VFN-L

vfn-l@fam.tuwien.ac.at

1160 discussions

[VFN] Lecturer in Probability
by Goran Peskir 06 Sep '11

06 Sep '11

Lecturer in Probability School of Mathematics, The University of Manchester Applications are invited for a Lecturer in Probability with expertise in Financial Mathematics. Closing date: 30 September 2011 Further particulars: http://www.maths.manchester.ac.uk/info/vacancies.html

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[VFN] Workshop on Optimal Stopping, Optimal Control and Finance
by Goran Peskir 02 Sep '11

02 Sep '11

Dear Colleagues, As part of the EPSRC Symposium on Probability at Warwick in 2011/12 we are organising a meeting on Optimal Stopping, Optimal Control and Finance to be held 16-20th July 2012. This is a preliminary announcement. We would be delighted if you would consider attending the event. Also please forward this invitation to any of your colleagues who you think might be interested. More details can be found at http://www2.warwick.ac.uk/fac/sci/maths/research/events/2011-2012/symposium… Registration will open in October. Best wishes, The organisers Alex Cox, Ben Hambly, David Hobson, Goran Peskir

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[VFN] Cfp: Bachelier Finance Society, 7th World Congress, June 19-22, 2012
by VFN-L admin * Andreas Schamanek 19 Aug '11

19 Aug '11

"The 7th World Congress of the Bachelier Finance Society 2012 Conference will bring together leading experts in Mathematical and Quantitative Finance from Academia and Industry for a 4-day conference, with pre-conference practitioner workshops, in Sydney, Australia. Abstract submissions are now invited. The submission deadline is 15th October 2011. Notifications of acceptance into the conference program will be sent out in December 2011." For details see http://www.bfs2012.com/ and http://www.conferenceonline.com.au/newsletter/html.cfm?id=312 ***

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[VFN] mini-courses WPI Vienna: Please Post
by Peter Laurence 25 Jul '11

25 Jul '11

Announcing the following Mini-courses at Wolfgang Pauli Institute, Vienna. http://www.wpi.ac.at/theme_view.php?id_theme=81 For all of the listed events, registration is free, but mandatory and must be received two weeks before the given event. A separate email must be received for each event. Please write to: laurenceWPI(a)gmail.com -- Doctor Rene Aid, Electricite' de France will hold a one and a half day intensive mini-course, September 12 and 13, 2011 "Investment Decisions in Power markets: Problems and Methods". See attached pdf for details --- Doctor Valery Kholodnyi, Verbund/Austria will hold a 2 day intensive mini course: "Advanced Modeling of the Energy Spots, Forwards, Swaps and Options in the unified framework of the non-Markovian Approach". Monday October 24 and 25, 2011 -- Professor Ernst Eberlein, University of Freiburg and Professor Fred Benth, CMA, Oslo will team up for in a two day intensive mini-course on Fourier methods in mathematical finance with applications to Energy and Commodity markets. --January 16: Eberlein will present the general mathematical underpinnings --January 17: Benth will give applications to Energy and Commodity Markets. Further details available at: http://www.math.nyu.edu/~laurence/Wpi/vienna-Energy-bis.htm Best regards, Peter [demime 1.01e removed an attachment of type application/pdf which had a name of Aid-InvestmentDecisionCourse.pdf]

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[VFN] Bank supervision and resolution conference, Vienna, Oct 3-4, 2011
by VFN-L admin * Andreas Schamanek 14 Jun '11

14 Jun '11

3-4 October 2011, Vienna: > Bank Supervision and Resolution: National and International Challenges "The University of Vienna, the Austrian National Bank and the CEPR will host a conference on global financial stability in Vienna. The objective of the meeting is to create a forum for academics, regulators and market participants to discuss issues related to Basel III and cross-border supervisory cooperation." Details are available at http://wirtschaftswissenschaften.univie.ac.at/home/news/article/3-4-october… and http://finance.univie.ac.at/fileadmin/user_upload/inst_finanzwirtschaft/Vie… "Deadline for the responses is 18:00 GMT on June 30, 2011." ***

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[VFN] CHANGED: Mini course on June 16/17 at WPI, U. of Vienna
by Peter Laurence 12 Jun '11

12 Jun '11

The previously anounced mini-course by Peter Forsyth, on June 16 and 17 at WPI, U. of Vienna, has undergone major changes. Professor Forsyth had to cancel due to an INJURY (Friday 10/6). We managed to put together however an excellent new program same days, slightly different times. Due to the unforseen circumstances and enlarged scope of the conference we are accepting, even at this late stage,new registrations. To register write an email to: laurenceWPI(a)gmail.com Outline of new program follows: Thurs morning 10-12:30 Antoine Jacquier(Imperial College) Asymptotics in finance Thurs afternoon 14:30-16:30 Christian Bayer(Vienna): Computational Finance Friday morning & early aft: 10-12:30 and 14:00-16:00 Christof Riesinger: HJB equations and their numerical treatmentFriday late aft: 16:30-18:30 Christian Bayer: Computational Finance Further details will be posted as soon as possible at http://www.math.nyu.edu/~laurence/Wpi/vienna-Energy-bis.htm Best regards, Peter Laurence

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[VFN] Reminder: June 15: WU Gutmann Center Symposium 2011: Liquidity and Asset Management
by Grimm, Dorothea 31 May '11

31 May '11

Reminder: INVITATION / CONFERENCE ANNOUNCEMENT The WU Gutmann Center for Portfolio Management is proud to invite to its sixth symposium. WU GUTMANN CENTER SYMPOSIUM 2011: "LIQUIDITY AND ASSET MANAGEMENT" http://www.wu.ac.at/gc/whatwedo/bridging/symposia June 15, 2011 - 09:00-17:30 Venue: WU (Vienna University of Economics and Business) Festsaal, UZA 1, Augasse 2-6, 1090 Vienna PROGRAM 08:30 Registration 09:00-09:15 Welcome 09:15-10:45 SESSION I Chair: William F. Sharpe, Stanford University HOW DOES ILLIQUIDITY AFFECT DELEGATED PORTFOLIO CHOICE? Luis Goncalves-Pinto, University of Southern California Discussant: Neal Stoughton, UNSW Sydney THE DIMINISHING LIQUIDITY PREMIUM Azi Ben-Rephael, Tel Aviv University (joint with Ohad Kadan and Avi Wohl) Discussant: Yong Chen, Virginia Tech EVAPORATING LIQUIDITY Stefan Nagel, Stanford University Discussant: Miguel A. Ferreira, Universidade Nova de Lisboa 10:45-11:15 Coffee Break 11:15-12:45 SESSION II Chair: Alexander Mürmann, WU ECONOMETRIC MEASURES OF SYSTEMIC RISK IN THE FINANCE AND INSURANCE SECTORS Mila Getmansky Sherman, University of Massachusetts (joint with Monica Billio, Andrew Lo and Loriana Pelizzon) Discussant: Joost Driessen, Tilburg University CAN HEDGE FUNDS TIME MARKET LIQUIDITY? Yong Chen, Virginia Tech (joint with Charles Cao, Bing Liang and Andrew Lo) Discussant: Azi Ben-Rephael, Tel Aviv University HEDGE FUND STOCK TRADING IN THE FINANCIAL CRISIS OF 2007-2008 Francesco Franzoni, University of Lugano (joint with Itzhak Ben-David and Rabih Moussawi) Discussant: Stefan Nagel, Stanford University 12:45-13:45 Lunch Break 13:45-15:15 SESSION III Chair: Thomas Gehrig, University of Vienna MONEY AND LIQUIDITY IN FINANCIAL MARKETS Kjell G. Nyborg, University of Zürich (joint with Per Östberg) Discussant: Loriana Pelizzon, Università Ca'Foscari di Venezia AN ASSET PRICING APPROACH TO LIQUIDITY EFFECTS IN CORPORATE BOND MARKETS Joost Driessen, Tilburg University (joint with Dion Bongaerts and Frank de Jong) Discussant: Lubos Pastor, University of Chicago ILLIQUIDITY OR CREDIT DETERIORATION: A STUDY OF LIQUIDITY IN THE US CORPORATE BOND MARKET DURING FINANCIAL CRISES Rainer Jankowitsch, WU (joint with Nils Friewald and Marti G. Subrahmanyam) Discussant: Robert Korajczyk, Northwestern University 15:15-15:45 Coffee Break 15:45-17:15 SESSION IV Chair: Terrance Odean, University of California, Berkeley THE GEOGRAPHY OF MUTUAL FUNDS: THE ADVANTAGE OF DISTANT INVESTORS Miguel A. Ferreira, Universidade Nova de Lisboa (joint with Massimo Massa and Pedro Matos) Discussant: Susan Christoffersen, University of Toronto INVESTORS' HORIZONS AND THE AMPLIFICATION OF MARKET SHOCKS Cristina Cella, Stockholm School of Economics (joint with Andrew Ellul and Mariassunta Giannetti) Discussant: Luis Goncalves-Pinto, University of Southern California MONEY FUND RUNS Russ Wermers, University of Maryland Discussant: Thomas Dangl, Vienna University of Technology 17:15 Concluding Remarks and Refreshments PLEASE REGISTER not later than June 8th, 2011: gutmann-center(a)wu.ac.at Participation is free of charge CONTACT AND FURTHER INFORMATION: WU Gutmann Center for Portfolio Management WU (Vienna University of Economics and Business) Department of Finance, Accounting and Statistics Phone: +43-1-31336-4244 gutmann-center(a)wu.ac.at www.gutmann-center.at

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[VFN] Masterstudiengang "Quantitative Asset and Risk Management" (ARIMA)
by Helmreich, Silvia 25 May '11

25 May '11

Sehr geehrte Damen und Herren, Die FH des bfi Wien hat im September 2009 einen neuen Studiengang im Bereich Asset- und Risikomanagement von Banken und Versicherungen gestartet. Heuer im Juni gibt es die ersten AbsolventInnen und die Chancen am Arbeitsmarkt sind hervorragend. Für das kommende Studienjahr 2011/12 werden noch Bewerbungen bis zum 15. Juni 2011 entgegen genommen. Die Entwicklung dieses Programmes erfolgte gemeinsam mit internationalen Partneruniversitaeten in Prag, Istanbul und Katowice und wurde von der EU als Joint Degree Curriculum Development Programm gefoerdert. Im 3. Semester findet daher ein verpflichtender Auslandsaufenthalt (zweimal 3 Wochen geblockt) bei einer der Partneruniversitaeten statt. Daraus ergibt sich auch, dass die Unterrichtssprache durchgaengig Englisch ist. Im Bereich Internationalisierung konnte außerdem mit der Universität Bologna, die einen Master in Quantitative Finance anbietet, ein Double Degree Abkommen abgeschlossen werden Das Ziel von ARIMA besteht darin, den Studierenden ein umfassendes Verstaendnis ueber die Zusammenhaenge zwischen Asset- und Risikomanagement im Finanzbereich zu vermitteln. Die AbsolventInnen erhalten eine fundierte Ausbildung im Risikomanagement (Quantifizierung von Risiken, Risikoaggregation; integrierte Steuerung von Banken und Versicherungen etc.) und Asset Management (Assetklassen, Portfolioselektion, Asset Liability Management, etc.). Hinzu treten methodisch-analytische Kenntnisse und Fertigkeiten, vor allem in Finanzmathematik und Statistik. Voraussetzungen zur Teilnahme am Masterprogramm: Im Anschluss an ein wirtschafts-, sozial-, natur- oder rechtswissenschaftliches oder technisches Studium einer Universitaet oder Fachhochschule kann der vier Semester umfassende und berufsbegleitend organisierte Masterstudiengang ARIMA absolviert werden. Weiters muessen besuchte Lehrveranstaltungen im Bereich Mathematik/Statisitk und Wirtschaftswissenschaften nachgewiesen werden. Aufnahmeverfahren: Formales Kriterium fuer die Teilnahme am Aufnahmeverfahren ist eine schriftliche Bewerbung bis spaetestens 15. Juni 2011. Das Aufnahmeverfahren selbst besteht aus einem strukturierten Interview (kurze Praesentation zu einem aktuellen Thema auf Englisch und zusaetzliche Fragen zur Motivation fuer die Bewerbung) und einem Multiple-Choice Test. Die Literatur fuer den MC-Test kann von der homepage der FH des bfi Wien heruntergeladen werden. Der MC-Test findet am 22. Juni 2011 statt. Die strukturierten Interviews werden von Mitte Mai bis Ende Juni gefuehrt. Lektorenpool aus dem wissenschaftlichen und berufsrelvanten Bereich: Um einerseits theoretische Grundlagen zu vermitteln und andererseits die Anwendung der Theorie in der Praxis aufzuzeigen, konnten namhafte Lektoren aus diesen Bereichen fuer eine Vortragstaetigkeit in ARIMA gewonnen werden. Beispielshaft seien das IHS, die TU Wien, Oesterreichische Grossbanken und die OeNB genannt. Wir hoffen, Ihr Interesse fuer den neuen Studiengang geweckt zu haben und wuerden uns sehr freuen, wenn Sie dieses Schreiben an weiterbildungsinteressierte Personen in Ihrem Unternehmen weiterleiten wuerden. Fuer weitere Fragen stehen wir Ihnen gerne zur Verfuegung (silvia.helmreich(a)fh-vie.ac.at) oder besuchen Sie unsere homepage: http://www.fh-vie.ac.at/en/Degree-Programmes/Master/Quantitative-Asset-and-… Mit freundlichen Gruessen Prof.in (FH) Mag.a Silvia Helmreich Studiengangsleiterin ARIMA Fachhochschule des bfi Wien GmbH Wohlmutstrasse 22 1020 Wien Tel.: +43 1 7201286 - 972 e-mail: silvia.helmreich(a)fh-vie.ac.at http://www.fh-vie.ac.at P.S.: die Kosten des Masterstudienganges betragen EUR 363,36 im Semester. ________________________________ Firmenwortlaut: Fachhochschule des bfi Wien Gesellschaft m.b.H Firmenbuchnummer: 148597 a Firmenbuchgericht: Handelsgericht Wien Firmensitz: Wohlmutstraße 22, 1020 Wien This message contains confidential information and is intended only for the individual named. If you are not the named addressee you should not disseminate, distribute or copy this e-mail. Please notify the sender immediately by e-mail if you have received this e-mail by mistake and delete this e-mail from your system. E-mail transmission cannot be guaranteed to be secure or error-free as information could be intercepted, corrupted, lost, destroyed, arrive late or incomplete, or contain viruses. The sender therefore does not accept liability for any errors or omissions in the contents of this message, which arise as a result of e-mail transmission. If verification is required please request a hard-copy version.

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[VFN] Stellenausschreibung an KFUni Graz Institut für Banken u Finanzierung
by Gersin, Silvia (silvia.gersin＠uni-graz.at) 23 May '11

23 May '11

Stellenausschreibung: Wissenschaftliche/n Mitarbeiter/in im Forschungs- und Lehrbetrieb 20 Stunden/Woche; befristet auf 4 Jahre; zu besetzen ab 20. Dezember 2011; Aufgabenbereich: - Forschung: Vorbereitung, Mitarbeit und kritische Auseinandersetzung mit den Forschungsarbeiten und Forschungsprojekten des Instituts; eigene Forschungstätigkeit; Möglichkeit zur Erstellung der Dissertation - Lehre: Abhaltung eigener Lehrveranstaltungen; Mitwirkung bei der Betreuung von Bachelor- und Masterarbeiten; Betreuung von Studierenden - Organisations-, Evaluierungs- und Verwaltungstätigkeiten Fachliche Qualifikation: - abgeschlossenes Diplom- oder Magister/Masterstudium der Betriebswirtschaftslehre mit überdurchschnittlichem Erfolg - gute Kenntnisse auf dem Gebiet Banking und Finance und den angrenzenden Fachgebieten der quantitativen Wirtschaftswissenschaften (insb. Mikroökonomik) - sehr gute Kenntnisse der englischen Sprache - fundierte EDV-Kenntnisse Persönliche Anforderungen: Soziale Kompetenz; Kommunikations-, Organisations- und Teamfähigkeit; Durchsetzungsvermögen; Freude an wissenschaftlichem Arbeiten und am Umgang mit Studierenden. Ende der Bewerbungsfrist: 08. Juni 2011 Kennzahl: MB/112/99 ex 2010/11 Bei Interesse senden Sie Ihre Bewerbungsunterlagen innerhalb der angegebenen Bewerbungsfrist inkl. Lebenslauf, Foto und relevanter (Dienst-)Zeugnisse unter Angabe der Kennzahl bitte an: Karl-Franzens-Universität Graz Personalressort Universitätsplatz 3 8010 Graz oder per Email an: bewerbung(a)uni-graz.at

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[VFN] Reminder May 26: WU Gutmann Center Public Lecture with Mark Grinblatt "Investment, Valuation, and Parameter Uncertainty"
by Grimm, Dorothea 23 May '11

23 May '11

INVITATION WU GUTMANN CENTER PUBLIC LECTURE www.gutmann-center.at (apologies for cross-postings!) DATE: May 26th (Thursday), 2011 - 4:00 pm LOCATION: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien SPEAKER: Prof. Dr. MARK GRINBLATT, Anderson School at UCLA http://www.anderson.ucla.edu/x1927.xml TITLE: "INVESTMENT, VALUATION, AND PARAMETER UNCERTAINTY" ABSTRACT Financial decisions hinge on the values of key parameters like expected returns, volatilities, and discount rates. In any practical setting, these parameters have to be estimated. This talk will show that the standard estimation procedures, like estimating unbiased values of the expected return, volatility, or discount rate, almost always lead to inappropriate financial decisions. The talk will analyze simple finance problems to illustrate proper estimation of unknown parameters. The insights gained from this real world application of finance turns finance intuition on its head. For example, multi-period investments with negative risk premia can be profitable, there can be infinite demand for risky securities by risk averse investors, settings exist where risk averse investors should not diversify, and demand for mutual funds with negative alphas may be rational. We also expect to observe smile effects in option-implied volatilities, even in settings that use the Black-Scholes assumptions about the return generating process of the underlying asset. ABOUT MARK GRINBLATT Mark Grinblatt is the J. Clayburn LaForce Professor of Finance at the UCLA Anderson School of Management, where he has been on the faculty since 1981. He received his Ph.D, M. Phil., and M.A. from Yale University, and his undergraduate degree from the University of Michigan. He served as a visiting professor at the Wharton School, as a visiting fellow at Yale University, and worked as a vice president for Salomon Brothers, Inc. He is a former president of the Western Finance Association and a founding member of the Foundation for the Advancement of Research in Financial Economics. He currently serves on the board of directors of the National Bureau of Economic Research and of Citi (formerly Salomon) Swapco, Inc., as an advisory or associate editor of four journals, and as Senior Associate Dean and Director of the UCLA Anderson Ph.D. Program. Professor Grinblatt has authored numerous scholarly papers in finance and economics, as well as a corporate finance textbook and an edited book volume. His research, which appears in most of the major journals in finance and economics, focuses on asset pricing, rational expectations equilibria, performance evaluation, stock market anomalies, corporate finance, derivatives valuation, and investor behavior. Please REGISTER: Mail: gutmann-center(a)wu.ac.at Phone: +43-1-31336-4244 CONTACT AND FURTHER INFORMATION: WU Gutmann Center for Portfolio Management, WU (Wirtschaftsuniversität Wien) Department of Finance, Accounting and Statistics, Mag. Dorothea GRIMM, Heiligenstädter Str. 46-48, 1190 Wien - www.gutmann-center.at

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[VFN] Mini-course on numerical methods for stochastic control in mathematical finance: WPI
by Peter Laurence 18 May '11

18 May '11

Hello, please remind your readers that about the mini-course coming up soon June 16 & 17-th at WPI. Registration is via an email to laurenceWPI(a)gmail.com Information is at http://www.math.nyu.edu/~laurence/Wpi/vienna-Energy-bis.htm and then click on "mini-courses" There are still about ten seats available. Best regards Peter

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[VFN] Stellenausschreibung WU - Institute Finance, Banking and Insurance
by Grimm, Dorothea 16 May '11

16 May '11

WU WIRTSCHAFTSUNIVERSITÄT WIEN - STELLENAUSSCHREIBUNG The Institute for Finance, Banking and Insurance is currently inviting applications for a ASSISTANT PROFESSOR (non-tenure track) position in Professor Josef Zechner`s group. RESPONSABILITIES. Teaching (Bachelor): Finance Teaching (Master): Finance Research in Professor Zechner's group in one or several of the following areas: Asset Management, Corporate Finance, Asset Pricing, Banking REQUIRED SKILLS AND QUALIFICATIONS: Doctoral Degree in Economics or Business Administration or equivalent qualification DESIRABLE SKILLS AND QUALIFICATIONS: Research experience in one of the following areas of financial economics: Corporate Finance, Asset Management, Asset Pricing, Risk Management, Banking or in a related field, e.g. Decision Theory, Corporate Governance, Game Theory Teaching experience APPLICATION DEADLINE: June 1st, 2011 FURTHER INFORMATION AND APPLICATION: http://www.wu.ac.at/jobs - REFERENCE NUMBER: 1783 FURTHER INFORMATION ABOUT THE INSTITUTE FOR FINANCE, BANKING AND INSURANCE: www.wu.ac.at/finance

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[VFN] May 26: WU Gutmann Center Public Lecture with Mark Grinblatt "Investment, Valuation, and Parameter Uncertainty"
by Grimm, Dorothea 09 May '11

09 May '11

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[VFN] June 15: WU Gutmann Center Symposium 2011: Liquidity and Asset Management
by Grimm, Dorothea 06 May '11

06 May '11

INVITATION / CONFERENCE ANNOUNCEMENT The WU Gutmann Center for Portfolio Management is proud to invite to its sixth symposium. WU GUTMANN CENTER SYMPOSIUM 2011: "LIQUIDITY AND ASSET MANAGEMENT" http://www.wu.ac.at/gc/whatwedo/bridging/symposia June 15, 2011 - 09:00-17:30 Venue: WU (Vienna University of Economics and Business) Festsaal, UZA 1, Augasse 2-6, 1090 Vienna PROGRAM 08:30 Registration 09:00-09:15 Welcome 09:15-10:45 SESSION I Chair: William F. Sharpe, Stanford University HOW DOES ILLIQUIDITY AFFECT DELEGATED PORTFOLIO CHOICE? Luis Goncalves-Pinto, University of Southern California Discussant: Neal Stoughton, UNSW Sydney THE DIMINISHING LIQUIDITY PREMIUM Azi Ben-Rephael, Tel Aviv University (joint with Ohad Kadan and Avi Wohl) Discussant: Yong Chen, Virginia Tech EVAPORATING LIQUIDITY Stefan Nagel, Stanford University Discussant: Miguel A. Ferreira, Universidade Nova de Lisboa 10:45-11:15 Coffee Break 11:15-12:45 SESSION II Chair: Alexander Mürmann, WU ECONOMETRIC MEASURES OF SYSTEMIC RISK IN THE FINANCE AND INSURANCE SECTORS Mila Getmansky Sherman, University of Massachusetts (joint with Monica Billio, Andrew Lo and Loriana Pelizzon) Discussant: Joost Driessen, Tilburg University CAN HEDGE FUNDS TIME MARKET LIQUIDITY? Yong Chen, Virginia Tech (joint with Charles Cao, Bing Liang and Andrew Lo) Discussant: Azi Ben-Rephael, Tel Aviv University HEDGE FUND STOCK TRADING IN THE FINANCIAL CRISIS OF 2007-2008 Francesco Franzoni, University of Lugano (joint with Itzhak Ben-David and Rabih Moussawi) Discussant: Stefan Nagel, Stanford University 12:45-13:45 Lunch Break 13:45-15:15 SESSION III Chair: Thomas Gehrig, University of Vienna MONEY AND LIQUIDITY IN FINANCIAL MARKETS Kjell G. Nyborg, University of Zürich (joint with Per Östberg) Discussant: Gyöngyi Lóránth, University of Vienna AN ASSET PRICING APPROACH TO LIQUIDITY EFFECTS IN CORPORATE BOND MARKETS Joost Driessen, Tilburg University (joint with Dion Bongaerts and Frank de Jong) Discussant: Lubos Pastor, University of Chicago ILLIQUIDITY OR CREDIT DETERIORATION: A STUDY OF LIQUIDITY IN THE US CORPORATE BOND MARKET DURING FINANCIAL CRISES Rainer Jankowitsch, WU (joint with Nils Friewald and Marti G. Subrahmanyam) Discussant: Robert Korajczyk, Northwestern University 15:15-15:45 Coffee Break 15:45-17:15 SESSION IV Chair: Terrance Odean, University of California, Berkeley THE GEOGRAPHY OF MUTUAL FUNDS: THE ADVANTAGE OF DISTANT INVESTORS Miguel A. Ferreira, Universidade Nova de Lisboa (joint with Massimo Massa and Pedro Matos) Discussant: Susan Christoffersen, University of Toronto INVESTORS' HORIZONS AND THE AMPLIFICATION OF MARKET SHOCKS Cristina Cella, Stockholm School of Economics (joint with Andrew Ellul and Mariassunta Giannetti) Discussant: Luis Goncalves-Pinto, University of Southern California MONEY FUND RUNS Russ Wermers, University of Maryland Discussant: Engelbert Dockner, WU 17:15 Concluding Remarks and Refreshments PLEASE REGISTER not later than June 8th, 2011: gutmann-center(a)wu.ac.at Participation is free of charge CONTACT AND FURTHER INFORMATION: WU Gutmann Center for Portfolio Management WU (Vienna University of Economics and Business) Department of Finance, Accounting and Statistics Phone: +43-1-31336-4244 gutmann-center(a)wu.ac.at www.gutmann-center.at

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[VFN] Quantitative Methods in Finance 2011, Sydney, Dec 14-17
by VFN-L admin * Andreas Schamanek 06 May '11

06 May '11

> The Quantitative Methods in Finance - 2011 Conference http://www.qfrc.uts.edu.au/qmf/ 4-day conference in Sydney, Australia from December 14-17 > Focus: Stochastic Volatility, Monte Carlo Methods, Quantitative Investing, Long Dated Pension and Insurance Contracts, Liquidity, Portfolio Optimisation, Energy and Emission Trading and other areas of Quantitative Finance > Plenary Speakers include: Alexandre Antonov, Peter Bank, Giovanni Barone-Adesi, Freddy Delbaen, Robert Elliott, Robert Fernholz, Jean-Pierre Fouque, John Van der Hoek, Mark Joshi, Yuri Kabanov, Yannis Karatzas, Constantinos Kardaras, Takeaki Kariya, Ashkan Nikeghbali, Dan Rosen, Marek Rutkowski, Wim Schoutens, Josef Teichmann Paper submission extended until May 15, 2011. For details see http://www.qfrc.uts.edu.au/qmf/ -- -- Andreas Schamanek VFN-L list-admin

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[VFN] 26. Workshop
by office＠bwg.at 29 Apr '11

29 Apr '11

Die Austrian Working Group on Banking and Finance (AWG) der Österreichischen Bankwissenschaftlichen Gesellschaft veranstaltet gemeinsam mit der Alpen-Adria-Universität Klagenfurt, Institut für Finanzmanagement, den 26. WORKSHOP First CALL for PAPERS Der Workshop findet am Freitag, dem 25. November 2011, nachmittags, und am Samstag, dem 26. November 2011, vormittags, an der Alpen-Adria-Universität Klagenfurt statt. Bezüglich der Themen ist keine Einschränkung vorgesehen. Papers oder Extended Abstracts (ca. zwei Seiten) können bis spätestens 16. Oktober 2011 bei o.Univ.-Prof. Dr. Wolfgang Nadvornik, Institut für Finanzmanagement, Alpen-Adria-Universität Klagenfurt, Universitätsstrasse 65-67, A-9020 Klagenfurt oder e-mail: AWG26(a)aau.at eingereicht werden. Um den angestrebten Workshop-Charakter der Veranstaltung zu fördern, können Papers durch einen Discussant besprochen werden. Jene Teilnehmer, die eine solche Vorgangsweise wünschen, werden gebeten, ihr Manuskript bis 2. Oktober 2011 einzureichen. Ziele: Schaffen eines österreichweiten Diskussionsforums für theoretische und empirische Forschungsarbeiten auf dem Gebiet des Bankwesens und der Finanzwirtschaft. Förderung der Zusammenarbeit innerhalb der Hochschulen und der Zusammenarbeit mit der Praxis. Teilnehmer: Angesprochen sind sowohl der wissenschaftliche Nachwuchs an allen österreichischen Universitäten und verwandten Institutionen der Forschung als auch Praktiker in Kreditinstituten und Finanzabteilungen von Unternehmen. Schwerpunkte (Auswahl): Arbitrage Pricing – Behavioural Finance - Capital Market Theory – Capital Requirements of Financial - Commercial Banking – Contingent Claims Analysis – Corporate Finance – Financial Innovations – Financial Markets Research – Intermediaries – International Banking and Finance – Investment Banking – Options and Futures – Performance Measurement – Portfolio Management – Risk Management – Security Analysis.

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[VFN] European Summer School in Financial Mathematics - final call for applications
by summerschoolmathfi 29 Apr '11

29 Apr '11

Dear Colleagues The Fourth European Summer School in Financial Mathematics will take place from September 5 to 9, at ETH Zürich. Final call for applications: Registration is open until April 30, 2011. All the details are on the web site http://www.math.ethz.ch/finance/summerschool/ Feel free to circulate this announcement. Yours sincerely, The organising committee Bruno Bouchard, Monique Jeanblanc, Bernard Lapeyre, Gilles Pagès, Huyên Pham, Mathieu Rosenbaum, Mete Soner, Josef Teichmann, Nizar Touzi

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[VFN] Uni Innsbruck - Professur Betriebliche Finanzwirtschaft mit Schwerpunkt Risikomanagement
by Matthias Bank 29 Apr '11

29 Apr '11

Am Institut für Banken und Finanzen der Fakultät für Betriebswirtschaft der Leopold-Franzens-Universität Innsbruck ist die Stelle einer/eines *UNIVERSITÄTSPROFESSORIN/UNIVERSITÄTSPROFESSORS* *FÜR* *BETRIEBLICHE FINANZWIRTSCHAFT MIT DEM SCHWERPUNKT RISK MANAGEMENT * in Form eines unbefristeten privatrechtlichen Arbeitsverhältnisses mit der Universität zu besetzen. *Aufgaben* **Aufgabe der Professorin/des Professors ist die Vertretung des Faches Betriebliche Finanzwirtschaft mit dem speziellen Fokus auf Risk Management in Forschung und Lehre. Es wird erwartet, dass die Professorin/der Professor international sichtbare Forschungsleistungen erbringt. Sie/er soll sich am Forschungszentrum Finanzmärkte und Risiko beteiligen. Publikationstätigkeit in hochwertigen internationalen Fachzeitschriften sowie Kooperation mit internationalen Forschungs- und/oder Projektpartner/innen werden ebenso erwartet wie die Einwerbung von Drittmitteln. In der Lehre soll das Fach Betriebliche Finanzwirtschaft durch die Mitwirkung an den einschlägigen Bachelor-, Master- und PhD-Programmen der Fakultät für Betriebswirtschaft in deutscher und englischer Sprache vertreten werden. Darüber hinaus wird erwartet, dass sich die Professorin/der Professor an der strategischen Weiterentwicklung der Fakultät für Betriebswirtschaft sowie an der akademischen Selbstverwaltung beteiligt. *ANSTELLUNGSERFORDERNISSE* a)eine der Verwendung entsprechende abgeschlossene inländische oder gleichwertige ausländische Hochschulbildung; b)einschlägige Lehrbefugnis (Habilitation) oder gleichzuhaltende Eignung; c)Publikationen in führenden internationalen referierten Fachzeitschriften; d)Einbindung in die internationale fachspezifische Forschung; e)Erfahrung in der Einwerbung von Forschungsmitteln; f)ausgeprägte didaktische Fähigkeiten; g)facheinschlägige Auslandserfahrung; h)Fähigkeit zur Führung von Teams im Bereich der Forschung und Lehre. Bewerbungen sind bis spätestens *31. Mai 2011 *an die Leopold-Franzens-Universität Innsbruck, Fakultäten Servicestelle, Standort Karl-Rahner-Platz 3, A-6020 Innsbruck (fss-karlrahnerplatz(a)uibk.ac.at) zu richten. Die Leopold-Franzens-Universität Innsbruck strebt eine Erhöhung des Frauenanteiles an und lädt deshalb qualifizierte Frauen zur Bewerbung ein. Frauen werden bei gleicher Qualifikation vorrangig aufgenommen. Die Bewerbungsunterlagen sollen jedenfalls enthalten: Lebenslauf mit einer Beschreibung des wissenschaftlichen und beruflichen Werdeganges, Publikationsliste, Liste der laufenden und der durchgeführten Projekte (inkl. Fördergeber/in, Laufzeit und Fördersumme), Konzept für die am Institut für Banken und Finanzen geplanten Forschungsaktivitäten, Aufstellung der bisherigen Lehrtätigkeit und die fünf wichtigsten fachspezifischen Publikationen in elektronischer Form. Die Bewerbungsunterlagen sind digital (CD, E-Mail) beizubringen. Die Papierform ist optional. Da die Bewerbungen international begutachtet werden, ist die Bewerbung in englischer Sprache zu verfassen. Ausführliche Informationen zum Institut und zur Fakultät finden sich unter http://www.uibk.ac.at/fakultaeten/betriebswirtschaft/career.html. Dort werden auch Informationen über den laufenden Stand des Verfahrens bereitgestellt. o. Univ.-Prof. Dr. Karlheinz TÖCHTERLE R e k t o r

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[VFN] Workshop Stochastic Analysis, Lévy Processes and (B)SDEs
by Stefan Geiss 12 Apr '11

12 Apr '11

Dear colleagues, we would like to invite you to participate in the workshop Stochastic Analysis, Lévy Processes and (B)SDEs which will be held in the outskirts of Innsbruck, Austria, from the 3rd to the 7th October, 2011. Participants are kindly requested to register by the 12th of August, 20011. For registration and further information please visit our workshop website: stochastics-mathematics.uibk.ac.at/workshop/index.html Looking forward to meeting you in Innsbruck in October 2011 Zdzislaw Brzezniak Christel Geiss Stefan Geiss Erika Hausenblas Robert Tichy -- Stefan Geiss Institut für Mathematik Universität Innsbruck Phone : +43 512/ 507 6090 Fax : +43 512/ 507 2758 Mobil : +43 676/ 404 1301 E-mail: stefan.geiss(a)uibk.ac.at http://www.uibk.ac.at/mathematik/personal/geiss/

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[VFN] 4th European Summer School in Financial Mathematics, Zuerich, September 5-9, 2011
by VFN-L admin * Andreas Schamanek 01 Apr '11

01 Apr '11

4th European Summer School in Financial Mathematics ETH-Zürich & Ecole Polytechnique Zürich, September 5-9, 2011 http://www.cmap.polytechnique.fr/~euroschoolmathfi11/ Young researchers and PhD students are invited to apply before April 30, 2011. For details see http://www.cmap.polytechnique.fr/~euroschoolmathfi11/application.html ***

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[VFN] Reminder: March 31 Gutmann Center Public Lecture with S. Figlewski "Using Options to Learn about Price Expectations and Risk Preferences in the Stock Market"
by Grimm, Dorothea 28 Mar '11

28 Mar '11

INVITATION WU GUTMANN CENTER PUBLIC LECTURE www.gutmann-center.at (apologies for cross-postings!) DATE: March, 31 (Thursday), 2011 - 4.00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien SPEAKER: Prof. Dr. Stephen FIGLEWSKI, New York University, Stern School of Business http://pages.stern.nyu.edu/~sfiglews/ TITLE: USING OPTIONS TO LEARN ABOUT PRICE EXPECTATIONS AND RISK PREFERENCES IN THE STOCK MARKET ABSTRACT: Market prices for options on the S&P 500 Index reflect the market's assessment of the probability distribution over the level of the index on expiration day, adjusted for the market's tolerance for bearing risk. This information is contained in the "risk neutral probability distribution" (RND), which can be extracted from option price quotes in the market. The presentation will describe how this technology can be used to explore several interesting issues, including - how the RND changes from day to day and from minute to minute within a day as the underlying stock market moves; - how the public release of a major piece of information - the Federal Reserve's announcement of its target for the Federal funds rate becomes incorporated into market prices; - what factors are most important in determining the risk neutral volatility. ABOUT STEPHEN FIGLEWSKI: Stephen Figlewski is a Professor of Finance at the New York University Leonard N. Stern School of Business, where he has been since 1976. He holds a B.A. in Economics from Princeton University and a Ph.D in Economics from the Massachusetts Institute of Technology. He has published extensively in academic journals, especially in the area of financial futures and options. He is the founding Editor of The Journal of Derivatives and he also edits the Financial Economics Network's two "Derivatives" series published over the Internet. He is the director of the NASDAQ OMX Derivatives Research Project, which is a research initiative at the Stern School that supports applied and theoretical research on derivatives and promotes intellectual interchange between academics and practitioners in derivatives, risk management, and financial engineering. Professor Figlewski has also worked on Wall Street. Recently he took a leave of absence to work on margin setting for credit-sensitive securities at Citigroup. Previously, he spent a year at the First Boston Corporation, in charge of research on equity derivative products, and was at one time a member of the New York Futures Exchange and a Competitive Options Trader at the New York Stock Exchange. Please REGISTER: Mail: gutmann-center(a)wu.ac.at Phone: +43-1-31336-4244 CONTACT AND FURTHER INFORMATION: WU Gutmann Center for Portfolio Management, WU (Wirtschaftsuniversität Wien) Department of Finance, Accounting and Statistics, Mag. Dorothea GRIMM, Heiligenstädter Str. 46-48, 1190 Wien - www.gutmann-center.at

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[VFN] OR 2011 Conference
by Mestel, Roland (roland.mestel＠uni-graz.at) 23 Mar '11

23 Mar '11

Dear Colleagues, Please find attached an announcement and cfp for the OR 2011 International Conference on Operations Research which will take place at the University of Zurich from August 30 to September 2, 2011. There will be a special stream on "Financial modeling, risk management and banking". Kind regards, Roland Mestel Institute of Banking and Finance University of Graz ************************************************************************** OR 2011 Zurich, Switzerland, August 30 to September 2, 2011 Announcement / Call for Papers This international conference on operations research will take place in Zurich, Switzerland. The conference of the three German speaking OR societies GOR, ÖGOR and SVOR is under the patronage of the Swiss OR Society (SVOR) and hosts at the same time the respective annual meetings of the three OR societies. The main goal of the conference is to bring together members of the international OR community to discuss scientific progresses in various subfields of OR in a truly interdisciplinary spirit. For further information, please visit the website: www.or2011.ch<http://www.or2011.ch> :: Plenary/Semi-plenary lectures: http://www.or2011.ch/topics_program/lectures :: Streams and chairs: http://www.or2011.ch/topics_program :: Program/organizing committee: http://www.or2011.ch/topics_program/program_committee All members of the OR/MS community are invited to participate in the OR 2011! Hans-Jakob Lüthi, chair organizing committee Director of the Institute for Operations Research (IFOR), ETH Zurich Karl Schmedders, chair program committee Director of the Institute for Operations Research (IOR), University of Zurich **************************************************************************

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[VFN] INVITATION MARCH 31: Stephen Figlewski: "USING OPTIONS TO LEARN ABOUT PRICE EXPECTATIONS AND RISK PREFERENCES IN THE STOCK MARKET"
by Grimm, Dorothea 14 Mar '11

14 Mar '11

INVITATION WU GUTMANN CENTER PUBLIC LECTURE www.gutmann-center.at (apologies for cross-postings!) DATE: March, 31 (Thursday), 2011 - 4.00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien SPEAKER: Prof. Dr. Stephen FIGLEWSKI, New York University, Stern School of Business http://pages.stern.nyu.edu/~sfiglews/ TITLE: USING OPTIONS TO LEARN ABOUT PRICE EXPECTATIONS AND RISK PREFERENCES IN THE STOCK MARKET ABSTRACT: Market prices for options on the S&P 500 Index reflect the market's assessment of the probability distribution over the level of the index on expiration day, adjusted for the market's tolerance for bearing risk. This information is contained in the "risk neutral probability distribution" (RND), which can be extracted from option price quotes in the market. The presentation will describe how this technology can be used to explore several interesting issues, including - how the RND changes from day to day and from minute to minute within a day as the underlying stock market moves; - how the public release of a major piece of information - the Federal Reserve's announcement of its target for the Federal funds rate becomes incorporated into market prices; - what factors are most important in determining the risk neutral volatility. ABOUT STEPHEN FIGLEWSKI: Stephen Figlewski is a Professor of Finance at the New York University Leonard N. Stern School of Business, where he has been since 1976. He holds a B.A. in Economics from Princeton University and a Ph.D in Economics from the Massachusetts Institute of Technology. He has published extensively in academic journals, especially in the area of financial futures and options. He is the founding Editor of The Journal of Derivatives and he also edits the Financial Economics Network's two "Derivatives" series published over the Internet. He is the director of the NASDAQ OMX Derivatives Research Project, which is a research initiative at the Stern School that supports applied and theoretical research on derivatives and promotes intellectual interchange between academics and practitioners in derivatives, risk management, and financial engineering. Professor Figlewski has also worked on Wall Street. Recently he took a leave of absence to work on margin setting for credit-sensitive securities at Citigroup. Previously, he spent a year at the First Boston Corporation, in charge of research on equity derivative products, and was at one time a member of the New York Futures Exchange and a Competitive Options Trader at the New York Stock Exchange. Please REGISTER: Mail: gutmann-center(a)wu.ac.at Phone: +43-1-31336-4244 CONTACT AND FURTHER INFORMATION: WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien) Department of Finance, Accounting and Statistics Mag. Dorothea GRIMM Heiligenstädter Str. 46-48, 1190 Wien www.gutmann-center.at

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[VFN] Workshop "Financial Markets & Risk" Obergurgl
by Jochen Lawrenz 04 Feb '11

04 Feb '11

**REMINDER *Final Call For Papers* to the *5th Workshop "Financial Markets & Risk" 2011 in Obergurgl 14.-16. April 2011* You are encouraged to submit full papers or extended abstracts for the Workshop "Financial Markets & Risk" 2011 in Obergurgl, taking place on 14.-16. April 2011. Submission deadline: February, 13, 2011 All further information can be found on: http://www.uibk.ac.at/ibf/sonstiges/obergurgl/oghome.html Best regards, Jochen Lawrenz -- Jochen Lawrenz Department of Banking& Finance University of Innsbruck Universitaetsstrasse 15 A-6020 Innsbruck Phone +43-512-5077582 Fax +43-512-5079808

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[VFN] Stellenausschreibung Institut fuer Banken & Finanzierung, Uni Graz
by Palan, Stefan (stefan.palan＠uni-graz.at) 20 Dec '10

20 Dec '10

AUSSCHREIBUNG Am Institut fuer Banken und Finanzierung der Universitaet Graz gelangt folgende Stelle zur Ausschreibung: 1 Dissertationsstelle (20 h / Woche) Besetzung ab sofort moeglich; die Stelle ist auf 17 Monate befristet. Die Einstellung erfolgt im Zuge eines vom Bundesministerium fuer Verkehr, Innovation und Technologie gefoerderten Forschungsprojektes zum Thema "mobilityXchange: Marktbasiertes Anreizsystem zur Optimierung des betrieblichen Mobilitaetsmanagements". Die Arbeit umfasst Forschungsleistungen im Bereich der Konzeptionierung eines Marktmechanismus fuer den innerbetrieblichen Handel mit Mobilitaetsguetern, dessen experimentelle Ueberpruefung und die Ableitung von daraus resultierenden Handlungsempfehlungen fuer das Design eines solchen Marktes. Dieses Projekt ist Teil einer interdisziplinaeren Kooperation zwischen dem Verkehrsbuero verkehrplus Prognose, Planung und Strategieberatung GmbH, dem Institut fuer Banken und Finanzierung und Northbridge IT Solutions GmbH. Die Entlohnung erfolgt gemaess dem oesterreichischen Universitaeten-KV. Qualifikationen: - Abgeschlossenes wirtschaftswissenschaftliches Studium (Diplom- oder Masterstudium), vorzugsweise VWL. Erfahrung und/oder Interesse im Bereich Marktmechanismen und -design. - Erwuenscht: Analytische und quantitative Kompetenzen sowie Erfahrung mit wirtschaftswissenschaftlichen Experimenten und Programmierkenntnisse. - Bereitschaft zur interdisziplinaeren Zusammenarbeit. - Projekterfahrung von Vorteil. Ihre aussagekraeftige Bewerbung (Anschreiben, Lebenslauf, Zeugniskopien) senden Sie postalisch oder per E-mail an: Dr. Stefan Palan Institut fuer Banken und Finanzierung Universitaetsstrasse 15/F2, A-8010 Graz stefan.palan(a)uni-graz.at Mit der Bitte um Aushang und Weitergabe an geeignete Bewerberinnen und Bewerber. Mit freundlichen Gruessen, Stefan Palan. Dr. Stefan Palan Assistenzprofessor Karl-Franzens-Universitaet Graz Institut fuer Banken und Finanzierung Universitaetsstrasse 15/F2 8010 Graz Tel.: +43 (0) 316 / 380 7306 Fax.: +43 (0) 316 / 380 9580 stefan.palan(a)uni-graz.at http://www.palan.biz/academic

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