---------- 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/
---------- 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
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
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
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
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
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)
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.
+ 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
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
* 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
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
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
+ 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).
-------- 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.
***
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
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
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
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.
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
*******************************************************************
---------- 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/
--------------------------------------------------------------------
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
* 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
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
---------- 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
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
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
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
---------- 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
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
+ 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
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
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
---------- 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)
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
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
********************************************************
** 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
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
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
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
---------- 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 -------
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
---------- 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
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
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
*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
* 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
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
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
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
---------- 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.
(...)
---------- 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
--------- 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
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
-------- 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)
[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
---------- 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
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
"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)
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
**************************************************************
***** 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.htfhttp://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
---------- 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
---------- 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]
---------- 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 ]
---------- 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
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
*******************************************************************
--------- 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
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/
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
------------------------------------------------------
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).
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.
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
---------- 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
***
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.
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/
---------- 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
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/
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.
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.
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.
------------ 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.
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)
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
**************************************************************
***** 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/
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
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
---------- 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/
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.
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
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
---------- 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
---------- 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
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
---------- 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
++++++++++++++++++++++++++++++++++++++++++++++++++++++++
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
---------- 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
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
registration: until 19.06.2002 under sonja.zeiner(a)gutmann.at or phone:
01/502 20-357