VFN-L

vfn-l@fam.tuwien.ac.at

1159 discussions

[VFN] Spring School in Financial Mathematics (fwd)
by Friedrich Hubalek 28 Nov '03

28 Nov '03

---------- Forwarded message ---------- Date: Fri, 28 Nov 2003 08:50:22 +0000 From: Niels Jacob <N.Jacob(a)swansea.ac.uk> Dear All, this is to inform you that from April 19 - 23, 2004 Prof. S.Levendorskiy (Austin, Texas) will give in Swansea a series of lectures on Asymptotic Analysis and Pseudo-Differential Operators in Application to Finance More details you will find on our webpage http://www-maths.swan.ac.uk/levendorskiy.html May I ask you to make this information available to your collaborators and graduate students. Many thanks and best regards Niels Jacob

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[VFN] 2003-12-03, Vortrag: Dr. Brian Sallans, OFAI, Wien (fwd)
by VFN-L admin * Andreas Schamanek 26 Nov '03

26 Nov '03

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Tue, 25 Nov 2003 17:12:56 +0100 From: OeFAI Information Server <oefaiinf(a)ai.univie.ac.at> Subject: 20031203.VORTRAG: Dr. Brian Sallans, OFAI, Wien VORTRAG ******* Oesterreichisches Forschungsinstitut fuer Artificial Intelligence(OeFAI) Freyung 6/6, A-1010 Wien Tel.: +43-1-53361120, Fax: +43-1-5336112-77, Email: sec(a)oefai.at ------------------------------------------------------------------------- Dr. Brian Sallans Oesterreichisches Forschungsinstitut fuer Artificial Intelligence (OeFAI) AN AGENT-BASED MODEL OF INTERACTING MARKETS With the increase in available computational power, agent-based economic models have grown in prominence as a supplement to analytic models and empirical studies. I will describe an agent-based discrete- time model of interacting consumer and financial markets. The two markets are linked through the behavior of boundedly-rational, learning firms. The firms compete in the consumer market, and try to satisfy both their customers and their shareholders. The model also includes stock traders and simple consumers. I will give an overview of the model, discuss validation and model exploration methods, and show how the model can be used to investigate stock-option-based management compensation. Zeit: Mittwoch, 3.12.2003, 18:30 Uhr pktl. Ort: Oesterreichisches Forschungsinstitut fuer Artificial Intelligence FREYUNG 6/6, 1010 Wien. OESTERREICHISCHES FORSCHUNGSINSTITUT FUER ARTIFICIAL INTELLIGENCE o.Univ.-Prof. Ing. Dr. Robert Trappl *** [added by Andreas Schamanek:] OeFAI -- http://www.oefai.at/

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[VFN] Stochastic Analysis ... Royal Society Themed Issue (fwd)
by VFN-L admin * Andreas Schamanek 24 Nov '03

24 Nov '03

---------- forwarded message -------- Date: Mon, 24 Nov 2003 12:16:06 -0000 >From: felicity(a)tou-can.co.uk To: vfn-l(a)fam.tuwien.ac.at Subject: STOCHASTIC ANALYSIS WITH APPLICATIONS TO MATHEMATICAL FINANCE - ROYAL SOCIETY THEMED ISSUE (...) Stochastic analysis with applications to mathematical finance A thematic issue from The Royal Society compiled and edited by Jeff Cash Published January 2004 Special offer price: £45/US$70 This special issue of Proceedings Series A contains a collection of papers concerned with algorithms based on probability. Probability theory has become an indispensable tool in the scientific investigation of many important mathematical problems. Perhaps the most widely used application, and the most easily appreciated by the layman, is in mathematical finance. Mathematical models are widely used to set interest rates, they guide the management of risk and they are used to provide the prices of financial derivatives. Another important application area involves stochastic partial differential equations. These play a central role in areas such as hydrology, oceanography and atmospheric science. An important example of this is weather prediction and in the prediction and understanding of river flows in a complex river basin. Probabilistic approaches also play an important role in the rigorous definition of the solution to a PDE and they provide an approach for examining the existence and uniqueness of a solution. An important application in the area of partial differential equations is cubature on Wiener space, which has been used for the numerical approximation of solutions of the heat equation. Finally this volume also examines the progress that has been made in super Brownian motion, which typically describes particles diffusing through space, and its application to genetic inheritance. Subscribers to Proceedings Series A can access the full content by visiting our website at http://www.pubs.royalsoc.ac.uk Non-subscribers can purchase this volume at the special price of £45. To order online please visit http://www.pubs.royalsoc.ac.uk/acatalog/stochastic.html Alternatively you can contact The Royal Society by any of the following routes: telephone: +44 (0) 870 121 4224 fax: +44 (0) 870 121 4223 email: <mailto:royalsociety@twoten.press.net> Contents _______________________________________________________________ Finite-dimensional Markovian realizations for stochastic volatility forward-rate models T Björk, C Landén and L Svensson Chaos and coherence: a new framework for interest-rate modelling D Brody and LP Hughston Convergence of a discretization scheme for jump-diffusion processes with state-dependent intensities P Glasserman and N Merener On the geometry of the term structure of interest rates D Filipovic and J Teichmann Cubature on Wiener space T Lyons and N Victoir Convergence rate of the Sherman and Peskin branching stochastic particle method H Régnier and D Talay The central limit theorem for a nonlinear algorithm based on quantization V Bally Superprocesses in a Brownian environment D Crisan Stochastic analysis of tree-like data structures M Drmota On Wong-Zakai approximations with ä-martingales I Gyöngy and G Michaletzky On convergence of chains with occupational self-interactions P Del Moral and L Miclo An introduction to white-noise theory and Malliavin calculus for fractional Brownian motion F Biagini, B Øksendal, A Sulem and N Wallner Numerical methods for strong solutions of stochastic differential equations: an overview K Burrage, PM Burrage and T Tian -------------------------- Felicity Davie Tou-can Marketing The Holly 42 Heath Hill Road South Crowthorne Berkshire RG45 7BW Tel. +44 (0)1344 466600 Fax. +44 (0)1344 466601 E-mail: felicity(a)tou-can.co.uk www: http://www.tou-can.co.uk

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[VFN] CCEFM Workshop Prof. Spatt
by Alex Stomper 07 Nov '03

07 Nov '03

CCEFM Workshop Prof. Chester Spatt, Carnegie Mellon University "Equilibrium Asset Pricing under Heterogeneous Information" Friday, November 21th, 3:30-5:00 pm Wiener Börse, Wallnerstrasse 8, 1010 Wien The paper is downloadable from: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html

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[VFN] Freie Stelle an der TU Wien, Finanz- und Versicherungsmathematik
by VFN-L admin * Andreas Schamanek 05 Nov '03

05 Nov '03

Am Institut für Finanz- und Versicherungsmathematik ( http://www.fam.tuwien.ac.at/ ) der Technischen Universität Wien ist ab 1. Dezember 2003 (oder nach Vereinbarung) auf die Dauer von 6 Jahren eine Vollzeitstelle für einen/eine Universitätsassistenten/in zu besetzen. Naehere Informationen finden Sie unter http://www.fam.tuwien.ac.at/jobs/20031105.php und http://info.tuwien.ac.at/histu/mb/03-04/4/aus-36-6/mb-aus-14.html Für weitergehende Auskünfte steht Univ.-Prof. Dr. U. Schmock http://www.fam.tuwien.ac.at/~schmock/ ) E-Mail schmock(a)fam.tuwien.ac.at zur Verfügung. -- -- Andreas Schamanek vfn-L-admin

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[VFN] CCEFM-Workshop: Jin Duan
by Michael Hanke 03 Nov '03

03 Nov '03

REMINDER: CCEFM Workshop Prof. Jin-Chuan Duan, University of Toronto "Executive Stock Options and Incentive Effects due to Systematic Risk" Friday, November 7th, 3:30-5:00 pm Wirtschaftsuniversität Wien, Augasse 2-6, H 0.5 (A) The paper is downloadable from: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html Guests are welcome! Michael Hanke -- Univ.Doz. Dr. Michael Hanke Associate Professor Dept. of Operations Research Vienna University of Economics and Business Administration Augasse 2-6 1090 Vienna, Austria Tel.: (+43)1 31336 4560, Fax: (+43)1 31336 708

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[VFN] CCEFM Workshop Prof. Duan
by Alex Stomper 29 Oct '03

29 Oct '03

CCEFM Workshop Prof. Jin-Chuan Duan, University of Toronto "Executive Stock Options and Incentive Effects due to Systematic Risk" Friday, November 7th, 3:30-5:00 pm Wirtschaftsuniversität Wien, Augasse 2-6, H 0.5 (A) The paper is downloadable from: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html

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[VFN] CCEFM workshop
by Alex Stomper 27 Oct '03

27 Oct '03

CCEFM Workshop Prof. Gilles Chemla, University of British Columbia "The Dynamic Trade-Off Theory with Real Investment" Friday, October 31st, 3:30-5:00 pm Wiener Börse Wallnerstrasse 8, 1010 Wien The paper is downloadable from: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html Further workshops: 7.11. Jin-Chuan Duan, University of Toronto on executive stock options 21.11. Chester Spatt, Carnegie Mellon University

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[VFN] Re: Gutmann Symposium on Capital Market Based Pension Systems - Dec. 1st Vienna
by Gutmann Center Vienna 23 Oct '03

23 Oct '03

The Gutmann Center for Portfolio Management (www.gutmann-center.at) at the University of Vienna is pleased to announce the GUTMANN SYMPOSIUM ON CAPITAL MARKET BASED PENSION SYSTEMS DATE: DECEMBER 1st, 2003 8.00 a.m. 6.00 p.m. LOCATION: UNIVERSITY OF VIENNA (Austria) Dr. Karl-Lueger-Ring 1, 1010 Wien (Kleiner Festsaal) The reform of pension systems is one of the greatest challenges for most industrialized countries. As traditional pay-as-you-go-systems increasingly face budgetary constraints, capital market based solutions will become crucial. The internationally recognized speakers at our symposium approach this hot topic from an academic as well as from a practitioner's point of view: · Lawrence N. BADER "Funding Corporate Pension Plans" · David BLAKE, Pensions Institute, Birkbeck College, University of London PensionMetrics: On the stochastic design of pension plans during the accumulation & distribution phases · Bill FUNG, London Business School "Is there sufficient Absolute Return Capacity to meet Absolute Liabilities of Pension Funds?" · Jeremy GOLD, Wharton School, University of Pennsylvania/ Jeremy Gold Pensions Accounting/Actuarial Bias Enables Equity Investment by Defined Benefit Pension Plans · Kristian R. MILTERSEN, Norwegian School of Economics and Business Administration International Comparison of Interest Rate Guarantees in Life Insurance · Andrea PRAT, London School of Economics "Pension Fund Governance and the Choice between Defined Benefit and Defined Contribution Plans" · Christian SCHLAG, Goethe-Universität Frankfurt a.M. "Money-Back Guarantees in Individual Pension Accounts: Evidence from the German Pension Reform" The sessions will be discussed and chaired by members of the Academic Advisory Board: · Elroy Dimson, London Business School · Engelbert Dockner, University of Vienna · Robert Korajczyk, Northwestern University · Klaus Spremann, University St. Gallen · Neal Stoughton, University of California, Irvine · René M. Stulz, Ohio State University, Fisher · Suresh Sundaresan, Columbia University · Maria Vassalou, Columbia University · Josef Zechner, University of Vienna, Director of the Gutmann Center for Portfolio Management The symposium will be followed by a panel discussion and a reception. Participation fee: the participation is free, but all participants are required to register. Please find further information about registration, program, papers etc on the homepage: http://www.gutmann-center.at. Contact: gutmann.bwl(a)univie.ac.at phone: +43-1-4277-38186 fax: +43-14277-38074 The Gutmann Center for Portfolio Management is sponsored by Bank Gutmann AG (www.gutmann.at). This symposium is presented in cooperation with the Austrian newspaper "DIE PRESSE" (www.diepresse.com)

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[VFN] 2nd Call
by Peter Steiner 21 Oct '03

21 Oct '03

to whom it may concern Ich bitte um Verteilung des Second Call for Papers der Austrian Working Group on Banking & Finance. Besten Dank im voraus MfG - stp KARL-FRANZENS-UNIVERSITÄT GRAZ INSTITUT FÜR BANKEN & FINANZIERUNG 17. WORKSHOP AUSTRIAN WORKING GROUP ON BANKING & FINANCE 28. / 29. November 2003 Second CALL for PAPERS Der Workshop findet am Freitag, dem 28. November 2003, Nachmittag, und am Samstag, dem 29. November 2003, Vormittag, an der KARL-FRANZENS-UNIVERSITÄT GRAZ statt. Bezüglich der Themen ist keine Einschränkung vorgesehen. Papers oder Extended Abstracts (ca. 2 Seiten) können bis spätestens 7. November 2003 bei o.Univ.-Prof. Dr. Peter Steiner Institut für Banken und Finanzierung, Universitätsstraße 15/F2, A 8010 Graz eingereicht werden. Tel.: +43(0)316 380-7300 Fax: +43(0)316 380-9580 E-Mail: bafin(a)uni-graz.at 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 24. Oktober 2003 einzureichen. AUSTRIAN WORKING GROUP ON BANKING AND FINANCE 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 - Capital Market Theory - Capital Requirements of Financial Intermediaries - (Auswahl) 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] Public Lecture Andrei Shleifer Oct. 17
by Gutmann Center-D.Grimm 13 Oct '03

13 Oct '03

+ Reminder + Reminder + Reminder + Reminder + Reminder + Reminder The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (http://www.gutmann-center.at) is pleased to announce the following PUBLIC LECTURE: Date: October 17th (Friday), 11.00 a.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: Andrei SHLEIFER, Harvard University http://post.economics.harvard.edu/faculty/shleifer/shleifer.html The Whipple V.N. Jones Professor of Economics at Harvard University, Andrei Shleifer holds an undergraduate degree from Harvard and a Ph.D. from MIT. Before coming to Harvard in 1991, he has taught at Princeton and the Chicago Business School. Shleifer has worked in the areas of comparative corporate governance, law and finance, behavioral finance, as well as institutional economics. He has published four books, including The Grabbing Hand (with Robert Vishny), and Inefficient Markets: An Introduction to Behavioral Finance, as well as over a hundred articles. Shleifer has served as the Editor of the Quarterly Journal of Economics between 1989 and 1999, and as an Associate Editor of both the Journal of Finance and the Journal of Financial Economics. He is currently the Editor of the Journal of Economic Perspectives and an Advisory Editor of the JFE. Shleifer is a fellow of the Econometric Society and of the American Academy of Arts and Sciences. In 1999, Shleifer won the John Bates Clark medal of the American Economic Association. Title: "A Normal Country" Russia's reforms Abstract: "During the 1990s, Russia underwent an extraordinary transformation from a communist dictatorship to a multi-party democracy, from a centrally planned economy to a market economy, and from a belligerent adversary of the West to a cooperative partner. Yet a consensus in the US circa 2000 viewed Russia as a disastrous and threatening failure, and the 1990s as a decade of catastrophe for its citizens. Analyzing a variety of economic and political data, we demonstrate a large gap between this perception and the facts. In contrast to the common image, by the late 1990s Russia had become a typical middle-income capitalist democracy." PLEASE NOTE: THE PAPER CAN BE DOWNLOADED FROM http://www.gutmann-center.at/bridging/public_lectures/paper_shleifer.pdf Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +43-1-50220-249 Further information: Dorothea Grimm Gutmann Center for Portfolio Management mail: dorothea.grimm(a)univie.ac.at Phone: +43-1-4277-38186 web: http://www.gutmann-center.at

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[VFN] CCERM Workshop, Prof. Shleifer
by Alex Stomper 10 Oct '03

10 Oct '03

Upcoming CCEFM Workshops: Prof. Andrei Shleifer, Harvard University "What works in Securities Laws?" Friday, October 17th, 3:30-5:00 pm Wiener Börse, Wallnerstrasse 8, 1010 Wien Prof. Michael Brennan, UCLA "The Dynamics of International Equity Market Expectations" Friday, October 24th, 3:30-5:00 pm Wiener Börse, Wallnerstrasse 8, 1010 Wien For further information, see the following page: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html

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[VFN] Talk Prof. Brennan October 6th Gutmann Center - reminder
by Gutmann Center-D.Grimm 02 Oct '03

02 Oct '03

* REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (http://www.gutmann-center.at) is pleased to announce the following PUBLIC LECTURE: Date: October, 6th (Monday), 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: Michael J. BRENNAN former Irwin and Goldyne Hearsh Professor of Banking and Finance at the University of California, Los Angeles Professor of Finance at the London Business School. Prof. Brennan, a consultant and Director of Smith Breeden Associates, is the former Irwin and Goldyne Hearsh Professor of Banking and Finance at the University of California, Los Angeles, and Professor of Finance at the London Business School. Dr. Brennan's research interests include asset pricing, corporate finance, the pricing and role of derivative securities, market microstructure, and the role of information in capital markets, and he has published extensively in all of these areas. He is currently working on several issues, including the problem of asset allocation when investors face time varying opportunity sets, the determinants of international flows of portfolio investment, and the valuation of assets under time-varying market risk aversion. A former President of the American Finance Association, the Society for Financial Studies, and the Western Finance Association, Dr. Brennan has also served as Editor of the Journal of Finance and was the Founding Editor of the Review of Financial Studies. He has consulted extensively for corporations in Canada and the US, and in 1995 he was awarded the INQUIRE Europe prize for his work on corporate hedging strategies Title: "REASONABLE BELIEFS" Abstract: "In this talk I will be concerned with the assessment of the equity premium the difference between the expected returns on stocks and bonds. I will argue that traditional ways of assessing the premium are inappropriate in world in which the premium varies over time, and propose alternatives. Finally, I will discuss the implications of time-variation in the equity premium for the spending policies of endowments." Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +43-1-50220-249 Further information: Dorothea Grimm Gutmann Center for Portfolio Management mail: dorothea.grimm(a)univie.ac.at Phone: +43-1-4277-38186 web: http://www.gutmann-center.at

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[VFN] Public Lecture Prof. Andrei Shleifer October 17th
by Gutmann Center-D.Grimm 30 Sep '03

30 Sep '03

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (http://www.gutmann-center.at) is pleased to announce the following PUBLIC LECTURE: Date: October, 17th, 11.00 a.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: Andrei SHLEIFER, Harvard University http://post.economics.harvard.edu/faculty/shleifer/shleifer.html The Whipple V.N. Jones Professor of Economics at Harvard University, Andrei Shleifer holds an undergraduate degree from Harvard and a Ph.D. from MIT. Before coming to Harvard in 1991, he has taught at Princeton and the Chicago Business School. Shleifer has worked in the areas of comparative corporate governance, law and finance, behavioral finance, as well as institutional economics. He has published four books, including The Grabbing Hand (with Robert Vishny), and Inefficient Markets: An Introduction to Behavioral Finance, as well as over a hundred articles. Shleifer has served as the Editor of the Quarterly Journal of Economics between 1989 and 1999, and as an Associate Editor of both the Journal of Finance and the Journal of Financial Economics. He is currently the Editor of the Journal of Economic Perspectives and an Advisory Editor of the JFE. Shleifer is a fellow of the Econometric Society and of the American Academy of Arts and Sciences. In 1999, Shleifer won the John Bates Clark medal of the American Economic Association. Title: "A Normal Country" Russia's reforms Abstract: "During the 1990s, Russia underwent an extraordinary transformation from a communist dictatorship to a multi-party democracy, from a centrally planned economy to a market economy, and from a belligerent adversary of the West to a cooperative partner. Yet a consensus in the US circa 2000 viewed Russia as a disastrous and threatening failure, and the 1990s as a decade of catastrophe for its citizens. Analyzing a variety of economic and political data, we demonstrate a large gap between this perception and the facts. In contrast to the common image, by the late 1990s Russia had become a typical middle-income capitalist democracy." Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +43-1-50220-249 Further information: Dorothea Grimm Gutmann Center for Portfolio Management mail: dorothea.grimm(a)univie.ac.at Phone: +43-1-4277-38186 web: http://www.gutmann-center.at

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[VFN] Position in Financial Mathematics at Florida State Universty
by VFN-L admin * Andreas Schamanek 27 Sep '03

27 Sep '03

Our colleagues at the Department of Mathematics of Florida State University, are inviting applications for a junior level tenure-track position beginning in August 2004. Details are at http://www.math.fsu.edu/Jobs/financial.html -- -- Andreas Schamanek

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[VFN] Gutmann Symposium on Capital Market Based Pension Systems Dec.1st 2003
by Gutmann Center-D.Grimm 24 Sep '03

24 Sep '03

+ CONFERENCE ANNOUNCEMENT + GUTMANN SYMPOSIUM ON CAPITAL MARKET BASED PENSION SYSTEMS Gutmann Center for Portfolio Management (www.gutmann-center.at) LOCATION: UNIVERSITY OF VIENNA (Austria) DATE: DECEMBER 1st, 2003 The reform of pension systems is one of the greatest challenges for most industrialized countries. As traditional pay-as-you-go-systems increasingly face budgetary constraints, capital market based solutions will become crucial. The internationally recognized speakers at our symposium approach this hot topic from an academic as well as from a practitioner's point of view: · Lawrence N. Bader, American Academy of Actuaries "Funding Corporate Pension Plans" · David Blake, Pensions Institute, Birkbeck College, University of London PensionMetrics: On the stochastic design of pension plans during the accumulation & distribution phases · Bill Fung, London Business School "Is there sufficient Absolute Return Capacity to meet Absolute Liabilities of Pension Funds?" · Jeremy Gold, Wharton School, University of Pennsylvania/ Jeremy Gold Pensions Accounting/Actuarial Bias Enables Equity Investment by Defined Benefit Pension Plans · Kristian R. Miltersen, Norwegian School of Economics and Business Administration International Comparison of Interest Rate Guarantees in Life Insurance · Andrea Prat, London School of Economics "Pension Fund Governance and the Choice between Defined Benefit and Defined Contribution Plans" · Christian Schlag, Goethe-Universität Frankfurt a.M. "Money-Back Guarantees in Individual Pension Accounts: Evidence from the German Pension Reform" The sessions will be discussed and chaired by members of the Academic Advisory Board: · Michael Brennan, University of California, Los Angeles · Elroy Dimson, London Business School · Engelbert Dockner, University of Vienna · Robert Korajczyk, Northwestern University · Klaus Spremann, University St. Gallen · Neal Stoughton, University of California, Irvine · René M. Stulz, Ohio State University, Fisher · Suresh Sundaresan, Columbia University · Maria Vassalou, Columbia University · Josef Zechner, University of Vienna, Director of the Gutmann Center for Portfolio Management The symposium will be followed by a panel discussion and a reception. Participation fee: the participation is free, but all participants are required to register. Please find further information about registration, programme, papers etc on the homepage: http://www.gutmann-center.at. Contact: gutmann.bwl(a)univie.ac.at or dorothea.grimm(a)univie.ac.at phone: +43-1-4277-38186 fax: +43-1-4277-38074 The Gutmann Center for Portfolio Management is sponsored by Bank Gutmann AG (www.gutmann.at).

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[VFN] Stellenausschreibung, Inst. f. BWL des Auszenhandels
by VFN-L admin * Andreas Schamanek 17 Sep '03

17 Sep '03

-------- forwarded message ---------- Date: Wed, 17 Sep 2003 09:56:39 +0200 From: Yvette Fuchs <Yvette.fuchs(a)wu-wien.ac.at> Subject: Stellenausschreibung A u s s c h r e i b u n g Am Institut für Betriebswirtschaftslehre des Außenhandels der Wirtschaftsuniversität Wien ist 2 Posten für Wissenschaftliche MitarbeiterInnen (Ausbildungverhältnis) voraussichtlich ab 01. November 2003 zu besetzen. Gesetzliche Aufnahmebedingungen: Abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften Zusätzlich erwünschte Kenntnisse: Fundierte Kenntnisse im Bereich der Betriebswirtschaftlehre des Außenhandels (facheinschlägige wissenschaftliche Arbeiten (Diplomarbeit) und/oder einschlägige praktische Erfahrungen mit dem Fokus Finanzierung des Auslandsgeschäfts), überdurchschnittlicher Studienerfolg, Fremdsprachenkenntnisse, Fähigkeit zur Betreuung wissenschaftlicher Forschungsprojekte, pädagogische Ausbildung, Bereitschaft zur Mitarbeit im Lehrbetrieb und in der Institutsadministration, Stressresistenz, Flexibilität und hohe Selbstmotivation Schriftliche Bewerbungen mit Lebenslauf und Angaben über den Studienerfolg (ohne Originalzeugnisse) sind an die Personalabteilung im Wege der Universitätsdirektion, Augasse 2-6, 1090 Wien zu richten. Ende der Bewerbungsfrist: 07.10.2003 Die Wirtschaftsuniversität Wien hat sich eine Erhöhung des Frauenanteils am wissenschaftlichen Personal zum Ziel gesetzt. Deshalb werden nachdrücklich Frauen aufgefordert, sich zu bewerben. Es wird darauf hingewiesen, dass Frauen bei gleicher Qualifikation bevorzugt aufgenommen werden und dass an der Wirtschaftsuniversität ein Arbeitskreis für Gleichbehandlungsfragen eingerichtet ist. ***

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[VFN] Programmaenderung - Workshop
by Hermine Panzenboeck 17 Sep '03

17 Sep '03

Ich bitte um nochmalige Veröffentlichung der folgenden Ankündigung, da ein Programmpunkt dazugekommen ist. Besten Dank R. Tichy In the course of the FWF-project Quasi-Monte Carlo Methods in Finance and Insurance the Graz University of Technology in cooperation with the University of Linz organizes a Workshop on Financial and Actuarial Mathematics (October 2 - 3) at the Department of Mathematics of the Graz University of Technology, Steyrergasse 30. Program: October 2, 2003: 15.00: Jörn Sass (Österr. Akademie d. Wissenschaften): "Optimizing the Terminal Wealth: An HMM for the Stock Returns" 16.00: Coffee break 16.30: Ralf Korn (Univ. Kaiserslautern): "Optimal investment and possible crashes" 17.30: L.C.G. Rogers (Univ. Cambridge): "Pricing and optimal exercise of credit-risky callable convertible bonds" October 3, 2003: 10.00: Walter Schachermayer (TU Wien): "Optimizing Expected Utility of Dividend Payments for a Brownian Risk Process and a Peculiar Nonlinear ODE (Going Beyond Linear Barrier Strategies)" 11.00: Hansjörg Albrecher (KU Leuven): "Extensions of the Cramer-Lundberg model in Ruin Theory" 14.00: Paul Embrechts (ETH Zürich): "Modelling dependence structures for multivariate high frequency data in finance" 15.00: Coffee break 15.30: Uwe Schmock (TU Wien): "Modelling dependent credit risks" 16.30: Soren Asmussen (Univ. Aarhus): "Heavy tails, importance sampling and cross entropy". R. Tichy

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[VFN] Public Lecture Michael Brennan October 6th
by Gutmann Center-D.Grimm 17 Sep '03

17 Sep '03

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (http://www.gutmann-center.at) is pleased to announce the following PUBLIC LECTURE: Date: October, 6th (Monday), 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: Michael J. BRENNAN former Irwin and Goldyne Hearsh Professor of Banking and Finance at the University of California, Los Angeles Professor of Finance at the London Business School. Prof. Brennan, a consultant and Director of Smith Breeden Associates, is the former Irwin and Goldyne Hearsh Professor of Banking and Finance at the University of California, Los Angeles, and Professor of Finance at the London Business School. Dr. Brennan's research interests include asset pricing, corporate finance, the pricing and role of derivative securities, market microstructure, and the role of information in capital markets, and he has published extensively in all of these areas. He is currently working on several issues, including the problem of asset allocation when investors face time varying opportunity sets, the determinants of international flows of portfolio investment, and the valuation of assets under time-varying market risk aversion. A former President of the American Finance Association, the Society for Financial Studies, and the Western Finance Association, Dr. Brennan has also served as Editor of the Journal of Finance and was the Founding Editor of the Review of Financial Studies. He has consulted extensively for corporations in Canada and the US, and in 1995 he was awarded the INQUIRE Europe prize for his work on corporate hedging strategies Title: "REASONABLE BELIEFS" Abstract: "In this talk I will be concerned with the assessment of the equity premium the difference between the expected returns on stocks and bonds. I will argue that traditional ways of assessing the premium are inappropriate in world in which the premium varies over time, and propose alternatives. Finally, I will discuss the implications of time-variation in the equity premium for the spending policies of endowments." Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +43-1-50220-249 Further information: Dorothea Grimm Gutmann Center for Portfolio Management mail: dorothea.grimm(a)univie.ac.at Phone: +43-1-4277-38186 web: http://www.gutmann-center.at

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[VFN] Workshop
by Hermine Panzenboeck 17 Sep '03

17 Sep '03

Ich bitte um Veröffentlichung der folgenden Ankündigung. Besten Dank R. Tichy In the course of the FWF-project Quasi-Monte Carlo Methods in Finance and Insurance the Graz University of Technology in cooperation with the University of Linz organizes a Workshop on Financial and Actuarial Mathematics (October 2 - 3) at the Department of Mathematics of the Graz University of Technology, Steyrergasse 30. Program: October 2, 2003: 15.00: Jörn Sass (Österr. Akademie d. Wissenschaften): "Optimizing the Terminal Wealth: An HMM for the Stock Returns" 16.00: Coffee break 16.30: Ralf Korn (Univ. Kaiserslautern): "Optimal investment and possible crashes" 17.30: L.C.G. Rogers (Univ. Cambridge): "Pricing and optimal exercise of credit-risky callable convertible bonds" October 3, 2003: 11.00: Hansjörg Albrecher (KU Leuven): "Extensions of the Cramer-Lundberg model in Ruin Theory" 14.00: Paul Embrechts (ETH Zürich): "Modelling dependence structures for multivariate high frequency data in finance" 15.00: Coffee break 15.30: Uwe Schmock (TU Wien): "Modelling dependent credit risks" 16.30: Soren Asmussen (Univ. Aarhus): "Heavy tails, importance sampling and cross entropy". R. Tichy

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[VFN] Austrian Working Group
by Peter Steiner 30 Jul '03

30 Jul '03

to whom it may concern Ich bitte um Verteilung des First Call for Papers der Austrian Working Group on Banking & Finance. Besten Dank im voraus MfG - stp First CALL for PAPERS AUSTRIAN WORKING GROUP ON BANKING & FINANCE (AWG) 17. WORKSHOP 28. / 29. November 2003 Der Workshop findet am Freitag, dem 28. November 2003, Nachmittag, und am Samstag, dem 29. November 2003, Vormittag, an der KARL-FRANZENS-UNIVERSITÄT GRAZ statt. Bezüglich der Themen ist keine Einschränkung vorgesehen. Papers oder Extended Abstracts (ca. 2 Seiten) können bis spätestens 31. Oktober 2003 bei o.Univ.-Prof. Dr. Peter Steiner Institut für Banken und Finanzierung, Universitätsstraße 15/F2, A 8010 Graz eingereicht werden. Tel.: +43(0)316 380-7300 Fax: +43(0)316 380-9580 E-Mail: bafin(a)uni-graz.at 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 17. Oktober 2003 einzureichen. Die Papers können wahlweise in deutscher oder in englischer Sprache vorgetragen werden.

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[VFN] job-posting: Chair in Mathematical Finance, Imperial College London
by Becherer 25 Jul '03

25 Jul '03

Ich bitte um Verbreitung der folgenden Stellenanzeige ueber den VFN. Mit freundlichen Gruessen und bestem Dank, Dirk Becherer ***************************************************************************** DEPARTMENT OF MATHEMATICS AT IMPERIAL COLLEGE LONDON CHAIR IN MATHEMATICAL FINANCE Applications are invited for a Chair in Mathematical Finance, with effect from 1st January 2004, or as soon as possible thereafter. The post is within the Department of Mathematics, Faculty of Physical Sciences, Imperial College London, based on the South Kensington campus. The successful applicant will be expected to enhance and extend the research effort of the group. We welcome applications from people working in any area of the subject, which could include econometrics and data analysis as well as mathematical finance rooted in probability theory, optimization-based approaches or computational finance. The candidate will be expected to develop her or his research programme, to secure funding and to contribute to the activities of the section as outlined above, including developing her/his relationships with the industry. The candidate will also contribute to the Department's teaching programme possibly including ancillary teaching in other departments. Further particulars of this appointment are on http://www.ma.ic.ac.uk and http://www.imperial.ac.uk/hq/hr/Employment_Opportunities.htm (underscore after Employment_Opportunities). Alternatively, details and an application form can be obtained from Anne Rowlands on 0207 594 8481, fax 0207 594 8517 or email: a.rowlands(a)imperial.ac.uk. CLOSING DATE: 1st September 2003 Interview Date: Provisionally, to be in the week commencing 6th October 2003. ******************************************************************* Dirk Becherer room: 6m24 Dept. of Mathematics tel: +44+20-75948554 Imperial College fax: +44+20-75948517 London SW7 2AZ dirk.becherer@[address removed by request; contact list-owner] United Kingdom www.ma.ic.ac.uk/~becherer *******************************************************************

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[VFN] Autumn School on Risk Management, second announcement (fwd)
by VFN-L admin * Andreas Schamanek 13 Jul '03

13 Jul '03

---------- Forwarded message ---------- Date: Fri, 11 Jul 2003 12:50:11 +0200 (MEST) From: Claudia Klueppelberg <cklu(a)mathematik.tu-muenchen.de> Subject: Autumn School on Risk Management, second announcement Autumn School on Risk Management September 29 - October 2, 2003 in Herrsching am Ammersee The Graduiertenkolleg GKAAM and the Chair of Mathematical Statistics of the Munich University of Technology organizes an Autumn School on Risk Management with emphasis on multivariate problems. The Autumn School is designed for PhD students, postdocs and practitioners with some knowledge of probability and statistics. The aim of the lectures is to lead the participants from their current level to the forefront of research. INVITED LECTURES: - Soren Asmussen (Aarhus University, Denmark): "Simulation Methods" - Stuart Coles (University of Bristol, United Kingdom) "Multivariate Extreme Value Models and Estimation" - Paul Embrechts (ETH Zürich, Switzerland and London School of Economics, United Kingdom): "Extremes: Dependence and Integrated Risk Management" - Gennady Samorodnitsky (Cornell University, USA): "Levy Processes and Modelling Issues" CLOSING TALK: - Christian Bluhm (HypoVereinsbank, Structured Finance Analytics, Germany): "Modeling and Evaluation of Collateralized Debt Obligations" PROGRAM: MONDAY, SEPTEMBER 29 08:00-08:30 Registration 08:30-08:40 Opening Address 08:40-10:10 Lecture: Embrechts I 10:10-10:30 Coffee Break 10:30-12:00 Lecture: Samorodnitsky I 12:00-14:00 Lunch 14:00-15:30 Exercises: Embrechts/Samorodnitsky 15:30-16:30 Coffee Break/Poster Session 16:30-17:30 Contributed Talks TUESDAY, SEPTEMBER 30 08:30-10:00 Lecture: Coles I 10:00-10:30 Coffee Break 10:30-12:00 Lecture: Embrechts II 12:00-14:00 Lunch 14:00-15:30 Exercises: Embrechts/Coles 15:30-16:30 Coffee Break/Poster Session 16:30-17:30 Contributed Talks WEDNESDAY, OCTOBER 1 07:30-08:30 Breakfast 08:30-10:00 Lecture: Asmussen I 10:00-10:30 Coffee Break 10:30-12:00 Lecture: Coles II 12:00-14:00 Lunch 14:00-15:30 Exercises: Coles/Asmussen 15:30-16:00 Coffee Break 16:30-22:00 Excursion THURSDAY, OCTOBER 2 08:30-10:00 Lecture: Samorodnitsky II 10:00-10:30 Coffee Break 10:30-12:00 Lecture: Asmussen II 12:00-14:00 Lunch 14:00-15:30 Exercises: Asmussen/Samorodnitsky 15:30-15:45 Coffee Break 15:45-16:30 Closing Talk: Bluhm For further information please check http://www.mathematik.tu-muenchen.de/gkaam/AutumnSchool/ The number of participants is limited. Organizers: Vicky Fasen, Ingeborg Gottschlich, Claudia Klüppelberg, Krassimir Kostadinov, Radostina Kostadinova. For further questions please write an email to school(a)ma.tum.de . -------------------------------------------------------------------- Prof. Dr. Claudia Kl"uppelberg Phone: +49 89 289 17432 Lehrstuhl f"ur Mathematische Statistik Secretary: +49 89 289 17434 Zentrum Mathematik Fax: +49 89 289 17435 TU M"unchen Boltzmannstrasse 3 email: cklu(a)ma.tum.de 85747 Garching bei M"unchen http://www.ma.tum.de/stat/ --------------------------------------------------------------------

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[VFN] Ausschreibung
by neumeyer＠fio.fin.univie.ac.at 04 Jul '03

04 Jul '03

Sehr geehrte Redaktion, wir ersuchen um Veröffentlichung der unten angeführten zu besetzenden Position an unserem Lehrstuhl. Vielen Dank und mit freundlichen Grüßen Am Lehrstuhl für Finanzdienstleistungen und Öffentliche Wirtschaft, Berggasse 17/2/17, 1090 Wien wird DRINGEND ein/e Student/in für ein Forschungsprojekt (evtl. im Rahmen einer Diplomarbeit) gesucht: Voraussetzung: sehr gute Programmierkenntnisse Bezahlung: nach Vereinbarung Kontaktperson: Mag. Franz Diboky (Tel: 4277-382699) oder email: franz.diboky(a)univie.ac.at Christine Neumeyer Sekretariat Prof. Dr. Jörg Finsinger Institut für Betriebswirtschaftslehre Lehrstuhl für Finanzdienstleistungen Lehrstuhl für Öffentliche Wirtschaft und Verwaltung Berggasse 17/2/17, 1090 Wien Tel: ++43-1-4277-38262 Fax: ++43-1-4277-38264

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[VFN] Reminder - Public Lecture June 17th Gutmann Center
by Gutmann Center-D.Grimm 13 Jun '03

13 Jun '03

* REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (http://www.gutmann-center.at) is pleased to announce the following PUBLIC LECTURE: Date: June 17th, 2003 (Tuesday), 4.30 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: Robert A. Korajczyk Harry G. Guthmann Distinguished Professor of Finance Kellogg School of Management Northwestern University http://www.kellogg.nwu.edu/faculty/korajczy/htm/ Title: "Liquidity and Portfolio Management" Abstract: "Liquidity, or lack of it, has played an important part in a number of recent financial crises. Of even more relevance to most portfolio managers if the fact that simulated portfolios almost universally outperform actual portfolios based on the same trading rules. This discrepancy is due, in large part, to imperfect liquidity in asset markets. This lecture will discuss the estimation and use of liquidity measures in portfolio management, the evidence for or against the existence of liquidity premiums in equity markets, and the implications for investors and listed firms." Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +42-1-50220-249 -- ------------------------------------------------------ The Vienna Finance Newsletter <VFN-L(a)fam.tuwien.ac.at> http://www.fam.tuwien.ac.at/mailman/listinfo/vfn-l

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