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
CCEFM (Center for Central and Eastern European Financial Markets),
eine Initiative der Universitaet Wien, Wirtschaftsuniversität Wien,
Technischen Universität Wien und der Wiener Börse AG,
lädt zu folgenden Workshops ein:
Prof. Utpal Bhattacharya (Indiana University)
"Costly vs. Costless Signaling: Theory and Evidence from Share Repurchases"
am Freitag, 24.5.2002, 15:30-17:00, Wiener Börse, Wallnerstrasse 8, 1010
Wien.
Dr. Martin Scheicher (OeNB)
"Modeling the Implied Probability of Stock Market Movements"
am Freitag, 7.6.2002, 15:30-17:00, Wiener Börse, Wallnerstrasse 8, 1010
Wien.
Prof. Wolfgang Bühler (Universität Mannheim)
"Bewertung von Wandelanleihen: Blockwandlung vs. optimale sequentielle
Wandlung"
am Freitag, 14.6.2002, 15:30-17:00, Wiener Börse, Wallnerstrasse 8, 1010
Wien.
Prof. Suresh Sundaresan (Columbia University)
"Collateralized Swaps: Implications for Valuation and Zero Extraction"
am Freitag, 21.6.2002, 15:30-17:00, Wiener Börse, Wallnerstrasse 8, 1010
Wien.
http://info.tuwien.ac.at/ccefm/workshop/work.htm
[the following message was originally in HTML]
---------- Forwarded message ----------
Date: Wed, 15 May 2002 11:24:33 +0200
From: Reinhard Moser <Reinhard.Moser(a)wu-wien.ac.at>
To: vfn-l(a)fam.tuwien.ac.at
Subject: Ausschreibung der Stelle eines Wiss. Mitarbeiters
Stellenausschreibungen an der Wirtschaftsuniversität Wien (Bereich
International Business / International Finance)
1) Im Institut für Betriebswirtschaftslehre des Aussenhandels ist
voraussichtlich ab 1. Juni 2002 bis 31. Mai 2006 1 Posten für eine/n
Wissenschaftliche/n Mitarbeiter/in (Ausbildungsverhältnis) zu besetzen.
Gesetzliche Aufnahmebedingungen:
Abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften
Zusätzlich erwünschte Kenntnisse und Qualifikationen:
Fundierte Kenntnisse im Bereich der Betriebswirtschaftslehre des
Aussenhandels (facheinschlägige wissenschaftliche Arbeiten und/oder
einschlägige praktische Erfahrungen), überdurchschnittlicher
Studienerfolg, Fremdsprachenkenntnisse, Fähigkeit zur Betreuung
wissenschaftlicher Forschungsprojekte, pädagogische Ausbildung und
Lehrerfahrung, Bereitschaft zur Mitarbeit in der Institutsadministration,
Streßresistenz, Flexibilität und hohe Selbstmotivation
Kennzahl: 15/02
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: 22. Mai 2002
2) Im Institut für Betriebswirtschaftslehre des Aussenhandels ist
voraussichtlich ab 1. Juni 2002 bis 31. Mai 2006 1 Posten für eine/n
Wissenschaftliche/n Mitarbeiter/in (Ausbildungsverhältnis) zu besetzen.
Gesetzliche Aufnahmebedingungen:
Abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften
Zusätzlich erwünschte Kenntnisse und Qualifikationen:
Fundierte Kenntnisse im Bereich der Betriebswirtschaftslehre des
Aussenhandels (facheinschlägige wissenschaftliche Arbeiten und/oder
einschlägige praktische Erfahrungen), überdurchschnittlicher
Studienerfolg, Fremdsprachenkenntnisse, Fähigkeit zur Betreuung
wissenschaftlicher Forschungsprojekte, pädagogische Ausbildung und
Lehrerfahrung, Bereitschaft zur Mitarbeit in der Institutsadministration,
Streßresistenz, Flexibilität und hohe Selbstmotivation
Kennzahl: 16/02
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: 22. Mai 2002
3) Im Institut für Betriebswirtschaftslehre des Aussenhandels ist
voraussichtlich ab 1. Juni 2002 bis 31. Mai 2006 1 Posten für eine/n
Wissenschaftliche/n Mitarbeiter/in (Ausbildungsverhältnis) zu besetzen.
Gesetzliche Aufnahmebedingungen:
Abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften
Zusätzlich erwünschte Kenntnisse und Qualifikationen:
Fundierte Kenntnisse im Bereich der Betriebswirtschaftslehre des
Aussenhandels (facheinschlägige wissenschaftliche Arbeiten und/oder
einschlägige praktische Erfahrungen), überdurchschnittlicher
Studienerfolg, Fremdsprachenkenntnisse, Fähigkeit zur Betreuung
wissenschaftlicher Forschungsprojekte, pädagogische Ausbildung und
Lehrerfahrung, Bereitschaft zur Mitarbeit in der Institutsadministration,
Streßresistenz, Flexibilität und hohe Selbstmotivation
Kennzahl: 17/02
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: 22. Mai 2002
4) Im Institut für Betriebswirtschaftslehre des Aussenhandels ist
voraussichtlich ab 1. Juni 2002 bis 31. Mai 2006 1 Assistent/inn/enposten
(vertragliches Dienstverhältnis) vollbeschäftigt zu besetzen.
Gesetzliche Aufnahmebedingungen:
Abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften,
Promotion
Zusätzlich erwünschte Kenntnisse und Qualifikationen:
Fundierte Kenntnisse im Bereich der Betriebswirtschaftslehre des
Aussenhandels/Internationale Finanzierung (facheinschlägige
wissenschaftliche Arbeiten und/oder einschlägige praktische Erfahrungen),
überdurchschnittlicher Studienerfolg im Promotionsstudium,
Fremdsprachenkenntnisse, Fähigkeit zur Betreuung wissenschaftlicher
Forschungsprojekte, pädagogische Ausbildung und Lehrkenntnisse,
Bereitschaft zur Mitarbeit in der Institutsadministration,
Streßresistenz, Flexibilität, hohe Selbstmotivation
Kennzahl: 2/02
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: 22. Mai 2002
+++++++++++++++++++++++++++++++++++++++++
+
+ O.Univ.Prof. Dr. Reinhard Moser
+ Institut für BWL des Außenhandels
+ Wirtschaftsuniversität Wien
+ A-1090 Wien, Althanstraße 51
+
+ Tel. +43.1.31336.4372
+ Fax +43.1.31336.751
+
+++++++++++++++++++++++++++++++++++++++++
---------- Forwarded message ----------
Date: Tue, 14 May 2002 08:51:57 +1000
From: Susan King <Susan.King-1(a)uts.edu.au>
Subject: QMF2002 Second Announcement
CALL FOR PAPERS - SECOND ANNOUNCEMENT
--------------------------------------
Quantitative Methods in Finance 2002 Conference,
Sydney and Cairns, Australia
9 - 13 December, 2002
Radisson Plaza Hotel at the Pier, Cairns, Australia
17 - 19 December, 2002
Manly Pacific Parkroyal Hotel, Sydney, Australia
The Quantitative Methods in Finance 2002 Conference will again bring
together leading experts in Quantitative Finance from Industry and
Academia. It will start with one week in Cairns on the Great Barrier
Reef, and after a three-day break, continue in Sydney. A one-day
practitioner's workshop on "Commodity, Energy, Electricity & Weather
Risk Modelling" will be held on Monday 16 December 2001.
Organisers:
--------------
Carl Chiarella and Eckhard Platen, University of Technology, Sydney
Focus:
--------------
The focus of QMF2002 will be Financial Modelling and Integrated Risk
Management. It aims to present in Cairns the major schools of thought
in the area and in Sydney will emphasise the modelling of credit,
commodity, energy, electricity and weather risk.
Paper Submissions:
------------------------
A one-page abstract (preferably without mathematical equations) to be
submitted in PDF Format using Latex, Tex or Word by Friday 17 May 2002
to the address listed below.
Conference social events in Cairns will include an outer-reef day
cruise, a seafood dinner with local Aboriginal entertainers, a Gala
Dinner, and in Sydney, a night at the Sydney Opera House, and a
Conference Dinner.
December is the best time of year to visit many parts of Australia, so
take the opportunity to plan a tour with your travel agent.
Accompanying persons are most welcome at the conference.
Contact:
--------------
Susan King
School of Finance and Economics
University of Technology, Sydney
PO Box 123
Broadway, 2007, Australia
Tel: +61 2 9514 7737 Fax: +61 2 9514 7711
Email: Susan.King-1(a)uts.edu.au
Web site: http://www.business.uts.edu.au/finance/resources/qmf2002/
_____________________________
Susan King - Special Projects
School of Finance and Economics
University of Technology, Sydney
PO Box 123, Broadway NSW 2007
Australia
Ph: +61 2 9514 7737
Fax: +61 2 9514 7711
susan.king-1(a)uts.edu.au
_____________________________
QMF2001 http://www.business.uts.edu.au/finance/resources/qmf2001/
UTS CRICOS Provider Code: 00099F
(...)
***
Einladung zur CCEFM Public Lecture am 17. Mai 2002
Prof. Stephen Ross (MIT)
"A Neoclassical Look at Behavioral Finance: The Case of the Closed End
Funds"
Ort: Technische Universität Wien, Karlsplatz 13, Hörsaal 16 (3.
Stock)
Zeit: Freitag, 17. 5. 2002, 15.30 - 17.00
In Zusammenarbeit mit Capital Invest.
Stefan Pichler
(TU Wien und CCEFM)
RESEARCH PROPOSAL COMPETITION
The Gutmann Center for Portfolio Management (www.gutmann-center.at) has been
established in 2001 by the University of Vienna and the Bank Gutmann
(www.gutmann.at). The Centers mission is to become a platform for
researchers in the field of portfolio management and to fund research
projects in this area.
In this context, the Gutmann Center is pleased to announce its first
RESEARCH PROPOSAL COMPETITION
Submissions will be accepted from PhD-students and faculty at academic
institutions and all practitioners who wish to apply.
The potential areas include but are not limited to
· evaluation of alternative organizational models of portfolio
investment
· risk-control and dynamic portfolio-management strategies
· asset allocation.
Proposals will be evaluated by the members of the Academic Advisory Board of
the Gutmann Center.
A grant of 10.000 will be awarded to the winner. 40% of the grant will be
paid immediately, 30% after submission of a first working paper, and the
remainder will be paid upon the presentation of the completed paper in
Vienna. The Gutmann Center will cover the researchers expenses incurred in
connection with the seminar (airfare, accommodation). Payments are made
directly to the researcher, unless otherwise requested. The Centers policy
is not to pay general institutional overhead expenses.
A first draft of the working paper is expected after one year, the project
is expected to be completed within two years.
All publications (including working papers) that are an outcome of the
funding must acknowledge the support in an introductory footnote.
SUBMISSION PROCESS
The research proposals should be submitted in electronic form to Prof. Josef
Zechner (see contact below). Proposals must arrive no later than 30 June
2002.
The submission should include:
· A cover page with title, author(s), addresses and e-mail addresses,
affiliations and telephone and fax numbers;
· A short abstract of no more than one page;
· A statement of research objectives and a literature review placing
the study in context;
· A clear and detailed description of the research method and the
expected form of the results, together with a discussion of the practical
value of the project;
· A proposed timetable
· A copy of (each) researcher's resume;
· Related papers, if available, may be enclosed.
Authors will be notified of the committees decision regarding their
proposal by 31 August 2002.
Further information can be obtained from our website www.gutmann-center.at
Contact:
Gutmann Center for Portfolio Management
Research Proposal Competition
- Prof. Dr. Josef Zechner -
- c/o Dorothea Grimm -
University of Vienna
Department of Business Studies
Bruenner Strasse 72
A-1210 Vienna
Tel: +43-1-4277-38186
Fax: +43-1-4277-38074
Mail: gutmann.bwl(a)univie.ac.at
www.gutmann-center.at
> Announcement: Talk with Prof. Neal Stoughton, University of California
>
> Date: 22.05.2002
>
> Time: 04:00 pm
>
> Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin
>
> Title of the talk: Off Balance: Earnings Mismanagement through Special
> Purpose Entities
>
> Abstract: The extraordinary demise of the Enron Corporation has
> highlighted the fallacy behind the use of earnings as a measure of value
> in modern financial corporations. As details have emerged from other firms
> in financial distress such as Global Crossing it has become apparent that
> the current GAAP methods are unacceptable in the modern financial
> environment. Even presumably successful corporations such as GE and IBM
> have been significantly affected in recent months. We will discuss the
> various accounting tricks that have been employed through special purpose
> entities and how a new framework for analysis should be developed to put
> the risks of special purpose entities back in proper balance.
>
> registration: until 17.05.2002 under sonja.zeiner(a)gutmann.at or phone:
> 01/502 20-357
>
>
>
Leider müssen wir den eben erst angekündigten Vortrag von unseren Arbeiten
um einen Tag nach vor verschieben.
Neuer Tag: 21. Mai (statt 22. Mai)
Neue Zeit: 16:30 (statt 15:30)
Bitte entschuldigen Sie die Änderung. Danke.
Alfred Lehar
-------------------------------------
EINLADUNG
zu den Vorträgen von
Helmut Elsinger, Alfred Lehar, Martin Summer
"The Risk of Interbank Credits: A New Approach to the Assessment of
Systemic Risk"
Rudolf Hanel, Stefan Pichler, Stefan Thurner
"Banking regulation and network-topology dependence of iterative
risk-trading games"
Zeit: DIENSTAG 21. Mai 2002. 16.30 - 18.30
Ort: Technische Universität Wien, Hörsaal EI 1, Gußhausstraße 25-29
(Altbau), 2. Stock.
Die Autoren werden im Rahmen des Forschungsseminars an der Abteilung für
Industriefinanzierung und Investment Banking der TU Wien ihre neuesten
Arbeitspapiere zum Thema Banking Regulation präsentieren.
EINLADUNG
zu den Vorträgen von
Helmut Elsinger, Alfred Lehar, Martin Summer
"The Risk of Interbank Credits: A New Approach to the Assessment of
Systemic Risk"
Rudolf Hanel, Stefan Pichler, Stefan Thurner
"Banking regulation and network-topology dependence of iterative
risk-trading games"
Zeit: 22. Mai 2002. 15.30 - 17.30
Ort: Technische Universität Wien, Hörsaal EI 1, Gußhausstraße 25-29
(Altbau), 2. Stock.
Die Autoren werden im Rahmen des Forschungsseminars an der Abteilung für
Industriefinanzierung und Investment Banking der TU Wien ihre neuesten
Arbeitspapiere zum Thema Banking Regulation präsentieren.
Stefan Pichler
Fred Espen Benth,
Merton's portfolio optimization problem and
non-Gaussian stochastic volatility
16:00-17:30 Seminarraum 107
TU Wien, Freihaus, gruener Turm, 6.Stock
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/schedule/
Friedrich Hubalek
Einladung zur CCEFM Public Lecture am 17. Mai 2002
Prof. Stephen Ross (MIT)
"A Neoclassical Look at Behavioral Finance: The Case of the Closed End
Funds"
Ort: Technische Universität Wien, Karlsplatz 13, Hörsaal 16 (3.
Stock)
Zeit: Freitag, 17. 5. 2002, 15.30 - 17.00
In Zusammenarbeit mit Capital Invest.
Stefan Pichler
(TU Wien und CCEFM)
Announcement: Talk with Prof. Colin Mayer, Oxford University
Date: 19.04.2002
Time: 02:00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin
Title of the talk: Asset Management and Investor Protection
Structure and regulation of asset management businesses in Europe and the
USA
registration: until 15.04.2002 under sonja.zeiner(a)gutmann.at or phone:
01/502 20-357
---------- Forwarded message ----------
Date: Wed, 20 Mar 2002 14:48:13 -0000
From: "Davis, Mark H A" <mark.davis(a)ic.ac.uk>
Subject: Lectureship position at Imperial College
Dear Colleague,
A new permanent faculty position in Statistics of Financial Markets has been
created in the Mathematics Department at Imperial College London. Details
can be found at
http://www.ma.ic.ac.uk/fineconlectureship0202.htm
Any help you can give in bringing this to the attention of good candidates
would be highly appreciated. I would be happy to discuss the position
informally with any potential applicant.
With best regards, Mark
__________________________________
Mark H. A. Davis
Department of Mathematics, Imperial College
www.ma.ic.ac.uk/~mdavis
---------- Forwarded message ----------
(Converted to plain text. Please note that mailing lists cannot handle
HTML messages and attachments. Thanks. -- Your vfn-l list-admin)
Date: Tue, 19 Mar 2002 21:10:58 +0100
From: Reinhard Moser <Reinhard.Moser(a)wu-wien.ac.at>
Subject: Ausschreibung der Stelle eines Wiss. Mitarbeiters
Stellenausschreibung Wirtschaftsuniversität Wien
Am Institut für Betriebswirtschaftslehre der Aussenhandels ist
voraussichtlich ab 15. April 2002 bis 14. April 2006
1 Posten für eine/n Wissenschaftliche/n Mitarbeiter/in
(Ausbildungsverhältnis) zu besetzen.
Gesetzliche Aufnahmebedingungen:
Abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften
Zusätzlich erwünschte Kenntnisse und Qualifikationen: Fundierte
Kenntnisse im Bereich der Betriebswirtschaftslehre des Aussenhandels
(facheinschlägige wissenschaftliche Arbeiten und/oder einschlägige
praktische Erfahrungen), überdurchschnittlicher Studienerfolg,
Fremdsprachenkenntnisse, Fähigkeit zur Betreuung wissenschaftlicher
Forschungs-projekte, pädagogische Ausbildung und Lehrerfahrung,
Bereitschaft zur Mitarbeit in der Institutsadministration,
Stressresistenz, Flexibilität und hohe Selbstmotivation
Kennzahl: 9/02
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. März 2002
+++++++++++++++++++++++++++++++++++++++++
+
+ O.Univ.Prof. Dr. Reinhard Moser
+ Institut für BWL des Außenhandels
+ Wirtschaftsuniversität Wien
+ A-1090 Wien, Althanstraße 51
+
+ Tel. +43.1.31336.4372
+ Fax +43.1.31336.751
+
+++++++++++++++++++++++++++++++++++++++++
MINI-WORKSHOP on STOCHASTIC ANALYSIS and FINANCE
Monday 27 - Tuesday 28, May 2002
Department of Mathematics and Statistics
University of Jyvaeskylae
The workshop is intended to bring together researchers and
graduate students interested in Stochastic Analysis and its
applications in Finance.
The event is supported by the Department of Mathematics and
Statistics of the University of Jyvaeskylae.
INVITED SPEAKERS
Luis Alvarez (Turku School of Economics and Business Administration)
Friedrich Hubalek (Technical University, Vienna)
Paavo Salminen (Åbo Academy, Turku)
Wolfgang Schmidt (Deutsche Bank, Frankfurt)
Nizar Touzi (University Paris I)
PROGRAM
The scientific program starts at Monday, May 27-th. There is room
for talks given by the participants (please contact the organizers).
REGISTRATION
There is no conference fee. Please register with name,
affiliation, expected duration of stay, and e-mail address
under: geiss(a)maths.jyu.fi
WWW: www.math.jyu.fi/~geiss/workshop.html
Stefan Geiss (geiss(a)maths.jyu.fi)
Esko Valkeila (Esko.Valkeila(a)helsinki.fi)
-------------------------------------------------------
---------- Forwarded message ----------
From: "Sekretariat, AU" <sek_au(a)fja.com>
Subject: Einladung Kolloquium
Zukünftige Bilanzierungsmethoden für Versicherungsprodukte -
Methoden und Auswirkungen
Das Software- und Beratungshaus FJA FEILMEIER & JUNKER GES.M.B.H. setzt
sich stets zum Ziel, die jeweils neuesten, für den Versicherungsbetrieb
relevanten Themen aufzugreifen, zu analysieren und in praktikable Lösungen
umzusetzen.
Eines der in der europäischen Versicherungswirtschaft derzeit am meisten
diskutierten Themen ist die Rechnungslegung nach internationalen
Abrechnungsstandards (IAS). Die EU wird deren Verwendung für
börsennotierte Unternehmen zumindest für den Konzernabschluss
voraussichtlich ab 2005 verpflichtend vorschreiben. Gerade für
Versicherungsprodukte gibt es allerdings derzeit noch keine endgültigen
internationalen Standards, weswegen in der Praxis entsprechende
Bestimmungen der US-GAAP auch im Rahmen eines IAS-Abschluses verwendet
werden.
Derartige überbrückende Versuche einer Neuorientierung machen jedoch eine
hinreichend objektive Darstellung der Unternehmenssituation nicht möglich.
Insbesondere ist der Vergleich unterschiedlicher Anbieter im Bereich der
Finanzdienstleistungen schwierig. Gerade auch aus diesem Grund gibt es ein
Projekt des IAS-Board für einen zukünftigen Standard für
Versicherungsprodukte. Die darin vorgesehene Bewertung zum fair value,
bzw. zum entity specific value unterscheidet sich in vielerlei Hinsicht
deutlich von den bisher verwendeten Bewertungsmethoden für
Versicherungsprodukte.
In Zusammenarbeit mit Professor Schachermayer, dem Leiter des Institutes
für Finanz- und Versicherungsmathematik an der Technischen Universität
Wien, werden wir daher im Sommersemester 2002 ein Kolloquium abhalten, das
sich mit ausgewählten Themen zur Rechnungslegung nach IAS bzw. US-GAAP
auseinandersetzt. In gemeinsamen Diskussionen sollen dabei insbesondere
wichtige Themen des zukünftigen IAS für Versicherungsprodukte erarbeitet
werden.
Die Veranstaltungen finden jeweils von 16.00 - 18.00
In den Geschäftsräumen des Unternehmens 1040 Wien, Operngasse 21 statt.
Seminarkalender:
20.03.2002 Überblick und Vergleich IAS/US-GAAP
03.04.2002 Definition insurance, general/life insurance
17.04.2002 fair value und entity spezific value (Überblick)
02.05.2002 Zins und replizierendes Portfolio (Methoden)
15.05.2002 cash-flow und Risikoadjustierung (Methoden)
29.05.2002 Abschlußkosten und Reserven - Vergleiche zum
Unternehmenswert
12.06.2002 ALM, Risikomanagement und Eigenmittelerfordernis
26.06.2002 with profit business
Wir würden uns freuen, wenn unser Angebot eines breiten Diskussionsforums
für Sie eine interessante Bereicherung darstellt. Falls sie an der
Teilnahme interessiert sind, ersuchen wir Sie um Benachrichtigung, damit
die notwendigen organisatorischen Maßnahmen eingeleitet werden können. Die
Teilnahme an der Veranstaltung ist kostenlos.
Dear colleague:
Please find the second call for papers on a workshop on
real options to be held at the Donau-University in Krems,
Austria from July 6-8, 2002 at
http://ebweb.tuwien.ac.at/dangl/SecondCallForPapers.pdf.
The deadline for submissions is March 22, 2002. If you have
already submitted your work and received a confirmation, you do not
need to re-submit. Further information about the workshop (program,
registration procedure, and other important details about the workshop)
will become available soon at the workshop website
http://ebweb.tuwien.ac.at/ibwl/realopt.html.
Sincerely,
Thomas Dangl
On behalf of the organizing committee
--
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://ibab.tuwien.ac.at/ibwl
Im Rahmen des Berufungsverfahren fuer eine Professur aus
Versicherungsmathematik an der TU Wien finden folgende Vortraege statt:
===================================================================
Freitag, 15. Maerz 2002
Freihaus HS 7, 2. Stock, gelber Bereich
http://www.wegweiser.ac.at/tuwien/hoersaal/F7.html
Wiedner Hauptstr. 8-10, 1040 Wien
10:30
-----
Hans-Jochen Bartels (Universität Mannheim), Symmetrierelationen für ein
inverses Problem der Finanzmathematik
15:00
-----
Uwe Schmock (Universität Zürich), Modellierung abhängiger Kreditrisiken
Am Freitag, 08. März 2002, spricht Prof. Ludger Rüschendorf über
"Adaptives Schätzen mit Schätzern vom neuronalen Netztyp".
Termin: Freitag, 08. März 2002, 11:15 Uhr
Ort: Technische Universität Wien
1040 Wien, Wiedner Hauptstraße 8-10
Freihaus, Turm C (grüner Bereich), 6. Stock,
Seminarraum 107
WWW: http://www.fam.tuwien.ac.at/schedule
Abstract:
We obtain consistency results and determine convergence rates for neural
nets type estimators. In detail we consider the estimation of the
log-hazard function in random censoring models with covariates. Our
results are based on a general approach to sieved maximum likelihood
estimators (or minimum contrast estimators) including an adaptive version
of the estimators based on the method of structural risk estimation. A
related approach was developed recently in Birge Massart(1998) and Barron
Birge Massart(1999). In comparison we obtain upper bounds for the
estimation error involving more simple covering numbers. We discuss two
types of applications of the general results. For smoothness classes we
establish an adaptive version of the tensor product spline estimator as
introduced in Kooperberg Stone Truong(1995a). The minimax optimal rate of
convergence is not achieved for the standard sigmoidal neural net
estimator but is attained approximatively for some other activation
functions as e.g. for the threshold function. Assuming the existence of a
certain integral representation of the log-hazard function which is
related to some smoothness conditions, we obtain improved convergence
rates for net sieves type estimators as neural nets, radial basis function
nets and wavelet nets. Similar convergence rate results have been
established before for regression estimation in Barron(1993) and for
density estimation in Modha Masry(1996). Our improvement of the
convergence rate is based on an improved approximation result for
functions of this type by finite net classes.
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
Im Rahmen des Berufungsverfahren fuer eine
Professur aus Versicherungsmathematik
and der TU Wien finden folgende Vortraege statt:
===================================================================
Freitag, 1. Maerz 2002, 13:15,
Freihaus HS 8 (Noebauer-Hoersaal), 2. Stock, gelber Bereich
http://www.wegweiser.ac.at/tuwien/hoersaal/F8.html
Wiedner Hauptstr. 8-10, 1040 Wien
Jeffrey Collamore (ETH-Zuerich)
Extremal Behavior of Multidimensional Risk Processes
In the classical ruin problem of collective risk theory,
an insurance company gains capital from premiums income and loses
capital as a result of claims; one then studies the probability that
the company's total capital ever falls below zero, i.e.,
P{S(t) < -m, for some t}, where S(t) is a positive-drift Levy process
and m is the company's initial capital.
In this talk I will discuss various generalizations of this
problem to higher dimensional settings. The first of these can be
described as follows: Let S(1),S(2),... be a sequence of random
vectors, corresponding e.g. to several capital factors, and consider
the probability that this sequence ever reaches some "forbidden
region" in d-dimensional Euclidean space. It will be shown that,
under quite general assumptions,
(*) (1/m) log P{S(n) ever hits mA} ~ -I(A)
for an appropriate "rate function" I(A). Some refinements,
describing e.g. the asymptotic distribution of the first passage
time, will also be given.
A second generalization which will be discussed is the case where
the increments of S(1),S(2),... are governed by a system of random
recurrence equations. Such recurrence equations are of considerable
applied interest and arise, among other places, in the study of GARCH
financial time series models and insurance models with stochastic
returns on the surplus capital. It will be shown that an asymptotic
estimate very similar to (*) can also be developed in this setting.
===================================================================
Freitag, 1. Maerz 2002, 15:30
Freihaus HS 8 (Noebauer-Hoersaal), 2. Stock, gelber Bereich
http://www.wegweiser.ac.at/tuwien/hoersaal/F8.html
Wiedner Hauptstr. 8-10, 1040 Wien
Nicole Baeuerle (Universitaet Ulm)
Stochastische Steuerung in der Versicherungsmathematik
Das Problem der Bestimmung optimaler Dividendenaus-
schüttungs- und Rückversicherungsstrategien, das in Teilen
schon auf de Finetti (1957) zurückgeht, wurde in letzter
Zeit wieder intensiv untersucht. Da die ursprüngliche
Formulierung auf die optimale Steuerung eines stückweise
deterministischen Markov Prozesses führt - was sehr
schwierig ist - standen in letzter Zeit Diffusionsmodelle
im Vordergrund. In dem Vortrag wird auf beide
Formulierungen eingegangen und ein Zusammenhang
zwischen den Optimierungsproblemen hergestellt.
===================================================================
---------- Forwarded message ----------
Date: Mon, 25 Feb 2002 10:44:07 +0100
From: Andrea Gaunersdorfer <andrea.gaunersdorfer(a)univie.ac.at>
To: Vienna Finance Letters <vfn-l(a)fam.tuwien.ac.at>
Subject: [Fwd: [Econ-snde] Post-doc and PhD positions]
>From diks(a)fee.uva.nl Mon Feb 25 14:35:19 2002
Date: Fri, 22 Feb 2002 12:16:04 +0100 (CET)
From: C.G.H. Diks <diks(a)fee.uva.nl>
To: econ-snde(a)lists.fas.rutgers.edu
Subject: [Econ-snde] Post-doc and PhD positions
Dear all,
A post-doctoral as well as a PhD position are available within the project
`Information Flows in Financial Markets'. The project combines recent
results from physics and nonparametric statistics to develop new methods
for nonlinear analysis of multivariate financial time series. The research
is multi-disciplinary of nature and potential candidates for the positions
should have strong maths/stats qualifications.
Details on the application procedure can be found below. For a description
of the project, please follow the `Job Opportunities' link at
http://www.fee.uva.nl/cendef/
With best regards,
Cees Diks
CeNDEF
Department of Economics URL : http://www.fee.uva.nl/cendef
University of Amsterdam email: diks(a)fee.uva.nl
Roetersstraat 11 phone: +31 20 525 5329
1018 WB Amsterdam, The Netherlands fax : +31 20 525 4349
---
Post-doctoral position and PhD position
Within the project Information Flows in Financial Markets.
Project
Asset prices are driven by expectations of market participants regarding
future price developments. These expectations in turn are driven by the
inflow of new information. Through the costs involved in information
acquisition and the time required for processing this information and
converting it into market orders, an interesting dynamics of the response
to news arises, which can be described well in terms of information flows.
In this project, recently developed information theoretical methods from
physics and statistics will be used to investigate these information
flows, and new methods will be developed which are tailored for financial
time series.
The project is embedded in the Center for Nonlinear Dynamics in Economics
and Finance (CeNDEF) research group of the Faculty of Economics and
Econometrics at the University of Amsterdam. This young multidisciplinary
research group provides an excellent and stimulating research environment.
Post-doc position
Description: Development of nonparametric information theoretic methods
for quantifying nonlinear dependence in multivariate financial time
series. Derivation of finite sample and asymptotic properties of
statistics.
Requirements: The succesful candidate for the Post-doc position has a
strong background in mathematics/statistics, and a PhD degree in
econometrics, statistics or a related field.
Conditions: Initial appointment will be for two years, with possible
extensions to a maximum of the project duration (5 years). Salary conform
the UvA standard, is expected to be in scale 10 or 11 depending on the
candidate's work experience.
PhD position
Description: Development and implementation of information theoretical
time series analysis methods for multivariate financial time series. Data
selection, data analysis and interpretation of results.
Requirements: We seek a motivated individual with a Masters degree in
econometrics, statistics or mathematics (or comparable qualifications).
Also students who expect to obtain their Masters degree soon are invited
to apply.
Conditions: The PhD student will receive a position for a maximum period
of 4 years. Monthly salary: 1445 EUR in the first year, increasing to 2063
EUR in the fourth year.
Applications
Applications for both positions should be directed to
Personnel Department
Faculty of Economics and Econometrics
University of Amsterdam
Roetersstraat 11
1018 WB Amsterdam
The Netherlands
and arrive no later than March 31, 2002. All applications should contain a
cover letter and a CV. Applicants for the post-doc position should include
a list of publications, a copy of one published paper, and two letters of
recommendation. Applicants for the PhD position should include one letter
of recommendation.
Information
Information can be obtained from Dr C. Diks (phone: +31 20 525 5329,
e-mail: diks(a)fee.uva.nl) and from the CeNDEF homepage
http://www.fee.uva.nl/cendef/
_______________________________________________
Econ-snde mailing list
Econ-snde(a)lists.fas.rutgers.edu
http://lists.fas.rutgers.edu/listserv-admin/listinfo/econ-snde
Das Forum für Bankmanagement der BWG unter Leitung von Prof. Dr. Peter
Steiner veranstaltet am 28.2.2002 eine Konferenz zum Thema
"Kreditrisikomanagement".
Die Veranstaltung findet im Reitersaal der OeKB, Wien 1, Strauchgasse 3
statt und wird um 8.45 von Dir. Ittner, OeNB eröffnet. Die Teilnahme ist
kostenlos.
Programm
8.45 ? 9.00 Begrüßung und Eröffnung
Direktor Mag. Andreas Ittner, OeNB
9.00 ? 10.00 "Risikomaße und Risk-Value-Modelle"
Prof. Dr. Peter Steiner / Dr. Roland Mestel, Universität Graz
10.00 ? 10.30 Kaffepause
10.30 ? 11.00 "Dynamic Capital Structure Choice"
Dr. Thomas Dangl, TU Wien / Prof. Dr. Josef Zechner, Universität
Wien
11.30 ? 12.30 "Credit Risk Mitigation in Derivatives Business - Practical
Implications"
Dirk Erdmann / WestLB
12.30 ? 14.00 Mittagspause
14.00 ? 15.00 "Auswirkungen von Basel II auf die Kreditwirtschaft"
Prof. Dr. Walter S.A. Schwaiger, Technische Universität Wien
15.00 ? 15.30 Kaffeepause
15.30 ? 16.30 "Kreditrisikomanagement mit Hilfe von
Margensimulationen"
Mag. Thomas Jerolitsch / ecofinance Graz
Anmeldungen elektronisch über die homepage der BWG, www.bwg.at,
Serviceleistungen / wissenschaftliche Abteilungen / Forum für
Bankmanagement / Veranstaltungen.
Rückfragen an Fr. Elisabeth Zivota, E: office(a)bwg.at, T: (01) 533 50 50.
______________________
Prof.(FH) Mag. Otto Lucius
Österreichische Bankwissenschaftliche Gesellschaft
Wallnerstraße 3, 1010 Wien
T +431 533 50 50
F +431 531 27 247
E office(a)bwg.at
Announcement: Talk with Prof. Klaus Spremann, Universität St. Gallen
Date: 07.03.2002
Time: 04:00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin
Title of the talk: Strategische und taktische Geldanlage für den langen
Horizont - worauf muss der Privatanleger achten?
Abstract: Grundlegende Fragen der Asset Allocation, des Einsatzes von
Optionen und der Art und Intensität von Aktivität beim Portfolio Management
für Privatanleger
registration: until 04.03.2002 under sonja.zeiner(a)gutmann.at or phone: 502
20-357
INTERNATIONAL CONFERENCE ON MATHEMATICS IN FINANCE
TO BE HELD IN SOUTH AFRICA, AUGUST 2002.
Date:
4 - 9 August, 2002.
Venue:
Berg-en-Dal, Kruger National Park, South Africa.
Scope:
The main objective of the conference is to bring together
academics, practitioners and graduate students who are
working in the broad field of financial mathematics. It is envisaged
that participants who are at the forefront of the area will
reflect on current open problems and relevant challenges and
that they will indicate directions for future research. It is
hoped that the interplay between theory and practice, as well
as issues relating to the dissemination of knowledge and the
teaching in this field, will be discussed.
The conference will focus on various aspects within the field,
with special attention given to the interaction between the
different areas, and in particular emphasizing the role of
mathematics and statistics. Topics that would be covered
include among others:
* Stochastic models
* Modern methods of risk analysis
* Quantitative and computational models and methods
* Methods of financial mathematics; in particular the
role of measure theory, functional analysis and modern
stochastics in Finance
Key note speakers:
The following is a list of key note speakers who have
indicated that they will attend:
* Tomas Bjork (Department of Finance, Stockholm School of
Economics)
* Freddy Delbaen (Department of Mathematics, ETH, Zurich)
* Paul Embrechts (Department of Mathematics, ETH, Zurich)
* David Heath (Department of Mathematical Sciences, CMU)
* Alexander McNiel (Department of Mathematics, ETH, Zurich)
* Gennady Samorodnitsky (School of Operations Research and
Industrial Engineering, Cornell University)
Hosts:
Potchefstroom University for CHE
The University of Pretoria
The University of the Witwatersrand, Johannesburg.
Organising Committee:
Riaan de Jongh (Potchefstroom University for CHE)
Koos Grobler (Potchefstroom University for CHE)
Hardy Hulley (University of the Witwatersrand)
Keith Mitchell (University of the Witwatersrand)
Barbara Swart (University of Pretoria)
Johan Swart (University of Pretoria)
David Taylor (University of the Witwatersrand)
Information:
http://www.mif.up.ac.za
E-mail: mif(a)math.up.ac.za
Vacancy at London School of Economics
Department of Statistics
Lecturer
Salary range: £22,401 to £26,327 pa inc.
We are looking for someone with a background in applied
probability, stochastics or statistics who would like to pursue the
use and development of these skills in insurance, finance or
actuarial science. Applications are invited for a career-track
appointment as a lecturer in the Department of Statistics. The
Department runs a large actuarial science degree and the successful
candidate would be expected to be involved in the teaching of
actuarial subjects as well as contributing to the research of the
Department. Applications are invited for this post for appointment
from September 2002.
For an application pack please contact 020 7955 6183, or e-mail:
recruitment(a)lse.ac.uk <mailto:recruitment@lse.ac.uk>quoting
reference 17/01/AC
The closing date for applications is 22 February 2002.
http://www.lse.ac.uk/depts/statistics
---------- Forwarded message ----------
Date: Mon, 4 Feb 2002 16:42:26 +0100
From: Uwe Schmock <schmock(a)math.ethz.ch>
Subject: Master of Science in Finance (in Zurich/Switzerland)
Announcement
------------
The ETHZ (Swiss Federal Institute of Technology Zurich) and the
University of Zurich are jointly launching the new degree program
*** Master of Science in Finance ***
It is an intense two-semester program of courses followed by a master's
thesis.
Mandatory courses:
- Mathematical Foundations in Discrete and Continuous Time
- Financial Economics (incl. Corporate Finance)
- Empirical Methods for Finance
- Financial Institutions and Financial Markets
- Financial Theory and Asset Pricing
- Derivatives and Financial Engineering
- Insurance Analytics
Specializations (choose A or B):
(A) Quantitative Finance and Risk Management
- Risk Management
- Term Structures and Credit Risk Models
- Quantitative Methods for Risk Management
(B) Asset Management
- Asset Allocations and Performance Measurement
- Theory of Banking and Financial Intermediation
- Behavioral Finance or Empirical Methods
Optional Courses:
- Computational Methods for Quantitative Finance
- Real Options and Commodities
- International Finance
- Incomplete Markets: Further Developments
- Economics of Insurance
(Other courses may be taken upon request.)
Language:
The entire program will be taught in English so that international as
well as Swiss graduate students can attend.
Target students:
Undergraduates with an economics and/or a science background
(mathematics, physics, engineering) and practitioners who feel that
they need additional and more specialized training in financial
economics and in quantitative methods for finance.
Please visit http://www.msfinance.ch/ for a list of the teaching
faculty members, a more detailed description of the curriculum, the
application procedure and further details.
Please tell your colleagues and students about the new program; feel
free to forward this email. You can use the two slides at
http://www.msfinance.ch/misc/MSc_Finance_Slides.pdf in your class.
With best regards,
Uwe Schmock
(Director MSc Finance Program)
Financial and Insurance Mathematics: http://www.math.ethz.ch/finance/
Master of Science in Finance: http://www.msfinance.ch/
RiskLab: http://www.risklab.ch/
Home page: http://www.math.ethz.ch/~schmock/
Am Dienstag, 22. Jänner 2002, spricht Prof. Hans Bühlmann (ETH-Zürich) im
Rahmen der Vortragsreihe aus Finanz- und Versicherungsmathematik über "Die
Vorsicht des Aktuars und den Mut des Spielers".
Termin: Dienstag, 22. Januar 2002, 16:30 Uhr s.t.
Ort: Technische Universität Wien
1040 Wien, Wiedner Hauptstraße 8-10
Freihaus, Turm B (gelber Bereich), 2. Stock,
FH HS 8 (Nöbauer Hörsaal)
WWW: http://www.fam.tuwien.ac.at/~sandra/events/vr/20020122.htm
Abstract:
Der finanzielle Verlauf eines Versicherungsgeschäfts kann als
stochastischer Prozess modelliert werden. Die Frage der Bewertung dieses
stochastischen Prozesses wird je nach zugrunde liegender Risikohaltung
anders beantwortet. Die vorsichtige Haltung (Prudent Approach) wird
traditionellerweise durch die Aktuare eingenommen. Dem gegenüber steht die
ökonomische Haltung, welche im Versicherungs-geschäft (ähnlich dem
Glücksspieler) vor allem Gewinnchancen sieht. Beide Haltungen lassen sich
mathematisch darstellen. Es soll der Frage nachgegangen werden, was die
praktischen Konsequenzen der zwei verschiedenen Grundhaltungen sind.
CCEFM Workshop with Avi Wohl, Tel Aviv University
Topic: The Information Content of the Demand and Supply Schedules of Stocks
Date: Friday, 18th of January
Time: 3.30 p.m.-5.00 p.m.
Location: Wiener Börse, Wallnerstrasse 8, 1010 Wien
The paper is downloadable from http://info.tuwien.ac.at/workshop/work.htm
---------- Forwarded message ----------
Date: Fri, 21 Dec 2001 16:51:01 +0100 (MET)
From: Guenter Lau <h0054syg(a)rz.hu-berlin.de>
Reply-To: info(a)efa2002.org
Subject: EFA 2002, Berlin - Call for Paper
EUROPEAN FINANCE ASSOCIATION
29th Annual Meeting
21-24 August, 2002
Berlin, Germany
http://www.efa2002.org
The European Finance Association will hold its 29th annual meeting at Humboldt University of Berlin, 21-24 August, 2002.
RESEARCH PAPERS
Contributions are welcome in all fields of Finance. All submitted papers will be evaluated by two referees in a double-blind process.
To enable this process, the cover page of the submitted paper should contain the title of the manuscript, the name and the affiliation of all the authors. The first page of text should contain the title, an abstract of about 100 words, and the appropriate JEL classification code, but not the author's name. (The JEL codes may be accessed at http://papers.ssrn.com/sol3/DisplayJel.cfm)
SYMPOSIUM
As part of the EFA 2002 meeting there will be a special Symposium on Taxation and Financial Markets, which will be organized by Professor Bjarne Astrup Jensen, Copenhagen Business School, und Kristian Rydkvist, Norwegian School of Management Oslo, in collaboration with the Program Chair.
Topics include but are not limited to:
- Taxation and valuation
- Taxation and asset allocation
- Taxation and pension saving
- International tax arbitrage
- Tax arbitrage with derivatives
- Case studies
Papers for the Symposium will be selected from those accepted by the EFA 2002 program committee. A future issue of the European Finance Review will publish selected papers from the symposium if resubmitted by the authors and after a second refereeing procedure. Authors wishing to submit papers for the symposium should also use the regular submission procedure as detailed below.
PRIZES FOR BEST PAPERS
We are delighted to announce that Barclays Global investors, one of the world's largest investment managers, will be awarding the following prizes for three outstanding papers:
- 5.000 Euros for the best paper presented at the Symposium
- 5.000 Euros for the best finance paper presented at the conference
- 5.000 Euros for the best paper by a current or recent Ph.D. candidate
SUBMISSION PROCEDURE
To make the submission and refereeing process faster and more efficient, we plan to do everything electronically. Thus we will only accept electronic submissions (in form of pdf-files). If you have problems in submitting your paper electronically, please let us know.
Authors wishing to present a paper should use the following 2-step procedure:
S t e p 1:
Register at our website as soon as possible - this will help us to prepare the refereeing process efficiently. Use the registration form at our website www.efa2002.org
S t e p 2:
Upload your paper into the SSRN system. In the SSRN-form to be filled out please select "EFA 2002 Submission" as Recommended Abstract Appearance. If you do not select other SSRN Subject Matter Journals, your submission will not be shown to and will not be accessible by the public, but only by the program chair. Note that if you choose to submit the paper to other SSRN Subject Journals at the same time, either on the same form or separately, SSRN will publish the paper in the regular way without mentioning that it is also an EFA submission.
If a paper is accepted for conference presentation it will be included in the "EFA 2002 Presentations Journal". The first issues of this electronic journal will be published by SSRN in June.
Because of the large number of submissions many high quality papers had to be rejected during the past years. To promote academic discussions during the meeting a second journal will be published. If a paper is not accepted for presentation but is judged "above average" by the referees it may be included in the "EFA 2002 Discussion Journal" if the submitting author wishes to do so and at least one of the authors attends the conference. The first issue of this electronic journal will be published by SSRN in July. Both journals will remain publically accessible in the SSRN system for the near future.
If a submitted paper is not included in either journal it will be included in the SSRN e-Library or deleted, at the discretion of the submitting author and the SSRN editors.
For further information please contact paper(a)efa2002.org
DEADLINE
Deadline for registration and uploading papers is March 1, 2002.
DOCTORAL TUTORIAL
As part of the 29th annual meeting, the European Finance Association (EFA) and the European Institute for Advanced Studies in Management (EIASM) will jointly organize a Doctoral Tutorial, as is now customary. It will take place on the 21 of August 2002, starting at 10:00 a.m.
Selected proposals by Ph.D. students will be presented during the day. We encourage Ph.D. students to submit well defined and detailed research proposals for one of their Ph.D. essays or completed papers. In their research proposals, students are welcome to add an additional page raising the conceptual and methodological problems they face with the current status of their dissertations and that they would like to discuss during the tutorial. Attendants will benefit from the comments of prestigious academics as well from the overall discussion. The tutorial will be co-organized by Professors Wolfgang Bühler (University of Mannheim) and Rajna Gibson (University of Zurich) in collaboration with the EFA 2002 Chairman and the organizing committee. This year we are pleased to be able to make participation to the Tutorial free for students attending the EFA 29th annual meeting. (Students have to pay the hotel, travel, and personal expenses as well as the reduced fee for the confere!
nc!
e.) Doctoral students interested in participating at the tutorial should print and fill out the PDF format form (you will need Acrobat reader) and return it together with their research proposal or completed paper before March 1, 2002, to:
Marion Hebbelynck
EIASM Rue d'Egmont 13
1000 Bruxelles
BELGIUM
E-mail: hebbelynck(a)eiasm.be
Presentation: The cover page of the submitted research proposal or paper should contain the title of the manuscript, the name and affiliation of all the authors, and should be marked "TUTORIAL". The first page of text should contain the title, the abstract, and the appropriate JEL classification code.
Deadline for submission of papers for the Tutorial is also March 1, 2002.
Announcement: Talk with Phelim Boyle, University of Waterloo
Date: 14.01.2002
Time: 04:00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin
Title of the talk: Asset Allocation
Abstract: The asset allocation decision is an important one for the
investment
managers of pension plans, mutual funds and other financial
institutions. The optimal decision will depend on the nature of the
assets and liabilities as well as the investment objectives. In recent
years this important decision has become increasingly passed down to the
individual investor. We will examine some traditional and modern tools
for solving this problem. In particular we will discuss a promising new
approach that can provide numerical solutions under increasingly
realistic assumptions. We will try to give the intuition but some math
is alas inevitable.
registration: until 10.01.2002 under sonja.zeiner(a)gutmann.at or phone: 502
20-357
Sehr geehrte Damen und Herren,
das Gutmann Center of Competence freut sich, Ihnen das Erscheinen des neuen
Gutmann Journals ankündigen zu dürfen. Das Gutmann Journal wird einerseits
Beiträge von hochkarätigen Wissenschaftern beinhalten, wie zum Beispiel in
der ersten Ausgabe ein Interview mit Nobelpreisträger William F. Sharpe.
Andererseits wird das Gutmann Journal über die Aktivitäten des Gutmann
Center of Competence berichten. Im Rahmen von public lectures konnten in
diesem Herbst anerkannte Professoren wie Elroy Dimson (London Business
School), Maurice Levi (University of British Columbia) oder Duane Seppi
(Carnegie Mellon University) für Vorträge gewonnen werden.
Sollten Sie Interesse an der Zusendung des Gutmann Journals haben, ersuchen
wir Sie um Bekanntgabe Ihres Namens und Ihrer Adresse per mail.
Mit freundlichen Grüßen
Sonja Zeiner
Tel.: +43/1/502 20-357
Fax: +43/1/502 20-249
*****************************************************************
Persönlich und Vertraulich
Die Information dieser E-Mail-Nachricht und beigefügte Dokumente
ist vertraulich und ausschliesslich fuer den Adressaten bestimmt.
Der Empfaenger dieser Nachricht, der nicht Adressat, einer seiner
Mitarbeiter oder sein Empfangsbevollmaechtigter ist, wird hiermit
davon in Kenntnis gesetzt, dass er deren Inhalt nicht verwenden,
weitergeben oder reproduzieren darf. Sollten Sie diese Nachricht
und beigefügte Dokumente versehentlich erhalten haben bitten wir
Sie die Bank Gutmann AG zu informieren.
Private and Confidential
The information contained in this e-mail message is privileged and
confidential and is for the exclusive use of the addressee. The person
who receives this message and who is not the addressee, one of his
employees or an agent entitled to hand it over to the addressee, is
informed that he may not use, disclose or reproduce the contents
thereof. If you have received this e-mail or any file or
attachment transmitted with it in error please notify Bank Gutmann AG.
Announcement: Talk with Duane Seppi, Carnegie Mellon University
Date: 12.12.2001
Time: 04:00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin
Title of the talk: Pricing of Energy Derivates
Abstract: Pricing of Energy Derivates by using the two-factor term-structure
model of Longstaff and Schwartz
registration: until 6.12.2001 under sonja.zeiner(a)gutmann.at or phone: 502
20-357
------------------------------------------------------
The Vienna Finance Newsletter <VFN-L(a)fam.tuwien.ac.at>
http://www.fam.tuwien.ac.at/mailman/listinfo/vfn-l
Dear colleague,
please find the 'First Call for Papers' for a workshop on recent
topics in real options valuation at
http://ebweb.tuwien.ac.at/ibwl/realopt.html.
The workshop will take place between July 6 and 8, 2002 at
Donau-Universität Krems,
Austria.
We want to ask you to consider the submission of a paper as well as the
active
participation in the workshop.
Best regards
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://ibab.tuwien.ac.at/ibwl
An der Fakultaet fuer Technische Naturwissenschaften und Informatik
ist am Institut für Finanz- und Versicherungsmathematik eine
Planstelle für eine/n Universitaetsprofessor/in fuer
Versicherungsmathematik in Form eines zeitlich unbefristeten
vertraglichen Dienstverhaeltnisses ehestmoeglich zu besetzen.
Den offiziellen Ausschreibungstext mit naeheren Informationen
finden Sie unter
"http://www.tuwien.ac.at/dektnf/Download/Ausschreibungen.htm"
als pdf-File.
----------------------------------------------------------------
The Department of Financial and Actuarial Mathematics
at the Faculty of Natural Science and Computer Science
is seeking applicants for a Position in Actuarial Mathematics
at the Professor level in the form of a contract of employment
for an unlimited period.
The official job announcement (in German) can be found under
"http://www.tuwien.ac.at/dektnf/Download/Ausschreibungen.htm"
as pdf file, an informal translation is given at
"http://www.fam.tuwien.ac.at/g2g/jobengl.txt".
Prof. Karatzas (Columbia) will give a public lecture on on Dec 17 (Monday)
at the Institute for Advanced Studies, Vienna from 4 - 5:30 p.m. HS. 2
The title and abstract are listed below.
Regards
Gabe Lee
>"Probabilistic Aspects of Portfolio Analysis"
>
>Abstract
>
>We formulate and discuss notions such as growth rate, diversity, and
>arbitrage, that arise naturally in the study and analysis of portfolios.
>Relations among these notions are discussed, including examples of diverse
>markets that lead to arbitrage opportunities; some optimization problems are
>posed and solved; and a couple of open questions are suggested. (Joint work
>with Robert Fernholz.)
______________________________________________________________
Gabriel S. LEE
Institute for Advanced Studies
Department of Economics and Finance
Stumpergasse 56
A-1060 Vienna, AUSTRIA
Email: gabriel.lee(a)ihs.ac.at
Tel: +43.1.59991.141
Fax: +43.1.597.0635
Homepage: http://www.ihs.ac.at/~lee/
---------- Forwarded message ----------
Date: Fri, 16 Nov 2001 12:46:20 -0600
From: Bachelier Congress 2002 <bfs2002(a)mail.ma.utexas.edu>
Subject: BFS 2002 CONGRESS - THIRD CALL FOR PAPERS
B A C H E L I E R F I N A N C E S O C I E T Y
2 N D W O R L D C O N G R E S S
CRETE, GREECE : JUNE 12-15, 2002
-----------------------------
C A L L F O R P A P E R S
The Bachelier Finance Society was founded in 1996 by a group of
researchers in Mathematical Finance to serve as a platform where
academics and practitioners can meet and exchange ideas spanning across
Mathematics, Finance, Economics, Econometrics and Insurance. To achieve
this goal, the BFS organizes every two years an International Congress.
The scientific program of the 2002 BFS Congress consists of plenary
talks and contributed papers. The invited plenary talks will give an
overview of the latest important developments in the field. They will
also present new ideas, directions and methodologies from Finance,
Economics, Econometrics and Mathematics and, discuss pressing problems
in the Finance and Insurance industries. The contributed papers will
complement the plenary talks with recent results and advances.
The overall scope is to create a unique interdisciplinary forum for
discussion of new concepts, incite stronger interaction across the
fields, and, at the same time, define new directions for the future
development of Mathematical Finance.
P L E N A R Y S P E A K E R S
Y. Ait-Sahalia (Princeton), N. El Karoui (Ecole Polytechnique),
V. Kaminski (Enron), I. Karatzas (Columbia), P.-L. Lions (Paris IX),
M. Musiela (BNP Paribas), M. O'Hara (Cornell), W. Schachermayer
(TU Wien), K. Singleton (Stanford), W. Zame (UCLA)
S C I E N T I F I C C O M M I T T E E
G. Constantinides (Chicago), M.H.A. Davis (Imperial College),
F. Delbaen (ETH), D. Duffie (Stanford), H. Foellmer (Humboldt),
M. Jeanblanc (Evry), E. Platen (UTS), T. Zariphopoulou (UT-Austin)
SUBMISSIONS: Participants are encouraged to submit a research paper.
Submissions can be either a completed paper or an extended summary
(two to four pages long).
The deadline for submissions is November 30, 2001. Instructions
regarding submissions are posted on the web site of the Congress.
LOCATION: Crete, the largest greek island, offers a unique combination
of natural beauty, historical sites and vibrant life. A land with a
distinct character, Crete is one of the most magnificent places in
Greece. The Congress will take place at the Capsis Beach Hotel and
Sofitel Capsis Palace Conference Center (www.capsis.gr) on the peninsula
of Agia Pelagia, a picturesque site on the northern shore of Crete near
Heraklion. A block of rooms at special rates will be available for
the conference participants. Information regarding registration, hotel
reservations, transfers as well as the planned cultural and social events
will be posted in the upcoming months.
FINANCIAL SUPPORT: Depending on the availability of funds, limited
financial support will be provided to students and young researchers.
The application material will be posted on the web site of the Congress.
WEB SITE: www.ma.utexas.edu/Bachelier2002
CORRESPONDENCE: Thaleia Zariphopoulou, Chair of the Scientific Committee
zariphop(a)math.utexas.edu
CCEFM (Center for Central European Financial Markets)
laedt zu folgendem Workshop ein:
Pegaret Pichler, Boston College
"Optimal Contracts for Teams of Traders"
Freitag, 23.11.2001, 15.30-17.00
Wiener Börse, Wallnerstrasse 8, 1010 Wien
Weitere Termine entnehmen Sie bitte der Seite
http://info.tuwien.ac.at/ccefm/workshop/work.htm
P.S. Falls Sie dieses email nur einfach erhalten, so sind Sie nicht
Abonnent des Vienna Finance Newsletter! Um vor zukünftigen Vorträgen
benachrichtigt zu werden, tragen Sie sich bitte ein. Infos unter
http://www.fam.tuwien.ac.at/mailman/listinfo/vfn-l
Technische Universität Wien
15. Workshop
Austrian Working Group on Banking and Finance
30. 11. / 1. 12. 2001
EINLADUNG
Sie sind herzlich zur Teilnahme am 15. Workshop der Austrian Working
Group on Banking and Finance eingeladen. Das Programm und das
Anmeldeformular finden Sie im WWW unter
http://info.tuwien.ac.at/E330/tu3306/program.doc
Mit freundlichen Gruessen
Wolfgang Aussenegg
Stefan Pichler
Walter Schwaiger
Helmut Uhlir
Announcement: Talk with Maurice Levi, University of British Columbia
Date: 22.11.2001
Time: 05:00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin
Title of the talk: Stock market anomalies
Abstract: The purpose of the presentation is to review the arguments behind
and evidence supporting alternative explanations of two time-related
anomalies in stock market returns, namely, the weekend-effect and the
turn-of-the-year effect.
registration: until 16.11.2001 under sonja.zeiner(a)gutmann.at or phone: 502
20-357
Professorship of Quantitative Finance
With this senior faculty position within its Department of
Mathematics, the ETHZ aims to further strengthen both research and
teaching in the mathematical aspects of finance and insurance.
Through this newly created professorship, ETHZ also seeks to
intensify the already established collaboration with the University
of Zurich and with the local finance and insurance industry.
Candidates should possess outstanding records in research and
teaching in the field of quantitative finance and should demonstrate
the ability to transform new mathematical concepts into relevant
applications.
As a member of the Department of Mathematics the new professor is
expected to take part in the teaching of mathematics to a broad range
of students.
Applications with curriculum vitae and publication list should be
sent to the President of the ETH Zurich, Prof. Dr. O. Kübler, ETH
Zentrum, CH-8092 Zürich, Switzerland, by January 15, 2002. The ETHZ
encourages female candidates to apply with a view towards increasing
the proportion of female professors. For more information on the
position, interested persons can contact Prof. F. Delbaen
(delbaen(a)math.ethz.ch, tel. (+)411 632 6357) or Prof. P. Embrechts
(embrechts(a)math.ethz.ch, tel. (+)411 632 3419). The websites
www.math.ethz.ch, www.math.ethz.ch/finance and www.risklab.ch contain
further information on the Department of Mathematics, the Research
Group in Mathematical Finance and Insurance, and RiskLab, the
Research Centre on Quantitative Risk Management.
Sehr geehrte Damen und Herren,
am Institut für Finanzierung und Finanzmärkte der Wirtschaftsuniversität Wien,
Ordinariat Investmentbanking und Kapitalmarktkommunikation, Univ. Prof. Dr.
Otto Loistl,
ist voraussichtlich ab 1. Dezember 2001 ein Posten für einen
Wissenschaftlichen
Mitarbeiter/in (Ausbildungsverhältnis) zu besetzen.
Finden Sie bitte zu Ihrer Information die Ausschreibung obiger Stelle unter
<http://ifm.wu-wien.ac.at/aktuell/Ausschreibung.pdf>.
Mit der Bitte um wohlwollende Kenntnisnahme und gegebenenfalls Weiterleitung
an Interessent/inn/en verbleibe ich
mit freundlichen Grüßen
Alexander Veverka
------------------------------------------------------------------
Alexander Veverka, Assistant Professor
Vienna University of Economics and Business Administration
Institute of Finance and Financial Markets
Department of Investment Banking and Capital Markets Communication
Althanstraße 39-45, 1090 Vienna, Austria, Europe
Tel: ++43 1 31336 ext. 4183
Fax: ++43 1 31336 ext. 761
E-mail: alexander.veverka(a)wu-wien.ac.at
------------------------------------------------------------------
Dear colleagues,
the CCEFM-Alumni Club is pleased to announce the following talk
Gerhard Stahl
Bundesaufsichtsamt für das Kreditwesen
"How to formulate a regulatory framework. A case study: Electricity
risk."
Fr. 16.11.01, 15:30-17:00
Wiener Börse, Wallnerstrasse 8, 1010 Wien.
For further information about CCEFM Workshops please consult the
CCEFM Website at http://www.ccefm.at
--
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://ibab.tuwien.ac.at/ibwl
Technische Universitaet Wien
15. Workshop
Austrian Working Group on Banking and Finance
30. 11. / 1. 12. 2001
EINLADUNG
Sie sind herzlich zur Teilnahme am 15. Workshop der Austrian Working
Group on Banking and Finance eingeladen. Um sich anzumelden,
retournieren Sie bitte das Anmeldeformular, zu finden im WWW unter
http://info.tuwien.ac.at/E330/tu3306/einladung.doc
Mit freundlichen Gruessen
Wolfgang Aussenegg
Stefan Pichler
Walter Schwaiger
Helmut Uhlir
Technische Universität Wien
15. Workshop
Austrian Working Group on Banking and Finance
30. 11. / 1. 12. 2001
CALL FOR PAPERS
Der Workshop findet am Freitag, dem 30. 11. 2001, nachmittags und am
Samstag, dem 1. 12. 2001, vormittags an der TU Wien statt. Bezüglich
der Themen ist keine Einschränkung vorgesehen. Papers oder extended
abstracts (ca. 2 Seiten) können bis spätestens 5. 11. 2001 bei Prof.
Helmut Uhlir und Prof. Stefan Pichler, TU Wien, Abteilung für
Industriefinanzierung und Investment Banking, Favoritenstrasse 11, 1040
Wien (Tel.: 01-58801-33080, Fax: 01-58801-33098), eingereicht werden.
Einreichung per Email (huhlir(a)pop.tuwien.ac.at bzw.
spichler(a)pop.tuwien.ac.at) ist erwünscht.
Mit freundlichen Grüßen
Helmut Uhlir Stefan Pichler
Announcement: Talk with Elroy Dimson, London Business School
Date: 5.11.2001
Time: 04:00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin
Title of the talk: High frequency performance mointoring
Abstract: The presentation shows optimal strategies for monitoring
performance of asset managers on a quarterly, weekly or even daily basis.
registration: until 2.11.2001 under sonja.zeiner(a)gutmann.at or phone: 502
20-357
Announcement: Talk by Hansjörg Albrecher, Department of Mathematics, Graz
University of Technology
Title of the talk: On some generalizations of the classical ruin model in
risk theory
Date: We, 24.10.2001
Time: 17:00
Location: Vienna University of Technology, Freihaus, Turm A (green),
6th floor, Room 107
(see map at: http://www.fam.tuwien.ac.at/schedule/)
Abstract:
The classical model in collective risk theory for the development of the
free reserve of an insurance portfolio is characterized by a Poisson claim
number process, independent and identically distributed claims and a
constant premium density. Several generalizations of this model are
considered. In a ruin model allowing for a constant force of inflation and
interest on the free reserve, we investigate when it is suitable to
represent the finite-time survival probability as a gamma series and
derive some exact analytical solutions for exponentially distributed claim
sizes. In a model with dividend payments according to a non-linear
dividend barrier strategy, integro-differential equations for the survival
probability and the expected discounted dividend payments are derived and,
using integral operators, efficient number-theoretic solution methods are
developed. Moreover we investigate the behavior of the Lundberg exponent
when dependence structures among consecutive claims are considered.
Further information on other talks at the Institute of Financial and
Actuarial Mathematics can be found at
http://www.fam.tuwien.ac.at/schedule/
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
Announcement: Talk by Kerry Back, John M. Olin School of Business,
Washington University in St. Louis
Date: 23.10.2001
Time: 16:30
Location: Vienna University of Technology, Freihaus, Turm A (green),
6th floor, Room 107
(see map at: http://www.fam.tuwien.ac.at/schedule/)
Title of the talk: Information in Securities Markets: Kyle meets Glosten
and Milgrom
Abstract:
We study a model of informed trading in which trades arrive sequentially,
uninformed trades arriving as a Poisson process. We characterize an
equilibrium in which the single informed trader plays a mixed strategy - a
point process with stochastic intensity. In this equilibrium, informed and
uninformed trades arrive probabilistically, as they are assumed to do in
Glosten-Milgrom models. We study a sequence of such markets in which
uninformed trades become smaller and arrive more frequently, approximating
a Brownian motion. We show that if the equilibria converge, then their
limit is the equilibrium of a Kyle-type continuous auction model.
Further information on other talks at the Institute of Financial and
Actuarial Mathematics can be found at
http://www.fam.tuwien.ac.at/schedule/
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
CCEFM (Center for Central European Markets),
eine Initiative der Universitaet Wien, Wirtschaftsuniversitaet Wien,
Technischen Universitaet Wien und der Wiener Börse AG,
laedt zu folgendem Workshop ein:
Otto Randl, Universität Wien
"Chinese Walls in German Banks"
Freitag, 19.10.2001, 15.30-17.00
Wiener Börse, Wallnerstrasse 8, 1010 Wien.
Voraussichtliche weiter Termine entnehmen Sie bitte dem file, das mit
diesem email versandt wird, sowie der Seite
http://info.tuwien.ac.at/ccefm/workshop/work.htm.
Announcement: Talk by Robert Tompkins
Date: 16.10.2001
Time: 17:30 (note: this is one hour later than the usual weekly seminar at
the Institute of Financial and Actuarial Mathematics)
Location: Vienna University of Technology, Freihaus, Turm A (green),
6th floor, Room 107
(see map at: http://www.fam.tuwien.ac.at/schedule/)
Title of the talk: The relation between implied and realised probability
density functions
Abstract:
By Iliana Anagnou, Mascia Bedendo, Stewart Hodges and Robert Tompkins
A number of financial regulators [see Neuhaus (1995), Bahra (1996, 1997),
McManus (1999) and Shiratsuka (2001)] have suggested that risk neutral
densities (RND) associated with options markets could provide useful
indicators of future market turbulence. Critical to this assumption is
that such RNDs should provide an unbiased forecast of realised probability
density functions. To date, this assumption has not been fully examined.
In this research, we test the ability of RNDs for options on the S&P 500
and the British Pound / US Dollar to predict future probability densities.
We consider three approaches to estimate the RNDs, which are consistent
with approaches proposed and used by financial regulators. We also provide
a number of new testing procedures to assess the efficiency and unbiasness
of the forecasts. These tests provide more power than the usual
Komolgorov/Smirnov tests. Using non-overlapping quarterly data from the
mid 1980s to 2000, we find that we can reject the hypothesis that the RNDs
for both the S&P 500 and British Pounds are unbiased forecasts. Even with
a limited number of observations, the tests are powerful enough to allow
rejection. These results are consistent with Weinberg (2001) and are more
robust as this work relied upon the use of overlapping data. These
results tend to support the conclusions of Shiratsuka (2001), that RNDs
should not be used by financial regulators as financial indicators, and
that such use could prove counterproductive; actually increasing future
market turbulence rather than alleviating it.
Further information on other talks at the Institute of Financial and
Actuarial Mathematics can be found at
http://www.fam.tuwien.ac.at/schedule/
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
Frontieres en Finance
http://www.frontiers-in-finance.com/
and
ARTABEL SA
http://www.artabel.net/
have the pleasure of announcing a one-day
Workshop on
Model Calibration:
theoretical and computational aspects.
Journée
Calibration de modèle:
aspects numériques et théoriques.
Paris, Vendredi 26 Octobre 2001.
Paris, Friday 26 October 2001.
8:30 - 18:00.
The use of increasingly sophisticated stochastic models in finance makes
difficult the calibration of model parameters to data. On the other hand,
more and more complex derivatives are created whose prices and hedging
strategies are increasingly sensitive to model parameters and therefore
to the calibration methods used to obtain them. Th goal of this workshop
is to shed some light on some of the theoretical and numerical tools
available to tackle these difficulties: through 4 mini-courses on the
subject, we will present various methods for model calibration, examples
of their application in option pricing and finally a numerical
implementation of each method on a parallel architecture.
La sophistication croissante des modèles financiers rend difficile et
delicat la calibration des parametres de modele. D autre part, l'arrivee
sur le marche d'instruments de plus en plus complexes augmente la
sensibilite des prix et des strategies de couverture aux parametres de
modele, rendant le resultat encore plus sensible a la procedure utilisee
pour la calibration. L'objectif de cette journee sera de proposer une
approche scientifique de ce probleme et de presenter un panorama des
methodes numeriques disponibles pour le resoudre. L'exposition de chaque
methode theorique sera accompagne d'une demonstration numerique et de
commentaires sur les aspects pratiques de l'implementation.
Exposés / Talks:
Rama CONT
Centre de Mathematiques Appliquees
CNRS - Ecole Polytechnique.
Beyond Dupire:
model calibration by regularization and optimization.
Fabio MERCURIO
Banca San Paolo, Milan.
Joint Calibration of the LIBOR Market Model to Caps and Swaptions.
Stephane CREPEY
Artabel SA
Calibration of volatility surfaces I:
deterministic penalization approach.
Claude MARTINI -- Steven FARCY
Artabel SA.
Calibration of local volatility surfaces II:
stochastic control approach..
Inscriptions/ Registrations
To register, fill out and send us the registration form with your payment
or proof of bank transfer before Oct 19, 2001.
http://www.fiquam.polytechnique.fr/finance/261001.html
E-mail registration is not accepted. PhD students should include a letter
describing their subject of research.
Pour vous inscrire, renvoyez le formulaire d'inscription:
http://www.fiquam.polytechnique.fr/finance/261001.html
avec votre reglement par courrier ou télécopie au 01 41167171 avant le
19 Octobre 2001
Renseignements / Information :
For more information contact: tikhonov(a)frontiers-in-finance.com
Pour plus de renseignements, contacter: tikhonov(a)frontiers-in-finance.com
------------------------------------------------------
Frontières en Finance
http://www.frontiers-in-finance.com/
E-mail: info(a)frontiers-in-finance.com
Workshop Announcement
---------------------
"Extremal Events and Dependence Modelling
with Applications to Financial Risk Management"
Location: Swiss Re Rüschlikon (Switzerland), Centre for Global Dialogue
Date: Nov. 12 - 13, 2001
For detailed information and links see
http://www.math.ethz.ch/finance/Ruschlikon2001.html
Seminar Leaders:
- Prof. Dr. Rüdiger Frey (Swiss Banking Institute, University of Zürich)
- Prof. Dr. Alexander McNeil (Department of Mathematics, ETH Zürich)
- Dr. Uwe Schmock (RiskLab Research Director, ETH Zürich)
Target audience: insurance risk managers, actuaries, financial risk
managers, interested mathematicians and physicists
Registration fee: CHF 500.-;
For students, assistants and other academic staff CHF 100.-
Accommodation: Hotel facilities are available at Rüschlikon upon request.
Registration: Please send your e-mail registration to the responsible
event manager Nadine Schuhmacher
(mailto:Nadine_Schuhmacher@swissre.com), phone no. ++41-1-704 88 31,
indicating your full name, address, phone number.
Registration deadline: Friday, October 19, 2001
Aim of the Workshop
-------------------
Risk managers are primarily concerned with the risk of
low-probability events that could lead to catastrophic losses. Yet
traditional VaR methods tend to ignore extreme events. In particular,
it is often assumed that log-returns are multivariate normally
distributed, and little attention is paid to the distribution of the
(possibly dependent) extreme returns we are most concerned about. The
danger is then that our models are prone to fail in situations when
they are needed most - in the event of large market or credit losses.
Attempts to estimate the probability and severity of such large
losses are hampered by the lack of data - unusually large market or
credit losses are almost by definition rare events. Extreme Value
Theory (EVT) is a set of statistical techniques that have been
developed to deal with these problems.
Financial risk management also confronts us with complex
interdependencies. Of particular concern for risk managers is the
issue of extremal dependence - the phenomenon of increased dependence
and reduced diversification in stress periods. Copulas give us the
very latest tools for understanding and modelling this phenomenon and
show how extreme value theory may be taken to higher dimensions.
Elliptical distributions and the corresponding robust estimation of
dependence are a prominent example.
All these mathematical and statistical techniques help the financial
risk manager to make the best possible use of what little information
we have about the extreme losses and their possible dependence, which
explains why in recent years these techniques have become
increasingly popular as a risk management tool.
This two-day event consists of a systematic introduction to extreme
value theory and dependence modelling with a strong focus on
applications in financial risk management and worked-out case
studies, including live presentations with the latest version of the
free EVIS software routines (Extreme Values in S-Plus) developed at
ETH Zurich as an add-on to S-Plus.
Seminar Outline
---------------
1. Extreme Value Theory (EVT) in Risk Management (RM)
- Rare events, heavy tails and EVT
- General principles of risk measurement
- Measures of tail risk - VaR and coherent measures beyond VaR
2. EVT: Basic Results
- Maxima and worst-case losses
- Limiting distributions for maxima
- Modelling tails of probability distributions
- The peaks-over-thresholds (POT) method
- Software for EVT - the EVIS template
3. Case Study: EVT and Securitisation of Insurance Risk
- Applying EVT to price catastrophe covers
- Data analysis and mastering practical obstacles such as censoring
- The art of modelling and testing for trends
- Identifying and quantifying model risk
- Implementing Monte Carlo scenario generation to assess robustness
- Calculating the coupon value of a CAT bond
4. EVT and Market Risk Management
- Embedding EVT in a stochastic volatility framework
- Dynamic and static risk measurement
- VaR estimation and backtesting
- VaR for longer time horizons - scaling rules
5. Modelling Dependent Risks: Basic Concepts
- Basics of multivariate statistics
- Multivariate normal distributions
- Elliptical models and normal mixture models
- Portfolio theory in an elliptical world
6. Advanced Concepts: Copulas and Extremal Dependence
- Describing dependence with copulas
- Understanding the limitations of correlation
- Alternative dependence measures
- Statistical aspects of dependence modelling
- Tail dependence and dependent extreme values
- A survey of useful copula families
7. Applications: Credit Risk Models
- Multivariate discrete models for credit risks
- Latent variable models and mixture models
- Standard solutions: CreditMetrics, KMV and CreditRisk+
- Mapping between latent variable and mixture models
- Exchangeability and correlation
- Dirichlet-Bernoulli mixture model
- Motivation of the Dirichlet distribution, properties
- What is extreme credit risk?
- Copulas and extreme credit risk
- Improving and extending standard solutions
- Generating risky scenarios - a simulation study
- Alternative risk transfer - basket credit derivatives
- Calibrating credit models to available information
- Modelling rating transitions
With best regards,
Uwe Schmock
Home Page: http://www.math.ethz.ch/~schmock/
Financial and Insurance Mathematics: http://www.math.ethz.ch/finance/
RiskLab: http://www.risklab.ch/
Risk Day 2001
-------------
Mini-Conference on Risk Management in Finance and Insurance
organised by RiskLab, ETH Zurich.
Printable and online program with links:
http://www.math.ethz.ch/finance/Risk-Day-2001.html
Time: Friday, October 19, 2001, 9.00 - 17.30
Location: ETH Zurich, Main Building, Lecture Hall HG F7; Refreshments
in the "Uhrenhalle" (main hall, F-floor)
General Information: Participation is free, and there is no official
registration. Everyone is welcome, practitioners are especially
encouraged to attend.
Program:
--------
9.00 - 9.10
Prof. Dr. Hans-Jakob Lüthi (IFOR and RiskLab, ETH Zürich)
"Welcome and Presentation of RiskLab"
9.10 - 9.50
PD Dr. Wolfgang Breymann (RiskLab, Dept. of Math., ETH Zürich)
"Volatility Estimation and Risk Measurement:
>From Short to Long Time Horizons"
Abstract: Market risk management, portfolio optimization and option
pricing methods can only be as good as the model of the underlying
volatility process. An approach will be presented that uses intraday
high-frequency financial data to improve risk measurement at long
time horizons. It takes advantage of the fact that volatility
estimation on a time horizon of the order of days can be improved by
the use of intra-day data. Such data require special methods for data
analysis. The following results will be presented:
- Universal method for deseasonalization of financial time series.
- Use of intra-day data to improve volatility estimates
at daily or longer time horizons.
- Modelling financial time series by means of a hierarchical
volatility model containing a cascade from long to short time
horizons.
An outlook will be given on how to use these techniques for portfolio
optimisation and risk management at longer time horizons.
9.50 - 10.30
Enrico De Giorgi (RiskLab, Dept. of Math., ETH Zürich)
"An Intensity Based Non-Parametric Default Model for Residential
Mortgage Portfolios"
Abstract: In December 2000 Swiss banks held about 505 billion CHF
debts in the form of mortgages. Nonetheless, current models for
credit risk are not designed to capture the specific dependence
characteristics of a large mortgage portfolio. Given the huge size of
the mortgage market, it is surprising that the issue has been largely
ignored by academic research. Our attention lies in a proper way of
modeling default risk for individual residential mortgages, which is
affected by macro-economic factors such as unemployment, mortgage and
factors specific to the obligor. We consider the time to default,
using a non-parametric proportional hazard model for the intensity
process, which is assumed to depend on a set of factors
(macro-economic, mortgage and obligor specific). A technique from
generalized additive models is used for estimation and the
contribution of each factor to the default intensity is computed.
10.30 - 11.00 Coffee Break (Main Hall, F-Floor, Uhrenhalle)
11.00 - 11.30
Filip Lindskog (RiskLab, Dept. of Math., ETH Zürich)
"Multivariate Extremes, Aggregation and Dependence in Elliptical Distributions"
Abstract: The class of elliptical distributions provides a rich
source of multivariate distributions which share many of the
tractable properties of the multivariate normal distribution and
enables modelling of multivariate extremes and other forms of
non-normal dependences. In this talk I aim to clarify dependence
properties of elliptical distributions and give examples how these
results can be applied. (Joint work with Henrik Hult.)
11.30 - 12.00
Alessandro Juri (Dept. of Math., ETH Zürich)
"Using Copulae to Bound the Value-at-Risk for Functions of Dependent Risks"
Abstract: The theory of copulae is known to provide a useful tool for
modelling dependence in integrated risk management. For given risks
X_1,...,X_n and a real-valued functional f on R^n, bounds for the
Value-at-Risk of the global position f(X_1,...,X_n) are provided. The
key point is that we do not have specific dependence information on
X_1,...,X_n. A further issue is how these bounds change when specific
dependence information is assumed. Various examples highlight the
methodology introduced. (Joint work with Andrea Höing and Prof. P.
Embrechts.)
12.00 - 13.40 Lunch Break
13.40 - 14.10
Pierre Patie (RiskLab, Dept. of Math., ETH Zürich)
"Risk Management for Derivatives in Illiquid Markets"
Abstract: In this talk, we study the hedging of derivatives in
illiquid markets. We consider a model where the implementation of a
hedging strategy affects the price of the underlying security. We
derive a formula for the feedback effect of dynamic hedging on market
volatility and characterize perfect hedging strategies by a nonlinear
version of the Black-Scholes PDE. Then we extend our approach to
portfolios of derivatives by providing a pricing rule for the
individual claims in a portfolio assuming that we know the overall
hedge cost and the replicating strategy for the large trader. We
solve numerically the PDE and we provide results (option prices and
greeks) for different kinds of options. On the topic of risk
management, we suggest a methodology to measure liquidity based on
the estimation of implied parameters obtained from real option
prices. Finally, simulations are used to assess the performance of
various hedging strategies under market illiquidity. (Joint work with
Prof. Rüdiger Frey, ISB, University of Zurich.)
14.10 - 14.40
Dr. Jesper Lund Pedersen (RiskLab, Dept. of Math., ETH Zürich)
"An Optimal Selling Strategy Based on Predicting the Ultimate Maximum Price"
Abstract: In this talk I will present an optimal selling strategy for
an asset in the following sense: An investor with a long position in
one asset decides to close the position before a given time. The
investor continuously observes the asset price performance and has to
determine the point in time (selling strategy) to close out the
position so that the asset price is as close as possible to the
ultimate maximum price over the given period. The probable proximity
is measured by a probability distance. Thus, the investor's objective
is to maximize, over all strategies, the probability that the asset
price when the position is closed out is greater than a given
percentage of the ultimate maximum price.
14.40 - 15.10
Dr. Larbi Alili (Dept. of Math., ETH Zürich)
"Exponential Functionals of Brownian Motion and Asian Options"
Abstract: Exponential functionals of Brownian motion play an
important role in the valuation and hedging of Asian options. The aim
of this talk is to provide an elementary method for computing the
distribution of the latter functionals.
15.10 - 15.50 Coffee Break (Main Hall, F-Floor, Uhrenhalle)
15.50 - 16.20
Dr. Dirk Tasche (RiskLab, Dept. of Math., ETH Zürich)
"Expected Shortfall and Beyond"
Abstract: Expected Shortfall (ES) in several variants has been
proposed as a remedy for the deficiencies of Value-at-Risk (VaR),
which in general is not a coherent risk measure. In fact, most
definitions of ES lead to the same results when applied to continuous
loss distributions. Differences may appear when the underlying loss
distributions have discontinuities. In this case even the coherence
property of ES can be lost. The relations between some of the
definitions of ES will be discussed. It will be pointed out that
there is one which is robust in the sense of yielding a coherent risk
measure regardless of the underlying distributions. In contrast to
VaR, this variant of ES can always be estimated naively. Moreover, as
shown recently by S. Kusuoka, it generates in a certain sense the
class of all law invariant coherent risk measures.
16.20 - 16:50
Prof. Dr. Philippe Artzner (RiskLab and Université Louis Pasteur)
"Coherent Acceptability for Multiperiod Risk and Applications"
Abstract: We explain why and how to deal with the definition, the
acceptability and the management of risk in a genuinely multitemporal
way. Acceptable value processes are primitive objects and the measure
of risk of a value process is the initial extra capital which makes
it acceptable. Coherence axioms then provide a representation of a
risk-adjusted valuation as the minimum expected value of an Stieltjes
integral with respect to random measures. Some special cases allowing
for recursive computations are presented. (Joint work with Freddy
Delbaen, Jean-Marc Eber, David Heath and Hyejin Ku.)
17.00 Awarding of the Prize of the Dimitris N. Chorafas Foundation.
Conference Secretary: Mrs G. Baltes, HG G37.2, Phone 01/632 34 00,
E-mail: baltes(a)math.ethz.ch
With best regards,
Uwe Schmock
Home Page: http://www.math.ethz.ch/~schmock/
Financial and Insurance Mathematics: http://www.math.ethz.ch/finance/
RiskLab: http://www.risklab.ch/
---------- Forwarded message ----------
Date: Mon, 24 Sep 2001 19:44:54 -0500
From: Leigh Tesfatsion <tesfatsi(a)IASTATE.EDU>
To: SIMSOC(a)JISCMAIL.AC.UK
Subject: September 2001 news notes on agent-based computational economics
24 September 2001
Just a note to say that the September 2001 news notes on agent-based
computational economics (ACE) are now available on-line in html document
form at
http://www.econ.iastate.edu/tesfatsi/ace0901.htm
Featured items include journal, book, software, research group, on-line
course, and conference announcements. Items of more permanent interest
have been incorporated into the ACE Web site at
http://www.econ.iastate.edu/tesfatsi/ace.htm
ACE is the computational study of economies modelled as evolving systems of
autonomous interacting agents.
Best wishes,
Leigh Tesfatsion
Leigh Tesfatsion Department of Economics
Tel: (515) 294-0138 Iowa State University
FAX: (515) 294-0221 Ames, Iowa 50011-1070
tesfatsi(a)iastate.edu http://www.econ.iastate.edu/tesfatsi/
---------- Forwarded message ----------
Date: Mon, 24 Sep 2001 11:05:31 -0700
From: Ulrich Haussmann <uhaus(a)math.ubc.ca>
Subject: position at UBC
Please bring the following opening to the attention of anyone who might be
interested.
The Mathematics Department at the University of British Columbia is seeking
candidates for at least one tenure-track Assistant Professorship, subject
to funding, with a starting date of 1 July 2002. Exceptional candidates at
the Associate Professor or Professor level may be considered. Applicants
must have a superb research record in one of the following areas: Financial
Mathematics, Mathematical Biology, Partial Differential Equations,
Scientific Computing or Industrial/Applied Mathematics. The successful
applicant is expected to interact with related groups in the Mathematics
Department and have demonstrated interest and ability in teaching. The
salary will be commensurate with experience and
research record. Applicants should send a current cv including a list of
publications, statement of research and teaching interests and a list of
four referees to
Professor George Bluman, Head
Department of Mathematics
University of British Columbia
#121 - 1984 Mathematics Road
Vancouver, B.C. Canada V6T 1Z2
Assistant Professorship candidates should arrange for three letters of
recommendation to be sent directly to the same address.
Applications must be received before November 27, 2001.
on wednesday, oct. 10th 4 pm at the institut für höhere studien
(stumpergasse 56, 1060) hs. II, there will be a seminar talk by
kerry back (olin business school, washington university, st. louis)
on "Information in securities markets: Kyle meets Glosten and
Milgrom"
best
gabe lee
______________________________________________________________
Gabriel S. LEE
Institute for Advanced Studies
Department of Economics and Finance
Stumpergasse 56
A-1060 Vienna, AUSTRIA
Email: gabriel.lee(a)ihs.ac.at
Tel: +43.1.59991.141
Fax: +43.1.597.0635
Homepage: http://www.ihs.ac.at/~lee/
CALL FOR PARTICIPANTS
The Center for Applied Probability at Columbia University presents the
8th Annual CAP Workshop on Derivative Securities and Risk Management
Friday, November 9, 2001
Columbia University, New York City
This year we present another group of highly distinguished
speakers in the usual informal workshop aimed at fostering
communication between academia and industry.
SPEAKERS:
David Chasman, Sempra Energy Trading
"Managing 'Simple' and Not-So-Simple Energy Risk"
Steve Heston, Goldman Sachs
"The Expectations Puzzle in a Log-Linear Bond Model"
Michael Johannes, Columbia Business School
"The Impact of Jumps in Volatility and Returns"
Alan Lewis, Analytic Investment Management
"A Simple Option Formula for General Jump-Diffusion and other
Exponential Levy Processes"
Keynote Address:
Richard Sandor, Environmental Financial Products
"The Chicago Climate Exchange: Creating a Market for Greenhouse Gas
Emissions Trading"
Philipp Schoenbucher, Bonn University
"Pricing Exotic Credit Derivatives"
Nick Webber, University of Warwick
"Lattice Methods for Levy processes"
Zhifeng Zhang, Morgan Stanley
"Simulating Correlated Default Arrival Times and Pricing Basket Default Swaps"
REGISTRATION FEES:
Academic:
By Nov. 2: $110 ($30 student)
On site: $150 ($40 student)
Corporate:
By Nov. 2: $220
On site: $300
A light lunch will be provided, and a wine and cheese reception will
be held at the end of the day.
REGISTRATION PROCEDURE:
Send Name, Title, Affiliation, Address and E-mail Address (as we
prefer to acknowledge receipt of your registration by e-mail), along
with a check or money order payable to CAP to the address below.
Or, to pay by credit card (MC or Visa ONLY), send the same
information in an e-mail to the address below and, in addition,
include CC#, Exp. Date, Name (as it appears on card), and Billing
Address. If you prefer, you may FAX the information, or a legible
(not too dark) copy of your credit card, to the FAX number listed
below.
CONTACT:
E-mail: cap(a)columbia.edu
WWW: http://www.cap.columbia.edu/
Postal: Center for Applied Probability, ATTENTION: Finance Workshop
601 CEPSR, Columbia University, Mail code 8906
530 West 120th Street, New York, NY 10027
Phone: (212) 854-6096
FAX: (212) 854-6989
LOCATION:
Columbia University, New York City
Exact location TBA.
Check http://www.cap.columbia.edu for updated information
ORGANIZERS:
M. Broadie, P. Glasserman, C. Heyde, S. Kou and K. Sigman.
Ausschreibung
Am Institut für Medizinische Statistik ist eine Planstelle mit einem
Universitätsassistenten/in - Ersatzkraft vom 01.10.2001 bis 30.09.2002 zu
besetzen.
Aufnahmebedingungen: Abgeschlossenes Doktoratsstudium (Statistik,
Mathematik oder ein fachverwandtes Studium)
Gewünschte Zusatzqualifikationen: Erfahrung mit Anwendungen von
statistischen Methoden in Medizin, Biologie oder Epidemiologie; Kenntnisse
in statistischer Software; Erfahrung mit statistischmethodischen
Problemstellungen.
Kennzahl: 1735301
Bewerbungsfrist: 10.10.2001
Bewerbungen: Bewerbungsformulare mit Lebenslauf sind an die
Universität Wien
Universitätsdirektion
Personalabteilung/Bundesbedienstete
Allgemeines Krankenhaus Wien
Medizinische Fakultät
Währinger Gürtel 1820, A1090 Wien, zu richten.
Am Institut bestehen statistischmethodische Forschungsschwerpunkte über
sequentielle und adaptive Designs, Qualitätskontrolle in medizinischen
Studien sowie multiple Inferenz und Versuchsplanung.
Darüberhinaus nimmt das Institut für Medizinische Statistik innerhalb der
Fakultät eine Dienstleistungsfunktion bei der Planung und Auswertung von
medizinischen Forschungsprojekten wahr. Dabei kommt es zu Kooperationen mit
medizinischen Fachwissenschaftlern aus den Bereichen medizinischer
Experimente sowie klinischer und epidemiologischer Studien. Für diese
Tätigkeit ist gute Statistiksoftwarekenntnis erforderlich.
Schließlich nimmt auch die Bedeutung der Lehrtätigkeit, schwerpunktsmäßig
zur Einführung in statistische Methoden für das medizinische Umfeld,
ständig zu.
Für weitere Informationen siehe auch http://www.mstat.univie.ac.at
____________________________
Martin Posch
Department of Medical Statistics
University of Vienna
http://Posch.n3.net
---------- Forwarded message ----------
Date: Wed, 12 Sep 2001 15:30:09 +0100
From: cemapre <cemapre(a)iseg.utl.pt>
To: <Undisclosed-Recipient:@mail.iseg.utl.pt;>
Subject: Sixth International Congress on Insurance: Mathematics and
Economics
CEMAPRE is pleased to host the Sixth International Congress on Insurance: Mathematics & Economics, to be held on July 15-17, 2002, at ISEG, Technical University of Lisbon.
We invite you to have a look at our web page at http://www.iseg.utl.pt/~cemapre/ime2002
---------- Forwarded message ----------
Date: Fri, 7 Sep 2001 15:46:51 -0400 (EDT)
From: Jean-Pierre Fouque <fouque(a)unity.ncsu.edu>
Subject: tenure-track position in financial mathematics
Dear colleagues,
Below you will find an announcement
for an assistant professor position in financial mathematics.
It is at:
http://www.math.ncsu.edu/departmental/facpositions.html
Please bring this announcement to the attention
of qualified and interested individuals.
Thanks a lot,
JPF
Jean-Pierre Fouque
Department of Mathematics
NCSU, Box 8205
Raleigh, NC 27695-8205
Phone: (919) 515-8588, Fax: (919) 515-3798
http://www.math.ncsu.edu/~fouque
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
The Department of Mathematics invites applications for a tenure track
appointment at the assistant professor level in financial mathematics,
beginning in the fall of 2002.
Candidates should have a strong ongoing research program and a
demonstrated skill in teaching. The candidate's areas of interest should
complement the current research activities within the department in the
broad areas of stochastic processes, partial differential equations and
scientific computation. The successful candidate will participate in the
creation and development of a multidisciplinary Masters program in
Financial Mathematics.
Applicants should send a vita and three letters of reference
to Financial Mathematics Search Committee,
NC State University,
Mathematics Department, Box 8205,
Raleigh, NC 27695-8205.
Complete applications received before November 30, 2001 will receive full
consideration.
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
---------- Forwarded message ----------
Date: Wed, 05 Sep 2001 16:15:05 -0500
From: cywei(a)uts.cc.utexas.edu
To: wschach(a)fam.tuwien.ac.at
Subject: Message from Actuarial Science Society
Dear Walter Schachermayer ,
POSITION IN ACTUARIAL SCIENCE
The Department of Mathematics and Statistics of the Faculty of Arts and
Sciences of the Université de Montréal invites applications for a
tenure-track position in actuarial science at the assistant professor,
associate professor or full professor level. The Department collaborates to
the activities of the Centre de recherches mathématiques (CRM). The position
is subject to budgetary approval. For more information on the Department or
the CRM, visit www.dms.umontreal.ca/ and www.crm.umontreal.ca/ .
DUTIES
Undergraduate and graduate teaching, supervision of graduate students, and
research.
REQUIREMENTS:
To hold a Ph.D. in Actuarial Science or in a related area and to be an
associate member of an actuarial society. An expertise in mathematical
finance is a supplementary advantage. The research record is of prime
importance. The candidate must possess excellent teaching skills. A good
working knowledge of French is required.
SALARY:
The Université de Montréal offers competitive salaries and a complete
package of social benefits.
STARTING DATE:
June 1, 2002.
The interested candidates must submit a curriculum vitae including a concise
statement of their research interests, at least three letters of reference,
and copies of at most three of their most important research publications
before November 15, 2001 (or until the position is filled), to:
Chair
Département de mathématiques et de statistique
Université de Montréal
C.P. 6128, succursale Centre-ville
Montréal QC H3C 3J7
Phone: (514) 343-6743
FAX: (514) 343-5700
email: mathstat(a)dms.umontreal.ca
In accordance with Canadian immigration requirements, priority will be given
to Canadian citizens and permanent residents of Canada. The Université de
Montréal subscribes to an affirmative action program for women and to
employment equity.
Cordially,
Patrick L. Brockett
**************************************************************************
Actuarial Science Researchers Online International Directory Adminstrator
http://wnt.cc.utexas.edu/~bgbc771/Acs_Dir.cfm
Gus S. Wortham Memorial Chairholder in Risk Management and Insurance
Department of Management Science and Information Systems,
Director, Risk Management Program,
Professor of Finance, Mathematics and Management Science
**************************************************************************
---------- Forwarded message ----------
Date: Fri, 6 Jul 2001 12:56:47 +0200
From: DGF 2001 Conference <dgf.finance(a)univie.ac.at>
Subject: DGF 2001 Conference
Dear Colleague!
I would like to inform you that the preliminary program for this year's
annual meeting of the German Finanance Association is now available on
the Web at http://dgf.univie.ac.at/ . The conference will take place in
Vienna on October 5th and 6th and registration is open now.
I hope to see you at the conference,
Josef Zechner
--
Josef Zechner
Department of Business Studies
University of Vienna
Bruennerstrasse 72
A-1210 Vienna
Austria
Tel: +43-1-4277 38071
Fax: +43-1-4277 38074
Technische Universitaet Wien
15. Workshop
Austrian Working Group on Banking and Finance
30. 11. / 1. 12. 2001
CALL FOR PAPERS
Der Workshop findet am Freitag, dem 30. 11. 2001, nachmittags und am
Samstag, dem 1. 12. 2001, vormittags an der TU Wien statt. Bezueglich
der Themen ist keine Einschränkung vorgesehen. Papers oder extended
abstracts (ca. 2 Seiten) können bis spätestens 5. 11. 2001 bei Prof.
Helmut Uhlir und Prof. Stefan Pichler, TU Wien, Abteilung für
Industriefinanzierung und Investment Banking, Favoritenstrasse 11, 1040
Wien (Tel.: 01-58801-33080, Fax: 01-58801-33098), eingereicht werden.
Einreichung per Email (huhlir(a)pop.tuwien.ac.at bzw.
spichler(a)pop.tuwien.ac.at) ist erwünscht.
Einen schönen Sommer wünschen
Helmut Uhlir Stefan Pichler
-------- forwarded message ---------
Date: Wed, 4 Jul 2001 21:04:35 +0800
From: Chia-Hsuan Yeh <spock(a)MS17.URL.COM.TW>
Subject: Call for papers,
The Second International Workshop on Computational
Intelligence in Economics and Finance (CIEF'2002)
The Second International Workshop on Computational Intelligence in
Economics and Finance (CIEF'2002)
Research Triangle Park, North Carolina, U.S.A.
March 8-13, 2002
http://www.ee.duke.edu/JCIS/
Keynote Speech:
Agent-Based Computational Economics: The Computational Study of Evolving
Decentralized Economies
Leigh Tesfatsion
Department of Economics
Iowa State University
Ames, IA 50011-1070, U.S.A.
TBA
Jasmina Arifovic
Department of Economics
Simon Fraser University
Buranby, BC V5A 1S6, Canada
Call for Papers
The Second International Workshop on Computational Intelligence in
Economics and Finance (CIEF'2002) will be held as a part of the Sixth
Joint Conference on Information Science. Computational intelligence,
usually known as a collection of techniques, including artificial
neural networks, fuzzy logic, evolutionary algorithms, etc., is one
of the most important tools in computational economics and finance.
Over the last decade, computational intelligence has been widely used
in various economical and financial modelling, prediction, and analysis.
The most noticeable application of computational intelligence is in
financial data mining.
In addition to financial data mining, computational intelligence has
also been intensively used in the research area known as agent-based
computational economics where global regularities arise from the bottom
up, through repeated local interactions of autonomous agents.
Computational intelligence provides a tool to model these autonomous
agents and their interactions. Issues addressed include the replication
of laboratory results with human subjects, equilibrium selection, the
emergence of the representative agent, rational expectations, markets
and money, simulations of artificial stock markets and other social
processes.
We see now a need to bring together people with different backgrounds
who share the same interests in their closely related studies. This
conference serves this purpose.
Topics of Interest:
Application Areas: Application areas may include, but are not limited to:
Agent-Based Computational Economics
Artificial Stock Markets
Simulation of Social Processes
Evolutionary Game and Industrial Organization
Financial Engineering
Financial Data Mining
Trading Strategies
Hedging Strategies
Portfolio Management
Derivative Pricing
Term Structure Models
Financial Time Series Forecasting and Analysis
Techniques:
Artificial Neural Networks
Fuzzy Logic
Evolutionary Strategies
Evolutionary Programming
Genetic Algorithms
Genetic Programming
Statistical Classifiers
Cluster Analysis
Decision Trees
Inductive Logic Programming
Self-Organized Map
Reinforcement Learning
Wavelet
Rough Sets
Support Vector Machine
Hybrid Systems
Paper Submission
Papers describing new techniques and/or novel applications are solicited.
All papers should be no more than 4 pages of 10-point font, double column,
single-spaced text, with figures and tables included. Papers should
be sent to:
Shu-Heng Chen
AI-ECON Research Center
Department of Economics
National Chengchi University
Taipei, Taiwan 11623
chchen(a)nccu.edu.tw
While hard copies are acceptable, electronic submissions via PS or PDF
files are highly encouraged. Authors who use electronic submissions
should sent a separate email in plain text to indicate this.
All submissions must be received by the 30th of September, 20001.
Contributed papers will be reviewed by the program committee. The
authors will be informed about the decision of the review process by
the 5th of November 2001. All accepted papers will be published in
the conference proceedings.
Important Dates
September 30, 2001 - Deadline for submission of papers
November 5, 2001 - Paper acceptance letters to be sent out to authors
November 5, 2001 - Deadline for invited sessions and exhibition proposals
December 3, 2001 - Deadline for early registration with discounted fee
December 3, 2001 - Publication fee ($180) due for each paper (regular
and invited) to be included
in proceedings. This amount is included in full
registration fee.
December 3, 2001 - Deadline for submission of revised camera ready
copies of accepted papers
March 8-14, 2002 - JCIS 2002 Conference
General Chair:
Professor Paul P. Wang
Dept of Electrical & Computer Engineering
P.O. 90291
Duke University
Durham, NC 27708 - 0291
U.S.A
email: ppw(a)ee.duke.edu
Conference Chairs
Professor Shu-Heng Chen
AI-ECON Research Center
Department of Economics
National Chengchi University
Taipei, Taiwan 11623
R.O.C.
tel: +886-2-29387308
fax: +886-2-27386874
e-mail: chchen(a)nccu.edu.tw
http://www.aiecon.org/
Professor Xin Yao
School of Computer Science
The University of Birmingham
Edgbaston, Birmingham B15 2TT
U.K.
tel: +44 121 414 3747
Fax: +44 121 414 4281
e-mail: x.yao(a)cs.bham.ac.uk
http://www.cs.bham.ac.uk/~xin
Program Chair
Assistant Prof. Chia-Hsuan Yeh
Department of Information Management
I-Shou University
Kaohsiung County, Taiwan 84008
R.O.C.
tel & fax: 886-7-3552758
e-mail: spockyeh(a)ms38.hinet.net
http://econo.nccu.edu.tw/~spock/
Program Committee
Peter Angeline (Natural Selection, Inc, USA)
Kohen Bertels (University of Namur, Beligum)
Shiddhartha Bhattacharyya (University of Illinois at Chicago, USA)
Jane Binner (Nottingham University, UK)
Lai-Wan Chan (The Chinese University of Hong Kong, HK)
Paul Darwen (University of Queensland, Australia)
Herbert Dawid (University of Vienna, Austria)
John Duffy (University of Pittsburgh, USA)
Hitoshi Iba (University of Tokyo, Japan)
Lakhmi Jain (University of South Australia, Australia)
Mahmoud Kaboudan (Penn State University, USA)
Taisei Kaizoji (International Christian University, Japan)
Kin Keung Lai (City University of Hong Kong, Hong Kong)
Ana Marostica (University of Buenos Aires, Argentina)
Michele Marchesi (University of Cagliari, Italy)
Robert Marks (Australian Graduate School of Management, Australian)
Zbigniew Michalewicz (University of North Carolina at Charlotte, USA)
Nikolay Nikolaev (University of London, UK)
Akira Namatame (National Defence Academy, Japan)
Pavel Osmera (Technical University Brno, Czech Republic)
Thomas Riechmann (University of Hannover, Germany)
Hiroshi Sato (National Defence Academy, Japan)
Stephen Smith (Algometrics, UK)
KY Szeto (HK University of Science and Technology, Hong Kong)
Leigh Tesfatsion (Iowa State University, USA)
Nicholas Vriend (University of London, UK)
Lei Xu (Chinese University of Hong Kong, Hong Kong)
Byoung-Tak Zhang (Seoul National University, South Korea)
Zijian Zheng (Deakin University, Australia)
Gilles Zumbach (Olsen & Associates, Switzerland)
FYI, a call for papers for the "International Journal of Intelligent
Systems in Accounting Finance & Management". -- VFN-L administrator
---------- Forwarded message ----------
Date: Wed, 04 Jul 2001 15:57:44 +0200
From: Christian Haefke <christian.haefke(a)econ.upf.es>
Subject: Special issue on Computational Finance
Call For Papers
Special Issue on Computational Finance
Guest Editor: Christian Haefke
Papers are sought that address the use and application of computing and
algorithms for solving finance problems.
Papers on statistics and econometrics that potentially can be used in
finance and involve computer-intensive methods are equally welcome.
Topics of the special issue include, but are not limited to:
Option Pricing
Risk
Volatility
Tactical Asset Allocation
Interest Rate Modelling
Exchange Rate Modelling
Resampling Methods
Nonparametric Methods
Density Estimation
Extreme Value Statistics
Important Dates
===============
Deadline of submissions: 01 December 2001
Submission of Papers
====================
All papers submitted must contain original unpublished work that is
not being submitted for publication elsewhere. Instructions to authors
and information about the International Journal of Intelligent Systems
in Accounting Finance and Management can be found at
http://www.interscience.wiley.com/jpages/1055-615X/
Electronic submission is encouraged. Please e-mail a postscript or PDF
file of your manuscript together with a plain text cover letter to
mailto:christian.haefke@econ.upf.es
Authors unable to submit electronically may send four copies of their
manuscript to the guest editor.
Further information can be obtained by contacting the special issue
editor at the following address:
Christian Haefke
Department of Economics and Business
Universitat Pompeu Fabra
Ramon Trias Fargas 25-27
E-08005 Barcelona, Spain
http://www.econ.upf.es/~chaefke
---------- Forwarded message ----------
Date: Fri, 29 Jun 2001 11:29:34 -0500
From: Bachelier Congress 2002 <bfs2002(a)mail.ma.utexas.edu>
Subject: BACHELIER CONGRESS - CALL FOR PAPERS
B A C H E L I E R F I N A N C E S O C I E T Y
2 N D W O R L D C O N G R E S S
CRETE, GREECE : JUNE 12-15, 2002
-----------------------------
C A L L F O R P A P E R S
The Bachelier Finance Society was founded in 1996 by a group of
researchers in Mathematical Finance to serve as a platform where
academics and practitioners can meet and exchange ideas spanning across
Mathematics, Finance, Economics, Econometrics and Insurance. To achieve
this goal, the BFS organizes every two years an International Congress.
The scientific program of the 2002 BFS Congress consists of plenary
talks and contributed papers. The invited plenary talks will give an
overview of the latest important developments in the field. They will
also present new ideas, directions and methodologies from Finance,
Economics, Econometrics and Mathematics and, discuss pressing problems
in the Finance and Insurance industries. The contributed papers will
complement the plenary talks with recent results and advances.
The overall scope is to create a unique interdisciplinary forum for
discussion of new concepts, incite stronger interaction across the
fields, and, at the same time, define new directions for the future
development of Mathematical Finance.
P L E N A R Y S P E A K E R S
Y. Ait-Sahalia (Princeton), K.J. Arrow* (Stanford), N. El Karoui
(Ecole Polytechnique), V. Kaminski (Enron), I. Karatzas (Columbia),
P.-L. Lions (Paris IX), M. Musiela (BNP Paribas), M. O' Hara (Cornell),
K. Singleton (Stanford), W. Zame (UCLA) (* not yet confirmed)
S C I E N T I F I C C O M M I T T E E
G. Constantinides (Chicago), M.H.A. Davis (Imperial College),
F. Delbaen (ETH), D. Duffie (Stanford), H. Foellmer (Humboldt),
M. Jeanblanc (Evry), E. Platen (UTS), T. Zariphopoulou (UT-Austin)
SUBMISSIONS: Participants are encouraged to submit a research paper.
Submissions can be either a completed paper or an extended summary (two
to four pages long).
The deadline for submissions is November 30, 2001. Instructions
regarding submissions will be posted on the web site of the Congress.
LOCATION: Crete, the largest greek island, offers a unique combination
of natural beauty, historical sites and vibrant life. A land with a
distinct character is one of the most magnificent places in Greece.
The Congress will take place at the Capsis Beach Hotel and Sofitel Capsis
Palace Conference Center (www.capsis.gr) on the peninsula of Agia
Pelagia, a picturesque site on the northern shore of Crete near
Heraklion. A block of rooms at special rates will be available for
the conference participants. Information regarding registration, hotel
reservations, transfers as well as the planned cultural and social events
will be posted in the upcoming months.
FINANCIAL SUPPORT: Depending on the availability of funds, limited
financial support will be provided to students and young researchers. The
application material will be posted on the web site of the Congress.
WEB SITE: http://www.ma.utexas.edu/Bachelier2002
Sehr geehrte Damen und Herren,
Das Seminar "Finanzmathematik" hat vorige Woche seinen Abschluss
gefunden: Wir moechten uns nochmals bei allen Vortragenden sehr
herzlich bedanken fuer Ihr Engagement und Ihre Bereitschaft, einen
Einblick in die "finanzmathematischen Praxis" zu geben; danke auch
an die vielen Zuhoerer fuer Ihr Interesse an unseren Veranstaltungen.
Die Vortragsunterlagen, soweit vorhanden, finden Sie unter
http://www.mat.univie.ac.at/~mfulmek/sess01.html
Wir wuenschen Ihnen einen schoenen und erholsamen Sommer,
Mit besten Gruessen,
Markus Fulmek
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik" haelt Herr
Dr. Peter Schaller (Bank Austria) einen Vortrag zum Thema
"Jenseits der gemeinsamen Normalverteilung:
Zeitreihen von Veraenderungen von Geld- und
Kapitalmarktzinsen"
Zeit: Mittwoch, 20. Juni 2001, 19 Uhr
Ort: Hoersaal 1
Institut fuer Mathematik
Strudlhofgasse 4
1090 Wien
Mit besten Gruessen,
Markus Fulmek
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
___ ___ _______ _______ _____
| | || ___|| | | ______ | |_
| | || ___|| ||______|| |
\_____/ |___| |__|____| |_______|
Vienna Finance Newsletter <vfn-l(a)fam.tuwien.ac.at>
On June 19, 2001, The Vienna Finance Newsletter is celebrating 6 years
of being and serving and mailing. Read more about the grounding of its
birthday in the posting 'Vienna Finance Newsletter hat Geburtstag' (in
German only, sorry) at
http://www.fam.tuwien.ac.at/pipermail/vfn-l/2000q2/000707.html
We are pleased to announce the following 'birthday lecture':
Martin T. Barlow (University of British Columbia)
A diffusion model for electricity spot prices
Tue, June 19, 2001, 16:30-18:00
University of Technology, Wiedner Hauptstr. 8-10/107
Freihaus, green tower, 6th floor, Seminarraum 107
Abstract:
Electricity is now a traded commodity in a number of regions.
Starting from a simple supply/demand model for electricity, we obtain
a model for spot prices which captures some of the features of real
prices, including 'price spikes'. We estimate the parameters in the
model for the Alberta and California markets, and compare this model
with some others used for spot prices.
Martin T. Barlow (University of British Columbia)
http://www.math.ubc.ca/people/faculty/barlow/barlow.html
Your VFN-L administrator will be there, too, hopefully with coffee,
some birthday cookies and spikeless electricity.
Yours administratively,
-- Andreas Schamanek
vfn-l administrator
---------------------------------------------------------------------
ANDREAS SCHAMANEK <schamanek(a)gmx.net> T: +43-1 58801-10555, F: -10598
Admin @ Dept. of Statistics and Decision Support * Univ. of Vienna
Admin @ Dept. of Financial and Actuarial Mathematics * TU Vienna
Liebe Kolleginnen, liebe Kollegen,
ich darf Sie auf die folgende Ausschreibung am Institut für Finanzierung
und Finanzmärkte, Ordinariat für Betriebliche Finanzierung, aufmerksam
machen.
Mit besten Grüßen
Stefan Bogner
XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
A U S S C H R E I B U N G
Am INSTITUT für Finanzierung und Finanzmärkte der Wirtschaftsuniversität
Wien, Ordinariat für Betriebliche Finanzierung (Prof. Bogner), ist ab 1.
September 2001 1 Universitätsassistent/innen/enposten zu besetzen.
Aufgabengebiet:
Mitarbeit im organisatorisch-administrativen Bereich, Entwicklung und
Abhaltung von Lehrveranstaltungen und Mitarbeit an Forschungsprojekten.
Gesetzliche Aufnahmebedingungen:
Abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften
Zusätzlich erwünschte Kenntnisse:
- Studienrichtung Betriebswirtschaftslehre/Handelswissenschaften mit
spezieller Fachrichtung 'Finanzierung'
- Vertiefende Kenntnisse auf dem Gebiet der betrieblichen Finanzierung und
der EDV-Anwendung
Schriftliche Bewerbungen mit Lebenslauf und Angabe über den Studienerfolg
(ohne Originalzeugnisse) sind an die PERSONALABTEILUNG der
Wirtschaftsuniversität Wien, Augasse 2 - 6, 1090 Wien zu richten.
Ende der Bewerbungsfrist: 27. Juni 2001
Die Wirtschaftsuniversität Wien hat sich eine Erhöhung des Frauenanteils am
wissenschaftlichen Personal zum Ziel gesetzt. Deshalb werden nachdrücklich
Frauen aufgefordert, sich zu bewerben.
Alle Bewerberinnen, welche die gesetzlichen Aufnahme- und
Ernennungserfordernisse sowie die im Ausschreibungstext zusätzlich
gewünschten Kriterien erfüllen, werden zu einem Aufnahmegespräch eingeladen.
An der Wirtschaftsuniversität Wien ist ein Arbeitskreis für
Gleichbehandlungsfragen eingerichtet. Auskunft über Funktion und Mitglieder
des Arbeitskreises für Gleichbehandlungsfragen gibt die Personalabteilung.
Es wird darauf hingewiesen, dass Frauen bei gleicher Qualifikation bevorzugt
aufgenommen werden.
Die Bewerber und Bewerberinnen haben keinen Anspruch auf Abgeltung
aufgelaufener Reise- und Aufenthaltskosten, die aus Anlass des
Aufnahmeverfahrens entstanden sind.
XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
--
------------------------------------------------------
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
------------------------------------------------------
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik" haelt Herr
Mag. Georg Wachberger (ERSTE Bank) einen Vortrag zum Thema
"Einsatz quantitativer Methoden im Aktienhandel -
statistical equity arbitrage"
Zeit: Mittwoch, 13. Juni 2001, 19 Uhr
Ort: Hoersaal 1
Institut fuer Mathematik
Strudlhofgasse 4
1090 Wien
Mit besten Gruessen,
Markus Fulmek
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik" haelt Herr
Prof.Dr. Alois Geyer (WU Wien) einen Vortrag zum Thema
"Methoden der univariaten Zeitreihenanalyse (ARIMA-Modelle)
und multivariaten Zeitreihenanalyse
(Vector-AR, Cointegration)."
Zeit: Mittwoch, 6. Juni 2001, 19 Uhr
Ort: Hoersaal 1
Institut fuer Mathematik
Strudlhofgasse 4
1090 Wien
Mit besten Gruessen,
Markus Fulmek
Abstract:
In diesem Vortrag werden einige Methoden der univariaten Zeitreihenanalyse
(ARIMA-Modelle) und multivariaten Zeitreihenanalyse (Vector-AR,
Cointegration) vorgestellt. Anhand praktischer Beispiele werden die
Grundidee der Methoden und die Vorgangsweise bei der Modellierung
demonstriert.
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik" halten Herr
Dr. Andreas Weingessel (ERSTE Bank) und Herr Markus Rossmiller (ERSTE
Bank)
einen Vortrag zum Thema
"Messung operationaler Risiken in der Erste Bank"
Zeit: Mittwoch, 30. Mai 2001, 19 Uhr
Ort: Hoersaal 1
Institut fuer Mathematik
Strudlhofgasse 4
1090 Wien
Mit besten Gruessen,
Markus Fulmek
Abstract:
Waehrend bereits seit einiger Zeit in Banken Markt- und Kreditrisiken
mittels statistischer Methoden (z.B.: Value-at-Risk) gemessen und
gesteuert werden, steckt die Betrachtung operationaler Risiken noch in den
Kinderschuhen. Grosze Finanzskandale der letzten Zeit (z.B.: Barings,
Orange County, Bank Burgenland) zeigen die inhaerente Gefahr, die von
diesen Risiken ausgeht. Im neuen Basler Konsultationspapier werden
operationale Risiken zudem erstmals explizit erwaehnt und
unterlegungspflichtig.
Als eine der ersten europaeischen Banken hat die Erste Bank vor ca. einem
Jahr ein Projekt zur Messung operationaler Risiken initiiert. In unserem
Vortrag geben wir einen kurzen Ueberblick ueber Probleme und
Loesungsansaetze in diesem aufstrebenden Gebiet des Risikomanagements.
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
Dear colleagues,
On Monday, May 28, 2000, 16.00-17.30, SZ VI, IHS, Stumpergasse 56, 1060
there will be a talk by
Dominique Y. Dupont
at EURANDOM and
Board of Governors, Washington
on
"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 efficiency of mean-
square 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.
JEL Classification: G12, G13, C63.
Key words: Barrier Options, Static Hedging, Mean-Square Hedging
best
gabe
______________________________________________________________
Gabriel S. LEE
Institute for Advanced Studies
Department of Economics and Finance
Stumpergasse 56
A-1060 Vienna, AUSTRIA
Email: gabriel.lee(a)ihs.ac.at
Tel: +43.1.59991.141
Fax: +43.1.597.0635
Homepage: http://www.ihs.ac.at/~lee/
Workshop on Financial Time Series, Levy Processes, Stochastic
Volatility, and Applications of Shot Noise Processes
May 22-23, 2001
Vienna University of Technology
An updated program with location information
is now available under:
http://www.fam.tuwien.ac.at/g2g/
Friedrich Hubalek
Department of Financial and Actuarial Mathematics
Vienna University of Technology
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik" halten Frau
DI Gabriela de Raaij (OeNB) und Herr Dr. Burkhard Raunig (OeNB)
einen Vortrag zum Thema
"Evaluation Density Forecasts of Stock Market Returns"
(Der Vortrag ist auf deutsch, trotz des englischen Titels.)
Zeit: Mittwoch, 23. Mai 2001, 19 Uhr
Ort: Hoersaal 1
Institut fuer Mathematik
Strudlhofgasse 4
1090 Wien
Mit besten Gruessen,
Markus Fulmek
Abstract der zugrundeliegenden Arbeit:
The paper deals with the evaluation of density forecasts which have become
quite popular in economics and finance. We use two probability integral
transformations to evaluate such forecasts. The first transformation
implies
that the realizations transformed with respect to the forecasted densities
of a stochastic process should be identically uniformly distributed if the
density forecasts coincide with the densities underlying the true data
generating process. The second transformation generates data that are
identically normally distributed if the correct densities are forecasted.
The second transformation enables us to apply standard statistical
techniques
to test for identically normally distributed data and hence for the
quality
of density forecasts.
We use the methodology to evaluate density forecasts for daily returns of
three stock market indices (S&P 500, DAX and ATX). Various models to
forecast
conditional densities are investigated. We consider the conditional normal
distribution where the variances are estimated by moving averages or
exponentially weighted moving averages, scaled t distributions and
GARCH(1,1)
variants with normally and t-distributed errors, respectively. In- and
out-of-sample results for the density forecasting models are examined.
Using
the proposed methodology we find that GARCH models with t-distributed
errors
perform best in sample as well as out of sample. We are also able to
demonstrate that certain misspecifications of a forecasting model are
quite
naturally reflected in the transformed series used for density forecast
evaluation.
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
Sehr geehrte Damen und Herren!
Am Montag, den 14. Mai, 2001, 16.00-17.30, SZ VI findet im Finance Research
Seminar des IHS
ein Vortrag von Manfred Frühwirth/Leopold Sögner (Wirtschaftsuniversität
Wien) zum Thema
"The Jarrow/Turnbull Default Risk Model: Evidence from the German
Market"
statt.
Der Vortrag ist auf Englisch.
-----------------------------------------
Michael Jeckle, Head of the Finance Group
Department of Economics and Finance
Institute for Advanced Studies
Stumpergasse 56
A-1060 Vienna
Austria
Tel ++43/1/59991/211
E-Mail: jeckle(a)ihs.ac.at
Ladies and Gentlemen,
Please find announcements for two brand new job offers below
On Thu, 10 May 2001, Sandra Trenovatz <jobs(a)fam.tuwien.ac.at> wrote:
> weitere neue stellenangebote --->
>
> 2001-05-16: Institut fuer Finanz- und VersMath an der TU Wien -
> Universitaetsassistent/in
> http://www.fam.tuwien.ac.at/~sandra/jobs/20010516.htm
>
> 2001-05-11: Institut fuer Finanz- und VersMath an der TU Wien -
> PostDoc in Forschungsprojekt
> http://www.fam.tuwien.ac.at/~sandra/jobs/20010511.htm
Further details and more offers may be found at
http://www.fam.tuwien.ac.at/~sandra/jobs/
-- Andreas Schamanek
vfn-l-admin
-----------------------------------------------------------------------
ANDREAS SCHAMANEK <Andreas.Schamanek(a)univie.ac.at> T: +43-1 58801-10555
Admin @ Dept. of Statistics and Decision Support * Univ. of Vienna
Admin @ Dept. of Statistics, Probability Theory & AM * TU Vienna
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik" haelt Herr
Stefan Mandl (Bank Austria) einen Vortrag zum Thema
"Anwendung der Technischen Analyse in der Praxis"
Zeit: Mittwoch, 16. Mai 2001, 19 Uhr
Ort: Hoersaal 1
Institut fuer Mathematik
Strudlhofgasse 4
1090 Wien
Mit besten Gruessen,
Markus Fulmek
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
CCEFM Workshop - Update zur Einladung von letzter Woche:
Das Thema des Vortrags von Prof. von Thadden lautet
"An Incomplete-Contracts Approach to Corporate Bankruptcy".
Der Workshop findet am Freitag, 11. Mai 2001, von 15.30 bis
17.00 in der Säulenhalle der Wiener Börse, Wallnerstr. 8, 1010 Wien, statt.
Mit freundlichen Grüßen
Otto Randl
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik" haelt Herr
Mag. Oliver Lintner (ERSTE Bank) einen Vortrag zum Thema
"System Trading: Building and trading profitable systems"
Der Vortrag ist auf Deutsch (trotz des englischen Titels!) und wird
folgende Punkte behandeln:
* Benefits of CTA industry
* Benefits of systematic trading
* Components of a trading system
* Evaluation of successful systems
* Moving into realtime trading
* Pitfalls in a realtime world
Zeit: Mittwoch, 9. Mai 2001, 19 Uhr
Ort: Hoersaal 1
Institut fuer Mathematik
Strudlhofgasse 4
1090 Wien
Mit besten Gruessen,
Markus Fulmek
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
CCEFM (Center for Central European Markets),
eine Initiative der Universitaet Wien, Wirtschaftsuniversitaet Wien,
Technischen Universitaet Wien und der Wiener Börse AG,
laedt zu folgendem Workshop ein:
Ernst-Ludwig von Thadden (HEC Lausanne)
Der Workshop findet am Freitag, 11. Mai 2001, von 15.30 bis
17.00 in der Säulenhalle der Wiener Börse, Wallnerstr. 8, 1010 Wien, statt.
Für weitere Informationen über CCEFM:
http://info.tuwien.ac.at/ccefm/
Mit freundlichen Grüßen
Otto Randl
----------- forwarded messages:
Date: Fri, 27 Apr 2001 23:04:36 +0200 (MET DST)
From: Summer School in Mathematical Finance <ssmf(a)valjhun.fmf.uni-lj.si>
Subject: Mathematical Finance in Dubrovnik
SECOND ANNOUNCEMENT
SUMMER SCHOOL IN MATHEMATICAL FINANCE
Inter-University Centre Dubrovnik
Dubrovnik, Croatia, September 17-22, 2001
The aim of the summer school is to have leading researchers
deliver lectures on current research in mathematical
finance. There will be five invited speakers who will each
give 6 expository lectures on topics concerning mainly pric-
ing of derivative securities but will include also term
structure models and actuarial science. There will also be a
limited number of contributed talks. English will be the
official language of the summer school.
PROGRAMME
As mentioned before there will be five lecturers each
delivering six hours of lectures. The idea is to bring the
audience up to date with current research but not to clutter
the presentation with too much technical detail. Some fami-
liarity with probability and finance is expected. Note that
the programme has changed slightly from the first announce-
ment.
The five confirmed lecturers are:
Tomas Bjoerk (The Stockholm School of Economics): INTEREST
RATE MODELS.
Mark Davis (Imperial College): MATHEMATICAL MODELS FOR
DEFAULT AND CREDIT RISK.
Nicole El Karoui (Ecole Polytechnique, Paris): INVERSE PROB-
LEMS IN FINANCE
Paul Embrechts (Swiss Institute of Technology): INSURANCE
ANALYTICS.
Ragnar Norberg (London School of Economics): FINANCIAL
MATHEMATICS IN LIFE AND PENSION INSURANCE.
ORGANISERS
The organising institution is the Inter-University Centre in
Dubrovnik, Croatia. The IUC is an international organisa-
tion whose members are universities all over the world. At
the moment the number of participating universities is 175
and the list is expected to grow in the future. The main
aim of the Centre is to provide the location and facilities
for meetings, summer schools and conferences in all fields
of science.
The organising committee consists of J. Cvitanic (University
of Southern California), D. Mramor (Univeristy of Lju-
bljana), W. Runggaldier (University of Padova) and W.
Schachermayer (Technical University Vienna). The local
organisers are M. Perman (University of Ljubljana) and Z.
Vondraèek (University of Zagreb).
REGISTRATION
The registration fee will be 120 EURO for regular partici-
pants and 80 EURO for registered students. The number of
participants is limited to 60. Registration will be handled
on a first come first served basis. You can register on-
line at http://www.math.hr/~ssmf or by sending e-mail to to
ssmf(a)valjhun.fmf.uni-lj.si. You will only be considered
registered once the registration fee has been paid. The
deadline for registration is June 15, 2001. Keep in mind
that the number of participants is limited and the number of
registrations is increasing fast. ACT now.
ACCOMMODATION AND TRAVEL
The best way to get to Dubrovnik is to fly. The local air-
port Æilipi is a short drive from the city. There are regu-
lar flights from Zagreb, Croatia. For more information on
travel and hotels consult the conference homepage. We URGE
you to book hotels as soon as possible. Dubrovnik is a
popular destination and hotels may be a problem if you do
last minute reservations. See the homepage for information
on hotels.
ABOUT DUBROVNIK
Dubrovnik is located on the eastern coast of the Adriatic
sea close to the southernmost tip of Croatia. It is best
known for its impressive ramparts encircling the picturesque
renaissance inner city, and for its rich and colourful his-
tory. The origins of the city go back to the Romans who
appreciated the suave Mediterranean climate and the beauti-
ful surroundings. The life of the inhabitants has always
been closely tied to the sea; the trading network of the
Ragusan traders extended across Europe and they were known
as reliable partners and were renowned for their shipbuild-
ing skills. At the height of its power in the 15. and 16.
century the tiny city-republic of Dubrovnik had over 150
consular representatives countries and was actively involved
in European politics. The ensuing centuries brought a slow
decline as the Mediterranean lost its role as the primary
trading route. As a historical curiosity one should mention
that Dubrovnik was the first state to recognise the indepen-
dence of the United States in 1776. Today tourism is the
main activity in Dubrovnik. It's surroundings and bathing
possibilities along with cultural events have been attract-
ing visitors for many years. In September the weather is
usually sunny and the temperatures range between 25-30C
(78-86F). The water temperatures are balmy 24C (76F).
April 26, 2001
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik" haelt Herr
DI Walter Mussil (Bank Austria)
einen Vortrag zum Thema
"Modellierung von Transferrisken"
Zeit: Mittwoch, 2. Mai 2001, 19 Uhr
Ort: Hoersaal 1
Institut fuer Mathematik
Strudlhofgasse 4
1090 Wien
Mit besten Gruessen,
Markus Fulmek
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik" haelt Herr
Dr. Stephan Schulmeister (Oesterreichisches Wirtschaftsforschungsinstitut)
einen Vortrag zum Thema
"Profitabilitaet und Kurseffekte der `technischen Analyse'
im DM-Dollar-Handel"
Zeit: Mittwoch, 25. April 2001, 19 Uhr
Ort: Hoersaal 1
Institut fuer Mathematik
Strudlhofgasse 4
1090 Wien
Mit besten Gruessen,
Markus Fulmek
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
Forwarded message
CALL FOR PAPERS
GERMAN FINANCE ASSOCIATION
2001 ANNUAL MEETING
October 5-6, 2001, Vienna, Austria
Keynote Speaker: Prof. William F. Sharpe,
1990 Nobel Laureate in Economics
The 8th Annual Meeting of the German Finance Association
(DGF) will be hosted by the Department of Business Studies
of the University of Vienna, Austria, on October 5, 2001.
On October 6th, a symposium on "Technological and
Institutional Change in Financial Intermediation" follows.
CALL FOR PAPERS:
Contributions are welcome in all fields of finance for the
Annual Meeting.
Major topics of the symposium are:
- Competition between Financial Markets
- New Developments in Regulation and Risk Management
- Valuation of Internet Companies
- New Trading Systems
Submissions should be sent in triplicate to Prof. Josef
Zechner (see contact information below). All submitted
papers are double blind-refereed. Please indicate whether
your paper is to be considered:
( i) either for the 8th annual meeting of the DGF or for
the symposium
( ii) for the 8th annual meeting of the DGF only
(iii) for the symposium only.
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.
Deadline for submission of papers is March 31, 2001.
REGISTRATION:
Registration is already open. Please download the
registration form from the conference web site. There will
be no conference fee for members of the German Finance
Association who register early.
CONTACT: Prof. Josef Zechner
University of Vienna
Department of Business Studies
Bruenner Strasse 72
A-1210 Wien, Austria
Tel: +43-1-4277-38072
Fax: +43-1-4277-38074
Email: mailto:dgf.finance@univie.ac.at
Website: http://dgf.univie.ac.at
Sehr geehrte Damen und Herren,
Unser Workshop Kreditrisikomanagment (http://www.fam.tuwien.ac.at/crm) vom
31.1.-2.2.2001, das in Kooperation mit der Oesterreichischen Nationalbank
veranstaltet wurde, war mit ueber 130 Teilnehmern sehr gut besucht und bot
ein gelungenes Forum fuer den Gedankenaustausch zwischen Universitaet,
Finanzindustrie und Aufsichtsbehoerde.
In diesem Sommersemester wird wieder das "traditionelle" Seminar
Finanzmathematik angeboten: Als Ergaenzung zum Thema Risikomanagement
wollen wir diesmal auch Vortraege ueber mathematische Ansaetze im Handel
(technische Analyse, Zeitreihenanalyse, neuronale Netze) bringen.
Das Seminar startet am 14. Maerz, wie immer mit einer Einfuehrung, die
sich primaer an die Studenten des Mathematischen Institutes richtet
(aber auch an interessierte Praktiker).
Nach den Osterferien sind dann wieder Vortraege von Wissenschaftlern
und Praktikern geplant, zu denen wir gesondert einladen werden.
Zeit und Ort unseres Seminars:
Zeit: Mittwoch, 19 Uhr bis 20 Uhr 30
Ort: Hoersaal 1
Institut fuer Mathematik
Strudlhofgasse 4
1090 Wien
Weitere Informationen dazu unter
http://www.mat.univie.ac.at/~mfulmek/sess01.html
Mit besten Gruessen,
Markus Fulmek
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
------------ forwarded message -------------
Date: Tue, 30 Jan 2001 16:07:16 +0800
From: Chia-Hsuan Yeh <spock(a)MS17.URL.COM.TW>
**********************************************
* *
* Call for Papers *
* *
* Sessions on *
* *
* Evolutionary Computation in *
* Economics and Finance *
* *
* 7th International Conference *
* of the *
* Society for Computational Economics *
* on *
* Computing in Economics and Finance *
* (CEF'2001) *
* *
* June 28-30, 2001 *
* Yale University, New Haven *
* Connecticu, U.S.A. *
**********************************************
Organizor: Berc Rustem
Correspondence:
Berc Rustem
Department of Computing
Imperial College of Science, Technology & Medicine
180 Queen's Gate, London SW7 2BZ, UK
Tel: 44 (0)20 7594 8345
Fax: 44 (0)20 7581 8024
E-mail: br(a)doc.ic.ac.uk
Scope:
In the last two years, CEF has consecutively hosted special sessions
on Evolutionary Computation in Economics and Finance (ECEF). This series
of events aims at bringing together economists to explore current
development of evolutionary computation (EC) in economic and financial
modeling, simulation and computation. These special sessions, along
with many similar events have revealed some promising features of EC
in the study of option pricing, time series modeling, economic forecasting,
trading strategies, oligopoly games, bargaining behavior, economic
experiments, and artificial financial markets. Through these applications,
EC tools such as genetic algorithms, genetic programming, evolutionary
programming, evolutionary strategies and evolutionary artificial neural
nets have been introduced to a larger circle of economists, and also
provides us with a better opportunity to reflect upon the chances which
we may have from these tools.
As a continuation of this learning process, this year we will organize
special sessions on the 7th SCE conference at Yale University. Papers
addressing novel applications of EC techniques to economics, game theory
and finance, and methodologies are cordially solicited. Authors wishing
to present a paper should submit a 4-page extended abstract or a full
paper via the conference webpage,
http://gemini.econ.yale.edu/conference/SCE2001
The conference Web site will begin accepting submissions on January 1,
2001, and will continue to accept submissions through March 1, 2001.
To expedite the screening process, a menu is provided on the webpages
allowing precategorization of submissions. Authors are advised to
indicate the program committee member by whom the submission is to be
considered. For example, to have a paper included in the sessions on
``Evolutionary Computation in Economics and Finance'', one should choose
Berc Rustem as the conference program committee member by whom the
submission is to be considered.
For any further information, please contact
Berc Rustem
Department of Computing
Imperial College of Science, Technology & Medicine
180 Queen's Gate, London SW7 2BZ, UK
Tel: 44 (0)20 7594 8345
Fax: 44 (0)20 7581 8024
E-mail: br(a)doc.ic.ac.uk
or
Shu-Heng Chen
AI-ECON Research Center
Department of Economics
National Chengchi University
Taipei, Taiwan 11623
Tel: 886-2-29387308
Fax: 886-2-27386874
E-mail: chchen(a)nccu.edu.tw
http://www.aiecon.org/
CCEFM (Center for Central European Markets),
eine Initiative der Universitaet Wien, Wirtschaftsuniversitaet Wien,
Technischen Universitaet Wien und der Wiener Börse AG,
laedt zu folgenden Workshops ein:
Prof. Lux (Universität Kiel)
"Künstliche Finanzmärkte und die 'stilisierten' Fakten"
Der Vortrag findet am Freitag, 26. Jänner 2001, von 15.30 bis 17.00 im
HÖRSAAL 8, BWZ, Bruennerstr. 72, 1210 Wien, statt.
Sehr geehrte Damen und Herren,
Im Rahmen des "Seminar aus Finanzwirtschaft - Kreditrisiko" haelt
Herr Dr. Alfred Lehar (Universitaet Wien) einen Vortrag mit dem Titel
"Basle Accord vs. Value-at-Risk Regulation in Banking"
Zeit: Mittwoch, 24. Jaenner, 17 Uhr
Ort: Hoersaal 6
Technische Universitaet Wien
Karlsplatz 13, Erdgeschoss Stiege 2
1060 Wien
Dies ist der letzte Vortrag in diesem Wintersemester: Auf die
Veranstaltungen
des Sommersemesters (ab Maerz) werden wir wieder gesondert hinweisen.
Mit besten Gruessen,
Markus Fulmek
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
Sehr geehrte Subscriber des Vienna Finance Newsletters!
Leider habe ich übersehen, dasz die Säulenhalle der Wiener Börse für den
Vortrag von Christian Laux nicht zur Verfügung steht. Der Vortrag findet
deshalb
zur angekündigten Zeit (Fr., 19.1., 15.30-17.00)
im HÖRSAAL 8, BWZ, Bruennerstr. 72, 1210 Wien,
statt.
Hochachtungsvoll,
Alex Stomper
CCEFM (Center for Central European Markets),
eine Initiative der Universitaet Wien, Wirtschaftsuniversitaet Wien,
Technischen Universitaet Wien und der Wiener Börse AG,
laedt zu folgenden Workshops ein:
1. Christian Laux (Universität Mannheim)
"Incentives in Internal Capital Markets: Capital Constraints,
Competition, and Investment Opportunities".
Der Workshop findet am Freitag, 19. Jänner 2001, von 15.30 bis
17.00 in der Wiener Börse, Wallnerstr. 8, 1010 Wien, statt.
2. Prof. Lux (Universität Kiel)
Der Titel des Vortrags wird noch bekanntgegeben. Der Vortrag findet am
Freitag, 26. Jänner 2001, von 15.30 bis 17.00 ebenfalls in der Wiener
Börse statt.
Sehr geehrte Damen und Herren,
Im Rahmen des "Seminar aus Finanzwirtschaft - Kreditrisiko" haelt
Herr Mag. Gerald Krenn (Oesterreichische Nationalbank)
einen Vortrag mit dem Titel
"Identifizierung von Worst-Case-Szenarien unter
Plausibilitaetsbedingungen"
Zeit: Mittwoch, 17. Jaenner, 17 Uhr
Ort: Hoersaal 6
Technische Universitaet Wien
Karlsplatz 13, Erdgeschoss Stiege 2
1060 Wien
Mit besten Gruessen,
Markus Fulmek
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
Sehr geehrte Damen und Herren,
Im Rahmen des "Seminar aus Finanzwirtschaft - Kreditrisiko" haelt
Herr Prof. Peter Reichling (Universitaet Magdeburg)
einen Vortrag mit dem Titel
"Bestimmung des Bonitaetsspreads bei unsicherem
Unternehmenswert"
Zeit: Mittwoch, 10. Jaenner, 17 Uhr
Ort: Hoersaal 6
Technische Universitaet Wien
Karlsplatz 13, Erdgeschoss Stiege 2
1060 Wien
Mit besten Gruessen,
Markus Fulmek
CCEFM (Center for Central European Markets),
eine Initiative der Universitaet Wien, Wirtschaftsuniversitaet Wien,
Technischen Universitaet Wien und der Wiener Börse AG,
laedt zu folgendem Workshop ein:
Prof. Krahnen,
"Private debt restructuring: Evidence on coordination risk in financial
distress".
Der Workshop findet am Freitag, 15. Dezember 2000, von 16.00 bis
17.30 in der Wiener Börse, Wallnerstr. 8, 1010 Wien, statt.
(BITTE BEACHTEN SIE DIE GEÄNDERTE BEGINNZEIT!)
Für weitere Informationen:
http://info.tuwien.ac.at/ccefm/workshop/work.htm
Sehr geehrte Damen und Herren,
Im Rahmen des "Seminar aus Finanzwirtschaft - Kreditrisiko" haelt
Herr Dipl.-Volkswirt Michael Maifarth (PricewaterhouseCoopers Frankfurt)
einen Vortrag mit dem Titel
"ABS und synthetische ABS - Bestandsaufnahme
und aktuelle Diskussionspunkte"
Zeit: Mittwoch, 13. Dezember, 17 Uhr
Ort: Hoersaal 6
Technische Universitaet Wien
Karlsplatz 13, Erdgeschoss, Stiege 2
1060 Wien
Mit besten Gruessen,
Markus Fulmek
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
Sehr geehrte Damen und Herren,
Im Rahmen des "Kolloquium aus Statistik, Operations Research und
Informatik" haelt Prof. W. Stute (Universitaet Giessen) einen Vortrag
mit dem Titel
"Diffusionsprozesse mit shot-noise Effekten und ihre Anwendung
in der Finanzmathematik"
Zeit: Montag, 11. Dezember, 17 Uhr 30
Ort: Leopold-Schmetterer-Seminarraum
Institut fuer Statistik
Universitaet Wien
Universitaetsstrasse 5, 3. Stock (Lift!)
1010 Wien
Mit besten Gruessen,
Markus Fulmek
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
CCEFM (Center for Central European Markets)
This is to remind that there will be a research seminar by Professor
Raman Uppal on
"Risk Aversion and Optimal Portfolio Policies in Partial and General
Equilibrium Economies"
on Friday, December 1, 2000, 3:30 p.m - 5.00 p.m., at the Wiener Börse,
Wallnerstr. 8, 1010 Wien.
--
Elke M. Pendl
University of Vienna
Department of Business Studies
Bruenner Strasse 72
A-1210 Vienna
Austria
Tel.: ++43 1 4277 38072
Fax: ++43 1 4277 38074
email: elke.pendl(a)univie.ac.at
Sehr geehrte Damen und Herren,
Im Rahmen des "Seminar aus Finanzwirtschaft - Kreditrisiko" haelt
Herr Mag. Manfred Angel (ERSTE Bank) einen Vortrag mit dem Titel
"CreditManager in der Praxis - Implementierung
und Einsatzmoeglichkeiten"
Zeit: Mittwoch, 29. November, 17 Uhr
Ort: Hoersaal 6
Technische Universitaet Wien
Karlsplatz 13, Erdgeschoss
1060 Wien
Mit besten Gruessen,
Markus Fulmek
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
Advanced Computing in Financial Markets
June 19-22, 2001
Bangor, Wales
The purpose of this symposium is to bring together leading researchers
and
interested practitioners in all fields of computational methods and
finance. Submissions are especially encouraged in the areas of
derivative
pricing, risk management, as well as exchange rate and interest rate
modeling. Papers that provide new methodologies and techniques or
enhance
our understanding of existing methods are particularly welcome.
Topics (not limited to:)
Application areas: Asset Valuation and Trading, Corporate Distress,
Currency Models, Derivatives: Hedging Strategies, Pricing, Portfolio
Management, Retail Finance, Risk Management, Tactical Asset Allocation,
Term Structure Models
Methodologies: Adaptive/Kalman Filtering Techniques, Automated
Reasoning, Classification, Context Free Languages, Econometrics of High
Frequency Data, Extreme Value Statistics, Fuzzy Systems and Rough Sets,
Genetic Algorithms and Genetic Programming, Global Optimization,
Hypothesis
Testing and Confidence Intervals, Intelligent Trading Agents, Model
Identification, Selection and Specification, Neural Networks and Machine
Learning, Probabilistic Modeling/Inference, Resampling and Monte Carlo
Methods, Robust Model Estimation, Time Series Analysis.
International Program Committee:
Ait-Sahalia Y., Princeton University, USA
Bollerslev T., Duke University, USA
Colemann T., Cornell University, USA
Dacorogna M. M., Olsen & Associates, Switzerland
Dawid H., U of Southern California, USA
Gottschling A., Euroquants Consulting, Germany
Haefke, C., Universitat Pompeu Fabra, Spain
Haerdle W., Humboldt University, Germany
Hiemstra Y., Vrije Universiteit Amsterdam, Netherlands
Hussain, A., University of Stirling, Scotland, U.K.
Hyung N., Tinbergen Institute Rotterdam, Netherlands
Kamstra, Mark, Simon Fraser University, Canada
Korczak J., Université Louis Pasteur, France
Lehmann B., IRPS, University of California at San Diego, USA
Manganelli S., European Central Bank, Frankfurt, Germany
Moody J., Oregon Graduate Inst., USA
O'Leary D., University of Southern California, USA
Politis D., UC San Diego, USA
Poon S., University of Strathclyde, Scotland, U.K.
Rockinger M., HEC School of Finance, France
Skalak D., IBM Data Mining and Analytics Group, USA
Soni T., SBS Technologies, USA
Tauchen G., Duke University, USA
Tzavalis E., Queen Mary & Westfield College, U.K.
KEYNOTE SPEAKER
Wolfgang Haerdle: Quantlets for (Financial) Risk Management
SUBMISSION OF PAPERS
Prospective authors are requested to send an extended abstract or a
draft
paper of maximum 7 pages for review by the International Program
Committee
to Christian Haefke (mailto://christian.haefke@econ.upf.es).
All submissions must be written in English.
The submissions should include:
- Title of symposium (ACFM 2001)
- Preferred type of the paper (oral/poster)- Title of proposed paper-
Authors names, affiliations, addresses- Name of author to contact for
correspondence- E-mail address and fax number of the contact author-
Topics
which best describe the paper (max 7 keywords)
CALL FOR WORKSHOPS/TUTORIALS
A workshop/tutorial should focus on a particular topic, and consist of
several presentations and open discussions. The proposal for a
workshop/tutorial should include the title, topics covered, proposed
speakers, targeted audiences, and estimated length (hours) of the
workshop/tutorial. The proposal should be submitted either to the
congress
chair, the corresponding symposium chair or the congress organizer by
January 15, 2001.
CALL FOR INVITED SESSIONS
Proposals for invited sessions are encouraged. A session proposal
consists
of 4-5 invited papers, the recommended session-chair and co-chair, as
well
as a short statement describing the title and the purpose of the
session.
The organizer should send the proposal to the respective symposium chair
or
the congress organizer. Invited sessions should preferably start with a
tutorial paper. The organizer will be responsible for the review of the
papers in the session. The registration fee of the session organizer
will
be waived, if at least 4 authors of invited papers register to the
conference.
Proceedings and Publications
Proceedings will be available at the congress. All accepted and invited
papers (oral and poster presentations) will be included in the
proceedings,
published in print and on CD-ROM by ICSC Academic Press,
Canada/Switzerland. Extended versions of selected papers can be
considered
for possible publication in special issues of leading international
journals.
Important Dates
Extended Abstract Submission December 15, 2000
Notification of Acceptance December 31, 2000
Delivery of Full Papers March 1, 2001
Symposium June 19 - 22, 2001
Further Information
Please contact:
Christian Haefke
Universitat Pompeu Fabra
Department of Economics and Business
Ramon Trias Fargas 25-27
E-08005 Barcelona, Spain
E-mail: mailto://christian.haefke@econ.upf.es
www: http://www.econ.upf.es/~chaefke
Phone: +34 542 2706/ Fax: +34 542 1746
or the conference webpage: http://www.icsc.ab.ca/174-info.htm.
Sehr geehrte Damen und Herren,
Im Rahmen des "CCEFM Research Workshops" haelt Herr Prof.
Marek Musiela (BNP-Paribas) einen Vortrag mit dem Titel
"ATM-volatility and volatility related
expectation hypotheses"
Zeit: Freitag, 24. November, 15:30 - 17:30
Ort: Hoersaal 9
Technische Universitaet Wien
Karlsplatz 13
1040 Wien
Mit besten Gruessen,
Markus Fulmek
----------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at