunately, the optimal policy is usually
not computable in which case a direct comparison is impossible.
In this paper we solve this problem by using the given portfolio
policy to construct an upper bound on the unknown maximum
expected utility. This construction is based on a dual
formulation of the portfolio optimization problem. When the
upper bound is close to the expected utility achieved by the
given portfolio policy, the potential utility loss of this
policy is guaranteed to be small. Our algorithm can be used to
evaluate portfolio policies in models with incomplete markets
and position constraints. We illustrate our methodology by
analyzing the static and myopic policies in markets with return
predictability and constraints on short sales and borrowing.
Papers at: http://www.gutmann-center.at
Location: Bank Gutmann AG (http://www.gutmann.at),
Schwarzenbergplatz 16, A - 1010 Vienna,
Austria
Participation is free, but please register:
brigitte.juchelka(a)gutmann.at
phone: +43-1-50220-357
Further information:
Dorothea Grimm
Administrative Director
Gutmann Center for Portfolio Management
University of Vienna
Bruenner Str. 72
A-1210 Wien
Austria
phone: +43-1-4277-38186
fax: +43-1-4277-38074
mail: dorothea.grimm(a)univie.ac.at
web: www.gutmann-center.at
Sehr geehrte Damen und Herren,
Prof. Volkert Paulsen (Universitaet Kiel) haelt einen
Vortrag mit dem Titel
"Ueber Portfoliooptimierung unter Einbeziehung
von Mortalitaetsrisiken"
Zeit: Montag, der 10. Mai 16:30 (puenktlich)
Ort: Leopold Schmetterer Seminarraum
des Instituts fuer Statistik
Universitaetsstrasse 5
1010 Wien
Sehr geehrte AbonnentInnen des Vienna Finance Newsletters!
Die Finanzmarktaufsicht (FMA) hat mehrere Positionen in den Bereichen
Risikomanagement in Banken sowie Basel II neu zu besetzen.
Weiterführende Informationen finden Sie auf unserer Website unter
http://www.fma.gv.at/de/fma/stellena/uebersic.htm.
Mit freundlichen Grüßen
Dr. Ursula Hauser-Rethaller
Finanzmarktaufsicht (FMA)
Austrian Financial Market Authority (FMA)
A-1020 Wien/Vienna, Praterstraße 23
Tel. +43 (0)1 249 59 - 1103, Fax. +43 (0)1 249 59 - 1199
url: http://www.fma.gv.at <http://www.fma.gv.at/>
___________________________________
Die Information in dieser Nachricht ist vertraulich und ausschließlich für
den Adressaten bestimmt. Der Empfänger dieser Nachricht, der nicht der
Adressat, einer seiner Mitarbeiter oder sein Empfangsbevollmächtigter ist,
wird in Kenntnis gesetzt, dass er deren Inhalt nicht verwenden, weitergeben
oder reproduzieren darf. Sollten Sie diese Nachricht irrtümlich erhalten
haben, benachrichtigen Sie uns bitte und löschen Sie die Nachricht aus Ihrer
Mailbox.
Bitte beachten Sie auch, dass E-Mails der Finanzmarktaufsichtsbehörde (FMA)
nicht dazu bestimmt sind, irgendeine rechtliche Verpflichtung der FMA,
vertraglicher oder sonstiger Art, zu begründen.
CONFIDENTIALITY NOTICE: Please note that this transmission may contain
privileged and/or confidential information, and is intended for receipt by
the above-named individual(s) or authorized employees/agents only. Any
unauthorized reproduction, transmittal, or other misuse of this
correspondence is strictly prohibited. In the event that you are not the
intended recipient, please delete this message from your inbox and notify the
sender if possible.
DISCLAIMER: Any e-mail messages from the Austrian Financial Market Authority
(FMA) are sent in good faith, but shall not be binding nor construed as
constituting any legal obligation on part of the FMA.
The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna
http://www.gutmann-center.at
is pleased to announce the following Public Lecture
- Apologies for any cross-listings!! -
Date: May 17th, 2004 (Monday), 5.00 p.m.
Speaker: Prof. Dr. Leonid KOGAN
Massachusetts Institute of Technology (MIT)
http://web.mit.edu/lkogan2/www/
Title: "Evaluating Portfolio Policies: A Duality Approach"
Abstract:
The performance of a given portfolio policy can in principle be
evaluated by comparing its expected utility with that of the
optimal policy. Unfortunately, the optimal policy is usually
not computable in which case a direct comparison is impossible.
In this paper we solve this problem by using the given portfolio
policy to construct an upper bound on the unknown maximum
expected utility. This construction is based on a dual
formulation of the portfolio optimization problem. When the
upper bound is close to the expected utility achieved by the
given portfolio policy, the potential utility loss of this
policy is guaranteed to be small. Our algorithm can be used to
evaluate portfolio policies in models with incomplete markets
and position constraints. We illustrate our methodology by
analyzing the static and myopic policies in markets with return
predictability and constraints on short sales and borrowing.
Papers at: http://www.gutmann-center.at
Location: Bank Gutmann AG (http://www.gutmann.at),
Schwarzenbergplatz 16, A - 1010 Vienna,
Austria
Participation is free, but please register:
brigitte.juchelka(a)gutmann.at
phone: +43-1-50220-357
Further information:
Dorothea Grimm
Administrative Director
Gutmann Center for Portfolio Management
University of Vienna
Bruenner Str. 72
A-1210 Wien
Austria
phone: +43-1-4277-38186
fax: +43-1-4277-38074
mail: dorothea.grimm(a)univie.ac.at
web: www.gutmann-center.at
The paper for the next CCEFM Workshop is now downloadable from:
http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html
As announced in my last email, the seminar, titled "Liquidity Discovery
and Asset Pricing", will be given by Duane Seppi from Carnegie Mellon
University.
Date: 30th of April, 3:30 pm
Location: Wiener Börse, Wallnerstrasse, 1010 Wien
CCEFM Workshop
Duane Seppi (Carnegie Mellon University)
will present a paper titled
"Liquidity Discovery and Asset Pricing"
Date: April 30th, 3.30-5.00
Location: Wiener Börse, Wallnerstrasse 8, 1010 Wien
The paper is not yet available. I will send a separate email to
distribute a link to the paper.
CALL FOR PAPERS/ CONFERENCE ANNOUNCEMENT
- Apologies for any cross-postings! -
GUTMANN SYMPOSIUM ON HEDGE FUNDS
Gutmann Center for Portfolio Management
at the University of Vienna
http://www.gutmann-center.at
Monday, November 29th, 2004
University of Vienna, Austria
The Gutmann Center for Portfolio Management at the University of
Vienna is proud to announce its third annual symposium to be
held at the University of Vienna.
The objective of this year's symposium is to discuss new
empirical and theoretical advances in research on hedge funds.
We are delighted to invite interested researchers and
practitioners to participate and/or to submit research papers on
hedge fund related topics. We are particularly interested in
research on new strategies for investment funds, analysis of
alternative investments, style investing, and performance
evaluation.
PAPER SUBMISSION:
The symposium will consist of invited speakers and submitted
papers.
Papers on the topics mentioned above or on other subjects
related to hedge funds should be submitted by email (in Acrobat
PDF) not later than July 1st to the following address:
Email: gutmann.bwl(a)univie.ac.at
CONTACT:
Gutmann Center for Portfolio Management
University of Vienna
Director: Josef Zechner
Administrative Director: Dorothea Grimm
Bruenner Strasse 72
A-1210 Wien, Austria
Phone: +43-1-4277-38186
Fax: +43-1-4277-38074
Email: gutmann.bwl(a)univie.ac.at
Homepage : http://www.gutmann-center.at
All submissions will be reviewed by a committee composed of
members of the Gutmann Center's Academic Advisory Board and
decisions will be made by September 1st.
Submission and participation are free of charge.
The Gutmann Center will provide accommodation and cover
reasonable travel expenses for presenting authors.
---------- Forwarded message ----------
Date: Tue, 16 Mar 2004 12:47:49 +0100
From: Emiliano Brugnoni <e.brugnoni(a)gruppotriumph.it>
Subject: Fw: 8th International Congress on Insurance: Mathematics &
Economics- June 14-16 2004 ROME
http://www.ime2004rome.com
EIGHTH INTERNATIONAL CONGRESS ON INSURANCE: MATHEMATICS & ECONOMICS
June 14-16, 2004=20
The University Luiss "Guido Carli" and the Istituto Italiano degli
Attuari (Italian Institute of Actuaries) are pleased to invite you to
the eighth International Congress on Insurance: Mathematics &
Economics.
As in the previous congresses, researchers (actuaries and
non-actuaries) have the opportunity to present and discuss the latest
results of their studies in the insurance science. The fields of
insurance mathematics and insurance economics are the main issue of
the Congress, and the Scientific Committee welcomes papers concerning
models and computational methods of life insurance, non-life insurance
and reinsurance, of alternative risk transfers and other risk sharing
arrangements.
Also papers concerning applications to actuarial problems of
probability and statistics, computer science, numerical analysis,
economics, operations research, management science and risk management
may be submitted. Portfolio models, risk measures, premium calculation
principles, experience rating, claims reserving, dependency of risks,
strategy allocation and market finance are themes of great importance
in the context of IME Congresses.
The papers presented can be submitted for publication in a special
issue of Insurance: Mathematics and Economics dedicated to the
congress. They will be subjected to the same peer review process that
applies for regular issues of this journal.
Abstracts should be submitted by March 26, 2004 and the full papers
should be sent in by May 14, 2004, both by e-mail to
ime2004rome(a)luiss.it. The acceptable formats for the abstracts are
PDF, Word, TeX and LaTeX.
All the decisions by the Scientific Committee regarding acceptance or
rejection for presentation at the conference will be final: there will
be no opportunities for revision by the author.
Organising Committee: C. Angela (chairperson), F. Cacciafesta, G. di
Tria, F. Gozzi, G. Foschini, C. Mottura, G. Olivieri (chairperson), R.
Ottaviani, N. Savelli, M.S. Staffa, E. Volpe di Prignano. =20
Scientific Committee: C. Angela, F. Cacciafesta, M. Denuit, H.U.
Gerber, M.J. Goovaerts, F. Gozzi, R. Kaas, C. Mottura, G. Olivieri, R.
Ottaviani, E. Pitacco, N. Savelli, E. Shiu, E. Volpe di Prignano.
SECRETARIAL OFFICE OF THE CONGRESS: Emiliano Brugnoni(tel:
+39-(0)6.355.30.281; Fax: +39-06.355.30.282; Cell: +39-348.07.15.418;
email ime2004rome(a)luiss.it)
Emiliano Brugnoni
Gruppo Triumph
Via Lucilio 60
00136 Rome
Italy
Phone +39-(0)6-35530281
Fax +39-(0)6-35530282
e.brugnoni(a)gruppotriumph.it
First Announcement:
-------------------
Dear Ladies and Gentlemen,
We want to alert you to the forthcoming
Austrian Workshop on Asset Liability Management (ALM 2004)
for Insurance Companies and Pension Funds
from September 23 - 25 in Vienna, featuring
- an introductory crash course,
- a practicioners' day and
- a day of cutting edge research.
The workshop is jointly organised by
- the Vienna University of Technology,
- the FMA (Austrian Financial Market Authority),
- the University of Applied Sciences BFI in Vienna,
- the Actuarial Association of Austria,
- the Scientific Association "Insurance, Financial,
and Operational Risk Management" and
- the Vienna University of Economics and Business Administration.
Please find further information on the web page
http://alm.fam.tuwien.ac.at/
***PLEASE, BE SURE TO REGISTER EARLY***
Best regards,
M. Fulmek, T. Hudetz, M. Jeckle, Ch. Krischanitz, S. Pichler,
M. Predota, W. Schachermayer, H. Schicketanz, U. Schmock
* IMPORTANT * IMPORTANT * IMPORTANT * IMPORTANT * IMPORTANT *
* NEW LOCATION * NEW LOCATION * NEW LOCATION * NEW LOCATION *
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!! : UNIVERISTÄT WIEN (HAUPTGEBÄUDE-MAIN BUILDING)
KLEINER FESTSAAL
Dr. Karl Lueger-Ring 1
1010 Wien
Title: "Asset Allocation Optimization: Theory and Practice"
Abstract:
Markowitz optimization procedure is widely used by investment
advisors and pension fund consultants to help determine the
allocation of their clients funds among major asset classes.
However, in practice optimization is typically used in ways that
differ from the theory presented in most textbooks. This lecture
reviews the fundamental aspects of asset allocation
optimization, describes a typical practical application, and
highlights some of the reasons for discrepancies between theory
and practice. Finally, the major source of the problem is
identified and a better solution offered.
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
Please register: dorothea.grimm(a)univie.ac.at
Contact and further information:
Mag. 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
18. Workshop der Austrian Working Group on Banking and Finance
Das Institut für Betriebliche Finanzwirtschaft (o. Univ.-Prof. Dr. K.
Schredelseker / o. Univ.-Prof. Dr. M. Bank, CFA) an der
Leopold-Franzens-Universität Innsbruck veranstaltet mit Unterstützung der
Österreichischen Bankwissenschaftlichen Gesellschaft am
18. und 19. Juni 2004 in Innsbruck
den 18. Workshop der Austrian Working Group on Banking and Finance
Der Workshop findet am Freitag, dem 18. Juni 2004, nachmittags, und am
Samstag,
dem 19. Juni 2004, vormittags, an der Leopold-Franzens-Universität
Innsbruck statt.
Bezüglich der Themen ist keine Einschränkung vorgesehen.
First CALL for PAPERS
Papers oder Extended Abstracts (ca. zwei Seiten) können bis spätestens 30.
April 2004 bei
o. Univ.-Prof. Dr. M. Bank, CFA, Leopold-Franzens-Universität Innsbruck,
Institut für betriebliche Finanzwirtschaft, Hypo Tirol Stiftungsprofessur
für Banking & Finance, A-6020 Innsbruck, Universitätsstraße 15, oder
e-mail: ibf-banking(a)uibk.ac.at, eingereicht werden.
Um den angestrebten Workshop-Charakter der Veranstaltung zu fördern, können
Papers durch einen Discussant besprochen werden. Jene Teilnehmer, die eine
solche Vorgangsweise wünschen, werden gebeten, ihr Manuskript bis 16. April
2004 einzureichen.
Weitere Informationen finden Sie unter http://ibf.uibk.ac.at/awg.html
der Call for Papers kann unter http://www.bwg.at/bwg2/bwg.nsf/Menue/1.8
abgerufen werden
Upcoming CCEFM workshops
19. 3. 2004, 3.30-5.00 pm
Leo Kaas, University of Vienna
Financial Market Integration and Loan Competition: When is Entry
Deregulation Socially Benefitial?
Wiener Börse, Wallnerstrasse 8, 1010 Wien
The manuscript for the the talk is downloadable from the page cited
below.
23. 3. 2004, 4.30-6.00 pm
William F. Sharpe, Stanford
Asset Pricing and Portfolio Choice
HS5, BWZ, Brünnerstrasse 72, 1210 Wien
For information about further CCEFM workshops, see:
http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html
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)
AUSSCHREIBUNG - TU-Wien
An der Abt. Industriefinanzierung und Investment Banking (im neuen
Organisationsplan: Abt. Finanzwirtschaft und Controlling)
(http://info.tuwien.ac.at/E330/), Institut für Betriebswissenschaften,
Arbeitswissenschaft und Betriebswirtschaftslehre (E330)
(http://ebweb.tuwien.ac.at/), der Technischen Universität Wien
(http://www.tuwien.ac.at/), ist voraussichtlich
ab 1.3.2004
auf die Dauer von 6 Jahren
eine Stelle für einen/eine Universitätsassistenten/in zu besetzen.
Beschäftigungsausmaß:
vollbeschäftigt
Aufnahmebedingungen:
einschlägig abgeschlossenes Doktoratsstudium bzw eine gleichwertige
wissenschaftliche Befähigung
Sonstige Kenntnisse:
Finanzwirtschaft und Risikomanagement, Statistik/Ökonometrie (inkl.
Zeitreihenanalyse), Informatikkenntnisse und Programmiererfahrung
Bewerbungsfrist:
21.1.2004 bis 11.2.2004
Bewerbungen sind an die Personalabteilung I
(http://www.tuwien.ac.at/zv/pers1/ bzw.
http://info.tuwien.ac.at/histu/inst/0104.html) der TU Wien, Karlsplatz
13, A-1040 Wien, zu richten.
Für weitergehende Auskünfte steht
a.o.Univ.-Prof. Dr. Wolfgang Aussenegg
(Email: waussen(a)pop.tuwien.ac.at)
(www: http://info.tuwien.ac.at/E330/Staff/Aussenegg.htm)
zur Verfügung.
Mit freundlichen Grüßen,
Wolfgang Aussenegg
--
***********************************************************
a.o.Univ.-Prof. Dr. Wolfgang Aussenegg
Institut für Betriebswissenschaften, Arbeitswissenschaft
und Betriebswirtschaftslehre
Abt. Industriefinanzierung und Investment Banking
Technische Universität Wien
Phone: +43-1-58801 - 33082
Fax: +43-1-58801 - 33098
E-mail: waussen(a)pop.tuwien.ac.at
Web: http://info.tuwien.ac.at/E330/
Adresse: Favoritenstraße 9-11
A-1040 Wien
Österreich
REMINDER * REMINDER * REMINDER * REMINDER * REMINDER
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: January 21st, 4.30 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
(http://www.gutmann.at)
Speaker: STEPHEN A. ROSS, MIT Sloan Management School
Franco Modigliani Professor of Financial Economics
http://sloancf.mit.edu/vpf/facstaff.cfm?ID=226&ProfType=F&sortor
der=name
A widely published author in finance and economics, Stephen Ross
is best known as the inventor of the Arbitrage Pricing Theory of
Agency, as well as the codiscoverer of risk-neutral pricing and
the binomial model for pricing derivatives. His book Corporate
Finance is in its fourth edition. Ross' current research efforts
involve a variety of phenomena in financial markets. He is a
principal of Roll & Ross Asset Management Corporation, which
employs technology that Ross helped develop to manage over $3
billion in investments worldwide. He is a fellow of the American
Academy of Arts and Sciences and is a director of Freddie Mac,
Algorithmics, Inc., and the College Retirement Equities Fund. He
is also a trustee of the California Institute of Technology.
Title: "A NEOCLASSICAL VIEW OF BEHAVIORAL FINANCE AND THE CLOSED
END FUND PUZZLE-IMPLICATIONS FOR ASSET MANAGEMENT"
Abstract:
"There is a rising interest in the use of anomalies and
behavioral finance
in asset management. Some of the results from this work are of
potential
value and much is not. Of most value are the empirical findings
when they
are properly understood and interpreted. Of least value are the
'behavioral
explanations'. Without a solid neoclassical financial basis for
an anomaly,
trading on the basis of it is perilous."
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
CCEFM Workshop
Stephen Ross, MIT
"Compensation, Incentives, and the Duality of Risk Aversion and Riskiness"
Thursday, January 22nd, 2.30-4.00 pm
TU Wien, Gußhausstraße 25-29, 1040 Wien, HS EI8 (Stiege 1, EG)
The paper is downloadable from:
http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html
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: January 21st, 4.30 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
(http://www.gutmann.at)
Speaker: STEPHEN A. ROSS, MIT Sloan Management School
Franco Modigliani Professor of Financial Economics
http://sloancf.mit.edu/vpf/facstaff.cfm?ID=226&ProfType=F&sortor
der=name
A widely published author in finance and economics, Stephen Ross
is best known as the inventor of the Arbitrage Pricing Theory of
Agency, as well as the codiscoverer of risk-neutral pricing and
the binomial model for pricing derivatives. His book Corporate
Finance is in its fourth edition. Ross' current research efforts
involve a variety of phenomena in financial markets. He is a
principal of Roll & Ross Asset Management Corporation, which
employs technology that Ross helped develop to manage over $3
billion in investments worldwide. He is a fellow of the American
Academy of Arts and Sciences and is a director of Freddie Mac,
Algorithmics, Inc., and the College Retirement Equities Fund. He
is also a trustee of the California Institute of Technology.
Title: "A NEOCLASSICAL VIEW OF BEHAVIORAL FINANCE AND THE CLOSED
END FUND PUZZLE-IMPLICATIONS FOR ASSET MANAGEMENT"
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
---------- Forwarded message ----------
Date: Thu, 08 Jan 2004 07:47:45 +0100
From: Stefan Bogner <Stefan.bogner(a)wu-wien.ac.at>
(...)
*************************************************************************
4.) Im Institut für Finanzierung und Finanzmärkte, Abt. für Betriebliche
Finanzierung, ist voraussichtlich ab 1. Februar 2004 bis 31. August 2005
1 Posten für eine/n Wissenschaftlichen Mitarbeiter/in, vollbeschäftigt,
(ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF)
zu besetzen.
Notwendige Kenntnisse und Qualifikationen:
EU-Bürger/in; abgeschlossenes Studium der Sozial- und
Wirtschaftswissenschaften
Erwünschte Kenntnisse und Qualifikationen:
Vertiefte Kenntnisse auf dem Gebiet der Finanzierung, der EDV-Anwendung
und der englischen Sprache, Interesse an finanzwissenschaftlicher Forschung
Kennzahl: 11105
Schriftliche Bewerbungen mit Lebenslauf und Angabe über den
Studienerfolg (ohne Original-zeugnisse) sind unter Angabe der
angeführten Kennzahl an die PERSONALABTEILUNG der Wirtschaftsuniversität
Wien, Augasse 2-6, 1090 Wien zu richten.
Ende der Bewerbungsfrist: 28. Jänner 2004
Bitte die Kennzahl unbedingt anführen !
Der Rektor:
o. Univ.Prof. Dr. Chr. Badelt
5.) Im Institut für Finanzierung und Finanzmärkte, Abt. für Betriebliche
Finanzierung, ist voraussichtlich ab 1. Februar 2004 bis 31. August 2005
1 Posten für eine/n Wissenschaftlichen Mitarbeiter/in, vollbeschäftigt,
(ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF)
zu besetzen.
Notwendige Kenntnisse und Qualifikationen:
EU-Bürger/in; abgeschlossenes Studium der Sozial- und
Wirtschaftswissenschaften oder der Mathematik bzw. Informatik mit
wirtschaftlichem Schwerpunkt
Erwünschte Kenntnisse und Qualifikationen:
Vertiefte Kenntnisse auf dem Gebiet der Finanzierung, der EDV-Anwendung
und der englischen Sprache, Interesse an finanzwissenschaftlicher Forschung
Kennzahl: 11305
Schriftliche Bewerbungen mit Lebenslauf und Angabe über den
Studienerfolg (ohne Original-zeugnisse) sind unter Angabe der
angeführten Kennzahl an die PERSONALABTEILUNG der Wirtschaftsuniversität
Wien, Augasse 2-6, 1090 Wien zu richten.
Ende der Bewerbungsfrist: 28. Jänner 2004
Bitte die Kennzahl unbedingt anführen !
*************************************************************************
Mit besten Grüßen
Stefan Bogner
Upcoming CCEFM Workshops
9.1.2003 Alex Stomper "Why Leverage Distorts Investment"
16.1.2003 Josef Zechner "Where is the Market? Evidence from Cross-Listings"
Both talks start at 3:30 pm in the Wiener Börse, Wallnerstrasse 8, 1010
Wien.
The papers are downloadable from:
http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html
---------- Forwarded message ----------
Date: Wed, 17 Dec 2003 15:15:14 -0600
From: Leigh Tesfatsion <tesfatsi(a)IASTATE.EDU>
Subject: ACE News Notes (December)
(...)
In case you are interested, I have just released online the December
2003 news notes on agent-based computational economics (ACE). ACE
is the computational study of economies modelled as evolving systems
of autonomous interacting agents with learning capabilities. The
December 2003 ACE news notes can be accessed at
http://www.econ.iastate.edu/tesfatsi/ace1203.htm
These notes include announcements regarding books, journals,
software, and websites that might be of interest to ACE researchers
in particular and to computational social science researchers in
general. The notes are also archived (along with all past
distributed ACE news notes) at the ACE website at
http://www.econ.iastate.edu/tesfatsi/ace.htm
Best wishes,
Leigh Tesfatsion
Leigh Tesfatsion Department of Economics
Tel: (515) 294-0138 Iowa State University
FAX: (515) 294-0221 Ames, Iowa 50011-1070 U.S.A.
tesfatsi(a)iastate.edu http://www.econ.iastate.edu/tesfatsi/
From David G. Hobson <dgh(a)maths.bath.ac.uk>
Dear Colleague;
In 2005 the Isaac Newton Institute is holding a six-month programme on
Developments in Quantitative Finance: see
http://www.newton.cam.ac.uk/programs/DQF/index.html
The aim of this programme is to promote research in quantitative finance
and to gather together leaders from all related disciplines including
mathematicians, economists and industry professionals, so that they can
share their knowledge and advance their understanding.
There is already a preliminary schedule for programme (follow links for
the above or see http://www.bath.ac.uk/~masdgh/INI/timetable.html).
This schedule
is based around a series of events on various themes from accross
mathematics, economics and finance.
There is also a mailing list which those interested in participating in
one of the components of the programme are encouraged to join.
David Hobson
on behalf of the organisers
Darrell Duffie, Stanford University
David Hobson, University of Bath,
Chris Rogers, University of Cambridge,
Jose Scheinkman, Princeton University
---------- Forwarded message ----------
Date: Fri, 28 Nov 2003 08:50:22 +0000
From: Niels Jacob <N.Jacob(a)swansea.ac.uk>
Dear All,
this is to inform you that from April 19 - 23, 2004 Prof.
S.Levendorskiy (Austin, Texas) will give in Swansea a series of
lectures on
Asymptotic Analysis and Pseudo-Differential Operators in Application
to Finance
More details you will find on our webpage
http://www-maths.swan.ac.uk/levendorskiy.html
May I ask you to make this information available to your
collaborators and graduate students.
Many thanks and best regards
Niels Jacob