- VFN-L - TU FAM Mailing lists

[VFN] Gastvortraege an der Fachhochschule BFI (fwd)
by VFN-L admin * Andreas Schamanek 24 May '02

24 May '02

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

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[VFN] Gutmann Center for Portfolio Management: public lecture with Prof . Suresh Sundaresan
by Zeiner Sonja 23 May '02

23 May '02

Announcement: Talk with Prof. Suresh Sundaresan, Columbia University Date: 24.06.2002 Time: 04:30 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin Title of the talk: Default Risk and Portfolio Management Abstract: Due to the decreasing size of government debt markets and increase in securitized debt products, credit-risky asset classes have become an increasingly important part of the fixed income portfolio management industry. Asset classes such as collateralized debt obligations, corporate debt, asset-backed securities confront portfolio managers with arguably better expected returns but also expose investors to higher credit and liquidity risk exposures. The seminar will explore the development of these markets, new opportunities and risks that they present. In addition, we will review the current thinking about measuring and managing credit and liquidity risks in different asset classes. Institutional developments such as collateralization, marking to market, trigger covenants will be presented. Conceptual risk measurement techniques and rating procedures will also be outlined registration: until 19.06.2002 under sonja.zeiner(a)gutmann.at or phone: 01/502 20-357

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[VFN] CCEFM Workshops
by Alex Stomper 19 May '02

19 May '02

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

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[VFN] Ausschreibung der Stelle eines Wiss. Mitarbeiters (fwd)
by VFN-L admin * Andreas Schamanek 16 May '02

16 May '02

[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 + +++++++++++++++++++++++++++++++++++++++++

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[VFN] Quantitative Methods in Finance 2002 * Second Announcement (fwd)
by VFN-L admin * Andreas Schamanek 14 May '02

14 May '02

---------- 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 (...) ***

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[VFN] Vortragsankündigung Stephen Ross - Erinnerung
by Stefan Pichler 10 May '02

10 May '02

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)

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[VFN] Gutmann Center for Portfolio Management - Research Proposal Competition
by Gutmann Center - D. Grimm 02 May '02

02 May '02

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

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[VFN] Gutmann Center for Portfolio Management: Announcement: Public Lec ture with Neal Stoughton
by Zeiner Sonja 26 Apr '02

26 Apr '02

> 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 > > >

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[VFN] TERMINVERSCHIEBUNG --- Vortragsankündigung Banking Regulation 22. 5. 2002
by Alfred Lehar 25 Apr '02

25 Apr '02

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.

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[VFN] Vortragsankündigung Banking Regulation 22. 5. 2002
by Stefan Pichler 25 Apr '02

25 Apr '02

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

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[VFN] Talk by Fred Espen Benth
by Friedrich Hubalek 23 Apr '02

23 Apr '02

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

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[VFN] Vortragsankündigung Stephen Ross
by Stefan Pichler 19 Apr '02

19 Apr '02

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)

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[VFN] Gutmann Center for Portfolio Management: Announcement: Public Lec ture with Colin Mayer
by Zeiner Sonja 22 Mar '02

22 Mar '02

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

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[VFN] Lectureship position at Imperial College (fwd)
by Christopher Summer 21 Mar '02

21 Mar '02

---------- 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

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[VFN] Ausschreibung der Stelle eines Wiss. Mitarbeiters (fwd)
by VFN-L admin * Andreas Schamanek 20 Mar '02

20 Mar '02

---------- 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 + +++++++++++++++++++++++++++++++++++++++++

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[VFN] MINI-WORKSHOP on STOCHASTIC ANALYSIS and FINANCE
by Christopher Summer 14 Mar '02

14 Mar '02

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) -------------------------------------------------------

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[VFN] FJA Kolloquium: Zukünftige Bilanzierungsmethoden für Versicherungsprodukte
by Christopher Summer 13 Mar '02

13 Mar '02

---------- 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.

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

13 Mar '02

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

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[VFN] Berufungsvortraege, Versicherungsmathematik, TU Wien
by Christopher Summer 11 Mar '02

11 Mar '02

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

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[VFN] Vortrag Prof. Rueschendorf, Fr 08.03.2002
by Christopher Summer 04 Mar '02

04 Mar '02

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

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[VFN] Berufungsvortraege, Versicherungsmathematik, TU Wien
by Christopher Summer 26 Feb '02

26 Feb '02

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. ===================================================================

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[VFN] [Econ-snde] Post-doc and PhD positions (fwd)
by VFN-L admin * Andreas Schamanek 26 Feb '02

26 Feb '02

---------- 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

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[VFN] Tagung Kreditrisikomanagement
by lucius＠bwg.at 24 Feb '02

24 Feb '02

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

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[VFN] Gutmann Center of Competence - Announcement: Public Lecture with Klaus Spremann
by Zeiner Sonja 13 Feb '02

13 Feb '02

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

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[VFN] Conference in South Africa
by Christopher Summer 09 Feb '02

09 Feb '02

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

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[VFN] Lectureship at LSE
by Christopher Summer 05 Feb '02

05 Feb '02

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

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[VFN] Master of Science in Finance (in Zurich/Switzerland) (fwd)
by VFN-L admin * Andreas Schamanek 05 Feb '02

05 Feb '02

---------- 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/

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[VFN] Vortragsreihe aus Finanz- und Versicherungsmathematik, Prof. Bühlmann
by Christopher Summer 18 Jan '02

18 Jan '02

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.

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[VFN] Reminder -- CCEFM Workshop with Avi Wohl
by Alex Stomper 16 Jan '02

16 Jan '02

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

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[VFN] EFA 2002, Berlin - Call for Paper (fwd)
by Christopher Summer 07 Jan '02

07 Jan '02

---------- 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.

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[VFN] Gutmann Center of COmpetence: Announcement: Public Lecture with P helim Boyle
by Zeiner Sonja 28 Dec '01

28 Dec '01

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

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[VFN] Gutmann Center of Competence / Gutmann Journal
by Zeiner Sonja 30 Nov '01

30 Nov '01

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.

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[VFN] Announcement: public lecture with Duane Seppi
by Zeiner Sonja 28 Nov '01

28 Nov '01

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

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[VFN] Workshop on Recent Topics in Real Options Valuation
by Thomas Dangl 27 Nov '01

27 Nov '01

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

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[VFN] TU Wien Job Advertisment
by Friedrich Hubalek 27 Nov '01

27 Nov '01

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".

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[VFN] Prof. Karatzas talk on Dec 17
by Gabriel Lee 26 Nov '01

26 Nov '01

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/

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[VFN] BFS 2002 Congress - Third Call For Papers (fwd)
by VFN-L admin * Andreas Schamanek 20 Nov '01

20 Nov '01

---------- 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

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[VFN] CCEFM Workshop -- P. Pichler (Boston College)
by Alex Stomper 15 Nov '01

15 Nov '01

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

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[VFN] workshop der awg - programminformation
by Stefan Pichler 14 Nov '01

14 Nov '01

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

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[VFN] Announcement: Public Lecture with Elroy Dimson
by Zeiner Sonja 08 Nov '01

08 Nov '01

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

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[VFN] Professorship of Quantitative Finance, ETHZ
by Christopher Summer 08 Nov '01

08 Nov '01

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.

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[VFN] Ausschreibung Stelle WissenschaftlicheR MitarbeiterIn in Ausbildung
by Alexander Veverka 07 Nov '01

07 Nov '01

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 ------------------------------------------------------------------

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[VFN] CCEFM Workshop: Gerhard Stahl
by Thomas Dangl 06 Nov '01

06 Nov '01

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

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[VFN] 15. Workshop der AWG (Anmeldeformular)
by Stefan Pichler 24 Oct '01

24 Oct '01

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

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[VFN] AWG, 2nd Call for Papers
by Stefan Pichler 24 Oct '01

24 Oct '01

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

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[VFN] Announcement: Public Lecture with Elroy Dimson
by Zeiner Sonja 24 Oct '01

24 Oct '01

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

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[VFN] Talk by Hansjoerg Albrecher, We, 24.10.2001
by Christopher Summer 22 Oct '01

22 Oct '01

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

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[VFN] Talk by Kerry Back, Tu, 23.10.2001
by Christopher Summer 19 Oct '01

19 Oct '01

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

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[VFN] Kickoff CCEFM Workshop--diese Woche!!!
by Alex Stomper 15 Oct '01

15 Oct '01

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.

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[VFN] Talk by Robert Tompkins, Tu, 16.10.2001
by Christopher Summer 10 Oct '01

10 Oct '01

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

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[VFN] Workshop on Model Calibration ( Paris, 26 Oct 2001)
by Christopher Summer 09 Oct '01

09 Oct '01

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

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[VFN] Workshop "Extremal Events and Dependence Modelling ..." (fwd)
by Christopher Summer 08 Oct '01

08 Oct '01

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/

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[VFN] Financial and Insurance Mathematics at ETH Zurich (fwd)
by Christopher Summer 01 Oct '01

01 Oct '01

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/

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[VFN] September 2001 news notes on agent-based computational economics (fwd)
by VFN-L admin * Andreas Schamanek 25 Sep '01

25 Sep '01

---------- 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/

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[VFN] position at UBC (fwd)
by Christopher Summer 25 Sep '01

25 Sep '01

---------- 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.

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[VFN] prof. kerry back's talk
by Gabriel Lee 24 Sep '01

24 Sep '01

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/

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[VFN] CAP Workshop
by Christopher Summer 22 Sep '01

22 Sep '01

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.

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[VFN] Univ. Ass. (Karenzvertretung), Institut fuer medizinische Statatistik
by Christopher Summer 19 Sep '01

19 Sep '01

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

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[VFN] Sixth International Congress on Insurance: Mathematics and Economics (fwd)
by Christopher Summer 13 Sep '01

13 Sep '01

---------- 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

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[VFN] tenure-track position in financial mathematics (fwd)
by Christopher Summer 12 Sep '01

12 Sep '01

---------- 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. %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

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[VFN] Message from Actuarial Science Society (fwd)
by Christopher Summer 12 Sep '01

12 Sep '01

---------- 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 **************************************************************************

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[VFN] DGF 2001 Conference (fwd)
by VFN-L admin * Andreas Schamanek 07 Jul '01

07 Jul '01

---------- 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

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[VFN] 15. Workshop der AWG on Banking and Finance
by Stefan Pichler 05 Jul '01

05 Jul '01

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

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[VFN] 2nd Intern. Workshop on Computational Intelligence in Economics and Finacne (CIEF'2002) (fwd)
by VFN-L admin * Andreas Schamanek 05 Jul '01

05 Jul '01

-------- 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)

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[VFN] Special issue on Computational Finance (fwd)
by VFN-L admin * Andreas Schamanek 05 Jul '01

05 Jul '01

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

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[VFN] Bachelier Congress - Call for Papers (fwd)
by VFN-L admin * Andreas Schamanek 01 Jul '01

01 Jul '01

---------- 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

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[VFN] Seminar Finanzmathematik
by Modernes Risk Management 27 Jun '01

27 Jun '01

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

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[VFN] Vortrag Seminar Finanzmathematik
by Modernes Risk Management 15 Jun '01

15 Jun '01

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

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[VFN] Birthday lecture on June 19, 2001, of Martin Barlow (UBC)
by VFN-L admin * Andreas Schamanek 13 Jun '01

13 Jun '01

___ ___ _______ _______ _____ | | || ___|| | | ______ | |_ | | || ___|| ||______|| | \_____/ |___| |__|____| |_______| 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

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[VFN] Ausschreibung
by Stefan Bogner 12 Jun '01

12 Jun '01

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 ------------------------------------------------------

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[VFN] Vortrag Seminar Finanzmathematik
by Modernes Risk Management 07 Jun '01

07 Jun '01

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

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[VFN] Vortrag Seminar Finanzmathematik
by Modernes Risk Management 31 May '01

31 May '01

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

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[VFN] Vortrag Seminar Finanzmathematik
by Modernes Risk Management 25 May '01

25 May '01

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

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[VFN] finance research seminar at ihs
by Gabriel Lee 23 May '01

23 May '01

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/

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[VFN] Workshop on Finacial Time Series....
by Friedrich Hubalek 17 May '01

17 May '01

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

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[VFN] Vortrag Seminar Finanzmathematik
by Modernes Risk Management 16 May '01

16 May '01

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

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[VFN] Vortrag am IHS
by Michael Jeckle 11 May '01

11 May '01

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

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[VFN] 2 job offers at Department of Financial and Actuarial Mathematics, TU Vienna
by VFN-L admin * Andreas Schamanek 11 May '01

11 May '01

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

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[VFN] Vortrag Seminar Finanzmathematik
by Modernes Risk Management 10 May '01

10 May '01

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

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[VFN] Einladung CCEFM Workshop 11. Mai 2001 - Thema des Vortrags
by Otto Randl 10 May '01

10 May '01

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

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[VFN] Vortrag Seminar Finanzmathematik
by Modernes Risk Management 07 May '01

07 May '01

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

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[VFN] Einladung CCEFM Workshop
by Otto Randl 04 May '01

04 May '01

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

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[VFN] Mathematical Finance in Dubrovnik (2nd ann., fwd)
by VFN-L admin * Andreas Schamanek 28 Apr '01

28 Apr '01

----------- 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

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[VFN] Vortrag Seminar Finanzmathematik
by Modernes Risk Management 28 Apr '01

28 Apr '01

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

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[VFN] Vortrag Seminar Finanzmathematik
by Modernes Risk Management 19 Apr '01

19 Apr '01

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

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[VFN] CFP: German Finance Association 2001 Annual Meeting, Vienna, Austria
by VFN-L admin * Andreas Schamanek 21 Mar '01

21 Mar '01

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

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[VFN] Neues Semester mit Modernem Risk Management
by Modernes Risk Management 09 Mar '01

09 Mar '01

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

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[VFN] CFP Evolutionary Computation in Economics and Finance 2001 (fwd)
by VFN-L admin * Andreas Schamanek 31 Jan '01

31 Jan '01

------------ 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/

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[VFN] CCEFM Workshop Prof.Lux
by Alex Stomper 19 Jan '01

19 Jan '01

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.

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[VFN] Vortrag am 24. 1/Seminar aus Finanzwirtschaft/TU
by Modernes Risk Management 19 Jan '01

19 Jan '01

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

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[VFN] anderer Ort des CCEFM Workshops von C. Laux
by Alex Stomper 17 Jan '01

17 Jan '01

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

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[VFN] CCEFM Workshops
by Alex Stomper 16 Jan '01

16 Jan '01

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.

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[VFN] Vortrag am 17. 1/Seminar aus Finanzwirtschaft/TU
by Modernes Risk Management 15 Jan '01

15 Jan '01

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

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[VFN] Vortrag am 10. 1/Seminar aus Finanzwirtschaft/TU
by Markus Fulmek 09 Jan '01

09 Jan '01

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

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[VFN] CCEFM Workshop 15.12.
by Alex Stomper 13 Dec '00

13 Dec '00

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

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[VFN] Vortrag am 13. 12/Seminar aus Finanzwirtschaft/TU
by Modernes Risk Management 09 Dec '00

09 Dec '00

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

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[VFN] Vortrag am 11. 12/Institut fuer Statistik/Uni Wien
by Modernes Risk Management 05 Dec '00

05 Dec '00

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

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[VFN] CCEFM Workshop
by Elke Pendl 30 Nov '00

30 Nov '00

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

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[VFN] Vortrag am 29. 11/Seminar aus Finanzwirtschaft/TU
by Modernes Risk Management 27 Nov '00

27 Nov '00

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

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[VFN] CFP Computational Methods, Financial Markets
by Christian Haefke 25 Nov '00

25 Nov '00

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.

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