---------- Forwarded message ----------
Date: Tue, 7 Nov 2006 09:50:57 -0000
From: Xiaochen Sun <Xiaochen.Sun(a)brunel.ac.uk>
Subject: CONTINUOUS TIME FINANCE Workshop
Dear list, we are pleased to announce the following workshop:
1. CONTINUOUS TIME FINANCE
CONTINUOUS TIME FINANCE
27-29 November 2006, Brunel University, West London, UK
( http://www.unicom.co.uk/finance )
Background
Three-day workshop presented by Dr Paresh Date and Mr Luka Jalen,
CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling
Applications, Brunel University
Whether it is mergers and acquisitions, derivative asset pricing,
optimal portfolio choice or risk management, success in modern finance
is unthinkable without a solid grasp of mathematics. Continuous time
models now play a central role in pricing of financial assets under more
challenging circumstances than can be handled with discrete time models.
This course introduces models in continuous time and the advanced
mathematics required for their analysis such as stochastic analysis
(Brownian motion), partial differential equations and martingale
measures, and shows how these can be used for asset and derivative
valuation in continuous time.
Given the fast pace of development of finance theory and product
innovation in recent times, the course will be of great value to banking
professionals who want to learn basic modeling and pricing methods in
investment banking as well as to graduate students starting their
doctoral studies in finance.
Course Outline
Day 1
o Introduction to stochastic calculus
Wiener processes
Linear stochastic differential equations: asset price dynamics
Ito's lemma
o Introduction to Splus for mathematical finance
Writing functions
Random number generation and generating sample paths
Day 2
o Introduction to pricing and hedging of derivatives
Pricing of futures contracts
Hedging using futures
European Option payoffs and hedging using options
Black-Scholes formula
Delta hedging
o Pricing European options using Monte Carlo in Splus
Day 3
o Stochastic interest rate models
Spot rates, forward rates and arbitrage
Bond prices and yield curve
Short rate models, Vasicek model
o Calibration of Vasicek model from real yield data using Splus
Each day will include hands-on demonstrations of Splus
Benefits of Attending
You will learn about the latest developments in the field from
acknowledged research leaders, gathered together in London. By
networking and listening to the presentations, you will gain valuable
knowledge and practical techniques to apply your own area of practice or
research. You will gain first hand experience of the innovative thinking
and best practices currently being developed in some of the worlds
leading educational institutions.
The target audience
Graduate students who are starting their doctoral studies in finance
PhD Research Students
Academics
Banking professionals who want to learn basic modeling and pricing
methods in investment banking.
This workshop is organized by The Centre for the Analysis of Risk and
Optimisation Modelling Applications (CARISMA) at Brunel University and
managed by UNICOM Seminars. It takes place at Brunel University campus,
West London.
For further details please go to www.unicom.co.uk/finance or email
info(a)unicom.co.uk for a PDF flier.
Alternatively you may telephone UNICOM on +44 1895 256 484 for further
information.
We look forward to welcoming you to the CONTINUOUS TIME FINANCE, 27-29
November 2006; please also make your colleagues aware of it.
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Michael(Xiaochen) Sun
CARISMA, www.carisma.brunel.ac.uk
Centre for the Analysis of Risk and Optimisation Modelling Application;
School of Computing, Information Systems and Mathematics
Brunel University
Uxbridge, UB8 3PH
United Kingdom
Email: xiaochen.sun (at) brunel.ac.uk
http://optirisk.googlepages.com/http://people.brunel.ac.uk/~mapgxcs
Blog: http://mam3xs.blogspot.com
Tel: (+44) (0)1895 265625
Mobile: (+44) (0)7841873292
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Prof. Dirk Hackbarth from Washington University in St. Louis is giving a
VGSF research seminar on "Corporate Bond Credit Spreads and Forecast
Dispersion" on FRIDAY, Nov. 3rd, from 15:30 to 17:00 at the WU Wien
(Seminarraum D204, UZA 4, Nordbergstrasse 15, 1090 Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Dirk asked me NOT to put his paper onto our webpage. If you want to get the
paper, please contact me via email and I send it to you.
Dirk is going to be available for meetings on Friday. If you are interested,
please contact Michael Halling (michael.halling(a)univie.ac.at).
Best,
Michael Halling
Abstract
Recent research establishes a negative relation between stock returns and
dispersion of analysts' earnings forecasts, arguing that, due to short-sale
constraints in equity markets, asset prices more reflect the views of
optimistic investors. In this article, we examine whether a similar effect
prevails in corporate bond markets. After controlling for common bond-level,
firm-level, and macroeconomic variables, we find evidence that bonds of
firms with higher dispersion demand significantly higher credit spreads than
otherwise similar bonds and that changes in dispersion reliably predict
changes in credit spreads. We argue the dominating effect of dispersion is
to proxy for future cash flow uncertainty due to the limited role of
short-sale constraints in corporate bond markets.
Prof. Will Goetzmann from Yale University is giving a VGSF research seminar
on "Risk Aversion and Clientele Effects" on TUESDAY, October 31st, from
15:30 to 17:00 at the WU Wien (Room H.DE03, UZA 4, Base Floor,
Nordbergstrasse 15, 1090 Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Prof. Goetzmann is going to be in Vienna on Monday and Tuesday. If you like
to meet him and to discuss your research with him, please contact Michael
Halling (michael.halling(a)univie.ac.at).
Best,
Michael Halling
Abstract
We estimate preferences toward risk of investors in growth and value stock
indices, which represent two widely followed investment styles. We find
differences in risk preferences for the two clienteles. Value investors are
more averse to risk, while growth investors are more willing to accept risk.
Estimated preferences also exhibit different time series patterns. Risk
preferences of value investors show stronger persistence in the time series
during our time period. This is consistent with investors in value stocks
being a more stable clientele. We find evidence that indicates the presence
of switchers-investors who move funds between the two styles. Switchers
react to returns on the styles, and also react to changes in risk of the
styles. Further, we construct trading strategies in the value growth index
options markets and find that the strategies generate positive returns.
Overall, the evidence is consistent with the hypothesis that different
clienteles, characterized by differences in risk preferences and trading
habits, exist. Further, trading strategies can be formed to exploit the
existence of clienteles.
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
(Apologies for any cross-listings!):
Date: OCTOBER 30th, 2006 (Monday), 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker:
Prof. Dr. WILLIAM N. GOETZMANN, Yale School of Management -
International Center for Finance; Harvard Business School
http://viking.som.yale.edu/
Title: LESSONS FROM HEDGE FUND REGISTRATION
Abstract:
In February, 2006, hedge funds operating in the U.S. were required to
register with the Securities and Exchange Commission. This paper
addresses the question of the relevance of the information contained in
these filings. We find that hedge funds filing with the SEC had better
past performance and more assets than non-filers - supporting the
assertion that filing is a potential signal of quality. We also find a
strong positive association between potential conflicts and past legal
and regulatory problems - supporting that SEC filings provides
information relevant to detecting operational risk. Finally we find that
while information contained in SEC filings may be redundant to some
market participants such as creditors, it may be very useful to hedge
fund investors.
About William N. Goetzmann:
Will Goetzmann is the Edwin J. Beinecke Professor of Finance and
Management Studies and Director of the International Center for Finance
at the Yale School of Management.
He is an expert on a diverse range of investments, including stocks,
hedge funds, mutual funds, real estate, and paintings. His research
topics include global investing, forecasting stock markets, selecting
mutual fund managers, housing as investment, and the risk and return of
art. His work has been featured in the Wall Street Journal, the New York
Times, Business Week, the Economist, Forbes, and Art and Auction.
Professor Goetzmann has a background in arts and media management. As a
documentary film-maker, he has written and co-produced programs for
"Nova" and the "American Masters" series, including a profile of the
artist Thomas Eakins. A former director of Denver's Museum of Western
Art, Professor Goetzmann co-authored the award winning book, The West of
the Imagination.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
Dear colleague:
I would like to invite you to participate and give us a presentation
in the Stream "Dynamics and Control of Economic Processes" at
the 22nd European Conference on Operational Research, which
will take place in Prague, capital of the Czech Republic, from
July 8-11, 2007.
Perhaps you are also interested in organizing a Session in this
stream (containing 3-4 papers) related to a topic of your research
fields in the area of Dynamical Systems. If you are interested,
please send us the name of your possible session(s), and your
data.
You can find information about the related areas and contacts on
the conference web page: http://euro2007.vse.cz/. In this week,
the Invited Streams will be inserted into the Electronical
Submission system of the conference; then, your possible Invited
Session could become added there, before the abstract
submission of will start.
With friendly regards
and best wishes,
Gustav Feichtinger
Im *Institut für Quantitative BWL und Operations Research *ist
voraussichtlich ab 18. Februar 2007 bis 31. August 2009 die Stelle eines
wissenschaftlichen Mitarbeiters/einer wissenschaftlichen Mitarbeiterin
(ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG 2002
idgF), vollbeschäftigt, zu besetzen.
Wir weisen Sie darauf hin, dass der WU-Entwicklungsplan für
wissenschaftliche Mitarbeiter/ wissenschaftliche Mitarbeiterinnen eine
maximale Befristungsdauer von 4 Jahren vorsieht.
Bewerber/innen, die bereits als Ersatzkräfte an der WU beschäftigt sind,
können daher nur mehr für die auf die 4 Jahre fehlende Zeit eingestellt
werden.
Notwendige Kenntnisse und Qualifikationen:
EU-Bürger/in, abgeschlossenes Studium der Sozial- und
Wirtschaftswissenschaften und/oder Mathematik und/oder
Wirtschaftsingenieurwesen bzw. gleichzuhaltende Qualifikation
Erwünschte Kenntnisse und Qualifikationen:
Eignung zur Mitarbeit in Lehre (insbesondere Finanzierung,
gegebenenfalls Operations Research) und Forschung des Instituts;
Mitbetreuung der Telematik-Plattform "learn@wu"; Mitarbeit im
organisatorisch-administrativen Bereich (insbesondere
Prüfungsadministration)*
Kennzahl: 69748*
Schriftliche Bewerbungen mit Lebenslauf und Zeugnissen (Kopien) sind
unter Angabe der angeführten Kennzahl an die PERSONALABTEILUNG der
Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien zu richten.
Ende der Bewerbungsfrist: 8. November 2006
Bitte die Kennzahl unbedingt anführen!
Der Rektor:
o. Univ.Prof. Dr. Christoph Badelt
Link:
http://www.wu-wien.ac.at/start/jobs/ausschrwisspers#w168
MfG
M. Nettekoven
--
-------------------------------------------------------------
Univ.-Ass. Dr. Michaela Nettekoven
Wirtschaftsuniversitaet Wien
Institut für Quantitative Betriebswirtschaftslehre und Operations Research
UZA 4, 4. Stock, Bauteil D
Nordbergstraße 15, A - 1090 Wien
Tel.: +43-1-31336-4561, Fax: +43-1-31336-708
Email: michaela.nettekoven(a)wu-wien.ac.at
Web: <http://www.wu-wien.ac.at/or/>
Prof. Marcin Kacperczyk from UBC is giving a VGSF research seminar on "Labor
Unions, Operating Leverage, and Expected Stock Returns" on MONDAY, October
16th, from 16:30 to 18:00 at the WU Wien (UZA 4, Nordbergstrasse 15, 1090
Wien, Room D204, 2. Obergeschoß, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Marcin is going to be in Vienna on Monday. If you like to meet him and to
discuss your research with him, please contact Michael Halling
(michael.halling(a)univie.ac.at).
Best,
Michael Halling
Abstract
We examine the effect of an important friction in the labor market, that
generated by labor unions, on the cross-section of expected stock returns.
We hypothesize that labor unions increase expected stock returns by
increasing firms share of fixed labor costs in total labor costs and thus
their operating leverage. Consistent with our hypothesis, we find that
expected returns are higher for firms in more unionized industries and that
the effect is stronger when unions face a more favorable bargaining
environment. Furthermore, using instrumental-variables techniques we
establish a causal link from unionization to expected returns. Finally, we
provide evidence that unions increase expected returns through the operating
leverage channel. Overall, our findings underline the importance of labor
markets imperfections in understanding cross-sectional variation in
expected returns.
Prof. Xavier Freixas from Universitat Pompeu Fabra, Barcelona, is giving a
VGSF research seminar in cooperation with the "Oesterreichischen
Nationalbank" (Austrian Central Bank) on "How Can Emerging Market Economies
Benefit from a Corporate Bond Market?" on FRIDAY, October 13th, from 15:30
to 17:00 at the "Oesterreichische Nationalbank" (!!!), Otto-Wagner-Platz 3,
1090 Wien, Veranstaltungssaal, Erdgeschoss. Unfortunately, lastest versions
of the paper or the abstract are not available.
Note again the CHANGED LOCATION as this seminar takes place at the
"Oesterreichische Nationalbank".
Best,
Michael Halling
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
(Apologies for any cross-listings!):
Date: OCTOBER 30th, 2006 (Monday), 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. WILLIAM N. GOETZMANN, Yale School of Management -
International Center for Finance; Harvard Business School
http://viking.som.yale.edu/
Title: LESSONS FROM HEDGE FUND REGISTRATION
Abstract:
In February, 2006, hedge funds operating in the U.S. were required to
register with the Securities and Exchange Commission. This paper
addresses the question of the relevance of the information contained in
these filings. We find that hedge funds filing with the SEC had better
past performance and more assets than non-filers - supporting the
assertion that filing is a potential signal of quality. We also find a
strong positive association between potential conflicts and past legal
and regulatory problems - supporting that SEC filings provides
information relevant to detecting operational risk. Finally we find that
while information contained in SEC filings may be redundant to some
market participants such as creditors, it may be very useful to hedge
fund investors.
About William N. Goetzmann:
Will Goetzmann is the Edwin J. Beinecke Professor of Finance and
Management Studies and Director of the International Center for Finance
at the Yale School of Management.
He is an expert on a diverse range of investments, including stocks,
hedge funds, mutual funds, real estate, and paintings. His research
topics include global investing, forecasting stock markets, selecting
mutual fund managers, housing as investment, and the risk and return of
art. His work has been featured in the Wall Street Journal, the New York
Times, Business Week, the Economist, Forbes, and Art and Auction.
Professor Goetzmann has a background in arts and media management. As a
documentary film-maker, he has written and co-produced programs for
"Nova" and the "American Masters" series, including a profile of the
artist Thomas Eakins. A former director of Denver's Museum of Western
Art, Professor Goetzmann co-authored the award winning book, The West of
the Imagination.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
Dear colleague,
unfortunately, the link of the 'response form' of the call for paper 'EMNet2007'
was incorrect. Below is the final revised form.
CALL FOR PAPERS - EMNet 2007, Erasmus University Rotterdam
The third international conference on ECONOMICS AND MANAGEMENT OF NETWORKS
will be held at the Rotterdam School of Management, Erasmus University
Rotterdam, from June 28 to June 30, 2007, in Rotterdam, The Netherlands. The
purpose of the conference is to provide an international discussion forum
for research in economics and management of networks. Theoretical,
conceptual and empirical papers from all areas in economics and management
of franchising, cooperatives, joint ventures, licensing, strategic
alliances, venture capital relations, virtual networks and other hybrids,
are invited.
Procedures for Submitting Papers
Authors who want to present a paper should submit an abstract (1 page) and
return the response form (published under http://www.univie.ac.at/EMNET )
as soon as possible, but not later than February 28, 2007. Please e-mail
the response form to:
George W.J. Hendrikse (ghendrikse(a)rsm.nl)
Rotterdam School of Management, Erasmus University Rotterdam
PO Box 1738, Office T08-56
3000 DR Rotterdam, The Netherlands
and
Josef Windsperger (josef.windsperger(a)univie.ac.at)
University of Vienna
Center for Business Studies
Brünner Str. 72
A-1210 Vienna, Austria
Conference Fees: 190 EUR (including lunch, dinner and coffee breaks)
Researchers from non-EU Eastern European countries, less developed countries
and PhD students are requested to pay 120 EUR.
Conference information can be found at the conference web page:
http://www.univie.ac.at/EMNET/
Electronic conference proceedings and an edited book will be published.
Important Deadlines:
February 28, 2007
Abstract and response form
MARCH 31, 2007
Confirmation of acceptance of the proposal
MAY 15, 2007
Conference registration and payment of the conference fee
MAY 31, 2007
One copy of the paper through e-mail to George Hendrikse and
Josef Windsperger
JUNE 15, 2007
Final program available ( http://www.univie.ac.at/EMNET )
Organizing Committee
George Hendrikse (chairman), RSM, Erasmus University Rotterdam
Josef Windsperger, University of Vienna
Tao Jiang, RSM
Li Feng, RSM
Bart Dietz, RSM
Decia Jansen, RSM
Scientific Committee
Ilan Alon, Rollins College, Crummer Graduate School of Business, Florida,
USA
Carlos Fdez. De Arroyabe, ESIC, Madrid, Spain
Benito Arrunada, Universitat Pompeu Fabra, Barcelona, Spain
Paolo F. Azevedo, National Distance University, Madrid, Spain
Eric Brousseau, Université de Paris X, Nanterre, France
Jenny Buchan, University of New South Wales, Sydney, Australia
Gerard Cliquet, Université de Rennes 1, France
Rajiv P. Dant, University of South Florida, Tampa, USA
Thomas Ehrmann, Universität Münster, Germany
Lorelle Frazer, Griffith University, Meadowbrook, Australia
Pierre Garrouste, Centre ATOM, Université de Paris 1 and Université
Lumiere-Lyon 2, France
Anna Grandori, Bocconi Univeristy, Milan, Italy
John Hagedoorrn, Universiteit Maastricht, Maastricht, NL
George Hendrikse, Erasmus University Rotterdam, NL
Liesbeth Kneppers, University of Groningen, NL
Claude Menard, Centre ATOM, Université de Paris 1, France
Tahir M. Nisar, University of Southhampton, Southhampton, UK
Emmanuel Raynaud, INRA SADAPT & Centre ATOM, Université de Paris 1
(Sorbonne), France
Aric Rindfleisch, University of Wisconsin-Madison, USA
Vivian L.S. Silva, University of Sao Paolo, Brazil
Brian Silverman, Rotman School of Management, University of Toronto,
Toronto, USA
Bernard L. Simonin, Tufts University, Medford, USA
Andrew Terry, University of New South Wales, Australia
Mika Tuunanen, University of Kuopio, Finland
Windsperger Josef, University of Vienna, Austria)
--
Josef Windsperger, PhD
Associate Professor of Organization and Management (ao. Univ.-Prof.)
University of Vienna, Center for Business Studies
Bruenner Str. 72; A-1210 Vienna, Austria
Phone: +431 4277 38180; Fax: +431 4277 38174
Email: josef.windsperger(a)univie.ac.at
URL: http://www.univie.ac.at/im
CALL FOR PAPERS - EMNet 2007, Erasmus University Rotterdam
The third international conference on ECONOMICS AND MANAGEMENT OF
NETWORKS will be held at the Rotterdam School of Management, Erasmus
University Rotterdam, from June 28 to June 30, 2007, in Rotterdam, The
Netherlands. The purpose of the conference is to provide an
international discussion forum for research in economics and management
of networks. Theoretical, conceptual and empirical papers from all areas
in economics and management of franchising, cooperatives, joint
ventures, licensing, strategic alliances, venture capital relations,
virtual networks and other hybrids, are invited.
FRANCHISING
COOPERATIVES
JOINT VENTURES
STRATEGIC ALLIANCES
LICENCING
VENTURE CAPITAL RELATIONS
VIRTUAL NETWORKS
OTHER NETWORK FORMS
Relevant topics that are related to these network forms include those
listed below:
Theoretical Views on Networks
Governance
Organization Design and Decision Rights
Economics & Law and Regulation
Knowledge Management Issues
Strategic Management
Ownership and Incentives
Organizational Behavior
Industry Studies
International Management
IT and Networks
Comparative Institutional Analysis
Marketing and Distribution Channel
International Market Entry
Entrepreneurship and Innovation
Competition between Network Forms
Procedures for Submitting Papers
Authors who want to present a paper should submit an abstract (1 page)
and return the response form
<http://www.univie.ac.at/EMNET/2005/registration_form.htm> as soon as
possible, but not later than February 28, 2007. Please e-mail the
response form <http://www.univie.ac.at/EMNET/2005/registration_form.htm> to:
George W.J. Hendrikse (ghendrikse(a)rsm.nl)
Rotterdam School of Management, Erasmus University Rotterdam
PO Box 1738, Office T08-56
3000 DR Rotterdam, The Netherlands
and
Josef Windsperger (josef.windsperger(a)univie.ac.at)
University of Vienna
Center for Business Studies
Brünner Str. 72
A-1210 Vienna, Austria
Conference Fees: 190 EUR (including lunch, dinner and coffee breaks)
Researchers from non-EU Eastern European countries, less developed
countries and PhD students are requested to pay 120 EUR.
Conference information can be found at the conference web page:
www.univie.ac.at/EMNET/ <http://www.univie.ac.at/EMNET>
Electronic conference proceedings and an edited book will be published.
Important Deadlines:
February 28, 2007
Abstract and response form
MARCH 31, 2007
Confirmation of acceptance of the proposal
MAY 15, 2007
Conference registration and payment of the conference fee
MAY 31, 2007
One copy of the paper through e-mail to George Hendrikse and
Josef Windsperger
JUNE 15, 2007
Final program available (www.univie.ac.at/EMNET
<http://www.univie.ac.at/EMNET>)
Organizing Committee
George Hendrikse (chairman), RSM, Erasmus University Rotterdam
Josef Windsperger, University of Vienna
Tao Jiang, RSM
Li Feng, RSM
Bart Dietz, RSM
Decia Jansen, RSM
Scientific Committee
Ilan Alon, Rollins College, Crummer Graduate School of Business,
Florida, USA
Carlos Fdez. De Arroyabe, ESIC, Madrid, Spain
Benito Arrunada, Universitat Pompeu Fabra, Barcelona, Spain
Paolo F. Azevedo, National Distance University, Madrid, Spain
Eric Brousseau, Université de Paris X, Nanterre, France
Jenny Buchan, University of New South Wales, Sydney, Australia
Gerard Cliquet, Université de Rennes 1, France
Rajiv P. Dant, University of South Florida, Tampa, USA
Thomas Ehrmann, Universität Münster, Germany
Lorelle Frazer, Griffith University, Meadowbrook, Australia
Pierre Garrouste, Centre ATOM, Université de Paris 1 and Université
Lumiere-Lyon 2, France
Anna Grandori, Bocconi Univeristy, Milan, Italy
John Hagedoorrn, Universiteit Maastricht, Maastricht, NL
George Hendrikse, Erasmus University Rotterdam, NL
Liesbeth Kneppers, University of Groningen, NL
Claude Menard, Centre ATOM, Université de Paris 1, France
Tahir M. Nisar, University of Southhampton, Southhampton, UK
Emmanuel Raynaud, INRA SADAPT & Centre ATOM, Université de Paris 1
(Sorbonne), France
Aric Rindfleisch, University of Wisconsin-Madison, USA
Vivian L.S. Silva, University of Sao Paolo, Brazil
Brian Silverman, Rotman School of Management, University of Toronto,
Toronto, USA
Bernard L. Simonin, Tufts University, Medford, USA
Andrew Terry, University of New South Wales, Australia
Mika Tuunanen, University of Kuopio, Finland
Windsperger Josef, University of Vienna, Austria)
--
Josef Windsperger, PhD
Associate Professor of Organization and Management (ao. Univ.-Prof.)
University of Vienna, Center for Business Studies
Bruenner Str. 72; A-1210 Vienna, Austria
Phone: +431 4277 38180; Fax: +431 4277 38174
Email: josef.windsperger(a)univie.ac.at
URL: http://www.univie.ac.at/im
Prof. Ashley Wang from UC Irvine is giving a VGSF research seminar on "Asset
Pricing and Mispricing" on MONDAY, October 9th, from 16:30 to 18:00 at the
WU Wien (Seminarraum A. 619, UZA 4, 6. Stock, Block A, Nordbergstrasse 15,
1090 Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Ashley is going to be in Vienna on Monday. If you like to meet her and to
discuss your research with her, please contact Michael Halling
(michael.halling(a)univie.ac.at).
Best,
Michael Halling
Abstract
In this paper we develop models for stock returns when stock prices are
subject to stochastic mispricing errors. We show that expected rates of
return depend not only on the fundamental risk that is captured by a
standard asset pricing model, but also on the type and degree of asset
mispricing, even when the mispricing is zero on average. Empirically, the
mispricing induced return bias, proxied either by Kalman filter estimates or
by volatility and variance ratio of residual returns, are shown to be
significantly associated with realized risk adjusted returns.
Prof. Peter Swan from the University of New South Wales is giving a VGSF
research seminar on "OPTIMAL PORTFOLIO BALANCING UNDER CONVENTIONAL
PREFERENCES AND TRANSACTION COSTS EXPLAINS THE EQUITY PREMIUM PUZZLE" on
FRIDAY, October 6th, from 15:30 to 17:00 at the WU Wien (UZA 4,
Nordbergstrasse 15, 1090 Wien, Room D204, 2. Obergeschoß, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Peter is going to be in Vienna on Friday. If you like to meet him and to
discuss your research with him, please contact Alex Stomper
(stomper(a)ihs.ac.at).
Best,
Michael Halling
Abstract
Adding a motivation for trading due to endowment differences to the standard
assumptions of asset pricing, we investigate the impact of a variety of
impediments to trade including transactions costs and illiquidity due to
small participant numbers. We calibrate to observed activity levels,
returns, transaction costs and volatility in equity and bond markets to show
that equity investors benefit from the ability to trade freely, and thus
require a high return of 6 to 8% pa for bearing even modest transactional
charges of 0.5%. Our findings are consistent with most empirical facts and
explain a number of anomalies in addition to the equity premium puzzle.
Am 17./18. 11. 2006 findet im Universitätszentrum Obergurgl ein Workshop zum
Thema Risikomanagement statt. Papers können noch bis spätestens 11. Oktober
eingereicht werden. Den CFP und weitere Informationen finden Sie unter
http://www.uibk.ac.at/congress/krm/krm.html
Beste Grüße aus Tirol,
Michael Hanke
The preliminary schedule of the VGSF Research Seminar for the coming
semester can be found on the VGSF website (www.vgsf.ac.at-->Activities and
Events-->Research Seminars).
This semester's seminars are going to take place at the WU Wien (UZA 4,
Nordbergstrasse 15, 1090 Wien, Room D204, 2. Obergeschoß, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). The only exception is Xavier Freixas's seminar which is co-organized
and hosted by the Austrian Central Bank.
The seminar is going to take place, as usual, on Fridays from 15:30 to
17:00. Due to visitors' time constraints, however, individual seminars might
take place on different days (and different seminar rooms at the WU Wien).
These seminars are appropriately highlighted on the webpage.
Seminar speakers are going to include Peter Swan, Ashley Wang, Xavier
Freixas, Marcin Kacperczyk, Will Goetzman, Dirk Hackbarth, Erik Theissen,
Nicole Branger, Peter Bossaerts and Denis Gromb.
If you have further questions regarding the seminar, please contact
michael.halling(a)univie.ac.at.
Kind Regards,
Michael Halling
Sehr geehrte Damen und Herren,
ich darf Sie auf folgende Veranstaltung aufmerksam machen:
21. WORKSHOP AUSTRIAN WORKING GROUP ON BANKING & FINANCE
24. / 25. November 2006
ALPEN-ADRIA-UNIVERSITÄT KLAGENFURT
Last CALL for PAPERS
http://www.uni-klu.ac.at/fgk/assets/images/AWG/AWG-21_CfP.pdf
Bitte REGISTRIEREN Sie Ihre Teilnahme unter
http://www.uni-klu.ac.at/fgk/html/Anmeldeformular.html
Der Workshop findet am Freitag, dem 24. November 2006, Nachmittag, und am Samstag, dem
25. November 2006, Vormittag, an der ALPEN-ADRIA-UNIVERSITÄT KLAGENFURTstatt.
Bezüglich der Themen ist keine Einschränkung vorgesehen.
Papers oder Extended Abstracts (ca. 2 Seiten) können bis spätestens 29. Oktober 2006 bei
o.Univ.-Prof. Mag. Dr. Wolfgang Nadvornik
Institut für Finanzmanagement, Universitätsstraße 65-67, A 9020 Klagenfurt
Tel.: +43(0)463 2700-4002 Fax: +43(0)463 2700-4092 E-Mail: barbara.wernig(a)uni-klu.ac.at
eingereicht werden.
Um den angestrebten Workshopcharakter der Veranstaltung zu fördern, können papers auch
durch einen discussant besprochen werden. Jene Teilnehmer, die eine solche Vorgangsweise
wünschen, werden gebeten, ihr Manuskript bis 15. Oktober 2006 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: Arbitrage Pricing - Business Valuation - Capital Market Theory - Capital Requirements of
(Auswahl) Financial Intermediaries - Commercial Banking - Contingent Claims Analysis - Corporate Finance
- Financial Innovations - Financial Markets Research - International Banking and Finance - Investment
Banking - Options and Futures - Performance Measurement - Portfolio Management - Risk
Management - Security Analysis.
(Apologies for any cross-listings!)
Business Applications of Optimisation, Stochastic Programming & Portfolio Planning:
*Introduction to Optimisation and its Applications: Linear & Integer Programming - Embedded DSS using SCRIPTING and COM Objects,
16 - 17 October, CARISMA, Brunel University, West London
*Decision Making under Uncertainty: Stochastic Programming, 18 - 19 October, CARISMA, Brunel University, West London
*Financial Planning Using Integer Quadratic Programming,
20 October, CARISMA, Brunel University, West London
Dear Colleague
We are pleased to announce the above workshops, which are organised by CARISMA, Brunel University, OptiRisk Systems and UNICOM Seminars.
The workshop series is specially designed to provide insight into the discipline of optimisation for a wide range of individuals such as OR professionals, quantitative analysts, risk analysts, DSS application developers, consultants, and academic researchers.
The courses will take you through all the steps of an optimisation project using powerful optimisation tools such as AMPL Modelling System, CPLEX, FortMP, FortSP and SPInE. They are most comprehensive and cover the latest developments in the field, with plenty of hands-on examples, which help you develop stochastic programming applications for your sector, be it financial planning, portfolio selection, supply chain, or energy systems planning.
Guest Presentation:
*Scenario Generation - Hidden Markov Model
Enza Messina, University of Milan, Italy
*Sloving Integer Stochastic Programming
Suvrajeet Sen, University of Arizona, USA
For further details please go to www.unicom.co.uk/optimise, either download brochure or email mapgxcs(a)brunel.ac.uk for a PDF filer.
We look forward to welcoming you to the workshops; please also make your colleagues aware of it. Thank you.
Best regards
CARISMA
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Michael(Xiaochen) Sun
CARISMA, www.carisma.brunel.ac.uk
Centre for the Analysis of Risk and Optimisation Modelling Application;
School of Computing, Information Systems and Mathematics
Brunel University
Middlesex
Uxbridge, UB8 3PH
United Kingdom
* xiaochen.sun(a)brunel.ac.uk
http://people.brunel.ac.uk/~mapgxcshttp://mam3xs.blogspot.com/
((+44) (0)1895 265625
((+44) (0)7841873292
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Sehr geehrte Damen und Herren,
am 17./18. 11. 2006 findet im Universitätszentrum Obergurgl ein Workshop
zum Thema Risikomanagement statt. Organisiert wird der Workshop vom
Institut für Banken und Finanzen der Universität Innsbruck. Als Keynote
Speaker konnte Frau Prof. Uhrig-Homburg von der Universität Karlsruhe
gewonnen werden.
Nähere Informationen und einen Call for Papers finden Sie unter
http://www.uibk.ac.at/congress/krm/
Wir würden uns freuen, Sie im November in Obergurgl begrüßen zu dürfen.
Mit besten Grüßen aus Tirol,
Matthias Bank & Michael Hanke
--
Univ.Prof. Dr. Michael Hanke
University of Innsbruck
Department of Banking and Finance
Universitaetsstrasse 15
6020 Innsbruck, Austria
Phone: +43 512 5077552, Fax: +43 512 5072846
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Mon, 24 Jul 2006 16:15:37 +0200 (CEST)
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Thu, 20 Jul 2006 17:22:28 -0400
From: creditrisk <creditrisk(a)finance-concepts.com>
Subject: [ccfz] Credit Risk Summit (New York , 20 Oct 2006)
FINANCE CONCEPTS and STANDARD & POORS
are pleased to announce a forthcoming
CREDIT RISK SUMMIT conference
The state of the art in credit and correlation modelling
New York, October 20th 2006
Download brochure:
http://www.finance-concepts.com/training/CreditRisk2006.pdf
This event will bring together world experts in the field of credit
risk modelling with the aim of presenting the state of the art in
quantitative approaches to credit risk and credit derivatives, aimed
at investors, market participants and quantitative analysts involved
with credit risk.
* Speakers:
DAMIANO BRIGO, Banca IMI
RAMA CONT, Ecole Polytechnique
SANJIV DAS, Santa Clara University
ARNAUD DE SERVIGNY, Standard & Poors
CRAIG FRIEDMAN, Standard & Poors
IBRAHIMA KOBAR, IXIS Asset Management
DAVID LI, Barclays Capital
ALEX LIPTON, Merrill Lynch
SVEN SANDOW, Standard & Poors
PHILIPP SCHÖNBUCHER, ETH Zürich
JAKOB SIDENIUS, JP Morgan
STAN URYASEV, University of Florida
NICOLAS VICTOIR, JP Morgan
Topics covered:
* Credit derivatives: pricing and risk management of credit default
swaps, single tranche CDOs
* Next generation credit products: options on CDO tranches, forward
starting tranche swaps, CMCDS
* Recent advances in modelling and measurement of default risk
* Structured credit products: structuring of synthetic CDOs, actively
managed CDOs
* Credit rating methodologies for single tranche CDOs and structured
credit derivatives
* Correlation book management
* Cash CDOs: structuring and management
* INFORMATION AND REGISTRATION:
For information on registration please download the conference
brochure on http://www.finance-concepts.com
In order to enhance the interaction between participants and speakers,
the number of participants is limited and request for registration
will be treated in the order of their arrival. We therefore kindly
request interested participants to send in their registration as soon
as possible but no later than the REGISTRATION DEADLINE: September
30th 2006.
For more information please visit our web site
http://www.finance-concepts.com or contact us by email:
creditrisk(a)finance-concepts.com
Finance Concepts Your partner in risk management
PARIS - NEW YORK http://finance-concepts.com/
Tel: +33 1 53761146 E-mail: creditrisk(a)finance-concepts.com
Fax: +33 1 45016510
_______________________________________________
ccfz mailing list
ccfz(a)math.ethz.ch
https://mailman.math.ethz.ch/mailman/listinfo/ccfz
First Announcement
The third international conference on Economics and Management of
Networks (EMNet) will take place at the Erasmus University Rotterdam
(Rotterdam School of Management), The Netherlands, from June 28 to June
30, 2007. EMNet conferences serve to promote communication and awareness
among researchers in economics and management and provide a forum to
present current research and to discuss issues of common interest, such
as relevant developments in organizational economics and management. The
content of EMNet conferences include all forms of networks, such as
franchising, joint ventures, virtual organizations, strategic alliances,
cooperative networks, clusters, venture capital relations and other
forms of hybrids.
The call for papers will be sent out in September.
Conference information can be found at: http://www.univie.ac.at/EMNET.
The latest book from the EMNet-Conference in Budapest on 'ECONOMICS and
MANAGEMENT of NETWORKS: Franchising, Strategic Alliances and
Cooperatives' (ed. by G. Cliquet, G. Hendrikse, M. Tuunanen, J.
Windsperger) will be published in September 2006 (see further
information on the web page:
http://www.univie.ac.at/EMNET/2005/index2005.htm)
Best regards,
Josef Windsperger
University of Vienna
Center of Business Studies
Josef.windsperger(a)univie.ac.at
--
Josef Windsperger, PhD
Associate Professor of Organization and Management (ao. Univ.-Prof.)
University of Vienna, Center for Business Studies
Bruenner Str. 72; A-1210 Vienna, Austria
Phone: +431 4277 38180; Fax: +431 4277 38174
Email: josef.windsperger(a)univie.ac.at
URL: http://www.univie.ac.at/im
Prof. Li Jin from the Harvard Business School is giving a VGSF research
seminar on "Managerial Career Concern and Mutual Fund Short-termism" on
FRIDAY, June 30th, from 15:30 to 17:00 at the Institute for Advanced Studies
(Institut für Höhere Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS)
2. Please find the paper's abstract below.
Coffee and snacks are going to be available in the cafeteria of IHS, which
is located next to the lecture room, before and after the seminar.
Li is going to be in Vienna for the entire week. If you like to meet him and
to discuss your research with him, please contact me.
Best,
Michael Halling
Abstract
Mutual fund investors reward short run performance with large inflows. Fund
managers facing strong performance-related flows are shown to focus more on
short horizon investments. Further tests of causality suggest that fund
managers short investment horizons are caused by their investors short
horizons, but not the other way around.
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
(Apologies for any cross-listings!):
Date: June 29th, 2006 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Ananth MADHAVAN, Barclays Global Investors (BGI)
Title: TRANSACTION COST MODELING AS A SOURCE OF ALPHA
Abstract
The impact of realized transaction costs on portfolio performance is now
well recognized. Less well understood, however, is the effect of
transaction cost on performance in the pre-trade dimension. Intuitively,
transaction costs affects performance through the choice of bets the
manager undertakes (breadth), the frequency of bets (turnover), and the
size of those bets (order size). We show that transaction cost modeling
is a source of alpha, increasing skill and breadth. Specifically,
accurate transaction cost models allow managers to make better decisions
regarding which securities should or should not be traded, and the
optimal size of the trade. Further, improved forecasts of costs are
critical to determining optimal portfolio turnover. Greater turnover
allows for more active bets, increasing breadth, but magnifies the
impact of trading costs. Balancing these considerations appropriately
yields an optimal turnover level. Transaction cost models thus help
reduce not only realized costs, but also improve performance on an ex
ante basis. The analysis provides insights into the determinants of
optimal fund capacity. We show that capacity problems are manifested
gradually in the form of higher expected costs, reduced breadth, and
lower turnover. Capacity is an elastic concept that is surprisingly
responsive to even relatively modest gains in transaction cost control
or forecasting ability. This suggests that fund managers can influence
their capacity through investments in better execution research and
technology.
About Ananth Madhavan:
Ananth Madhavan is the Global Head of Trading Research at BGI. He leads
BGI's global trading research team with a focus on execution research
and trading strategies across different asset classes worldwide. Prof.
Madhavan also works closely with the global trading team and BGI’s alpha
research and product groups to design and implement trading strategies
capturing liquidity-driven market opportunities. Before joining BGI in
2003, Prof. Madhavan was Managing Director of Research of ITG, Inc. and
a member of the firm’s management and executive committees. Previously,
he was the Charles B. Thorton Professor of Finance at the Marshall
School of Business at the University of Southern California, and
Assistant Professor of Finance at the Wharton School of the University
of Pennsylvania. Ananth Madhavan is the author of numerous publications
in leading academic and practitioner journals. He received his PhD in
Economics from Cornell University and BA from the University of Delhi,
India.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
Sehr geehrte Damen und Herren,
ich darf Sie auf folgende Veranstaltung aufmerksam machen:
21. WORKSHOP AUSTRIAN WORKING GROUP ON BANKING & FINANCE
24. / 25. November 2006
ALPEN-ADRIA-UNIVERSITÄT KLAGENFURT
First CALL for PAPERS
http://www.uni-klu.ac.at/fgk/assets/images/DP/AWG-21_CallPaper.pdf
Der Workshop findet am Freitag, dem 24. November 2006, Nachmittag, und am Samstag, dem
25. November 2006, Vormittag, an der ALPEN-ADRIA-UNIVERSITÄT KLAGENFURTstatt.
Bezüglich der Themen ist keine Einschränkung vorgesehen.
Papers oder Extended Abstracts (ca. 2 Seiten) können bis spätestens 29. Oktober 2006 bei
o.Univ.-Prof. Mag. Dr. Wolfgang Nadvornik
Institut für Finanzmanagement, Universitätsstraße 65-67, A 9020 Klagenfurt
Tel.: +43(0)463 2700-4002 Fax: +43(0)463 2700-4092 E-Mail: barbara.wernig(a)uni-klu.ac.at
eingereicht werden.
Um den angestrebten Workshopcharakter der Veranstaltung zu fördern, können papers auch
durch einen discussant besprochen werden. Jene Teilnehmer, die eine solche Vorgangsweise
wünschen, werden gebeten, ihr Manuskript bis 15. Oktober 2006 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: Arbitrage Pricing - Business Valuation - Capital Market Theory - Capital Requirements of
(Auswahl) Financial Intermediaries - Commercial Banking - Contingent Claims Analysis - Corporate Finance
- Financial Innovations - Financial Markets Research - International Banking and Finance - Investment
Banking - Options and Futures - Performance Measurement - Portfolio Management - Risk
Management - Security Analysis.
Prof. Branco Urosevic from the Faculty of Economics, Belgrade (Serbia), and
the Department of Economics and Business, Universitat Pompeu Fabra,
Barcelona (Spain) is giving a VGSF research seminar on "Ownership Dynamics
with Multiple Insiders: The case of REITs" on FRIDAY, June 23rd, from 15:30
to 17:00 at the Institute for Advanced Studies (Institut für Höhere Studien,
Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2. Please find the paper's
abstract below.
Coffee and snacks are going to be available in the cafeteria of IHS, which
is located next to the lecture room, before and after the seminar.
Information regarding the further schedule of the VGSF research seminar can
be found at www.vgsf.ac.at!
Best,
Michael Halling
Abstract
We study ownership dynamics of multiple strategic risk-averse insiders
facing a moral hazard problem. We show that, when insiders cannot commit,
ex-ante, to an ownership policy, the aggregate insider stake gradually
declines towards the competitive allocation. Moreover, both the speed of
decline and the long-term equilibrium aggregate insider ownership level are
greater for companies with a higher number of insiders, ceteris paribus. We,
then, test the model on data from the U.S. Real Estate Investment Trusts
(REITs) industry and find that the predictions of the model are supported by
the data.
Prof. Philipp Schönbucher from the ETH Zurich is giving an Extra-VGSF
research seminar on "Portfolio Losses and the Term Structure of Loss
Transition Rates: A new methodology for the pricing of portfolio credit
derivatives" on Monday, June 19th, from 18:00 to 19:30 at the Vienna
University of Business Administration and Economics (WU Wien,
Nordbergstrasse 15, 1090 Wien), SR A619, UZA 4. Please find the paper's
abstract below.
Best,
Michael Halling
Abstract
In this paper, we present a model for the joint stochastic evolution of the
cumulative loss process of a credit portfolio and of its probability
distribution. At any given time, the loss distribution of the portfolio is
represented using forward transition rates, i.e. the transition rates of a
hypothetical time-inhomogeneous Markov chain which reproduces the desired
transition probability distribution. This approach allows a straightforward
calibration of the model (e.g. to a full initial term- and strike structure
of synthetic CDOs including the correlation smile) and it is shown that
(except for regularity restrictions) every arbitrage-free loss distribution
admits such a representation with forward transition rates. To capture the
stochastic evolution of the loss distribution, the transition rates are then
equipped with stochastic dynamics of their own, and martingale / drift
restrictions on these dynamics are derived which ensure absence of arbitrage
in the model. Furthermore, we analyze the dynamics of spreads and
STCDO-prices that are implied by the model and show that the input
parameters can be viewed as spread move parameters and correlation move
parameters. We also show how every dynamic model for correlated individual
defaults can be cast into this framework.