- VFN-L - TU FAM Mailing lists

[VFN] Spring School in Financial Mathematics (fwd)
by Friedrich Hubalek 28 Nov '03

28 Nov '03

---------- 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

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[VFN] 2003-12-03, Vortrag: Dr. Brian Sallans, OFAI, Wien (fwd)
by VFN-L admin * Andreas Schamanek 26 Nov '03

26 Nov '03

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Tue, 25 Nov 2003 17:12:56 +0100 From: OeFAI Information Server <oefaiinf(a)ai.univie.ac.at> Subject: 20031203.VORTRAG: Dr. Brian Sallans, OFAI, Wien VORTRAG ******* Oesterreichisches Forschungsinstitut fuer Artificial Intelligence(OeFAI) Freyung 6/6, A-1010 Wien Tel.: +43-1-53361120, Fax: +43-1-5336112-77, Email: sec(a)oefai.at ------------------------------------------------------------------------- Dr. Brian Sallans Oesterreichisches Forschungsinstitut fuer Artificial Intelligence (OeFAI) AN AGENT-BASED MODEL OF INTERACTING MARKETS With the increase in available computational power, agent-based economic models have grown in prominence as a supplement to analytic models and empirical studies. I will describe an agent-based discrete- time model of interacting consumer and financial markets. The two markets are linked through the behavior of boundedly-rational, learning firms. The firms compete in the consumer market, and try to satisfy both their customers and their shareholders. The model also includes stock traders and simple consumers. I will give an overview of the model, discuss validation and model exploration methods, and show how the model can be used to investigate stock-option-based management compensation. Zeit: Mittwoch, 3.12.2003, 18:30 Uhr pktl. Ort: Oesterreichisches Forschungsinstitut fuer Artificial Intelligence FREYUNG 6/6, 1010 Wien. OESTERREICHISCHES FORSCHUNGSINSTITUT FUER ARTIFICIAL INTELLIGENCE o.Univ.-Prof. Ing. Dr. Robert Trappl *** [added by Andreas Schamanek:] OeFAI -- http://www.oefai.at/

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[VFN] Stochastic Analysis ... Royal Society Themed Issue (fwd)
by VFN-L admin * Andreas Schamanek 24 Nov '03

24 Nov '03

---------- forwarded message -------- Date: Mon, 24 Nov 2003 12:16:06 -0000 >From: felicity(a)tou-can.co.uk To: vfn-l(a)fam.tuwien.ac.at Subject: STOCHASTIC ANALYSIS WITH APPLICATIONS TO MATHEMATICAL FINANCE - ROYAL SOCIETY THEMED ISSUE (...) Stochastic analysis with applications to mathematical finance A thematic issue from The Royal Society compiled and edited by Jeff Cash Published January 2004 Special offer price: £45/US$70 This special issue of Proceedings Series A contains a collection of papers concerned with algorithms based on probability. Probability theory has become an indispensable tool in the scientific investigation of many important mathematical problems. Perhaps the most widely used application, and the most easily appreciated by the layman, is in mathematical finance. Mathematical models are widely used to set interest rates, they guide the management of risk and they are used to provide the prices of financial derivatives. Another important application area involves stochastic partial differential equations. These play a central role in areas such as hydrology, oceanography and atmospheric science. An important example of this is weather prediction and in the prediction and understanding of river flows in a complex river basin. Probabilistic approaches also play an important role in the rigorous definition of the solution to a PDE and they provide an approach for examining the existence and uniqueness of a solution. An important application in the area of partial differential equations is cubature on Wiener space, which has been used for the numerical approximation of solutions of the heat equation. Finally this volume also examines the progress that has been made in super Brownian motion, which typically describes particles diffusing through space, and its application to genetic inheritance. Subscribers to Proceedings Series A can access the full content by visiting our website at http://www.pubs.royalsoc.ac.uk Non-subscribers can purchase this volume at the special price of £45. To order online please visit http://www.pubs.royalsoc.ac.uk/acatalog/stochastic.html Alternatively you can contact The Royal Society by any of the following routes: telephone: +44 (0) 870 121 4224 fax: +44 (0) 870 121 4223 email: <mailto:royalsociety@twoten.press.net> Contents _______________________________________________________________ Finite-dimensional Markovian realizations for stochastic volatility forward-rate models T Björk, C Landén and L Svensson Chaos and coherence: a new framework for interest-rate modelling D Brody and LP Hughston Convergence of a discretization scheme for jump-diffusion processes with state-dependent intensities P Glasserman and N Merener On the geometry of the term structure of interest rates D Filipovic and J Teichmann Cubature on Wiener space T Lyons and N Victoir Convergence rate of the Sherman and Peskin branching stochastic particle method H Régnier and D Talay The central limit theorem for a nonlinear algorithm based on quantization V Bally Superprocesses in a Brownian environment D Crisan Stochastic analysis of tree-like data structures M Drmota On Wong-Zakai approximations with ä-martingales I Gyöngy and G Michaletzky On convergence of chains with occupational self-interactions P Del Moral and L Miclo An introduction to white-noise theory and Malliavin calculus for fractional Brownian motion F Biagini, B Øksendal, A Sulem and N Wallner Numerical methods for strong solutions of stochastic differential equations: an overview K Burrage, PM Burrage and T Tian -------------------------- Felicity Davie Tou-can Marketing The Holly 42 Heath Hill Road South Crowthorne Berkshire RG45 7BW Tel. +44 (0)1344 466600 Fax. +44 (0)1344 466601 E-mail: felicity(a)tou-can.co.uk www: http://www.tou-can.co.uk

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[VFN] CCEFM Workshop Prof. Spatt
by Alex Stomper 07 Nov '03

07 Nov '03

CCEFM Workshop Prof. Chester Spatt, Carnegie Mellon University "Equilibrium Asset Pricing under Heterogeneous Information" Friday, November 21th, 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

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[VFN] Freie Stelle an der TU Wien, Finanz- und Versicherungsmathematik
by VFN-L admin * Andreas Schamanek 05 Nov '03

05 Nov '03

Am Institut für Finanz- und Versicherungsmathematik ( http://www.fam.tuwien.ac.at/ ) der Technischen Universität Wien ist ab 1. Dezember 2003 (oder nach Vereinbarung) auf die Dauer von 6 Jahren eine Vollzeitstelle für einen/eine Universitätsassistenten/in zu besetzen. Naehere Informationen finden Sie unter http://www.fam.tuwien.ac.at/jobs/20031105.php und http://info.tuwien.ac.at/histu/mb/03-04/4/aus-36-6/mb-aus-14.html Für weitergehende Auskünfte steht Univ.-Prof. Dr. U. Schmock http://www.fam.tuwien.ac.at/~schmock/ ) E-Mail schmock(a)fam.tuwien.ac.at zur Verfügung. -- -- Andreas Schamanek vfn-L-admin

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[VFN] CCEFM-Workshop: Jin Duan
by Michael Hanke 03 Nov '03

03 Nov '03

REMINDER: CCEFM Workshop Prof. Jin-Chuan Duan, University of Toronto "Executive Stock Options and Incentive Effects due to Systematic Risk" Friday, November 7th, 3:30-5:00 pm Wirtschaftsuniversität Wien, Augasse 2-6, H 0.5 (A) The paper is downloadable from: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html Guests are welcome! Michael Hanke -- Univ.Doz. Dr. Michael Hanke Associate Professor Dept. of Operations Research Vienna University of Economics and Business Administration Augasse 2-6 1090 Vienna, Austria Tel.: (+43)1 31336 4560, Fax: (+43)1 31336 708

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[VFN] CCEFM Workshop Prof. Duan
by Alex Stomper 29 Oct '03

29 Oct '03

CCEFM Workshop Prof. Jin-Chuan Duan, University of Toronto "Executive Stock Options and Incentive Effects due to Systematic Risk" Friday, November 7th, 3:30-5:00 pm Wirtschaftsuniversität Wien, Augasse 2-6, H 0.5 (A) The paper is downloadable from: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html

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[VFN] CCEFM workshop
by Alex Stomper 27 Oct '03

27 Oct '03

CCEFM Workshop Prof. Gilles Chemla, University of British Columbia "The Dynamic Trade-Off Theory with Real Investment" Friday, October 31st, 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 Further workshops: 7.11. Jin-Chuan Duan, University of Toronto on executive stock options 21.11. Chester Spatt, Carnegie Mellon University

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[VFN] Re: Gutmann Symposium on Capital Market Based Pension Systems - Dec. 1st Vienna
by Gutmann Center Vienna 23 Oct '03

23 Oct '03

The Gutmann Center for Portfolio Management (www.gutmann-center.at) at the University of Vienna is pleased to announce the GUTMANN SYMPOSIUM ON CAPITAL MARKET BASED PENSION SYSTEMS DATE: DECEMBER 1st, 2003 8.00 a.m. 6.00 p.m. LOCATION: UNIVERSITY OF VIENNA (Austria) Dr. Karl-Lueger-Ring 1, 1010 Wien (Kleiner Festsaal) The reform of pension systems is one of the greatest challenges for most industrialized countries. As traditional pay-as-you-go-systems increasingly face budgetary constraints, capital market based solutions will become crucial. The internationally recognized speakers at our symposium approach this hot topic from an academic as well as from a practitioner's point of view: · Lawrence N. BADER "Funding Corporate Pension Plans" · David BLAKE, Pensions Institute, Birkbeck College, University of London PensionMetrics: On the stochastic design of pension plans during the accumulation & distribution phases · Bill FUNG, London Business School "Is there sufficient Absolute Return Capacity to meet Absolute Liabilities of Pension Funds?" · Jeremy GOLD, Wharton School, University of Pennsylvania/ Jeremy Gold Pensions Accounting/Actuarial Bias Enables Equity Investment by Defined Benefit Pension Plans · Kristian R. MILTERSEN, Norwegian School of Economics and Business Administration International Comparison of Interest Rate Guarantees in Life Insurance · Andrea PRAT, London School of Economics "Pension Fund Governance and the Choice between Defined Benefit and Defined Contribution Plans" · Christian SCHLAG, Goethe-Universität Frankfurt a.M. "Money-Back Guarantees in Individual Pension Accounts: Evidence from the German Pension Reform" The sessions will be discussed and chaired by members of the Academic Advisory Board: · Elroy Dimson, London Business School · Engelbert Dockner, University of Vienna · Robert Korajczyk, Northwestern University · Klaus Spremann, University St. Gallen · Neal Stoughton, University of California, Irvine · René M. Stulz, Ohio State University, Fisher · Suresh Sundaresan, Columbia University · Maria Vassalou, Columbia University · Josef Zechner, University of Vienna, Director of the Gutmann Center for Portfolio Management The symposium will be followed by a panel discussion and a reception. Participation fee: the participation is free, but all participants are required to register. Please find further information about registration, program, papers etc on the homepage: http://www.gutmann-center.at. Contact: gutmann.bwl(a)univie.ac.at phone: +43-1-4277-38186 fax: +43-14277-38074 The Gutmann Center for Portfolio Management is sponsored by Bank Gutmann AG (www.gutmann.at). This symposium is presented in cooperation with the Austrian newspaper "DIE PRESSE" (www.diepresse.com)

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[VFN] 2nd Call
by Peter Steiner 21 Oct '03

21 Oct '03

to whom it may concern Ich bitte um Verteilung des Second Call for Papers der Austrian Working Group on Banking & Finance. Besten Dank im voraus MfG - stp KARL-FRANZENS-UNIVERSITÄT GRAZ INSTITUT FÜR BANKEN & FINANZIERUNG 17. WORKSHOP AUSTRIAN WORKING GROUP ON BANKING & FINANCE 28. / 29. November 2003 Second CALL for PAPERS Der Workshop findet am Freitag, dem 28. November 2003, Nachmittag, und am Samstag, dem 29. November 2003, 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 7. November 2003 bei o.Univ.-Prof. Dr. Peter Steiner Institut für Banken und Finanzierung, Universitätsstraße 15/F2, A 8010 Graz eingereicht werden. Tel.: +43(0)316 380-7300 Fax: +43(0)316 380-9580 E-Mail: bafin(a)uni-graz.at 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 24. Oktober 2003 einzureichen. AUSTRIAN WORKING GROUP ON BANKING AND FINANCE Ziele: Schaffen eines österreichweiten Diskussionsforums für theoretische und empirische Forschungsarbeiten auf dem Gebiet des Bankwesens und der Finanzwirtschaft. Förderung der Zusammenarbeit innerhalb der Hochschulen und der Zusammenarbeit mit der Praxis. Teilnehmer: Angesprochen sind sowohl der wissenschaftliche Nachwuchs an allen österreichischen Universitäten und verwandten Institutionen der Forschung als auch Praktiker in Kreditinstituten und Finanzabteilungen von Unternehmen. Schwerpunkte: Arbitrage Pricing - Capital Market Theory - Capital Requirements of Financial Intermediaries - (Auswahl) 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.

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[VFN] Public Lecture Andrei Shleifer Oct. 17
by Gutmann Center-D.Grimm 13 Oct '03

13 Oct '03

+ Reminder + 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 17th (Friday), 11.00 a.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: Andrei SHLEIFER, Harvard University http://post.economics.harvard.edu/faculty/shleifer/shleifer.html The Whipple V.N. Jones Professor of Economics at Harvard University, Andrei Shleifer holds an undergraduate degree from Harvard and a Ph.D. from MIT. Before coming to Harvard in 1991, he has taught at Princeton and the Chicago Business School. Shleifer has worked in the areas of comparative corporate governance, law and finance, behavioral finance, as well as institutional economics. He has published four books, including The Grabbing Hand (with Robert Vishny), and Inefficient Markets: An Introduction to Behavioral Finance, as well as over a hundred articles. Shleifer has served as the Editor of the Quarterly Journal of Economics between 1989 and 1999, and as an Associate Editor of both the Journal of Finance and the Journal of Financial Economics. He is currently the Editor of the Journal of Economic Perspectives and an Advisory Editor of the JFE. Shleifer is a fellow of the Econometric Society and of the American Academy of Arts and Sciences. In 1999, Shleifer won the John Bates Clark medal of the American Economic Association. Title: "A Normal Country" Russia's reforms Abstract: "During the 1990s, Russia underwent an extraordinary transformation from a communist dictatorship to a multi-party democracy, from a centrally planned economy to a market economy, and from a belligerent adversary of the West to a cooperative partner. Yet a consensus in the US circa 2000 viewed Russia as a disastrous and threatening failure, and the 1990s as a decade of catastrophe for its citizens. Analyzing a variety of economic and political data, we demonstrate a large gap between this perception and the facts. In contrast to the common image, by the late 1990s Russia had become a typical middle-income capitalist democracy." PLEASE NOTE: THE PAPER CAN BE DOWNLOADED FROM http://www.gutmann-center.at/bridging/public_lectures/paper_shleifer.pdf Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +43-1-50220-249 Further information: Dorothea Grimm Gutmann Center for Portfolio Management mail: dorothea.grimm(a)univie.ac.at Phone: +43-1-4277-38186 web: http://www.gutmann-center.at

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[VFN] CCERM Workshop, Prof. Shleifer
by Alex Stomper 10 Oct '03

10 Oct '03

Upcoming CCEFM Workshops: Prof. Andrei Shleifer, Harvard University "What works in Securities Laws?" Friday, October 17th, 3:30-5:00 pm Wiener Börse, Wallnerstrasse 8, 1010 Wien Prof. Michael Brennan, UCLA "The Dynamics of International Equity Market Expectations" Friday, October 24th, 3:30-5:00 pm Wiener Börse, Wallnerstrasse 8, 1010 Wien For further information, see the following page: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html

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[VFN] Talk Prof. Brennan October 6th Gutmann Center - reminder
by Gutmann Center-D.Grimm 02 Oct '03

02 Oct '03

* REMINDER * REMINDER * REMINDER * 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, 6th (Monday), 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: Michael J. BRENNAN former Irwin and Goldyne Hearsh Professor of Banking and Finance at the University of California, Los Angeles Professor of Finance at the London Business School. Prof. Brennan, a consultant and Director of Smith Breeden Associates, is the former Irwin and Goldyne Hearsh Professor of Banking and Finance at the University of California, Los Angeles, and Professor of Finance at the London Business School. Dr. Brennan's research interests include asset pricing, corporate finance, the pricing and role of derivative securities, market microstructure, and the role of information in capital markets, and he has published extensively in all of these areas. He is currently working on several issues, including the problem of asset allocation when investors face time varying opportunity sets, the determinants of international flows of portfolio investment, and the valuation of assets under time-varying market risk aversion. A former President of the American Finance Association, the Society for Financial Studies, and the Western Finance Association, Dr. Brennan has also served as Editor of the Journal of Finance and was the Founding Editor of the Review of Financial Studies. He has consulted extensively for corporations in Canada and the US, and in 1995 he was awarded the INQUIRE Europe prize for his work on corporate hedging strategies Title: "REASONABLE BELIEFS" Abstract: "In this talk I will be concerned with the assessment of the equity premium the difference between the expected returns on stocks and bonds. I will argue that traditional ways of assessing the premium are inappropriate in world in which the premium varies over time, and propose alternatives. Finally, I will discuss the implications of time-variation in the equity premium for the spending policies of endowments." Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +43-1-50220-249 Further information: Dorothea Grimm Gutmann Center for Portfolio Management mail: dorothea.grimm(a)univie.ac.at Phone: +43-1-4277-38186 web: http://www.gutmann-center.at

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

30 Sep '03

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (http://www.gutmann-center.at) is pleased to announce the following PUBLIC LECTURE: Date: October, 17th, 11.00 a.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: Andrei SHLEIFER, Harvard University http://post.economics.harvard.edu/faculty/shleifer/shleifer.html The Whipple V.N. Jones Professor of Economics at Harvard University, Andrei Shleifer holds an undergraduate degree from Harvard and a Ph.D. from MIT. Before coming to Harvard in 1991, he has taught at Princeton and the Chicago Business School. Shleifer has worked in the areas of comparative corporate governance, law and finance, behavioral finance, as well as institutional economics. He has published four books, including The Grabbing Hand (with Robert Vishny), and Inefficient Markets: An Introduction to Behavioral Finance, as well as over a hundred articles. Shleifer has served as the Editor of the Quarterly Journal of Economics between 1989 and 1999, and as an Associate Editor of both the Journal of Finance and the Journal of Financial Economics. He is currently the Editor of the Journal of Economic Perspectives and an Advisory Editor of the JFE. Shleifer is a fellow of the Econometric Society and of the American Academy of Arts and Sciences. In 1999, Shleifer won the John Bates Clark medal of the American Economic Association. Title: "A Normal Country" Russia's reforms Abstract: "During the 1990s, Russia underwent an extraordinary transformation from a communist dictatorship to a multi-party democracy, from a centrally planned economy to a market economy, and from a belligerent adversary of the West to a cooperative partner. Yet a consensus in the US circa 2000 viewed Russia as a disastrous and threatening failure, and the 1990s as a decade of catastrophe for its citizens. Analyzing a variety of economic and political data, we demonstrate a large gap between this perception and the facts. In contrast to the common image, by the late 1990s Russia had become a typical middle-income capitalist democracy." Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +43-1-50220-249 Further information: Dorothea Grimm Gutmann Center for Portfolio Management mail: dorothea.grimm(a)univie.ac.at Phone: +43-1-4277-38186 web: http://www.gutmann-center.at

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

27 Sep '03

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

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

24 Sep '03

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

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

17 Sep '03

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

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

17 Sep '03

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

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

17 Sep '03

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (http://www.gutmann-center.at) is pleased to announce the following PUBLIC LECTURE: Date: October, 6th (Monday), 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: Michael J. BRENNAN former Irwin and Goldyne Hearsh Professor of Banking and Finance at the University of California, Los Angeles Professor of Finance at the London Business School. Prof. Brennan, a consultant and Director of Smith Breeden Associates, is the former Irwin and Goldyne Hearsh Professor of Banking and Finance at the University of California, Los Angeles, and Professor of Finance at the London Business School. Dr. Brennan's research interests include asset pricing, corporate finance, the pricing and role of derivative securities, market microstructure, and the role of information in capital markets, and he has published extensively in all of these areas. He is currently working on several issues, including the problem of asset allocation when investors face time varying opportunity sets, the determinants of international flows of portfolio investment, and the valuation of assets under time-varying market risk aversion. A former President of the American Finance Association, the Society for Financial Studies, and the Western Finance Association, Dr. Brennan has also served as Editor of the Journal of Finance and was the Founding Editor of the Review of Financial Studies. He has consulted extensively for corporations in Canada and the US, and in 1995 he was awarded the INQUIRE Europe prize for his work on corporate hedging strategies Title: "REASONABLE BELIEFS" Abstract: "In this talk I will be concerned with the assessment of the equity premium the difference between the expected returns on stocks and bonds. I will argue that traditional ways of assessing the premium are inappropriate in world in which the premium varies over time, and propose alternatives. Finally, I will discuss the implications of time-variation in the equity premium for the spending policies of endowments." Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +43-1-50220-249 Further information: Dorothea Grimm Gutmann Center for Portfolio Management mail: dorothea.grimm(a)univie.ac.at Phone: +43-1-4277-38186 web: http://www.gutmann-center.at

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[VFN] Workshop
by Hermine Panzenboeck 17 Sep '03

17 Sep '03

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

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[VFN] Austrian Working Group
by Peter Steiner 30 Jul '03

30 Jul '03

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 First CALL for PAPERS AUSTRIAN WORKING GROUP ON BANKING & FINANCE (AWG) 17. WORKSHOP 28. / 29. November 2003 Der Workshop findet am Freitag, dem 28. November 2003, Nachmittag, und am Samstag, dem 29. November 2003, 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 31. Oktober 2003 bei o.Univ.-Prof. Dr. Peter Steiner Institut für Banken und Finanzierung, Universitätsstraße 15/F2, A 8010 Graz eingereicht werden. Tel.: +43(0)316 380-7300 Fax: +43(0)316 380-9580 E-Mail: bafin(a)uni-graz.at 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 17. Oktober 2003 einzureichen. Die Papers können wahlweise in deutscher oder in englischer Sprache vorgetragen werden.

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[VFN] job-posting: Chair in Mathematical Finance, Imperial College London
by Becherer 25 Jul '03

25 Jul '03

Ich bitte um Verbreitung der folgenden Stellenanzeige ueber den VFN. Mit freundlichen Gruessen und bestem Dank, Dirk Becherer ***************************************************************************** DEPARTMENT OF MATHEMATICS AT IMPERIAL COLLEGE LONDON CHAIR IN MATHEMATICAL FINANCE Applications are invited for a Chair in Mathematical Finance, with effect from 1st January 2004, or as soon as possible thereafter. The post is within the Department of Mathematics, Faculty of Physical Sciences, Imperial College London, based on the South Kensington campus. The successful applicant will be expected to enhance and extend the research effort of the group. We welcome applications from people working in any area of the subject, which could include econometrics and data analysis as well as mathematical finance rooted in probability theory, optimization-based approaches or computational finance. The candidate will be expected to develop her or his research programme, to secure funding and to contribute to the activities of the section as outlined above, including developing her/his relationships with the industry. The candidate will also contribute to the Department's teaching programme possibly including ancillary teaching in other departments. Further particulars of this appointment are on http://www.ma.ic.ac.uk and http://www.imperial.ac.uk/hq/hr/Employment_Opportunities.htm (underscore after Employment_Opportunities). Alternatively, details and an application form can be obtained from Anne Rowlands on 0207 594 8481, fax 0207 594 8517 or email: a.rowlands(a)imperial.ac.uk. CLOSING DATE: 1st September 2003 Interview Date: Provisionally, to be in the week commencing 6th October 2003. ******************************************************************* Dirk Becherer room: 6m24 Dept. of Mathematics tel: +44+20-75948554 Imperial College fax: +44+20-75948517 London SW7 2AZ dirk.becherer@[address removed by request; contact list-owner] United Kingdom www.ma.ic.ac.uk/~becherer *******************************************************************

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[VFN] Autumn School on Risk Management, second announcement (fwd)
by VFN-L admin * Andreas Schamanek 13 Jul '03

13 Jul '03

---------- Forwarded message ---------- Date: Fri, 11 Jul 2003 12:50:11 +0200 (MEST) From: Claudia Klueppelberg <cklu(a)mathematik.tu-muenchen.de> Subject: Autumn School on Risk Management, second announcement Autumn School on Risk Management September 29 - October 2, 2003 in Herrsching am Ammersee The Graduiertenkolleg GKAAM and the Chair of Mathematical Statistics of the Munich University of Technology organizes an Autumn School on Risk Management with emphasis on multivariate problems. The Autumn School is designed for PhD students, postdocs and practitioners with some knowledge of probability and statistics. The aim of the lectures is to lead the participants from their current level to the forefront of research. INVITED LECTURES: - Soren Asmussen (Aarhus University, Denmark): "Simulation Methods" - Stuart Coles (University of Bristol, United Kingdom) "Multivariate Extreme Value Models and Estimation" - Paul Embrechts (ETH Zürich, Switzerland and London School of Economics, United Kingdom): "Extremes: Dependence and Integrated Risk Management" - Gennady Samorodnitsky (Cornell University, USA): "Levy Processes and Modelling Issues" CLOSING TALK: - Christian Bluhm (HypoVereinsbank, Structured Finance Analytics, Germany): "Modeling and Evaluation of Collateralized Debt Obligations" PROGRAM: MONDAY, SEPTEMBER 29 08:00-08:30 Registration 08:30-08:40 Opening Address 08:40-10:10 Lecture: Embrechts I 10:10-10:30 Coffee Break 10:30-12:00 Lecture: Samorodnitsky I 12:00-14:00 Lunch 14:00-15:30 Exercises: Embrechts/Samorodnitsky 15:30-16:30 Coffee Break/Poster Session 16:30-17:30 Contributed Talks TUESDAY, SEPTEMBER 30 08:30-10:00 Lecture: Coles I 10:00-10:30 Coffee Break 10:30-12:00 Lecture: Embrechts II 12:00-14:00 Lunch 14:00-15:30 Exercises: Embrechts/Coles 15:30-16:30 Coffee Break/Poster Session 16:30-17:30 Contributed Talks WEDNESDAY, OCTOBER 1 07:30-08:30 Breakfast 08:30-10:00 Lecture: Asmussen I 10:00-10:30 Coffee Break 10:30-12:00 Lecture: Coles II 12:00-14:00 Lunch 14:00-15:30 Exercises: Coles/Asmussen 15:30-16:00 Coffee Break 16:30-22:00 Excursion THURSDAY, OCTOBER 2 08:30-10:00 Lecture: Samorodnitsky II 10:00-10:30 Coffee Break 10:30-12:00 Lecture: Asmussen II 12:00-14:00 Lunch 14:00-15:30 Exercises: Asmussen/Samorodnitsky 15:30-15:45 Coffee Break 15:45-16:30 Closing Talk: Bluhm For further information please check http://www.mathematik.tu-muenchen.de/gkaam/AutumnSchool/ The number of participants is limited. Organizers: Vicky Fasen, Ingeborg Gottschlich, Claudia Klüppelberg, Krassimir Kostadinov, Radostina Kostadinova. For further questions please write an email to school(a)ma.tum.de . -------------------------------------------------------------------- Prof. Dr. Claudia Kl"uppelberg Phone: +49 89 289 17432 Lehrstuhl f"ur Mathematische Statistik Secretary: +49 89 289 17434 Zentrum Mathematik Fax: +49 89 289 17435 TU M"unchen Boltzmannstrasse 3 email: cklu(a)ma.tum.de 85747 Garching bei M"unchen http://www.ma.tum.de/stat/ --------------------------------------------------------------------

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[VFN] Ausschreibung
by neumeyer＠fio.fin.univie.ac.at 04 Jul '03

04 Jul '03

Sehr geehrte Redaktion, wir ersuchen um Veröffentlichung der unten angeführten zu besetzenden Position an unserem Lehrstuhl. Vielen Dank und mit freundlichen Grüßen Am Lehrstuhl für Finanzdienstleistungen und Öffentliche Wirtschaft, Berggasse 17/2/17, 1090 Wien wird DRINGEND ein/e Student/in für ein Forschungsprojekt (evtl. im Rahmen einer Diplomarbeit) gesucht: Voraussetzung: sehr gute Programmierkenntnisse Bezahlung: nach Vereinbarung Kontaktperson: Mag. Franz Diboky (Tel: 4277-382699) oder email: franz.diboky(a)univie.ac.at Christine Neumeyer Sekretariat Prof. Dr. Jörg Finsinger Institut für Betriebswirtschaftslehre Lehrstuhl für Finanzdienstleistungen Lehrstuhl für Öffentliche Wirtschaft und Verwaltung Berggasse 17/2/17, 1090 Wien Tel: ++43-1-4277-38262 Fax: ++43-1-4277-38264

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[VFN] Reminder - Public Lecture June 17th Gutmann Center
by Gutmann Center-D.Grimm 13 Jun '03

13 Jun '03

* REMINDER * 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: June 17th, 2003 (Tuesday), 4.30 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: Robert A. Korajczyk Harry G. Guthmann Distinguished Professor of Finance Kellogg School of Management Northwestern University http://www.kellogg.nwu.edu/faculty/korajczy/htm/ Title: "Liquidity and Portfolio Management" Abstract: "Liquidity, or lack of it, has played an important part in a number of recent financial crises. Of even more relevance to most portfolio managers if the fact that simulated portfolios almost universally outperform actual portfolios based on the same trading rules. This discrepancy is due, in large part, to imperfect liquidity in asset markets. This lecture will discuss the estimation and use of liquidity measures in portfolio management, the evidence for or against the existence of liquidity premiums in equity markets, and the implications for investors and listed firms." Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +42-1-50220-249 -- ------------------------------------------------------ The Vienna Finance Newsletter <VFN-L(a)fam.tuwien.ac.at> http://www.fam.tuwien.ac.at/mailman/listinfo/vfn-l

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[VFN] Research Workshop June 18th - starts at 12.00
by Gutmann Center-D.Grimm 12 Jun '03

12 Jun '03

PLEASE NOTE THAT THE FOLLOWING RESEARCH SEMINAR WILL BEGIN AT 12.00 and not 11.00 a.m. AS ANNOUNED IN A PREVIOUS ANNOUNCEMENT!!! The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (www.gutmann-center.at) and the CENTER FOR CENTRAL EUROPEAN FINANCIAL MARKETS (www.ccefm.at) announce the following RESEARCH SEMINAR Date: June 18th (Wednesday), 12.00-1.30 p.m. Location: Universität Wien, Institut für BWL (BWZ) Brünner Str. 72 1210 Wien SEMINARRAUM 1 Speaker: Robert A. Korajczyk Harry G. Guthmann Distinguished Professor of Finance Kellogg School of Management Northwestern University http://www.kellogg.nwu.edu/faculty/korajczy/htm/ Paper: "Sunspots, Iterative Two-Pass Cross-Sectional Regressions, and Asymptotic Principal Components." It can be downloaded from the following URL: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=386621 Please find further information at: www.gutmann-center.at! Contact: Dorothea Grimm Administrative Director Gutmann Center for Portfolio Management Department of Business Studies 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

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[VFN] Mathematical Finance for Young Researchers (fwd)
by VFN-L admin * Andreas Schamanek 10 Jun '03

10 Jun '03

---------- Forwarded message ---------- Date: Tue, 10 Jun 2003 17:48:39 +0200 From: Berlin Workshop 2003 <finance(a)math.hu-berlin.de> Subject: Mathematical Finance for Young Researchers Dear colleagues, we would be grateful if you could inform young members of your research group about the upcoming Workshop on Mathematical Finance for Young Researchers: Modelling, Measuring, and Managing Financial Risk. The workshop will be held on January 8 - January 10, 2004 at Humboldt University of Berlin. The aim of the workshop is to bring together promising Ph.D. students and postdocs, and to give them the opportunity to discuss their research in an informal atmosphere. Keynote lectures will be given by David Hobson, University of Bath, Wolfgang Schmidt, Hochschule fuer Bankwirtschaft, Martin Schweizer, Ludwig-Maximilian-Universitaet Muenchen, Thaleia Zariphopoulou, University of Texas at Austin. We also invite applications for up to 15 contributed papers from young researchers, in particular from recent PhDs. Accomodation expenses for speakers will be covered. Very limited support for travel expenses may also be available. Closing date for submissions to finance(a)math.hu-berlin.de is September 30th, 2003. The workshop is supported by the DFG Research Center "Mathematics for Key Technologies" ( http://www.fzt86.de ) and the Graduiertenkolleg "Stochastic Processes and Probabilistic Analysis". Thank you very much for your cooperation, the organizing committee Peter Bank, Hans Foellmer, Ulrich Horst, Peter Imkeller, Alexander Schied

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[VFN] Research Seminar Prof. Korajczyk June 18th
by Gutmann Center-D.Grimm 10 Jun '03

10 Jun '03

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (www.gutmann-center.at) and the CENTER FOR CENTRAL EUROPEAN FINANCIAL MARKETS (www.ccefm.at) are pleased to announce the following RESEARCH SEMINAR Date: June 18th (Wednesday), 11.00 a.m. Location: Universität Wien, Institut für BWL (BWZ) Brünner Str. 72 1210 Wien SEMINARRAUM 1 Speaker: Robert A. Korajczyk Harry G. Guthmann Distinguished Professor of Finance Kellogg School of Management Northwestern University http://www.kellogg.nwu.edu/faculty/korajczy/htm/ Paper: "Sunspots, Iterative Two-Pass Cross-Sectional Regressions, and Asymptotic Principal Components." It can be downloaded from the following URL: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=386621 Please find further information at: www.gutmann-center.at! Contact: Dorothea Grimm Administrative Director Gutmann Center for Portfolio Management Department of Business Studies 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

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[VFN] Public Lecture Robert Korajczyk June 17th
by Gutmann Center-D.Grimm 05 Jun '03

05 Jun '03

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (http://www.gutmann-center.at) is pleased to announce the following PUBLIC LECTURE: Date: June 17th, 2003 (Tuesday), 4.30 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: Robert A. Korajczyk Harry G. Guthmann Distinguished Professor of Finance Kellogg School of Management Northwestern University http://www.kellogg.nwu.edu/faculty/korajczy/htm/ Robert A. Korajczyk is the Harry G. Guthmann Distinguished Professor of Finance. He is past Chair of the Finance Department and has been a member of the Kellogg School faculty since 1982. Professor Korajczyk has also held visiting faculty appointments at the University of Chicago and the Hong Kong University of Science and Technology. Professor Korajczyks research interests are in the areas of investments, corporate finance, and international finance. He is a recipient of the New York Stock Exchange Award for Best Paper on Equity Trading presented at the 1993 Western Finance Association annual meetings, and the Review of Financial Studies Best Paper Award, 1991. He is a past or current editor of several leading journals. He has served as a consultant to the World Bank and a number of other organizations. He received his B.A. (1976); M.B.A. (1977); and Ph.D. (1983) from the University of Chicago." Title: "Liquidity and Portfolio Management" Abstract: "Liquidity, or lack of it, has played an important part in a number of recent financial crises. Of even more relevance to most portfolio managers if the fact that simulated portfolios almost universally outperform actual portfolios based on the same trading rules. This discrepancy is due, in large part, to imperfect liquidity in asset markets. This lecture will discuss the estimation and use of liquidity measures in portfolio management, the evidence for or against the existence of liquidity premiums in equity markets, and the implications for investors and listed firms." Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +42-1-50220-249

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[VFN] Reminder - Public Lecture Gutmann Center June 4th
by Gutmann Center-D.Grimm 02 Jun '03

02 Jun '03

REMINDER * REMINDER * REMINDER * 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: June 4th, 2003 (Wednesday), 4.30 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: Russel R. Wermers, Professor of Finance, University of Maryland http://www.rhsmith.umd.edu/Finance/rwermers/ Russel R. Wermers is Professor of Finance at the Robert H. Smith School of Business,University of Maryland at College Park. Numerous publications in top-class journals such as American Economic Review, Journal of Finance, Journal of Financial and Quantitative Analysis. Current research interests: mutual fund performance measurement, the impact of mutual funds on stock markets, and empirical tests of the efficiency of stock markets. Title: "Games Asset Managers Play" Abstract: What types of games do asset managers play, knowing that they are being judged by their performance records each year? Prior research indicates that mutual fund managers play a yearly tournament. Specifically, mid-year losing funds increase their risk during the second half of the year in an attempt to overtake mid-year winning funds, while mid-year winners decrease their risk to lock in their relative position. This talk will describe the results of a new study of mutual fund tournaments that digs deeper into the determinants of risk-taking behavior by managers. We show that fund managers pay attention not only to their mid-year performance records, relative to their peers, but also to the amount of risk that they have taken in the past. That is, fund managers behave as if they have a risk budget, which sometimes leads to behavior that runs counter to that predicted by prior studies. For example, a fund manager who has taken a substantial amount of risk during the first half of a year, and loses, tends to reduce risk during the second half of the year. Our results provide new insights into the sponsor-manager agency problem, which, in turn, provides sponsors with new insights into the risks of delegated portfolio management. Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +42-1-50220-249

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[VFN] MBA Risk Management (fwd)
by VFN-L admin * Andreas Schamanek 27 May '03

27 May '03

---------- Forwarded message ---------- Date: Tue, 27 May 2003 15:33:56 +0200 From: Michael Jeckle <michael.jeckle(a)fh-vie.ac.at> To: vfn-l-moderators(a)fam.tuwien.ac.at Die Fachhochschule BFI bietet ab Herbst 2003 einen postgraduierten MBA Risk Management mit quantitativer Ausrichtung an (vorbehaltlich der Genehmigung des BMWF). Inhaltlicher Schwerpunkt des ersten Jahres sind die Methoden der Quantifizierung und Steuerung von Markt-, Kredit-, Schadens- und biometrischen Risiken. Im zweiten Jahr stehen die Probleme der Umsetzung in Banken, Versicherungen und Corporates unter besonderer Berücksichtigung der aufsichtsrechtlichen, organisatorischen und informations- technologischen Aspekte des Risikomanagements im Mittelpunkt der Ausbildung: Dauer: 2 Jahre Beginn: Oktober 2003 Kosten: 20.000 Euro Aufnahmebedingugen: Abgeschlossenes Studium oder einschlägige Berufserfahrung Abschluss: MBA Risk Management Zeiten: Donnerstag 17:30-21:00, Freitag 13:30-20:30 und Samstag 9:00-17:00 durchschnittlich im zweiwöchigen Rhythmus Weitere Informationen erhalten Sie von: Dipl. Vw. Michael Jeckle Mag. Barbara Lischka Inhaltiche Betreuung des MBA Organisatorische Betreuung des MBA **************************************************************************** Tel (++43-1) 720/1286/46 Tel (++43-1) 720/1286/47 E-Mail: michael.jeckle(a)fh-vie.ac.at E-Mail:barbara.lischka@fh-vie.ac.at http://www.fh-vie.ac.at

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[VFN] Public Lecture Russel Wermers June 4th
by Gutmann Center-D.Grimm 15 May '03

15 May '03

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (http://www.gutmann-center.at) is pleased to announce the following PUBLIC LECTURE: Date: June 4th, 2003 (Wednesday), 4.30 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: Russel R. Wermers, Professor of Finance, University of Maryland http://www.rhsmith.umd.edu/Finance/rwermers/ Russel R. Wermers is Professor of Finance at the Robert H. Smith School of Business,University of Maryland at College Park. Numerous publications in top-class journals such as American Economic Review, Journal of Finance, Journal of Financial and Quantitative Analysis. Current research interests: mutual fund performance measurement, the impact of mutual funds on stock markets, and empirical tests of the efficiency of stock markets. Title: "Games Asset Managers Play" Abstract: What types of games do asset managers play, knowing that they are being judged by their performance records each year? Prior research indicates that mutual fund managers play a yearly tournament. Specifically, mid-year losing funds increase their risk during the second half of the year in an attempt to overtake mid-year winning funds, while mid-year winners decrease their risk to lock in their relative position. This talk will describe the results of a new study of mutual fund tournaments that digs deeper into the determinants of risk-taking behavior by managers. We show that fund managers pay attention not only to their mid-year performance records, relative to their peers, but also to the amount of risk that they have taken in the past. That is, fund managers behave as if they have a risk budget, which sometimes leads to behavior that runs counter to that predicted by prior studies. For example, a fund manager who has taken a substantial amount of risk during the first half of a year, and loses, tends to reduce risk during the second half of the year. Our results provide new insights into the sponsor-manager agency problem, which, in turn, provides sponsors with new insights into the risks of delegated portfolio management. Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +42-1-50220-249

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[VFN] Reminder - Public Lecture Bill Fung May 14th
by Gutmann Center-D.Grimm 08 May '03

08 May '03

+ Reminder + Reminder + Reminder + 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: May 14th, 2003 (Wednesday), 4.30 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16 (Mezzanin), 1010 Wien (http://www.gutmann.at) Speaker: Prof. William K H FUNG, London Business School http://www.london.edu/hedgefunds/Hedge_Fund_Centre/Faculty/faculty.html Bill Fung is Visiting Research Professor of Finance at the Centre for Hedge Fund Research and Education, London Business School and advisor to the Education and Research Foundation of the Chicago Board of Trade. He has published in renowned finance journals and has extensive experience in the hedge fund industry. Currently, he is Chair, Board of Directors, Maple Financial Group, Canadan and co-CEO at PI Asset Management,LLC,USA. Title: "The Risk in Hedge Fund Strategies: Alternative Alphas and Alternative Betas" Abstract: "This paper presents a unifying framework for estimating risk factors in hedge fund strategies. A simple model with only a handful of Asset-Based Style (ABS) factors is shown to capture both cross-sectional variations of hedge fund returns and the time-varying dynamics of hedge-fund portfolios. In addition, these ABS factors can be directly linked to observable market prices through rule-based models of hedge-fund strategies. We discuss the implications of such a model as a complete extension of Sharpes (1992) style model for hedge funds beyond Fung and Hsieh (1997) as well as applications for portfolio management hedge funds and benchmarking hedge fund performance." Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +42-1-50220-249

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[VFN] Stellenausschreibung Kreditrisiko
by Hauser-Rethaller Ursula 08 May '03

08 May '03

Die FINANZMARKTAUFSICHT (FMA) ist seit April 2002 für die Aufsicht über Kreditinstitute, Versicherungsunternehmen, Pensionskassen und den gesamten Wertpapierdienstleistungsbereich zuständig. Als operativ unabhängige Aufsichtsbehörde hat sie für die Stabilität des heimischen Finanzplatzes und die Funktionsfähigkeit des Kapitalmarktes zu sorgen. Wir suchen zum baldigsten Eintritt eine/n Mitarbeiter/in für die Kreditrisikoprüfung der/die bereit ist, sich den Herausforderungen der integrierten Aufsicht in einem dynamischen Umfeld zu stellen. Stabsabteilung für internationale Angelegenheiten und Risikomanagement Aufgabenbereich: * Mitwirkung an der Implementierung der Anforderungen aus Basel II für das Kreditrisiko * Laufende Prüfung von internen und externen Ratingmodellen. * Prüfung interner Risikomodelle * Prüfung von Verfahren zur Parameterschätzung Anforderungsprofil: * Abgeschlossenes wirtschaftswissenschaftliches Studium mit quantitativem Schwerpunkt oder mathematisch-technisches Studium mit Schwerpunkt Finance * Fundiertes mathematisch-statistisches Grundlagenwissen * Fundierte Kenntnisse der quantitativen Finanzwirtschaft, insbesondere der Methoden zur (Kredit)Risikomessung * Erfahrung mit der Konzipierung von Ratingsystemen (von Vorteil) * Erfahrungen im Bereich des Bankwesens * Kenntnis der neuen Eigenkapitalvorschriften (Basel II) (von Vorteil) * Teamfähigkeit, sehr gute kommunikative Fähigkeiten, Belastbarkeit * Bereitschaft zur Reisetätigkeit * Sehr gute Englischkenntnisse. Wir bieten Ihnen die Möglichkeit in einer jungen Organisation mitzuwirken sowie eine vielseitige, eigenverantwortliche und anspruchsvolle Tätigkeit zu übernehmen. Senden Sie bitte Ihre aussagekräftigen Bewerbungsunterlagen - unter Angabe der Stelle, für die Sie sich bewerben - an: FINANZMARKTAUFSICHT Personalabteilung Praterstr. 23 1020 Wien e-mail: bewerbung(a)fma.gv.at

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[VFN] Stellenanausschreibung Marktrisiko
by Hauser-Rethaller Ursula 08 May '03

08 May '03

Die FINANZMARKTAUFSICHT (FMA) ist seit April 2002 für die Aufsicht über Kreditinstitute, Versicherungsunternehmen, Pensionskassen und den gesamten Wertpapierdienstleistungsbereich zuständig. Als operativ unabhängige Aufsichtsbehörde hat sie für die Stabilität des heimischen Finanzplatzes und die Funktionsfähigkeit des Kapitalmarktes zu sorgen. Wir suchen zum baldigsten Eintritt eine/n Mitarbeiter/in für die Marktrisikoprüfung der/die bereit ist, sich den Herausforderungen der integrierten Aufsicht in einem dynamischen Umfeld zu stellen. Stabsabteilung für internationale Angelegenheiten und Risikomanagement Aufgabenbereich: * Laufende Überwachung der in den österreichischen Kreditistituten angewendeten Marktrisikomodellen * Verantwortliche Mitarbeit bei der Prüfung und behördlichen Genehmigung derartiger Modelle Anforderungsprofil: * Abgeschlossenes wirtschaftswissenschaftliches Studium mit quantitativem Schwerpunkt oder mathematisch-technisches Studium mit Schwerpunkt Finance * Fundierte mathemathisch-statistische Kenntnisse * Fundierte Kenntnisse der quantitativen Finanzwirtschaft, insesondere des Risikomanagements * Erfahrungen im Bereich des Bankwesens. * Kenntnis des BWG, insbesondere die Vorschriften zum Marktrisiko im Handelsbuch (von Vorteil) * Erfahrung mit der Implementierung von Marktrisikomodellen (von Vorteil) * Teamfähigkeit, sehr gute kommunikative Fähigkeiten, Belastbarkeit * Bereitschaft zur Reisetätigkeit * Sehr gute Englischkenntnisse. Wir bieten Ihnen die Möglichkeit in einer jungen Organisation mitzuwirken sowie eine vielseitige, eigenverantwortliche und anspruchsvolle Tätigkeit zu übernehmen. Senden Sie bitte Ihre aussagekräftigen Bewerbungsunterlagen - unter Angabe der Stelle, für die Sie sich bewerben - an: FINANZMARKTAUFSICHT Personalabteilung Praterstr. 23 1020 Wien e-mail: bewerbung(a)fma.gv.at

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[VFN] 10th Global Finance Conference - Call for Participation (fwd)
by VFN-L admin * Andreas Schamanek 07 May '03

07 May '03

---------- Forwarded message ---------- Date: Wed, 7 May 2003 09:38:46 +0200 From: gfc2003 <gfc2003(a)ebs.de> Subject: 10th Global Finance Conference - Call for Participation Dear Colleagues, The EUROPEAN BUSINESS SCHOOL (ebs) is proud to host the 10th Global Finance Conference from June 15-17, 2003 in Frankfurt/Main. The three Endowed Chairs of the ebs Department of Finance have been organizing a global event where practice benefits from science and science is stimulated by practice. The conference will bring together researchers and practitioners from across the world for an intensive exchange of new ideas and scholarly findings. Participants will have the chance to gain valuable insights concerning present developments in financial research and will have the opportunity to discuss the presented topics with experts and fellow researchers. Well known academics such as the following keynote speakers * Prof. emerit. Richard A. Brealey (London Business School) * Prof. Werner De Bondt (DePaul University, Chicago & University of Wisconsin-Madison) * Prof. Dr. Dr. h.c. mult. Otmar Issing (Board of Directors, European Central Bank) * Prof. Dr. Dr. h.c. mult. Hans Tietmeyer (former President of Deutsche Bundesbank, ebs President) will make the 10th Global Finance Conference an outstanding event for the financial community. About 100 Papers - touching a variety of topics like Corporate-, International- and Behavioural-Finance as well as Corporate Governance and Asset Allocation - will be presented. For a detailed schedule please visit our homepage: http://www.ebs.edu/gfc/ . We would like to invite you to the Frankfurt Marriott Hotel to attend the 10th Global Finance Conference. (...) We are looking forward to welcoming you in Frankfurt! Organizing Committee of the 10th Global Finance Conference (Prof. Ulrich Hommel, Ph.D, Dr. Lutz Johanning, Prof. Dr. Dirk Schiereck)

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[VFN] CCEFM Workshop: David Lando am 8. Mai
by Stefan Pichler 27 Apr '03

27 Apr '03

Sehr geehrte Damen und Herren, im Rahmen des CCEFM Workshops in Zusammenarbeit mit PricewaterhouseCoopers haelt Prof. David Lando (Copenhagen Business School) einen Vortrag mit dem Titel: "On confidence sets for transition probabilities" Zeit: Donnerstag, 08.05.2003, 17:00 bis 18:30 Ort: Hoersaal EI8 (Stiege 1, Erdgeschoss) Technische Universitaet Wien Gusshausstrasse 25-29 1040 Wien Alle Interessierten sind herzlich eingeladen. Es ist keine Anmeldung erforderlich. mfg - Stefan Pichler

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[VFN] Public Lecture Prof. Bill Fung May 14th, Gutmann Center
by Gutmann Center-D.Grimm 25 Apr '03

25 Apr '03

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (http://www.gutmann-center.at) is pleased to announce the following PUBLIC LECTURE: Date: May 14th, 2003 (Wednesday), 4.30 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16 (Mezzanin), 1010 Wien (http://www.gutmann.at) Speaker: Prof. William K H FUNG, London Business School http://www.london.edu/hedgefunds/Hedge_Fund_Centre/Faculty/faculty.html Bill Fung is Visiting Research Professor of Finance at the Centre for Hedge Fund Research and Education, London Business School and advisor to the Education and Research Foundation of the Chicago Board of Trade. He has published in renowned finance journals and has extensive experience in the hedge fund industry. Currently, he is Chair, Board of Directors, Maple Financial Group, Canadan and co-CEO at PI Asset Management,LLC,USA. Title: "The Risk in Hedge Fund Strategies: Alternative Alphas and Alternative Betas" Abstract: "This paper presents a unifying framework for estimating risk factors in hedge fund strategies. A simple model with only a handful of Asset-Based Style (ABS) factors is shown to capture both cross-sectional variations of hedge fund returns and the time-varying dynamics of hedge-fund portfolios. In addition, these ABS factors can be directly linked to observable market prices through rule-based models of hedge-fund strategies. We discuss the implications of such a model as a complete extension of Sharpes (1992) style model for hedge funds beyond Fung and Hsieh (1997) as well as applications for portfolio management hedge funds and benchmarking hedge fund performance." Please register by May, 9th! Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +42-1-50220-249

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[VFN] 8th Viennese Workshop on Optimal Control, Dynamic Games and Nonlinear Dynamics
by Richard Hartl 08 Apr '03

08 Apr '03

******************************************************** ** Preliminary Program ** ******************************************************** ** Eighth Viennese Workshop on Optimal Control, ** ** Dynamic Games and Nonlinear Dynamics: ** ** Theory and Applications in Economics and OR/MS ** ** Vienna , May 14-16, 2003 ** ** ws2003.bwl(a)univie.ac.at ** ** http://www.bwl.univie.ac.at/bwl/prod/EVENTS/ws2003 ** ******************************************************** Dear all, this is to inform you that a preliminary schedule of sessions is already available at http://www.bwl.univie.ac.at/bwl/prod/EVENTS/ws2003/survey.htm. Please check, whether your name (or that of your coauthor who will present) is there. A list of paper titles will also be available soon. Please check our website in a few days. SORRY FOR CROSSPOSTINGS! We are sending this info to registered participants of the "Eighth Viennese Workshop ...", to participants of previous Viennese Workshops, as well as to relevant newsgroups and electronic forums. We would appreciate if you informed your colleagues who might be interested (by forwarding this information to them). Looking forward to seeing you in Vienna soon, Gustav Feichtinger and Richard F. Hartl

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[VFN] Reminder-CCEFM-Workshop Martin Weber Friday April 4th
by Gutmann Center-D.Grimm 03 Apr '03

03 Apr '03

Reminder + Reminder + Reminder + Reminder + Reminder +++++++++++++++++++++++++++++++++++++++++++++++++++++ CCEFM (http://www.ccefm.at) and Gutmann Center for Portfolio Management at the University of Vienna (http://www.gutmann-center.at) are pleased to announce the next CCEFM-Research-Workshop Speaker: Prof. Dr. Martin WEBER, University of Mannheim (http://medici.bwl.uni-mannheim.de/LS/) Title: "On the Trend Recognition Ability of Professional Traders - Are they better or just more overconfident than lay people?" Date: Friday, 4th of April, 2003 Time: 3.30 - 5.00 p.m. Location: Wiener Börse, Säulenhalle, Wallnerstr. 8, 1010 Wien Paper can be downloaded from: http://www.ccefm.at - ccefm-workshops or http://www.gutmann-center.at - activities - research seminars Contact: Dorothea Grimm Administrative Director Gutmann Center for Portfolio Management Department of Business Studies 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

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[VFN] Gutmann Center Public Lecture 3. April - Reminder
by Gutmann Center-D.Grimm 31 Mar '03

31 Mar '03

Reminder + Reminder + Reminder + Reminder + Reminder + Reminder ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ Das GUTMANN CENTER FOR PORTFOLIO MANAGEMENT an der Universität Wien (http://www.gutmann-center.at) lädt alle Interessierten zu seiner nächsten PUBLIC LECTURE ein: Datum: Donnerstag, 3. April 2003, 16.30 Uhr Ort: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: Prof. Dr. Martin WEBER, Universität Mannheim (http://medici.bwl.uni-mannheim.de/LS/) Titel: "OVERCONFIDENCE OF PROFESSIONAL TRADERS AND PRIVATE INVESTORS" Abstract: "Overconfidence ist die in der verhaltenswissenschaftlichen Finanzmarktforschung am häufigsten untersuchte Verzerrung im Entscheidungsverhalten. Motiviert wird dies durch eine Vielzahl psychologischer Studien, die unter dem Begriff Overconfidence subsumiert werden. Diese ermitteln z.B., dass Menschen ihr Wissen überschätzen und sich im Vergleich zu anderen Menschen als überdurchschnittlich bezüglich diverser Fähigkeiten einschätzen. Außerdem unterliegen Menschen häufig der Kontrollillusion, da sie glauben, zufällige Ereignisse kontrollieren oder vorhersagen zu können. Zudem zeigen Menschen bei Prognosen, welche die eigene Zukunft betreffen, häufig einen zu großen Optimismus. Finanzmarktmodelle greifen diese Erkenntnisse auf. Beispielsweise wird Overconfidence dadurch modelliert, dass Menschen die Volatilität von Aktienkursen unterschätzen, dass sie also schlecht kalibriert sind. Diese Modelle sagen ein hohes Handelsvolumen vorher, welches mit rationalen Investoren nicht erklärt werden kann. Der Vortrag stellt die Ergebnisse zweier Studien vor: eine Studie befasst sich mit Privatanlegern, die andere mit institutionellen Investoren." Weitere Informationen unter: http://www.gutmann-center.at - Activities - Public Lectures Um Anmeldung wird gebeten: Frau Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +42-1-50220-249

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[VFN] Announcement CCEFM-workshop
by Gutmann Center-D.Grimm 26 Mar '03

26 Mar '03

CCEFM (http://www.ccefm.at) and Gutmann Center for Portfolio Management at the University of Vienna (http://www.gutmann-center.at) are pleased to announce the next CCEFM-Research-Workshop Speaker: Prof. Dr. Martin WEBER, University of Mannheim (http://medici.bwl.uni-mannheim.de/LS/) Title: "On the Trend Recognition Ability of Professional Traders - Are they better or just more overconfident than lay people?" Date: Friday, 4th of April, 2003 Time: 3.30 - 5.00 p.m. Location: Wiener Börse, Säulenhalle, Wallnerstr. 8, 1010 Wien Paper can be downloaded from: http://www.ccefm.at - ccefm-workshops or http://www.gutmann-center.at - activities - research seminars Contact: Dorothea Grimm Administrative Director Gutmann Center for Portfolio Management Department of Business Studies 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

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[VFN] Stochastic Optimal Control Methods In Finance (fwd)
by VFN-L admin * Andreas Schamanek 24 Mar '03

24 Mar '03

---------- Forwarded message ---------- Date sent: Fri, 21 Mar 2003 11:30:23 +0100 (CET) From: Marzia De Donno <mdedonno(a)dm.unipi.it> Subject: cattedra galileiana 2003 Scuola Normale Superiore Associazione Amici della Scuola Normale Superiore Cattedra Galileiana 2003 Halil Mete Soner Koc University Istanbul, Turkey A course on: Stochastic Optimal Control Methods In Finance April 7th - May 6th, 2003 Abstract: Stochastic optimal control methods have been extensively used in financial economics since the pioneering work of Merton on optimal consumption and investment. Stochastic optimal control is a powerful tool as it provides dynamic investment and consumption strategies in a systematic manner. In the Merton framework, financial market is a complete one and the resulting optimal control problem fit into the classical framework. However, in the case of market incompleteness or friction, we encounter interesting control problems. The model with transaction costs is an important example. This model was first introduced by Constantinides and later studied by Davis & Norman, is a singular stochastic model. It is related to the monotone follower problems studied in the control literature by Karatzas & Shreve and Shreve & Soner. In the presence of market friction or incompleteness, optimal control also provides alternate approaches for pricing derivative securities. One of these is the idea of super-replication and the other is to introduce preferences through a utility function. Both of these approaches coincide with the classical no-arbitrage price in complete markets. In these lectures, we outline the recent developments in finance and stochastic optimal control that are related. Problems with "singular" models and the super-replication problem will be emphasized. Mathematically, we will use the theory of viscosity solutions to analyze the resulting nonlinear partial differential equations. Also, we will outline a connection between geometric flows and super-replication problems. Lectures will be given at the "Sala degli Stemmi" Scuola Normale Superiore di Pisa, according to the following schedule. Monday, April 7th - 15:00-17:30 Lecture 1. Optimal control and viscosity solution. This is a general introduction to stochastic optimal control, dynamic programming, dynamic programming equation and viscosity solutions. Tuesday, April 8th -10:00-12:30 Lecture 2. Singular stochastic control. These are optimal control problems in which the state process can move discontinuously in time. We will provide a general framework and discuss models with transaction costs. Monday, April 14th -15:00-17:30 Lecture 3. Super-replication. General target problems will be introduced and the super-replication will be discussed. Tuesday, April 15th -10:00-12:30 Lecture 4. Pricing with Portfolio Constraints. Super-replication with portfolio constraints will be studied first by convex duality of Cvitanic & Karatzas and Karatzas & Kuo. Then, we will use the target control problem techniques of Soner & Touzi. Monday, April 28th -15:00-17:30 Tuesday, April 29th - 10:00-12:30 Lectures 5 and 6. Gamma Constraints. We discuss the problem of pricing under a constraint on the variations of the portfolio. Several probabilistic results on double stochastic integrals and PDE results on non-parabolic equations will be given. Monday, May 5th - 15:00-17:30 Tuesday, May 6th - 10:00-12:30 Lectures 7 and 8. Geometric flows, super-replication, and finance. A general study of super-replication, or more generally the target control problem, yields geometric equations. Particular choices of the target problems provide a stochastic representation for mean curvature flow and other important parabolic geometric flows. Registration The participation to the course is open but registration is needed. Thus, the registration form below should be completed and sent by fax, mail or e-mail to: Associazione Amici della Scuola Normale Superiore Piazza dei Cavalieri 7 - 56126 PISA Tel. (+39) 050 509 654; fax: (+39) 050 509 534 Pag. web: http://www.sns.it/Home/Associazione_Amici_della_Normale/cgal.html E_mail: amicisns(a)sns.it Registration Form Name: Surname: Professional status: Affilation: Address, Tel./Fax: _______________________ __________________________________________ E-mail: __________________________________ dott.ssa Gisella Chinè Associazione Amici della Scuola Normale Superiore Piazza dei Cavalieri 7 - 56126 Pisa Tel. +39 050 509.654 - fax +39 050 509.534 http://www.sns.it/~Amici_della_Normale ------- End of forwarded message -------

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[VFN] Gutmann Center - Public Lecture 3. April 2003
by Gutmann Center-D.Grimm 24 Mar '03

24 Mar '03

Das GUTMANN CENTER FOR PORTFOLIO MANAGEMENT an der Universität Wien (www.gutmann-center.at) lädt alle Interessierten zu seiner nächsten PUBLIC LECTURE ein: Datum: Donnerstag, 3. April 2003, 16.30 Uhr Ort: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (www.gutmann.at) Speaker: Prof. Dr. Martin WEBER, Universität Mannheim (http://medici.bwl.uni-mannheim.de/LS/) Titel: "OVERCONFIDENCE OF PROFESSIONAL TRADERS AND PRIVATE INVESTORS" Abstract: "Overconfidence ist die in der verhaltenswissenschaftlichen Finanzmarktforschung am häufigsten untersuchte Verzerrung im Entscheidungsverhalten. Motiviert wird dies durch eine Vielzahl psychologischer Studien, die unter dem Begriff Overconfidence subsumiert werden. Diese ermitteln z.B., dass Menschen ihr Wissen überschätzen und sich im Vergleich zu anderen Menschen als überdurchschnittlich bezüglich diverser Fähigkeiten einschätzen. Außerdem unterliegen Menschen häufig der Kontrollillusion, da sie glauben, zufällige Ereignisse kontrollieren oder vorhersagen zu können. Zudem zeigen Menschen bei Prognosen, welche die eigene Zukunft betreffen, häufig einen zu großen Optimismus. Finanzmarktmodelle greifen diese Erkenntnisse auf. Beispielsweise wird Overconfidence dadurch modelliert, dass Menschen die Volatilität von Aktienkursen unterschätzen, dass sie also schlecht kalibriert sind. Diese Modelle sagen ein hohes Handelsvolumen vorher, welches mit rationalen Investoren nicht erklärt werden kann. Der Vortrag stellt die Ergebnisse zweier Studien vor: eine Studie befasst sich mit Privatanlegern, die andere mit institutionellen Investoren." Weitere Informationen unter: www.gutmann-center.at - Activities - Public Lectures Um Anmeldung wird gebeten bis zum 31. März 2003 an: Frau Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +42-1-50220-249

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[VFN] DGF-Jahrestagung 2003 - Final Call for papers (fwd)
by VFN-L admin * Andreas Schamanek 21 Mar '03

21 Mar '03

---------- Forwarded message ---------- Date: Fri, 21 Mar 2003 12:43:30 +0100 From: dgf(a)cofar.uni-mainz.de Subject: DGF-Jahrestagung 2003 - Final Call for papers ANKÜNDIGUNG UND FINAL CALL FOR PAPERS DGF Deutsche Gesellschaft für Finanzwirtschaft / German Finance Association 10. Jahrestagung vom 10. -11. Oktober 2003 in Mainz www.cofar.uni-mainz.de/dgf2003 <http://www.cofar.uni-mainz.de/dgf2003> Sehr geehrte Damen und Herren, im Namen des Vorstandes der DGF Deutsche Gesellschaft für Finanzwirtschaft (DGF) lade ich Sie sehr herzlich zu unserer 10. Jahrestagung am 10.-11. Oktober 2003 an die Johannes Gutenberg-Universität Mainz ein. Während der Tagung werden Arbeitspapiere zu aktuellen Themen und Bereichen der Finanzmarktforschung präsentiert und diskutiert. Ihre Arbeitspapiere können Sie elektronisch via Webformular auf unserer Homepage www.cofar.uni-mainz.de/dgf2003 <http://www.cofar.uni-mainz.de/dgf2003> bis zum 1. April 2003 einreichen. Als Anlage füge ich diesem Schreiben ein Call for Papers bei. Ich möchte darauf hinweisen, daß für persönliche Mitglieder und die Mitarbeiter der korporativen Mitglieder die Teilnahme an der Jahrestagung kostenlos ist, falls sie sich vor dem 15.09.2003 anmelden. Weitere Informationen zur Tagung sowie zur Einreichung von Arbeitspapieren sind auf unserer Homepage unter www.cofar.uni-mainz.de/dgf2003 <http://www.cofar.uni-mainz.de/dgf2003> zu finden. Es würde mich sehr freuen, Sie auf der 10. Jahrestagung der DGF in Mainz begrüßen zu dürfen. Mif freundlichen Grüßen Prof. Dr. Siegfried Trautmann Anlage: CALL FOR PAPERS DGF Deutsche Gesellschaft fuer Finanzwirtschaft / German Finance Association 2003 ANNUAL MEETING October 10-11, 2003 Mainz, Germany The German Finance Association will hold its 10th Annual Meeting at the Johannes Gutenberg University in Mainz (Germany), October 10-11, 2003. RESEARCH PAPERS: Members and friends of the German Finance Association are invited to participate in the 10th Annual Meeting. You are encouraged to submit papers in all areas of Finance. ELECTRONIC SUBMISSION: Please submit your paper electronically via the program website, which may be accessed via the paper submission website. All papers must be submitted in English as pdf files and accompanied by an abstract of up to 450 words (for the conference program), which must be included also as a word file. The cover page of the paper should contain the title, name and affiliation of the authors, complete address and email addresses. The first page of text should contain the title, the abstract and JEL classification codes, but not the authors names. Papers will be double-blind refereed. DEADLINE: The deadline for papers is April 1, 2003. Your submission will be acknowledged within 72 hours. Authors will be notified by July, 2003. CONTACT: Further information about the conference and the submission of papers will be published via www.cofar.uni-mainz.de/dgf2003 <http://www.cofar.uni-mainz.de/dgf2003>. Postal: CoFaR Center of Finance and Risk Management Johannes Gutenberg University 55099 Mainz, Germany Tel: +49(6131) 39-23760 Fax: +49(6131) 39-23766 Email: dgf(a)cofar.uni-mainz.de Prof. Dr. Siegfried Trautmann Program Chair of the 10th Annual Meeting of the German Finance Association

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[VFN] CCEFM-Workshop on Friday 21st
by Gutmann Center-D.Grimm 18 Mar '03

18 Mar '03

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (www.gutmann-center.at) and the CENTER FOR CENTRAL EUROPEAN FINANCIAL MARKETS (CCEFM) (www.ccefm.at) are very pleased to announce that Dr. Alexander STOMPER from the University of Vienna will present his paper "IPO Pricing with Bookbuilding and a When-Issued Market" on FRIDAY, 21st of March 2003, 2.30 p.m., Wiener Börse, Wallnerstr. 8 The paper is downloadable from the following site: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html We are VERY GRATEFUL that Dr. Stomper has agreed to stand in for Prof. Rajesh Aggarwal who has cancelled last night his visit to Vienna!!! Contact and further information: Dorothea Grimm Administrative Director Gutmann Center for Portfolio Management Department of Business Studies 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

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[VFN] URGENT!! - CANCELLATION PUBLIC LECTURE GUTMANN CENTER THURSDAY March 20th
by Gutmann Center-D.Grimm 18 Mar '03

18 Mar '03

URGENT * URGENT * URGENT * URGENT * URGENT * URGENT The Gutmann Center for Portfolio Management at the University of Vienna regrets to have to inform about the !!!!!CANCELLATION!!!! of the Public Lecture of Prof. Dr. Rajesh AGGARWAL, scheduled for next THURSDAY, 20th of MARCH, 4.30 p.m., location Bank Gutmann. We agpologize this cancelation at such short notice!!! Prof. Aggarwal has informed us just a few hours ago. Our next public lecture will be announced within the next few days. Contact: Gutmann Center for Portfolio Management Dorothea Grimm Administrative Director University of Vienna Brünner Str. 72 A-1210 Vienna phone: +43-1-4277-38186 fax: +43-1-4277-38074 mail: dorothea.grimm(a)univie.ac.at www.gutmann-center.at

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[VFN] CCEFM- Workshop Friday March 21st
by Gutmann Center-D.Grimm 17 Mar '03

17 Mar '03

*REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (www.gutmann-center.at) and the CENTER FOR CENTRAL EUROPEAN FINANCIAL MARKETS (CCEFM) (www.ccefm.at) are pleased to announce the following CCEFM-WORKSHOP: Prof. Dr. Rajesh AGGARWAL (Tuck School of Business, Dartmouth College - http://mba.tuck.dartmouth.edu/pages/faculty/raj.aggarwal/) "STOCK MARKET MANIPULATION: THEORY AND EVIDENCE" Date: Friday, 21st of March 2003, 2:30-4:00 pm Location: Wiener Börse, Wallnerstrasse 8, 1010 Wien The paper is downloadable from the following site: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html Contact: Dorothea Grimm Gutmann Center for Portfolio Management University of Vienna Bruenner Str. 72 A-1210 Wien Tel.: +43-1-4277-38186 Fax: +43-1-4277-38074 mail: dorothea.grimm(a)univie.ac.at homepage: wwwg.gutmann-center.at

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[VFN] Gutmann Center for Portfolio Management - Public Lecture Thursday,March 20th
by D.Grimm-Gutmann Center 17 Mar '03

17 Mar '03

* REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna is pleased to announce the following PUBLIC LECTURE "Stock Price Performance and Managerial Incentives" by Prof. Dr. Rajesh K. AGGARWAL (Tuck School of Business, Dartmouth College - http://mba.tuck.dartmouth.edu/pages/faculty/raj.aggarwal/) Abstract: Recent notable bankruptcies such as Global Crossing, Qwest, and Worldcom have led many observers to question whether there is a link between equity returns and incentive compensation for firm managers specifically and corporate governance more generally. Research has shown that there is such a link but that it is not a simple one. In general, greater incentives from compensation and better corporate governance are associated with higher stock returns. However, the form of incentive compensation matters. Very large stock option grants (such as those realized by the management teams of Global Crossing, Qwest, and Worldcom) are associated with lower stock returns, as well as worse corporate governance. Overall, the evidence suggests that incentive compensation and corporate governance provide useful information for portfolio selection. Date: Thursday, March 20th, 4.30 p.m. Location: Bank Gutmann AG (www.gutmann.at), Schwarzenbergplatz 16, 1010 Wien - Mezzanin Please register - contact: Ms. Brigitte Juchelka - brigitte.juchelka(a)gutmann.at - phone: +43-1-50220-357 Further information: www.gutmann-center.at and: Dorothea Grimm Administrative Director Gutmann Center for Portfolio Management Department of Business Studies University of Vienna Phone: +43-1-4277-38186 Fax: +43-1-4277-38074 Mail: dorothea.grimm(a)univie.ac.at

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[VFN] stock market manipulation
by Alex Stomper 11 Mar '03

11 Mar '03

CCEFM Workshop co-sponsored by the Gutmann Center for Portfolio Management Rajesh Aggarwal (Dartmouth College) "Stock Market Manipulation: Theory and Evidence" Friday, 21st of March 2003, 2:30-4:00 pm Wiener Börse, Wallnerstrasse 8, 1010 Wien The paper is downloadable from the following site: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html

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[VFN] Veröffentlichung Ausschreibung
by Brigitte Parnigoni 10 Mar '03

10 Mar '03

Sehr geehrte Damen und Herren, ich ersuche Sie um Veröffentlichung der folgenden Ausschreibung für eine Gastprofessur an der Wirtschaftsuniversität Wien: Ausschreibung einer Gastprofessur für Finanzierung An der Wirtschaftsuniversität Wien ist ab sofort erstmals die Stelle einer Gastprofessorin / eines Gastprofessors für Finanzierungzu besetzen. Die Gastprofessur ist auf zwei Jahre befristet. Es besteht die Absicht, die Gastprofessor/inn/enstelle nach vollem wirksam Werden der Vollrechtsfähigkeit in eine Universitätsprofessor/inn/enstelle (§ 97 UG 2002) umzuwandeln. Die Bewerberin / Der Bewerber soll im Bereich Finanzierung insbesondere Risikomanagement und Financial Engineering in Forschung und Lehre wahrnehmen. Er / Sie soll auf den genannten Gebieten ausgewiesen und in der Lage sein, in der Forschung die einschlägigen modernen Entwicklungen im Bereich der Finanzierungstheorie zu vertreten. Die Stelleninhaberin / Der Stelleninhaber soll verantwortlich im Gebiet Finanzierung in der Lehre mitwirken und damit die auf diesem Gebiet an der WU tätigen Kollegen im Grund- und Hauptstudium entlasten. Von der Bewerberin / dem Bewerber wird die Bereitschaft erwartet, am englischsprachigen Lehrveranstaltungsprogramm mitzuwirken. Da sich die WU eine Erhöhung des Frauenanteils am 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. Bewerberinnen / Bewerber mit einschlägiger Habilitation oder einer gleichzuhaltenden wissenschaftlichen Eignung mögen ihre Bewerbung mit den üblichen Bewerbungsunterlagen (Lebenslauf, Schriftenverzeichnis, fünf facheinschlägige Publikationen ihrer Wahl, Übersicht über die Lehrtätigkeit, Referenzen) spätestens einlangend bis 30. April 2003 an den Rektor der Wirtschaftsuniversität Wien, A-1090 Wien, Augasse 2-6, richten. Die Probevorträge sind für den 4. und 5. Juni 2003 vorgesehen. Nähere Auskünfte erteilt der Vorsitzende der Findungskommission (o. Univ.Prof. Dr. Stefan Bogner, Telefon: 0043/1/31336/4242, E-Mail: <mailto:stefan.bogner@wu-wien.ac.at>stefan.bogner(a)wu-wien.ac.at). Mit bestem Dank 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, Referat für Personalentwicklung und Frauenförderung A - 1090, Augasse 2-6 Tel.: (01)313 36 4934 Fax: (01)313 36 701 mailto: brigitte.parnigoni(a)wu-wien.ac.at http://www.wu-wien.ac.at/personal/frauenförderung

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[VFN] Gutmann Center for Portfolio Management - next Public Lecture, March 20th
by Gutmann Center-D.Grimm 24 Feb '03

24 Feb '03

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna is pleased to announce the following PUBLIC LECTURE "Stock Price Performance and Managerial Incentives" by Prof. Dr. Rajesh K. AGGARWAL (Tuck School of Business, Dartmouth College - http://mba.tuck.dartmouth.edu/pages/faculty/raj.aggarwal/) Abstract: Recent notable bankruptcies such as Global Crossing, Qwest, and Worldcom have led many observers to question whether there is a link between equity returns and incentive compensation for firm managers specifically and corporate governance more generally. Research has shown that there is such a link but that it is not a simple one. In general, greater incentives from compensation and better corporate governance are associated with higher stock returns. However, the form of incentive compensation matters. Very large stock option grants (such as those realized by the management teams of Global Crossing, Qwest, and Worldcom) are associated with lower stock returns, as well as worse corporate governance. Overall, the evidence suggests that incentive compensation and corporate governance provide useful information for portfolio selection. Date: Thursday, March 20th, 4.30 p.m. Location: Bank Gutmann AG (www.gutmann.at), Schwarzenbergplatz 16, 1010 Wien - Mezzanin Please register until Monday, March 17th - contact: Ms. Brigitte Juchelka - brigitte.juchelka(a)gutmann.at - phone: +43-1-50220-357 Further information: www.gutmann-center.at and: Dorothea Grimm Administrative Director Gutmann Center for Portfolio Management Department of Business Studies University of Vienna Phone: +43-1-4277-38186 Fax: +43-1-4277-38074 Mail: dorothea.grimm(a)univie.ac.at

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

31 Jan '03

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

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

22 Jan '03

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

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

22 Jan '03

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

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

22 Jan '03

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

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

09 Jan '03

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

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[VFN] Zur Info: Ausschreibung Wiss. Mitarbeiter
by Michael Hanke 18 Dec '02

18 Dec '02

[Auszug aus dem aktuellen Mitteilungsblatt der WU:] Im Institut für Unternehmensführung, Abteilung für Quantitative Unternehmensführung und Operations Research, ist voraussichtlich ab 3. Februar 2003 bis 2. Februar 2007 1 Posten für eine/n Wissenschaftlichen Mitarbeiter/in (Ausbildungsverhältnis) zu besetzen. Gesetzliche Aufnahmebedingungen: abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften EU-Staatsbürgerschaft Zusätzlich erwünschte Kenntnisse und Qualifikationen: sehr gute Kenntnisse im Bereich Operations Research und /oder Finanzierung Kennzahl: 77/02 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: 8. Jänner 2003 Bitte die Kennzahl unbedingt anführen ! lg Michael Hanke -- Dr. Michael Hanke Institut für Quantitative Unternehmensführung (Operations Research) Wirtschaftsuniversität Wien Augasse 2-6 1090 Wien Tel.: (+43)1 31336 4560, Fax: (+43)1 31336 708

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[VFN] VIENNA-International Conference on Economics and Management of Franchising Networks - June 2003 (fwd)
by VFN-L admin * Andreas Schamanek 12 Dec '02

12 Dec '02

---------- Forwarded message ---------- Date: Thu, 12 Dec 2002 14:00:25 +0100 From: Josef Windsperger <josef.windsperger(a)univie.ac.at> Subject: VIENNA-International Conference on Economics and Management of Franchising Networks - June 2003 Josef Windsperger Ass. Professor in Organization and Management University of Vienna Center for Business Studies Brünner Str. 72 A-1210 Vienna Austria email: josef.windsperger(a)univie.ac.at www.univie.ac.at/EMNET Dear colleague, I organize the international conference on 'Economics and Management of Franchising Networks' in Vienna, next June (26-28, 2003). Since many people in the field of economics and management are doing research on networks, I want to invite you to submit a paper or to act as a discussant/session chair. You will find the call for papers and the response form at: http://www.univie.ac.at/EMNET . Yours sincerely, Josef Windsperger

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[VFN] GFC 2003 - Global Finance Conference 2003 - Frankfurt/Main
by VFN-L admin * Andreas Schamanek 11 Dec '02

11 Dec '02

Just a quick note: 10th Global Finance Conference 2003 Frankfurt/Main (Germany), June 15.17, 2003 EUROPEAN BUSINESS SCHOOL (ebs) http://www.cirm.de/GFC/ Deadline for submission of papers: January 6, 2003 -- -- Andreas Schamanek ------------------------------------------------------------------------ ANDREAS SCHAMANEK <Andreas.Schamanek(a)tuwien.ac.at> * Systemadministrator FAM @ TU Vienna E105, Wiedner Hauptstr. 8-10/105, A-1040 Vienna, Austria http://www.fam.tuwien.ac.at/~schamane/ * V: +43-1 58801-10555, F: -10598

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[VFN] Gutmann Center - Panel discussion on Long Term Asset Allocation Dec. 2nd
by GutmannCenter 26 Nov '02

26 Nov '02

"REMINDER * * * * REMINDER * * * * REMINDER * * * * REMINDER * * * * REMINDER * * * The Gutmann Center for Portfolio Management at the University of Vienna is pleased to invite all interested practitioners and academics to attend a Panel discussion titled "Long-Term Asset Allocation - what have we learned from the 90s?" Date: Monday, December 2nd, 2002 Time: 5.00 p.m. Location: Grosser Festsaal der Universität Wien (main building University of Vienna) Dr. Karl-Lueger-Ring, 1010 Wien Executive Summary: Prof. Dr. Josef Zechner (University of Vienna) Discussants: - Prof. Dr. Zvi Bodie (Boston University School of Management) - Prof. Dr. Klaus Spremann (University of St.Gallen) - Prof. Dr. Michael Brennan (University of California, Los Angeles) - Prof. Dr. Elroy Dimson (London Business School) - Horace "Woody" Brock (CEO Strategic Economic Decisions) - Dr. Rudolf Stahl (CEO Bank Gutmann AG) - Dr. Anton Fink (Member of the Board, Bank Gutmann AG) Presentation: Dr. Michael Prüller ("Die Presse") Following the panel discussion, the Gutmann Center cordially invites participants to a reception with refreshments. Please register: gutmann.bwl(a)univie.ac.at Further information: Mag. Dorothea Grimm Gutmann Center for Porfolio Management dorothea.grimm(a)univie.ac.at Tel.: +43-1-4277-38186 Fax: +43-1-4277-38074 www.gutmann-center.at This panel discussion is organized in cooperation with the newspaper "Die Presse" (www.diepresse.com)

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[VFN] Stellenausschreibung
by Michael Jeckle 26 Nov '02

26 Nov '02

Stellenausschreibung FH BFI FH-LektorIn für Finanzwirtschaft und Statistik (Ganze Stelle) Ihre Aufgaben a.. Lehrtätigkeit in Mathe/Statistik, Corporate Finance, Kapitalmarktlehre b.. Forschung und Diplomarbeitsbetreuung c.. in Fachhochschul-Studiengang für Vollzeit- und berufsbegleitend Studierende Ihr Profil a.. Abgeschlossenes Studium (Doktorat bevorzugt) mit Spezialisierung in Finanzwirtschaft b.. Gute Kenntnisse in Statistik und Finanzmarktlehre c.. Einschlägige Lehrerfahrung und/oder Berufspraxis Bitte schicken Sie Ihre Bewerbungsunterlagen an Prof. Stickler FH BFI Wohlmuthstraße 22 1020 Wien Dipl. Vw. Michael Jeckle Lektor im Studiengang Bank- und Finanzwirtschaft Tel. ++43/1/720 1286-46 Email: Michael.Jeckle(a)fh-vie.ac.at Internetaddresse: http://www.fh-vie.ac.at

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[VFN] CCEFM Workshop
by Alex Stomper 26 Nov '02

26 Nov '02

Alan Morrison (Oxford) gives a talk on his paper, titled "Partnerships" Coordinates: - 29th of November, 2 - 3 pm, - BWZ, Bruennerstrasse 72, 1210 Wien. This CCEFM workshop takes place as the keynote of the Austrian Working Group in Banking and Finance: - program of the AWG: http://www.bwl.univie.ac.at/bwl/fiwi3/news/awg.pdf - paper for the keynote: http://www.bwl.univie.ac.at/bwl/fiwi3/news/partner.pdf

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[VFN] 2nd Announcement: Eighth Viennese Workshop on Optimal Control ...
by Richard Hartl 21 Nov '02

21 Nov '02

************************************************************** ***** Second Announcement and Reminder for Registration ***** ************************************************************** ***** Eighth Viennese Workshop on Optimal Control, ***** ***** Dynamic Games and Nonlinear Dynamics: ***** ***** Theory and Applications in Economics and OR/MS ***** ***** Vienna , May 14-16, 2003 ***** ***** ws2003.bwl(a)univie.ac.at ***** ***** http://www.bwl.univie.ac.at/bwl/prod/EVENTS/ws2003 ***** ************************************************************** Unlike in the previous workshops this time we have not asked for preregistration (because this information was not really necessary) but have set a rather late deadline for registration and abstract submission. A consequence was, that so far not very many people have officially registered but in E-mails and at conferences people keep asking us, when the next announcement w.r.t the "Eighth Viennese Workshop " will be. So here it is. Additional Information to the Call for Papers is: ************************************************************** 1. We now have officially decided upon the TRAVEL AGENCY for HOTEL RESERVATIONS and tours: Imperial Tours Conference Department Dr. Karl Lueger Ring 8 A-1014 Vienna, Austria Tel.: (+43-1) 5356970 Fax: (+43-1) 53411202 office(a)imperial-tours.com http://www.imperial-tours.com The link for booking hotels is: http://www.imperial-tours.com/englisch/e_anmeldung- optimalcontrol2003.html We recommend you to book early, since May is the best and busiest tourist months in Vienna, because · it has the best weather for sightseeing (stable and not too hot) · the Austrian Federal Theatres and Operas are still open (they close in summer) · the Vienna Festival takes place (May 9 - June 15, 2003) If you book late you might end up in expensive hotels or in those not close to the center. ************************************************************** 2. We will have several excellent INVITED SPEAKERS which are being organized at the moment. Some have already confirmed that they will give a (semi-)plenary presentation: -> Richard Day, University of Southern California, USA - Recursive Programs and Games -> Ulrich Rieder, Ulm, Germany - Stochastic Control -> Evgenii Mishchenko, Steklov Institute, Russia - Historical Development of Optimal Control -> Erik Mosekilde, Technical University of Denmark - Chaotic synchronization in living systems Several others are just now being asked but have not confirmed yet: Benhabib, Lux, Scheinkman, etc. ************************************************************** 3. There is a number of RELATED CONFERENCES AND WORKSHOPS before and after the "Eighth Viennese Workshop " which might be of interest for you: Workshop on "Complexity" Aix en Provence, organized by Christope Deissenberg and Gustav Feichtinger May 8-11, 2003 http://zai.ini.unizh.ch/complexity2003/ 8th WORKSHOP ON ECONOMICS AND HETEROGENEOUS INTERACTING AGENTS (WEHIA) Institute for World Economics, Kiel, Germany May 29-31, 2003 http://www.bwl.uni-kiel.de/vwlinstitute/gwrp/wehia/index.htm XV IMGTA, a meeting on Game Theory Urbino, Italy, organized by Gian Italo Bischi, July 9-12, 2003 http://www.econ.uniurb.it/imgta/ ************************************************************** 4. REFUND POLICY: A few people have asked about the procedure whereby payment of EURO 190 is expected before people know if their abstract is accepted. Clearly, the E190 will be fully refunded if the abstract is not accepted. Also, potential contributors should know that it is the tradition of our workshops that we try to have as many top presentations as possible, but that we also want to give younger researchers (and those who want to talk about unfinished work in process) a chance to get feedback from the audience. Thus, although refereed, contributions will usually only be rejected if they clearly do not fall within the scope of the workshop of if it is clear from the abstract, that it is nonsense. Papers will usually not be rejected because of lack of space. ************************************************************** 5. REMINDER: Please note that the DEADLINE FOR ABSTRACT SUBMISSION is approaching: December 31, 2002 Also note, that compared with the previous workshops we have chosen a very late deadline, and that therefore this deadline is absolutely STRICT. Abstracts, for which the registration fee has not been paid by then will not be considered any further. Links for general information, registration, and payment are: http://www.bwl.univie.ac.at/bwl/prod/EVENTS/ws2003/ http://orgwww.bwl.univie.ac.at/ws2003/registration.htf http://www.bwl.univie.ac.at/bwl/prod/EVENTS/ws2003/Creditcard.pdf ************************************************************** 6. Request for cooperation - SPECIAL SESSIONS: In case you wish to organize a session on a special topic you are very welcome to suggest this to us. In this case, send us an E-Mail about your suggestion of session topic and papers to be included. All contributions to be included in this session should be submitted as usual: http://orgwww.bwl.univie.ac.at/ws2003/registration.htf ************************************************************** Please do not hesitate to contact us if you have any questions concerning the workshop. Please contact us via email at the address ws2003.bwl(a)univie.ac.at if possible. Only if you have NO access to electronic mail please contact Prof. Richard F. Hartl Chair of Production and Operations Management University of Vienna / BWZ Bruennerstr. 72 A-1210 Vienna, Austria Fax. +43 - 1 - 4277 - 38094 by surface mail or fax. We look forward to the meet you in Vienna. The organizers Gustav Feichtinger and Richard F. Hartl

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[VFN] tenure-track appointment in financial mathematics (fwd)
by VFN-L admin * Andreas Schamanek 20 Nov '02

20 Nov '02

---------- Forwarded message ---------- Date: Wed, 20 Nov 2002 17:25:49 +0100 From: Tom Hurd <tomhurd(a)imf.au.dk> Subject: tenure-track appointment in financial mathematics Dear Colleague, Please find below an announcement for a tenure-track appointment in financial mathematics at the Department of Mathematics and Statistics at McMaster University in Canada. I would be most grateful if you would forward this notice to anyone you feel might be interested in applying. sincerely, Tom Hurd Mathematics and Statistics work 905 525 9140 x27304 McMaster University fax 905 522 0935 Hamilton, ON, L8S 4K1 email hurdt(a)mcmaster.ca Canada SHARCNET Chair in Financial Mathematics The Department of Mathematics & Statistics, McMaster University, invites applications for a SHARCNET Chair in Financial Mathematics starting July 1, 2003. This Chair is funded in part by SHARCNET, which has developed a network of high-performance computer clusters spanning seven universities and colleges in Southern Ontario. The McMaster site has a 128-node cluster and is in the process of setting up a 64-node serial farm (please see http://www.sharcnet.ca for more information). Candidates should have a Ph.D., have the potential to become an international leader in some area of financial mathematics, and have demonstrated interest and ability in undergraduate and graduate level teaching. The successful candidate will have a strong scientific background in applied mathematics, probability theory or mathematical analysis, as well as some experience in large-scale implementation of computational finance models. Candidates with experience in the financial industry are especially welcome to apply. The salary and rank will be based on qualifications and experience. Normally the appointment will be made at the tenure-track assistant or associate professor level, but tenure may be offered in exceptional circumstances. McMaster University is located 65 km from downtown Toronto, the financial heartland of Canada. The Department of Mathematics & Statistics is home to PhiMAC, the Financial Mathematics Lab at McMaster, a group of faculty, postdoctoral fellows and graduate students working in financial mathematics (please see http://www.math.mcmaster.ca/phimac/ for more information). The appointee will be expected to supervise PhiMAC graduate students and to be involved in running PhiMAC programs. All qualified candidates are encouraged to apply; however, Canadian citizens and permanent residents will be considered first for this position. McMaster University is strongly committed to employment equity within its community, and to recruiting a diverse faculty and staff. The University encourages applications from all qualified candidates, including women, members of visible minorities, Aboriginal persons, members of sexual minorities, and persons with disabilities. Applicants should arrange for at least three letters of recommendation to be sent to the Chair. These letters should address the applicant's research accomplishments and supply evidence that the applicant can communicate articulately and teach effectively. In the case of an application from a senior candidate, the names of six arms-length references should also be provided. The deadline for receiving applications is January 13, 2003. Applications received after this date will be considered only if the position has not been filled. Applications, including a curriculum vitae and a letter of application should be sent to the following address: M. Valeriote, Chair Mathematics & Statistics McMaster University Hamilton, Ontario Canada L8S 4K1

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[VFN] Position for full professor - IAG/UCL (fwd)
by VFN-L admin * Andreas Schamanek 19 Nov '02

19 Nov '02

---------- Forwarded message ---------- Date: Tue, 19 Nov 2002 10:32:25 +0100 From: Francoise SACRE <sacre(a)iag.ucl.ac.be> Subject: full professor - IAG/UCL Prof. Pierre Semal,IAG President, has the pleasure to inform you that a new position in .... will be open in September 2003 at IAG, Louvain School of Management, at the same time as 3 other positions in Quantative Finance. The relevant information regarding the positions and the application procedure can be found at http://www.iag.ucl.ac.be/news/acad2003-en.html Please forward this information to any person you know who might be interested. [attachment removed. -- vfn-l-admin]

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[VFN] Lectureship position in Mathematical Finance, IC London (fwd)
by VFN-L admin * Andreas Schamanek 18 Nov '02

18 Nov '02

---------- Forwarded message ---------- Date: Mon, 18 Nov 2002 09:00:31 -0000 From: "Abeysekera, Doris" <d.abeysekera(a)ic.ac.uk> Dear Colleague, We have a new Lectureship position in Mathematical Finance in the Mathematics Department at Imperial College London. Details can be found at the website http://www.ma.ic.ac.uk. (This is equivalent to Assistant Professor or the lower ranks of Associate professor in the US system. An appointment at a higher level is a possibility.) Naturally, we are keen to get the strongest possible candidates for this position. I would appreciate your help in bringing it to the attention of anyone you know who might be a candidate. Anyone interested can always contact me directly for an informal discussion. With best regards, Mark __________________________________ Mark H. A. Davis Department of Mathematics, Imperial College www.ma.ic.ac.uk/~mdavis [included attachment can be viewed on-line at http://www.ma.ic.ac.uk/appointments/lectappliedoct02.htm ]

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[VFN] Workshop am 6. Dezember 2002 ab 9.00 Uhr (fwd)
by VFN-L admin * Andreas Schamanek 15 Nov '02

15 Nov '02

---------- Forwarded message ---------- Date: Fri, 15 Nov 2002 15:06:55 +0100 From: Olivia Ferner <Olivia.Ferner(a)oenb.co.at> To: vfn-admin(a)fam.tuwien.ac.at Subject: Workshop am 6. Dezember 2002 ab 9.00 Uhr Sehr geehrte Damen und Herren! Bitte entnehmen Sie der Beilage das Programm zu einem Workshop der Oesterreichischen Nationalbank zum Thema "Pension Finance Reform: From Public to Financial Economics" am Freitag, den 6. Dezember 2002, von 9.00 Uhr - 17.30 Uhr. Ort: Geldzentrum der Oesterreichischen Nationalbank Mehrzwecksaal (O 3085), 3. Stock Garnisongasse 15 1090 Wien Mit freundlichen Grüßen Olivia Ferner Oesterreichische Nationalbank Sekretariat des Direktoriums/Öffentlichkeitsarbeit Secretariat of the Governing Board and Public Relations phone: 0043/1/404 20-6623 fax: 0043/1/404 20-6697 Olivia.Ferner(a)oenb.co.at http://www.oenb.co.at/ >From Daniel.Eckert(a)oenb.co.at Fri Nov 15 16:22:48 2002 Date: Thu, 14 Nov 2002 11:45:40 +0100 From: Daniel Eckert <Daniel.Eckert(a)oenb.co.at> To: Olivia Ferner <Olivia.Ferner(a)oenb.co.at> Subject: vfn programm Program for the Workshop Pension Finance Reform: >From Public to Financial Economics Friday, December 6, 2002 Venue: Oesterreichische Nationalbank Geldzentrum (OeNB II) Mehrzwecksaal 3rd Floor Garnisongasse 15 1090 Vienna hosted by Oesterreichische Nationalbank Economic Analysis Division 9:00 a.m. Introductory Remarks Gertrude Tumpel-Gugerell Vice Governor, Oesterreichische Nationalbank 9:15 a.m. Welfare effects of pension finance reform Speaker: Johann K. Brunner, Professor of Economics, Johannes Kepler University Linz Discussant: Thomas Steinberger, Oesterreichische Nationalbank 10:30 a.m. Public policy and pension finance: Pension regimes and financial systems Speaker: Sigurt Vitols, Wissenschaftszentrum Berlin Discussant: Helene Schuberth, Oesterreichische Nationalbank Public policy and pension finance: Tax incentives for life annuities and the problem of adverse selection Speaker: Susanne Pech, Johannes Kepler University Linz Discussant: Claudia Kwapil, Oesterreichische Nationalbank 1:00 p.m. Pension funds and EU financial markets Speaker: E. Philip Davis, Professor of Economics and Finance, Brunel University Discussant: Josef Zechner, Professor of Finance, University of Vienna 2:00 p.m. Risk issues in pension reform discussion Speaker: Daniel Eckert, Oesterreichische Nationalbank Discussant: Thomas Url, WIFO (Austrian Institute of Economic Research) 3:00 p.m. Investment-based pension reform for Austria? Speaker: Alois Guger, WIFO (Austrian Institute of Economic Research) Discussant: Peter Rosner, University of Vienna 4:00 p.m. General Discussion: Pension reform and financial systems -- policy implications E. Philip Davis, Brunel University Alois Guger, WIFO (Austrian Institute of Economic Research) Sylvia Angelo, Chamber of Labour of Vienna Johann K. Brunner, Johannes Kepler University Linz Martin Gleitsmann, The Austrian Economic Chamber Moderator: Helene Schuberth, Oesterreichische Nationalbank

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[VFN] Stellenangebot mit der Bitte um Verteilung
by Dirk Becherer 14 Nov '02

14 Nov '02

Sehr geehrte Damen und Herren, Ich bitte um Verbreitung der folgenden Ausschreibung einer Lecturerstelle in Ihrem VFNewsletter. Mit besten Gruessen, Dirk Becherer -------------------------------------------------------------------- The Imperial College of Science and Technology, Dept. of Mathematics, invites applications for a permanent Lectureship in Mathematical Finance. The lectureship is to be appointed as soon as possible but not later than 1/10/2003. Further details are available from http://www.ma.ic.ac.uk/appointments/lectappliedoct02.htm Informal enquiries can be made to Professor Mark Davis (mark.davis(a)ic.ac.uk, +44 20 7594 8486) ******************************************************************* Dirk Becherer room: 6m24 Dept. of Mathematics tel: +44+20-75948554 Imperial College fax: +44+20-75948517 London SW7 2BZ dirk.becherer(a)ic.ac.uk United Kingdom www.ma.ic.ac.uk/~becherer *******************************************************************

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[VFN] Ausschreibung Professur fuer "Banken und Finanzdienstleistungen" (fwd)
by VFN-L admin * Andreas Schamanek 14 Nov '02

14 Nov '02

--------- Forwarded message ------------ Date: Wed, 13 Nov 2002 12:54:08 +0100 From: Brigitte Parnigoni <brigitte.parnigoni(a)wu-wien.ac.at> To: vfn-l(a)fam.tuwien.ac.at Subject: Ausschreibung Professur Sehr geehrte Damen und Herren, ich ersuche um Veröffentlichung der Ausschreibung einer Professur für "Banken und Finanzdienstleistungen" an der WU Wien (siehe attachement) in Ihrem Vienna Finance Newsletter. Mit bestem Dank im Voraus und freundlichen Grüßen Brigitte Parnigoni [Hinweis: VFN-L akzeptiert keine Attachments. Das Attachment wurde in Text umgewandelt.] Attachment: Ausschreibung der Professur fuer "Banken und Finanzdienstleistungen" An der Wirtschaftsuniversitaet Wien (WU) ist ab 1. Oktober 2003 die unbefristete Stelle einer Universitaetsprofessorin / eines Universitaetsprofessors (vergleichbar C4) fuer "Banken und Finanzdienstleistungen" am derzeitigen Institut fuer Kreditwirtschaft zu besetzen. Die Bewerberin / der Bewerber soll die universitaere Ausbildung auf dem Gebiet Banken und Finanzdienstleistungen verantwortlich betreuen. Eine Mitarbeit im Lehrprogramm Finanzierung wird erwartet. Neben der Erfuellung der gesetzlichen Bedingungen (Par.Par. 49f ff. VBG) soll sie / er auf dem Gebiet der Finanzintermediation ausgewiesen und in der Lage sein, in der Forschung die modernen Entwicklungen im Bereich Finanzierungstheorie und Theorie der Finanzintermediation zu vertreten. Die Zusammenarbeit mit anderen wissenschaftlichen Einheiten des Hauses in Forschung und Lehre im Bereich Risikomanagement ist erwuenscht. Von der Bewerberin / dem Bewerber wird die Bereitschaft erwartet, am englischsprachigen Lehrveranstaltungsprogramm mitzuwirken. Da sich die WU eine Erhoehung des Frauenanteils am wissenschaftlichen Personal zum Ziel gesetzt hat, werden Frauen nachdruecklich aufgefordert, sich zu bewerben. Frauen werden bei gleicher Qualifikation vorrangig aufgenommen. An der WU ist ein Arbeitskreis fuer Gleichbehandlungsfragen eingerichtet. Bewerberinnen / Bewerber mit einschlaegiger Habilitation oder einer gleichzuhaltenden wissenschaftlichen Eignung moegen ihre Bewerbung mit den ueblichen Bewerbungsunterlagen (Lebenslauf, Schriftenverzeichnis, fuenf facheinschlaegige Publikationen ihrer Wahl, Uebersicht ueber die Lehrtaetigkeit) bis zum 18. Dezember 2002 an den Rektor der Wirtschaftsuniversitaet Wien, A - 1090 Wien, Augasse 2-6 richten. Die Probevortraege sind fuer den 27. und 28. Jaenner 2003 vorgesehen. Naehere Auskuenfte erteilt der Vorsitzende der Berufungskommission (o. Univ. Prof. Dr. Reinhard Moser Telefon: 0043 / 1/ 31336 / 4372, E-Mail: Reinhard.Moser(a)wu-wien.ac.at) -- Ende des Attachments **************************************************************************** Diese E-Mail (und ihre Anhänge) ist ausschließlich für die/den darin genannten Empfängerin/er 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/er sind, informieren Sie mich bitte sofort unter der oben 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, Referat für Personalentwicklung und Frauenförderung A - 1090, Augasse 2-6 Tel.: (01)313 36 4934 Fax: (01)313 36 701 mailto: brigitte.parnigoni(a)wu-wien.ac.at http://www.wu-wien.ac.at/personal/frauenförderung

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[VFN] seminar talk at IHS
by Gabriel Lee 14 Nov '02

14 Nov '02

There will be a seminar talk given by Raimund Alt (IHS) Ines Fortin (IHS) Simon Weinberger (IHS) on "The Day-of-the-Week Effect Revisited: An Alternative Testing Approach" Tuesday, Nov. 19th. 4 - 5:30 p.m. IHS (Stumpergasse 56, 1060 Wien) HS 2. Abstract: Our paper questions traditional approaches for testing the day-of-the-week effect on stock returns. We propose an alternative approach based on the closure test principle introduced by Marcus, Peritz and Gabriel (1976), which has become very popular in Biometrics and Medical Statistics. We test all pairwise comparisons of daily expected stock returns, while the probability of committing any type I error is always kept smaller than or equal to some prespecified level a for each combination of true null hypotheses. We confirm day-of-the-week effects for the S&P 500, the FTSE 30 and the DAX 30 found in earlier studies, but find no evidence for the 1990's. ______________________________________________________________ Gabriel S. LEE Institute for Advanced Studies Department of Economics and Finance Stumpergasse 56 A-1060 Vienna, AUSTRIA Tel: +43.1.59991.141 Fax: +43.1.59991.555 Homepage: http://www.ihs.ac.at/~lee/

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[VFN] Ausschreibung
by Stefan Bogner 06 Nov '02

06 Nov '02

Liebe Kolleginnen, liebe Kollegen, ich darf Sie auf die Ausschreibung folgender Stelle am Institut für Finanzierung und Finanzmärkte der Wirtschaftsuniversität Wien aufmerksam machen. Diese Stelle ist der Einheit Betrieblicher Finanzierung/ Corporate Finance zugeordnet. Für nähere Auskünfte stehe ich gerne zur Verfügung. ************************************************************************************************************** Im Institut für Finanzierung und Finanzmärkte Posten für eine/n Wissenschaftlichen Mitarbeiter/in (Ausbildungsverhältnis) zu besetzen. Gesetzliche Aufnahmebedingungen: abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften oder der Mathematik bzw. Informatik mit wirtschaftlichem Schwerpunkt Zusätzlich erwünschte Kenntnisse und Qualifikationen: Vertiefte Kenntnisse auf dem Gebiet der Finanzierung, der EDV-Anwendung und der englischen Sprache, Interesse an finanzwirtschaftlicher Forschung Kennzahl: 68/02 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: 27. November 2002 Bitte die Kennzahl unbedingt anführen ! ************************************************************************************* Mit besten Grüßen Ihr Stefan Bogner ------------------------------------------------------ Stefan Bogner Ordinarius für betriebliche Finanzierung am Institut für Finanzierung und Finanzmärkte an der Wirtschaftsuniversität Wien A-1090 Wien, Austria Tel: 01/31336/4242 Fax: 01/31336/736 e-mail: Stefan.Bogner(a)wu-wien.ac.at ------------------------------------------------------

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[VFN] Gutmann Symposium on Long-Term Asset Allocation on December 2nd 2002
by Michael Halling 04 Nov '02

04 Nov '02

Please accept our apologies if you receive multiple copies of this announcement. The Gutmann Center for Portfolio Management at the University of Vienna is pleased to announce the Gutmann Symposium on Long-Term Asset Allocation on December 2nd, 2002. There will be two parts: (A) a research session including presentations and discussions of current research activities, and (B) a panel discussion and reception. Time and Location of Research Session: 8:45 a.m. - 4:00 p.m, Aula Altes AKH, Alser Str. 4, 1090 Wien Time and Location of Panel Discussion and Reception: 5:00 - 7:30 p.m., Grosser Festsaal der Universität Wien, Dr. Karl-Lueger-Ring, 1010 Wien Research Session Program: Zvi Bodie (Boston University School of Management): " Life-Cycle Finance in Theory and in Practice". Maria Vassalou (Columbia University): "Default Risk in Equity Returns". Klaus Spremann (University of St. Gallen): "Pro-cyclic versus anti-cyclic investment in a shortfall framework". Michael Brennan (University of California): "Dynamic Asset Allocation under Inflation". Robert Korajczyk (Northwestern University): "Are Momentum Profits Robust to Trading Costs?". Elroy Dimson (London Business School): "Global Evidence on the Equity Risk Premium". The list of chairmen and discussants further includes Horace "Woody" Brock (CEO Strategic Economic Decisions), Engelbert Dockner (University of Vienna), Alois Geyer (Vienna University of Economics and Business Administration), Andreas Grünbichler (Austrian Financial Market Authority), Neal Stoughton (UC Irvine), Erich W. Streissler (University of Vienna), Suresh Sundaresan (Columbia University) and Josef Zechner (University of Vienna). Participation fee: the participation is free, but all participants are required to register. Registration and further information (detailed programme, papers to download etc.) can be found on the webpage: www.gutmann-center.at Contact: gutmann.bwl(a)univie.ac.at phone: +43-1-4277-38186 (Dorothea Grimm) fax:: +43-1-4277-38074 This symposium is organized in cooperation with the daily newspaper "Die Presse" (www.diepresse.com). The Gutmann Center for Portfolio Management is sponsored by Bank Gutmann AG (www.gutmann.at).

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[VFN] CCEFM Workshop am 8. November
by Alexander Stomper 31 Oct '02

31 Oct '02

Einladung zum CCEFM Workshop von Prof. Bryan Routledge (Carnegie Mellon) zum Thema "Model Uncertainty and Liquidity" um 15:30 am 8. November in der Wiener Börse, 1010 Wien. Ein Abstract und der dem Vortrag zugrundeliegende Artikel sind unter http://sulawesi.gsia.cmu.edu/papers/Liquidity verfügbar.

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[VFN] vortrag - pdf file
by Andrea Gaunersdorfer 30 Oct '02

30 Oct '02

Das Paper von Herrn Roy van der Weide "GO-GARCH: A multivariate Generalized Orthogonal GARCH Model " kann von folgender Website als pdf heruntergeladen werden: http://finance2.bwl.univie.ac.at/teaching/dipldiss/vortrag.htm Andrea Gaunersdorfer

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[VFN] Vortag
by Andrea Gaunersdorfer 30 Oct '02

30 Oct '02

Roy van der Weide (Universitaet Amsterdam): "GO-GARCH: A multivariate Generalized Orthogonal GARCH Model" Mo, 4.11.2002, 16.30 Uhr, Seminarraum 1 BWZ, Bruenner Strasse 72 Alle Interessenten sind herzlich eingeladen. Andrea Gaunersdorfer

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[VFN] Invitation: conference in Paris (fwd)
by VFN-L admin * Andreas Schamanek 25 Oct '02

25 Oct '02

---------- Forwarded message ---------- From: Touzi Nizar <Nizar.Touzi(a)ensae.fr> BLAISE PASCAL INTERNATIONAL CONFERENCE ON FINANCIAL MODELLING July 1-3, 2003, Paris Invited senior participants and/or speakers K. Back, S. Basak, T. Björk, G. Constantinides, D. Cuoco, F. Delbaen, P. Dybvig, H. Foellmer, Y. Kabanov, H. Leland, T. Lyons, B. Oksendal, M. Pratelli, L.C.G. Rogers, S. Ross, W. Runggaldier, M. Rutkowski, W. Schachermayer, M. Schweizer, D. Sondermann, M. Soner, C. Stricker Organized by the Bachelier-Paris group R. Cont, I. Ekeland, N. ElKaroui, M. Jeanblanc, E. Jouini, H. Pham, N. Touzi http://www.bachelier-paris.com Young researchers, up to the Assistant Professor level, are invited to submit papers on the topics Price formation, risk control, and information in financial markets. The organizing committee will select 20 papers for presentation and discussion by one of the senior attendants. The conference will be concluded by Jose Scheinkman, Chaire Blaise Pascal de l.Etat et de la Région Ile de France with the nomination of the Best paper award Limited financial support for young researchers is available under request. Deadline for submission: January 31, 2003 Electronic submission only: traore(a)ensae.fr ***

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[VFN] REMINDER: Gutmann Center for Portfolio Management: Public lecturewith Prof. Russ Wermers
by Zeiner Sonja 07 Oct '02

07 Oct '02

Talk with Prof. Russ Wermers, University of Maryland Date: 8.10.2002 Time: 04:30 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin Title of the talk: Can We Predict the Future Returns of Active Money Managers? Abstract: Over the past three decades, academic researchers have, in general, found that actively managed institutional security portfolios underperform their passive index-fund counterparts. However, recent research has found results much more flattering to active management. This talk will build on this research by discussing the results of two new studies. The first study addresses whether we can find consistently winning mutual funds, while the second investigates whether we can use characteristics of mutual fund managers (e.g., experience and track-record) to further predict which managers will come out on top. The talk will show that mutual fund returns are surprisingly predictable.

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[VFN] 1.10.2002, Vortragsreihe aus Finanz- und Versicherungsmathematik
by Christopher Summer 25 Sep '02

25 Sep '02

Dynamische Finanzanalyse und Asset-Liability-Management Halbtages-Seminar unterstützt von der Schweizer Rück Komplexer werdende Anforderungen aufgrund angepasster Rechnungslegungsvorschriften und wachsende Ansprüche seitens der Aufsichtsbehörden haben die Dynamische Finanzanalyse (DFA) in letzter Zeit vermehrt in den Fokus der Versicherungsgesellschaften gerückt. Anhand konkreter Beispiele vermitteln die Experten von Swiss Re einen Überblick über die Anwendung von DFA-Konzepten in der Praxis. Sprecher: Dr. Claude Schwarz, Life & Health Dr. Peter Sohre, Financial Services Ansprechpartner/Diskussionsteilnehmer: Vertreter des Account Managements Life & Health sowie P/C (Property-Casualty) Termin: Dienstag, 1. Oktober 2002, 14:00 Uhr bis ca. 17:30 Uhr Ort: Technische Universität Wien A-1060 Wien, Getreidemarkt 9 Maschinenbaugebäude, Hoftrakt, Stiege IV, 2. Obergeschoss GM 4 Knoller Hörsaal Weitere Informationen unter http://www.fam.tuwien.ac.at/events/

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[VFN] EMAEE - Call for Papers (fwd)
by VFN-L admin * Andreas Schamanek 24 Sep '02

24 Sep '02

---------- Forwarded message ---------- Date: Tue, 24 Sep 2002 11:12:51 +0200 From: Andreas Pyka <andreas.pyka(a)WIWI.UNI-AUGSBURG.DE> Subject: EMAEE - Call for Papers Final CALL FOR PAPERS Please share with colleagues who might be interested Apologies for cross-postings 3rd European Meeting of Applied Evolutionary Economics (EMAEE) The Knowledge-based Economy New Challenges in Methodology, Theory and Policy University of Augsburg, Germany from April 9 - 12, 2003 Conference Themes: - Knowledge and Learning - Dynamics of Technological and Qualitative Change - Industrial Organisation in a Knowledge-based Economy - Evolution of Institutions - Financial Markets in Knowledge-based Economies - Evolution of Demand - Policy in a Knowledge-based Economy Young Economists Prize of the International Schumpeter Society On the occasion of the biannual EMAEE-Conference, the International Joseph A. Schumpeter Society donates a prize of 1.500 _ to young economists who submitted exceptionally innovative and high level papers for presentation at the Conference. The Scientific Committee Andreas Pyka (University of Augsburg, Germany), Bernd Ebersberger (University of Augsburg, Germany) Koen Frenken (University of Utrecht, The Netherlands), Paul Windrum, (Manchester Metropolitan University, UK), Vanessa Oltra (Universite Montesquieu, Bordeaux, France) and Werner Hoelzl, (University of Economics and Business Administration, Vienna, Austria). DEADLINE FOR SUBMISSION OF EXTENDED ABSTRACTS October 18, 2002 CONTACT ADDRESS scientific.committee(a)emaee.net http://www.emaee.net

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[VFN] FAM-jobs
by Sandra Trenovatz 20 Sep '02

20 Sep '02

FAM-jobs: http://www.fam.tuwien.ac.at/jobs/ Stellenangebots-Seite im Bereich Finanz- und Versicherungsmathematik (FAM...Financial and Actuarial Mathematics) Neue Stellenangebote: 2002-09-21: Research positions - Dept. of Financial and Actuarial Mathematics http://www.fam.tuwien.ac.at/jobs/20020921.php 2002-09-20: Univ-Ass (Karenzvertretung) - Uni Linz, Abt. Finanzmathematik http://www.fam.tuwien.ac.at/jobs/20020920.php 2002-09-19: Mitarbeiter/in Kreditrisikomanagement-Systeme - Oesterreichische Volksbanken AG http://www.fam.tuwien.ac.at/jobs/20020919.php 2002-09-18: Wissenschaftliche/r Mitarbeiter/in Universität Wien http://www.fam.tuwien.ac.at/jobs/20020918.php Die Stellenangebots-Seite (FAM-jobs) wurde zur Motivation von Schüler/innen und Student/innen gegründet, um diesen zu zeigen, welche Berufsaussichten es im Bereich Finanz- und Versicherungsmathematik gibt. Wir freuen uns natürlich auch, dass wir damit Stellensuchenden und Stellenanbietern ein brauchbares Forum sowie Links zu weiteren Stellenangebots-Seiten bieten können. Mailing-Liste Sobald neue Stellenangebote ins Netz gestellt werden, wird auch ein e-mail an die FAM-jobs mailingliste geschickt. Um sich in diese Verteiler-Liste einzutragen reicht ein formloses e-mail an mailto:fam@fam.tuwien.ac.at mit dem subject: fam jobs: subscribe - eintragen. Inserieren Um ein Stellenangebot im Bereich Finanz- und Versicherungsmathematik zu inserieren, senden Sie bitte ein e-mail mit dem Ausschreibungstext an Sandra Trenovatz (mailto:sandra@fam.tuwien.ac.at). http://www.fam.tuwien.ac.at/jobs/

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[VFN] Research position
by Sandra Trenovatz 20 Sep '02

20 Sep '02

RESEARCH POSITIONS in Financial and Actuarial Mathematics at the Vienna University of Technology 1 Post-Doc-ship: The successful applicants will have a PhD in Mathematics specialising in Mathematical Finance or Actuarial Mathematics, or in a field related to these topics, e.g., stochastic processes, stochastic evolution equations, Malliavin calculus, control theory, numerical aspects of PDE's etc.. Background in finance, in particular in interest rate theory will be highly appreciated. He/she will have a high potential and a strong will to do research and will name 3 peers who are willing to write a letter evaluating the applicant's academic qualifications. The positition is related to the Research Network HPRN-CT-2002-00281 "Evolutions Equations for Deterministic and Stochastic Systems", where the Department of Financial and Actuarial Mathematics (http://www.fam.tuwien.ac.at/) participates as full member of the Wolfgang Pauli Institute (http://www.wpi.ac.at/). The Research Group: The Research group on Financial and Actuarial Mathematics is directed by Walter Schachermayer (http://www.fam.tuwien.ac.at/~wschach/) and attached to his chair of financial and actuarial mathematics at the Vienna University of Techology. Details on the contract: The anticipated starting date is October 1, 2002, but an alternative date later is in principle possible. The contract will signed for twelve months. The salary will be approximately Euro 1800,- per month after taxes and social insurance. Formal requirements (http://fraise.univ-brest.fr/~eveq/postdoc.html) can be found on the project's homepage (http://fraise.univ-brest.fr/~eveq/). Candidates should mail their applications, including a Curriculum Vitae, to Josef Teichmann (http://www.fam.tuwien.ac.at/~jteichma/), Vienna University of Technology, Dept. of Financial and Actuarial Mathematics, Wiedner Hauptstraße 8-10/105, A-1040 Wien, Austria or e-mail it to mailto:josef.teichmann@fam.tuwien.ac.at. The application deadline is October, 15, 2002. More information on the research group financial and actuarial mathematics and the specifics of the above positions can be obtained from Josef Teichmann, Tel. +43-1-58801-10514, email: mailto:josef.teichmann@fam.tuwien.ac.at.

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[VFN] REMINDER: Gutmann Center for Portfolio Management: Public lecturemit Prof. Thorsten Hens
by Zeiner Sonja 20 Sep '02

20 Sep '02

Talk with Prof. Thorsten Hens, Universität Zürich Date: 24.09.2002 Time: 04:30 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin Title of the talk: Evolutionäre Portfoliotheorie Abstract: Aus Sicht der Evolutionären Portfoliotheorie ist Anlegen an der Börse ein Wettstreit um Marktkapital. Wenn eine Portfoliostrategie Geld gewonnen hat, muß eine andere Strategie Geld verloren haben. Welche Portfolio-strategien setzen sich in diesem Marktselektionsprozeß langfristig durch? In dem Vortrag wird aufgezeigt, daß naive Strategien, wie etwa eine Gleichgewichtung aller Anlagemöglichkeiten im evolutionären Wettbewerb besser sein können als sehr elaborierte Strategien, wie zum Beispiel solche, die auf einer Erwartungswert-Varianz-Analyse basieren. In vielen Fällen, die wir bislang untersucht haben, gibt es sogar eine recht einfache Strategie, die langfristig alle anderen Strategien dominiert.

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[VFN] CCEFM Workshops
by Alex Stomper 18 Sep '02

18 Sep '02

Please notice the following CCEFM Workshops: 25th of September, 13:00-14:30 Thorsten Hens, Universität Zürich "An Application of Evolutionary Finance to Firms Listed in the Swiss Market Index" Seminarraum 1, Betriebswirtschaftszentrum d. Uni Wien, Bruennerstr. 72, 1210 Wien. 11th of October, 15:30-17:00 Workshop sponsored by the Gutmann Center for Portfolio Management: Russ Wermers, University of Maryland "Mutual Fund "Stars": The Performance and Behavior of US Fund Managers" Wiener Börse, Wallnerstrasse, 1010 Wien. These workshops are open to the general public.

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[VFN] Ausschreibung (fwd)
by VFN-L admin * Andreas Schamanek 18 Sep '02

18 Sep '02

------------ forwarded message follows: Date: Tue, 17 Sep 2002 11:17:10 MEZ-2 From: neumeyer(a)fio.fin.univie.ac.at To: vfn-l(a)fam.tuwien.ac.at Subject: Ausschreibung Sehr geehrtes Team, anbei unsere Stellenausschreibung für einen wissenschaftlichen Mitarbieter und unsere Link-Adresse zu unserer Homepage. http://www.bwl.univie.ac.at/bwl/fins/owi_fdl.html Vielen Dank und mit freundlichen Grüßen Christine Neumeyer Sekretariat Prof. Dr. Jörg Finsinger Institut für Betriebswirtschaftslehre Lehrstuhl für Finanzdienstleistungen Lehrstuhl für Öffentliche Wirtschaft und Verwaltung Berggasse 17/2/17, 1090 Wien Tel: ++43-1-4277-38262 Fax: ++43-1-4277-38264 ----------------- attachment converted by VFN-L-admin: Universität Wien Fakultät für Wirtschaftswissenschaften und Informatik ________________________________________________________ Gesucht: Wissenschaftlicher Mitarbeiter Am Institut für Betriebswirtschaftslehre der Fakultät für Wirtschaftswissenschaften und Informatik der Universität Wien kann zum ehestmöglichen Termin ein Ausbildungsverhältnis mit einem/r Wissenschaftlichen Mitarbeiter/in begründet werden. Es endet nach Ablauf von 4 Jahren. Das Beschäftigungsausmaß beträgt 100 %. Es besteht die Möglichkeit, an Forschungsprojekten mitzuarbeiten. Dienstort: Lehrstuhl für Finanzdienstleistungen und Öffentliche Wirtschaft, Berggasse 17/3/17, 1090 Wien Aufnahmebedingungen: abgeschlossenes Hochschulstudium aus dem Gebiet der Wirtschaftswissenschaften oder der Mathematik. Zusatzqualifikationen: Kenntnisse auf dem Gebiet der Kapitalmarktforschung, Portfoliotheorie, Risiko- bzw. Versicherungstheorie oder quantitativen Bankbetriebslehre erwünscht, aber nicht notwendig. Die Universität Wien strebt eine Erhöhung des Frauenanteils insbesondere in Leitungsfunktionen und beim wissenschaftlichen Personal an und fordert deshalb qualifizierte Frauen ausdrücklich zur Bewerbung auf. Frauen werden bei gleicher Qualifikation vorrangig aufgenommen Kontakperson am Lehrstuhl Prof. Dr. Jörg Finsinger: Christine.Neumeyer(a)univie.ac.at Bewerbungen: Bewerbungsformulare sind im Dekanat und in der Personalabteilung erhältlich oder über die Internet-Adresse http://www.univie.ac.at/Personalabteilung , abrufbar und mit einem Lebenslauf in der Universitätsdirektion, Personalabteilung, A-1014 Wien, abzugeben. Anzuführen ist die Kennzahl: 5014/MU, die Bewerbungsfrist endet am 9. Oktober 2002.

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[VFN] Gutmann Center for Portfolio Management: Announcement ZWEIER Public Lectures: Russ Wermers, Thorsten Hens
by Zeiner Sonja 09 Sep '02

09 Sep '02

Bitte geben Sie bei Ihrer Anmeldung bekannt, für welchen Vortrag Sie sich anmelden!!! Announcement 1: Talk with Prof. Thorsten Hens, Universität Zürich Date: 24.09.2002 Time: 04:30 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin Title of the talk: Evolutionäre Portfoliotheorie Abstract: Aus Sicht der Evolutionären Portfoliotheorie ist Anlegen an der Börse ein Wettstreit um Marktkapital. Wenn eine Portfoliostrategie Geld gewonnen hat, muß eine andere Strategie Geld verloren haben. Welche Portfolio-strategien setzen sich in diesem Marktselektionsprozeß langfristig durch? In dem Vortrag wird aufgezeigt, daß naive Strategien, wie etwa eine Gleichgewichtung aller Anlagemöglichkeiten im evolutionären Wettbewerb besser sein können als sehr elaborierte Strategien, wie zum Beispiel solche, die auf einer Erwartungswert-Varianz-Analyse basieren. In vielen Fällen, die wir bislang untersucht haben, gibt es sogar eine recht einfache Strategie, die langfristig alle anderen Strategien dominiert. Registration: bis 20.9.2002, Frau Sonja Zeiner (Tel.: 01/502 20-357 oder sonja.zeiner(a)gutmann.at) Announcement 2: Public Lecture with Russel Wermers, University of Maryland Date: 8.10.2002 Time: 04:30 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin Title of the talk: Can we predict the Future Returns of Active Money Managers? Abstract: Over the past three decades, academic researchers have, in general, found that actively managed institutional security portfolios underperform their passive index-fund counterparts. However, recent research has found results much more flattering to active management. This talk will build on this research by discussing the results of two new studies. The first study addresses whether we can find consistently winning mutual funds, while the second investigates whether we can use characteristics of mutual fund managers (e.g., experience and track-record) to further predict which managers will come out on top. The talk will show that mutual fund returns are surprisingly predictable. Registration: bis 4.10.2002, Frau Sonja Zeiner (phone: 01/502 20-357 oder sonja.zeiner(a)gutmann.at)

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[VFN] Reminder 16. Workshop: Austrian Working Group on Banking and Finance
by Michael Halling 09 Sep '02

09 Sep '02

Bitte entschuldigen Sie, wenn Sie mehrere Kopien dieses Reminders erhalten. Universität Wien 16. Workshop: Austrian Working Group on Banking and Finance 29. 11. / 30. 11. 2002 CALL FOR PAPERS Der Workshop findet am Freitag, dem 29. 11. 2002, nachmittags und am Samstag, dem 30. 11. 2002, vormittags am Betriebswirtschaftlichen Zentrum der Universität Wien statt. Bezüglich der Forschungsthemen gibt es keine Einschränkungen. Papers oder Extended Abstracts (ca. 2 Seiten) können bis spätestens 15. 10. 2002 bei Prof. Engelbert Dockner und Prof. Josef Zechner, Institut für Betriebswirtschaftslehre, Universität Wien, Brünner Str. 72, 1210 Wien (Tel.: 01-4277-38071, Fax: 01-4277-38074), eingereicht werden. Einreichung per Email (engelbert.dockner(a)univie.ac.at bzw. josef.zechner(a)univie.ac.at) ist erwünscht. Beachten Sie bitte in diesem Zusammenhang auch den folgenden Call for Participation: Das Gutmann Center for Portfolio Management am Institut für Betriebswirtschaftslehre der Universität Wien lädt zur folgenden Veranstaltung ein: Gutmann Symposium 2002 zum Thema "Longterm Asset Allocation". Datum: 2. Dezember 2002. Ort: Räumlichkeiten der Universität Wien. Die folgenden renommierten Wissenschaftler werden Forschungsarbeiten vorstellen: Prof. Zvi Bodie, Prof. Maria Vassalou, Prof. Klaus Spremann, Prof. Michael Brennan, Prof. Elroy Dimson. Im Anschluss an das wissenschaftliche Symposium wird eine Podiumsdiskussion unter Mitwirkung der Tageszeitung "Die Presse" stattfinden. Bei dieser Gelegenheit wird auch das diesjährige Doktoratsstipendium "Gutmann Scholarship 2002/2003" offiziell überreicht. Die Veranstaltung endet mit einem kleinen Empfang. Nähere Informationen zu dieser Veranstaltungen werden ab September unter der Homepage des Gutmann Center www.gutmann-center.at abrufbar sein. Auf einen produktiven Workshop und Ihre Teilnahme freuen sich Engelbert Dockner und Josef Zechner

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[VFN] CALL FOR PAPERS: Eighth Viennese Workshop on Optimal Control, Dynamic Games and Nonlinear Dynamics
by Richard Hartl 29 Jul '02

29 Jul '02

************************************************************** ***** First Announcement and Call for Papers ***** ************************************************************** ***** Eighth Viennese Workshop on Optimal Control, ***** ***** Dynamic Games and Nonlinear Dynamics: ***** ***** Theory and Applications in Economics and OR/MS ***** ***** Vienna , May 14-16, 2003 ***** ***** ws2003.bwl(a)univie.ac.at ***** ***** http://www.bwl.univie.ac.at/bwl/prod/EVENTS/ws2003 ***** ************************************************************** ATTENTION: due to availability restrictions of the conference venue the exact date has been changed from May 21-23, 2003 (as originally intended and as mentioned in my mail from Feb 28, 2002), to May 14- 16, 2003. INTERNATIONAL PROGRAM COMMITTEE: Carl Chiarella, University of Technology, Sydney Herbert Dawid, University of Vienna Engelbert Dockner, University of Vienna Gustav Feichtinger, Vienna University of Technology Richard F. Hartl, University of Vienna Cars Hommes, University of Amsterdam Peter M. Kort, Tilburg University Kazuo Nishimura, Kyoto University Gerhard Sorger, Queen Mary College, University of London Franz Wirl, University of Vienna LOCAL ORGANIZING COMMITTEE: Gustav Feichtinger, Vienna University of Technology Richard F. Hartl, University of Vienna After seven successful workshops on various similar topics it is or pleasure to announce the EIGHTH VIENNESE WORKSHOP ON OPTIMAL CONTROL, DYNAMIC GAMES AND NONLINEAR DYNAMICS. The aim is to bring together researchers interested in the application of nonlinear methods in economics, operations research and management science. Topics of interest are optimal control theory, dynamic programming, differential games, evolutionary games, learning, economic modeling, chaos theory, complex systems and related fields. Theoretical contributions to one of these fields which are relevant to problems from economics or OR/MS are especially welcome but also applied modeling will be covered. All conference rooms will be equipped with overhead and also video projectors will be available. Participants who wish to make online presentations should bring their own laptops. The registration fee is EURO 190 (approx. the same amount in US$). This amount applies for payments before the abstract submission deadline of December 31, 2002. An increased fee will be charged thereafter. Payment by major credit cards is possible. In addition to the scientific program an attractive social program will be organized [to be announced later]. Accompanying persons can participate in the official social program at a rate of approximately EURO 40.- (the exact amount will be announced when the social program has been fixed). This can be paid at the conference venue. DEADLINE: Abstract submission: December 31, 2002 Please note, that compared with the previous workshops we have chosen a very late deadline, and that therefore this deadline is ABSOLUTELY STRICT. All abstracts will be refereed. Abstracts, for which the REGISTRATION FEE has not been paid by then will not be considered any further. This time we are not planning to edit a proceedings volume. However, if participants volunteer to (co-)edit special issues of some journals, we are open for suggestions. You do not need to send a full paper. However, if you want to distribute your paper among the participants, please take an appropriate number of copies with you. REGISTRATION AND ABSTRACT SUBMISSION: The following topics will be covered 1. Deterministic optimal control 2. Stochastic optimal control, Real options 3. Dynamic games 4. Nonlinear dynamical systems 5. Heterogeneity and learning Please classify your contribution according to these 5 streams (the program committee reserves the right to allocate papers to other steams than suggested by the authors). If you wish to participate in the Workshop (and to present a paper), please register here: http://orgwww.bwl.univie.ac.at/ws2003/registration.htf Please do not hesitate to contact us if you have any questions concerning the workshop. Please contact us via email at the address ws2003.bwl(a)univie.ac.at if possible. Only if you have NO access to electronic mail please contact Prof. Richard F. Hartl Chair of Production and Operations Management University of Vienna / BWZ Bruennerstr. 72 A-1210 Wien Fax. +43 - 1 - 4277 - 38094 by surface mail or fax. We will provide further information about the workshop, on the social program, hotel reservation etc. on the web- page http://www.bwl.univie.ac.at/bwl/prod/EVENTS/ws2003 as soon as available. For the moment, if you need information about Vienna, please look at: http://info.wien.at/ SORRY FOR CROSSPOSTINGS! We will send this info to participants of the previous workshops as well as to relevant newsgroups and electronic forums. In case you have a suggestion for a place to send this info also, please contact us. Also, we would appreciate if you informed your colleagues who might be interested (by forwarding this Call for Papers to them). Looking forward to seeing you in Vienna, Gustav Feichtinger and Richard F. Hartl -- ___ ____ __ ___ Prof. Dr. Richard F. Hartl / _ \ / __ \ / \_/ /\ University of Vienna / BWZ / ___/\/ /_/ /\ / /\__/ / / Chair of Production & Operations Management / /\__\/\____/ // / / / / / Bruennerstr. 72 \_\/ \___\/ \_\/ \_\/ A-1210 Wien Tel. +43-1-4277-38091 E-Mail: Richard.Hartl(a)univie.ac.at Tel. +43-1-4277-38092 (Secretary) Fax. +43-1-4277-38094 http://www.bwl.univie.ac.at/bwl/prod/POM/

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[VFN] (no subject)
by Michael Halling 10 Jul '02

10 Jul '02

Bitte entschuldigen Sie, wenn Sie mehrere Kopien dieses Call for Papers erhalten. Universität Wien 16. Workshop: Austrian Working Group on Banking and Finance 29. 11. / 30. 11. 2002 CALL FOR PAPERS Der Workshop findet am Freitag, dem 29. 11. 2002, nachmittags und am Samstag, dem 30. 11. 2002, vormittags am Betriebswirtschaftlichen Zentrum der Universität Wien statt. Bezüglich der Forschungsthemen gibt es keine Einschränkungen. Papers oder Extended Abstracts (ca. 2 Seiten) können bis spätestens 15. 10. 2002 bei Prof. Engelbert Dockner und Prof. Josef Zechner, Institut für Betriebswirtschaftslehre, Universität Wien, Brünner Str. 72, 1210 Wien (Tel.: 01-4277-38071, Fax: 01-4277-38074), eingereicht werden. Einreichung per Email (engelbert.dockner(a)univie.ac.at bzw. josef.zechner(a)univie.ac.at) ist erwünscht. Beachten Sie bitte in diesem Zusammenhang auch den folgenden Call for Participation: Das Gutmann Center for Portfolio Management am Institut für Betriebswirtschaftslehre der Universität Wien lädt zur folgenden Veranstaltung ein: Gutmann Symposium 2002 zum Thema "Longterm Asset Allocation". Datum: 2. Dezember 2002. Ort: Räumlichkeiten der Universität Wien. Die folgenden renommierten Wissenschaftler werden Forschungsarbeiten vorstellen: Prof. Zvi Bodie, Prof. Maria Vassalou, Prof. Klaus Spremann, Prof. Michael Brennan, Prof. Elroy Dimson. Im Anschluss an das wissenschaftliche Symposium wird eine Podiumsdiskussion unter Mitwirkung der Tageszeitung "Die Presse" stattfinden. Bei dieser Gelegenheit wird auch das diesjährige Doktoratsstipendium "Gutmann Scholarship 2002/2003" offiziell überreicht. Die Veranstaltung endet mit einem kleinen Empfang. Nähere Informationen zu dieser Veranstaltungen werden ab September unter der Homepage des Gutmann Center www.gutmann-center.at abrufbar sein. Auf einen produktiven Workshop und Ihre Teilnahme freuen sich Engelbert Dockner und Josef Zechner

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[VFN] Kurz-Symposium Basel II
by Stefan Pichler 04 Jul '02

04 Jul '02

Einladung zum Kurz-Symposium "Gesamtwirtschaftliche Auswirkungen von Basel II" veranstaltet von PricewaterhouseCoopers gemeinsam mit Creditreform am 10. 7. 2002, 18.00 - 20.00 im ANA Grand Hotel Detailinformationen und Anmeldeformular finden Sie unter http://www.pwcglobal.com/at/ger/about/events/2002/basel_II.html Die Teilnahme ist kostenlos. Stefan Pichler

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[VFN] Zurich Workshop on Quantitative Risk Management (fwd)
by VFN-L admin * Andreas Schamanek 04 Jul '02

04 Jul '02

---------- Forwarded message ---------- Date: Thu, 4 Jul 2002 10:59:13 +0200 From: Uwe Schmock <schmock(a)math.ethz.ch> Subject: Zurich Workshop on Quantitative Risk Management If you want to be removed from this mailing list on "Financial and Insurance Mathematics in Zurich" or change your email address, please send an email to Ms. Aline Strolz (mailto:strolz@isb.unizh.ch). SECOND ANNOUNCEMENT ------------------- of the Zurich Workshop on Quantitative Risk Management (http://www.mathrisk.com/zurich.html) organised by Mathrisk (http://www.mathrisk.com/). Registrations are well underway for this workshop but places do remain. Main Details ------------ Duration of workshop: 3 days, 2nd to 4th October 2002 Venue: main building of ETH (Swiss Federal Institute of Technology), Zurich Workshop instructors: Prof. Alexander McNeil (ETH Zurich) Prof. Rüdiger Frey (University of Leipzig, Germany) Special guest lecturer: Prof. Paul Embrechts (ETH Zurich) Subject of Workshop ------------------- Advanced mathematical and statistical methods for quantitative risk management of market and credit risks will be presented. These will include financial time series modelling, extreme value theory, copula-based dependence modelling and techniques for the modelling of correlated portfolio credit risks. A more detailed contents list may be found at the course home page (http://www.mathrisk.com/zurich.html). Some Features of the Workshop ----------------------------- (a) State-of-the-art. You will hear the latest research in areas like the modelling of extremes and the use of copulas to capture dependencies between risks. (b) Practical Examples. Methodology will be illustrated by examples in S-PLUS; we are teaming up with Insightful (http://www.insightful.com/) to provide examples using their brand new S+FinMetrics module, which provides the most advanced set of functions for the econometric analysis of financial data. (c) Social. Lunch with a view of lake (guaranteed) and Alps (visibility permitting) every day! A workshop dinner on Thursday 3rd October. Registration and Pricing ------------------------ For pricing information please consult the course home page (http://www.mathrisk.com/zurich.html); note that the early registration deadline has been extended by two weeks until 14th July 2002. To register, return the registration form that you find on the course home page. In case you have additional questions concerning the workshop, please send an email to the organisers (mailto:courses@mathrisk.com). With best regards, Uwe Schmock Mathrisk: http://www.mathrisk.com/ Master of Advanced Studies in Finance: http://www.msfinance.ch/ Swiss Banking Institute: http://www.isb.unizh.ch/ Financial and Insurance Mathematics at ETHZ: http://www.math.ethz.ch/finance/ RiskLab: http://www.risklab.ch/ NCCR-FinRisk: http://www.nccr-finrisk.unizh.ch/ Home Page: http://www.math.ethz.ch/~schmock/ Managing assistant: http://www.math.ethz.ch/~strolz/

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[VFN] HEUTE: Vortrag Prof. Sundaresan
by Alex Stomper 21 Jun '02

21 Jun '02

CCEFM Workshop: Prof. Suresh Sundaresan (Columbia University, NY) hält HEUTE um 15.30 einen Vortrag über das Thema: "Collateralized Swaps: Implications for Valuation and Zero Extraction". Der Vortrag findet in der Wiener Börse, Wallnerstrasse 8, statt.

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[VFN] REMINDER: Gutmann Center for Portfolio Management: public lecture with Prof. Suresh Sundaresan
by Zeiner Sonja 19 Jun '02

19 Jun '02

Announcement: Talk with Prof. Suresh Sundaresan, Columbia University Date: 24.06.2002 Time: 04:30 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin Title of the talk: Default Risk and Portfolio Management Abstract: Due to the decreasing size of government debt markets and increase in securitized debt products, credit-risky asset classes have become an increasingly important part of the fixed income portfolio management industry. Asset classes such as collateralized debt obligations, corporate debt, asset-backed securities confront portfolio managers with arguably better expected returns but also expose investors to higher credit and liquidity risk exposures. The seminar will explore the development of these markets, new opportunities and risks that they present. In addition, we will review the current thinking about measuring and managing credit and liquidity risks in different asset classes. Institutional developments such as collateralization, marking to market, trigger covenants will be presented. Conceptual risk measurement techniques and rating procedures will also be outlined

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[VFN] Workshop on Recent Topics in Real Options Valuation
by Thomas Dangl 13 Jun '02

13 Jun '02

Liebe KollegInnen, da heute die Frist für die Anmeldung abläuft, möchte ich Sie noch einmal auf den "Workshop on Recent Topics in Real Options Valuation" aufmerksam machen, welcher vom 6.7. bis 8.7.02 an der Donau-Universität Krems stattfinden. Programm und Anmeldeformular finden Sie unter http://ebweb.tuwien.ac.at/ibwl/realopt.html Schöne Grüße Thomas Dangl -- Thomas Dangl Vienna University of Technology Department of Managerial Economics and Industrial Organization Theresianumgasse 27 A-1040 Vienna, Austria Tel: ++43-1-58801-33063 Fax: ++43-1-58801-33096 mailto:Thomas.Dangl@tuwien.ac.at http://www.ibab.tuwien.ac.at/ibwl

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[VFN] TU Vienna: Forschungsprojekt-Mitarbeiter/in (Ausschreibung)
by VFN-L admin * Andreas Schamanek 10 Jun '02

10 Jun '02

---------- Forwarded message ---------- Date: Mon, 10 Jun 2002 14:30:42 +0200 From: Financial and Actuarial Mathematics <fam(a)fam.tuwien.ac.at> FAM-jobs * http://doob.fam.tuwien.ac.at/jobs/20020610.php R E S E A R C H P O S I T I O N in Financial and Actuarial Mathematics at the Vienna University of Technology 1 Post-Doc-ship: The successful applicants will have a PhD in Mathematics specialising in Mathematical Finance or Actuarial Mathematics, or in a field related to these topics, e.g., stochastic processes or, more generally, probability theory, functional analysis, Malliavin calculus, control theory, numerical aspects of PDE's etc. Some background in finance also will be highly appreciated. He/she will have a high potential and a strong will to do research and will name 3 peers who are willing to write a letter evaluating the applicant's academic qualifications. The yearly salary will be EUR 35.056.-- = ATS 482.381,-- (before tax and social security contribution). The Research Group: The Research group on Financial and Actuarial Mathematics is directed by W. Schachermayer (http://www.fam.tuwien.ac.at/~wschach/) and attached to his chair of financial and actuarial mathematics at the Vienna University of Techology. W. Schachermayer has received the Wittgenstein-Prize in 1998 (which the Austrian Science Foundation has created following the pattern of the McArthur prize in the US and the Leibniz prize in Germany), which constitutes a grant of ATS 15 Mill. (appr. US$ 1 Mill.) to be spent on research activities in the subsequent five years. This grant will finance (among other activities) the 1 position announced. The research group presently consists of 11 academic researchers. The research is focused on stochastic processes and their applications in finance. Duration of Contracts: The anticipated starting date is October 1, 2002, but an alternative date may be possible. The contract will be for two years. Candidates should mail their applications, including a Curriculum Vitae, to Professor Walter Schachermayer, Vienna University of Technology, Dept. of Financial and Actuarial Mathematics, Wiedner Hauptstraße 8-10/105, A-1040 Wien, Austria or e-mail it to fam(a)fam.tuwien.ac.at The application deadline is July 31, 2002. More information on the research group financial and actuarial mathematics and the specifics of the above positions can be obtained from Professor Walter Schachermayer, Tel. +43-1-58801-10511, email: fam(a)fam.tuwien.ac.at

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[VFN] Juniorprofessur, MAthFinance, Uni Frankfurt (fwd)
by VFN-L admin * Andreas Schamanek 10 Jun '02

10 Jun '02

---------- Forwarded message ---------- Date: Fri, 7 Jun 2002 18:00:38 +0200 From: Götz Kersting <kersting(a)math.uni-frankfurt.de> To: wschach(a)fam.tuwien.ac.at Subject: Ausschreibung einer Juniorprofessur ..., liebe Kollegen, anbei schicke ich Ihnen die Ausschreibung einer Juniorprofessur fuer MathFinance an der Uni Frankfurt (ps- und pdf-file, erscheint in der ZEIT) mit der Bitte, sie weiter bekannt zu machen bzw. moegliche Kandidat(inn)en zu informieren. Sie koennen natuerlich auch mich auf potentielle Bewerber(innen) aufmerksam machen. Bewerbungsschluss ist bereits am 5. Juli 2002. Mit herzlichem Dank im voraus Goetz Kersting ---------- End of forwarded message ---------- Attachments 1. [Application: juniorprof.pdf] (55KB) "" http://www.fam.tuwien.ac.at/vfn/020610__juniorprof.pdf 2. [Application: Juniorprof.ps] (40KB) "" http://www.fam.tuwien.ac.at/vfn/020610__juniorprof.ps

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[VFN] Inst. f. BWL, Uni Wien: Stellenausschreibung (fwd)
by VFN-L admin * Andreas Schamanek 04 Jun '02

04 Jun '02

Zitat aus untenstehend zitiertem Text: Am Institut für Betriebswirtschaftslehre der Fakultät für Wirtschaftswissenschaften und Informatik der Universität Wien kann zum ehestmöglichen Termin ein Ausbildungsverhältnis mit einem/r Wissenschaftlichen Mitarbeiter/in begründet werden. Es endet nach Ablauf von 4 Jahren. Das Beschäftigungsausmaß beträgt 100 %. Es besteht die Möglichkeit, an Forschungsprojekten mitzuarbeiten. -- -- Andreas Schamanek vfn-l list-admin ---------- Forwarded message ---------- Date: Tue, 4 Jun 2002 16:05:10 MEZ-2 From: neumeyer(a)fio.fin.univie.ac.at To: vfn-l(a)fam.tuwien.ac.at Subject: Ausschreibung Sehr geehrtes Team, anbei die Link-Adresse zu unserer Homepage und unserer Ausschreibung eines wissenschaftlichen Assistenten an der Uni Wien. http://www.bwl.univie.ac.at/bwl/fins/owi_fdl.html Vielen Dank mfG Christine Neumeyer

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[VFN] Re: Einladung zum OeVFA Festvortrag, 13. Juni 2002 (fwd)
by VFN-L admin * Andreas Schamanek 03 Jun '02

03 Jun '02

---------- Forwarded message ---------- Date: Mon, 3 Jun 2002 15:14:58 +0200 From: OEVFA Office <office(a)oevfa.at> (...) Der Vorstand der Oesterreichischen Vereinigung fuer Finanzanalyse und Asset Management (OeVFA) beehrt sich, zum Festvortrag 2002 am Donnerstag, 13. Juni 2002, 11.00 Uhr in den Reitersaal der OeKB, 1010 Wien, Strauchgasse 3 hoeflichst einzuladen. Dr. Andreas Gruenbichler, Vorstandsdirektor Finanzmarktaufsichts- behoerde (FMA), referiert zum Thema: "Corporate Governance und die Rolle der Finanzanalysten". Im Anschluss an den Vortrag bittet die OeVFA zu einem Buffet. Wir freuen uns auf Ihr Kommen und ersuchen um Ihre Anmeldung per e-mail an office(a)oevfa.at bis 7. Juni 2002. Fuer eventuelle Fragen steht Ihnen Fr. Mag. Renate Altenhofer unter Telnr. 01/532 1000 gerne zur Verfuegung. Naehere Infos auch unter http://www.oevfa.at . Mit freundlichen Grueszen Renate Altenhofer ++++++++++++++++++++++++++++++++++++++++++++++++++++++++ Mag. Renate Altenhofer Executive Manager RNG Management GmbH Boersegasse 9, DG 14, A-1010 Wien T: +43 1 532 1000, F: +43 1 532 1001, M: +43 664 32 61 077 e-mail:r.altenhofer@rng.at, http://www.rng.at ++++++++++++++++++++++++++++++++++++++++++++++++++++++++

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[VFN] Real Options Workshop
by Thomas Dangl 27 May '02

27 May '02

Liebe KollegInnen, ich möchte Sie auf den "Workshop on Recent Topics in Real Options Valuation", hinweisen, welcher von 6. bis 8. Juli 2002 an der Donau-Universität Krems stattfindet. Geladene Sprecher: U. Hommel (EBS), R.S. Pindyck (MIT), L. Trigeorgis (UoCyprus) Das Programm sowie das Anmeldeformular finden Sie unter http://ebweb.tuwien.ac.at/ibwl/realopt.html Herzliche Grüße Thomas Dangl -- Thomas Dangl Vienna University of Technology Department of Managerial Economics and Industrial Organization Theresianumgasse 27 A-1040 Vienna, Austria Tel: ++43-1-58801-33063 Fax: ++43-1-58801-33096 mailto:Thomas.Dangl@tuwien.ac.at http://www.ibab.tuwien.ac.at/ibwl

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[VFN] Gastvortraege an der Fachhochschule BFI (fwd)
by VFN-L admin * Andreas Schamanek 23 May '02

23 May '02

---------- Forwarded message ---------- Date: Thu, 23 May 2002 14:55:31 +0200 From: Michael Jeckle <michael.jeckle(a)fh-vie.ac.at> To: vfn-l(a)fam.tuwien.ac.at Cc: r.Stickler(a)fh-vie.ac.at Subject: Gastvortraege an der Fachhochschule BFI Ankündigung: Gastvorträge an der Fachhochschule BFI, Wollmuthstraße 22, 1020 Wien Prof. Walter Schwaiger (TU-WIEN) Basel II - Auswirkungen auf den österreichischen Mittelstand Dienstag, den 28.05.2002, um 18 UHR an der Fachhochschule BFI, Lehrsaal 320 Dr. Erich Obersteiner (Vorstand der Wiener Börse AG) Wiener Börse und österreichischer Kapitalmarkt - Bestandsaufnahme und Zukunftsperspektiven Montag, den 3.06.2002, um 17.30 an der Fachhochschule BFI, Lehrsaal 301 Dipl. Vw. Michael Jeckle Lektor im Studiengang Bank- und Finanzwirtschaft Tel. ++43/1/720 1286-46 Email: Michael.Jeckle(a)fh-vie.ac.at Internetaddresse: http://www.fh-vie.ac.at

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1996

1995

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