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vfn-l@fam.tuwien.ac.at

1159 discussions

[VFN] CONTINUOUS TIME FINANCE Workshop (fwd)
by Andreas Schamanek 07 Nov '06

07 Nov '06

---------- 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 ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

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[VFN] VGSF Research Seminar on Friday, Nov. 3rd, by Dirk Hackbarth
by Michael Halling 31 Oct '06

31 Oct '06

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.

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[VFN] VGSF Research Seminar by Prof. Will Goetzmann, TUESDAY Oct. 31st from 15:30 to 17:00
by Michael Halling 24 Oct '06

24 Oct '06

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.

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[VFN] Reminder: Oct. 30th Public Lecture with Will Goetzmann "Lessons from Hedge Fund Registration"
by Gutmann Center-D.Grimm 24 Oct '06

24 Oct '06

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

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[VFN] Euro Prag
by Feichtinger, Gustav 20 Oct '06

20 Oct '06

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

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[VFN] Stellenausschreibung wiss. MA, Institut fuer OR, WU Wien
by Michaela Nettekoven 19 Oct '06

19 Oct '06

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/>

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[VFN] VGSF Research Seminar by Marcin Kacperczyk (UBC) on MONDAY, Oct. 16th
by Michael Halling 13 Oct '06

13 Oct '06

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.

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[VFN] VGSF Research Seminar in cooperation with AND AT the OeNB, Oct. 13th 2006, Prof. Xavier Freixas
by Michael Halling 10 Oct '06

10 Oct '06

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

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[VFN] Invitation October 30th Public Lecture with Will Goetzmann: "Lessons from Hedge Fund Registration"
by Gutmann Center-D.Grimm 10 Oct '06

10 Oct '06

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[VFN] EMNet2007, Erasmus University Rotterdam, CALL for Papers - REVISED version
by Windsperger Josef 08 Oct '06

08 Oct '06

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

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[VFN] EMNet2007,Erasmus University Rotterdam,CALL for Papers
by Windsperger Josef 08 Oct '06

08 Oct '06

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

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[VFN] EXTRA VGSF Research Seminar on MONDAY (!!!) Oct. 9th from 16:30 to 18:00
by Michael Halling 06 Oct '06

06 Oct '06

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.

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[VFN] VGSF Research Seminar: Friday Oct. 6th by Peter Swan
by Michael Halling 02 Oct '06

02 Oct '06

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.

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[VFN] Workshop Risikomanagement - Final Call for Papers
by mhanke＠wu-wien.ac.at 02 Oct '06

02 Oct '06

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

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[VFN] Next semester's VGSF Research Seminar
by Michael Halling 21 Sep '06

21 Sep '06

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

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[VFN] 21. Austrian Working Group on Banking and Finance
by Alexander Brauneis 13 Sep '06

13 Sep '06

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.

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[VFN] Workshop on Optimisation & Stochastic Programming
by Xiaochen Sun 03 Aug '06

03 Aug '06

(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/~mapgxcs http://mam3xs.blogspot.com/ ((+44) (0)1895 265625 ((+44) (0)7841873292 ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

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[VFN] Workshop Risikomanagement
by Michael Hanke 01 Aug '06

01 Aug '06

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

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[VFN] [ccfz] Credit Risk Summit (New York , 20 Oct 2006) (fwd)
by Walter Schachermayer by way of Andreas Schamanek 26 Jul '06

26 Jul '06

---------- 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

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[VFN] ECONOMICS and MANAGEMENT of NETWORKS (EMNet 2007), Conference, Erasmus University Rotterdam, June 2007
by Windsperger Josef 09 Jul '06

09 Jul '06

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

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[VFN] VGSF Research Seminar by Li Jin (Harvard Business School) on Friday, June 30th
by Michael Halling 24 Jun '06

24 Jun '06

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.

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[VFN] Reminder Invitation June 29th: Public Lecture with Prof. Ananth Madhavan "Transaction Cost Modeling as a Source of Alpha"
by Gutmann Center-D.Grimm 23 Jun '06

23 Jun '06

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

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[VFN] 21. Austrian Working Group on Banking and Finance
by Alexander Brauneis 21 Jun '06

21 Jun '06

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.

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[VFN] VGSF Research Seminar by Branco Urosevic on Friday, June 23rd
by Michael Halling 21 Jun '06

21 Jun '06

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.

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[VFN] Extra-VGSF Research Seminar by Philipp Schönbucher on Monday 19th
by Michael Halling 14 Jun '06

14 Jun '06

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.

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