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[VFN] stock market manipulation
by Alex Stomper 11 Mar '03

11 Mar '03

CCEFM Workshop co-sponsored by the Gutmann Center for Portfolio Management Rajesh Aggarwal (Dartmouth College) "Stock Market Manipulation: Theory and Evidence" Friday, 21st of March 2003, 2:30-4:00 pm Wiener Börse, Wallnerstrasse 8, 1010 Wien The paper is downloadable from the following site: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html

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[VFN] Veröffentlichung Ausschreibung
by Brigitte Parnigoni 10 Mar '03

10 Mar '03

Sehr geehrte Damen und Herren, ich ersuche Sie um Veröffentlichung der folgenden Ausschreibung für eine Gastprofessur an der Wirtschaftsuniversität Wien: Ausschreibung einer Gastprofessur für Finanzierung An der Wirtschaftsuniversität Wien ist ab sofort erstmals die Stelle einer Gastprofessorin / eines Gastprofessors für Finanzierungzu besetzen. Die Gastprofessur ist auf zwei Jahre befristet. Es besteht die Absicht, die Gastprofessor/inn/enstelle nach vollem wirksam Werden der Vollrechtsfähigkeit in eine Universitätsprofessor/inn/enstelle (§ 97 UG 2002) umzuwandeln. Die Bewerberin / Der Bewerber soll im Bereich Finanzierung insbesondere Risikomanagement und Financial Engineering in Forschung und Lehre wahrnehmen. Er / Sie soll auf den genannten Gebieten ausgewiesen und in der Lage sein, in der Forschung die einschlägigen modernen Entwicklungen im Bereich der Finanzierungstheorie zu vertreten. Die Stelleninhaberin / Der Stelleninhaber soll verantwortlich im Gebiet Finanzierung in der Lehre mitwirken und damit die auf diesem Gebiet an der WU tätigen Kollegen im Grund- und Hauptstudium entlasten. Von der Bewerberin / dem Bewerber wird die Bereitschaft erwartet, am englischsprachigen Lehrveranstaltungsprogramm mitzuwirken. Da sich die WU eine Erhöhung des Frauenanteils am wissenschaftlichen Personal zum Ziel gesetzt hat, werden Frauen nachdrücklich aufgefordert, sich zu bewerben. Frauen werden bei gleicher Qualifikation vorrangig aufgenommen. An der WU ist ein Arbeitskreis für Gleichbehandlungsfragen eingerichtet. Bewerberinnen / Bewerber mit einschlägiger Habilitation oder einer gleichzuhaltenden wissenschaftlichen Eignung mögen ihre Bewerbung mit den üblichen Bewerbungsunterlagen (Lebenslauf, Schriftenverzeichnis, fünf facheinschlägige Publikationen ihrer Wahl, Übersicht über die Lehrtätigkeit, Referenzen) spätestens einlangend bis 30. April 2003 an den Rektor der Wirtschaftsuniversität Wien, A-1090 Wien, Augasse 2-6, richten. Die Probevorträge sind für den 4. und 5. Juni 2003 vorgesehen. Nähere Auskünfte erteilt der Vorsitzende der Findungskommission (o. Univ.Prof. Dr. Stefan Bogner, Telefon: 0043/1/31336/4242, E-Mail: <mailto:stefan.bogner@wu-wien.ac.at>stefan.bogner(a)wu-wien.ac.at). Mit bestem Dank und freundlichen Grüßen Brigitte Parnigoni ********************************************************************* Diese e-mail (und ihre Anhänge) ist ausschließlich für die/den darin genannte/n Empfängerin/Empfänger bestimmt. Sie enthält rechtlich geschützte und vertrauliche Informationen. Die Verwendung, Verarbeitung oder Übermittlung dieser e-mail, ihrer Anhänge oder irgendwelcher Teile davon kann Rechte von Betroffenen verletzen und ist deshalb strikt untersagt. Wenn Sie diese Nachricht irrtümlich erhalten oder aus anderen Gründen nicht die/der bestimmungsgemäße Empfängerin/Empfänger sind, informieren Sie mich bitte sofort unter der unten genannten Adresse und vernichten Sie diese Nachricht (einschließlich ihrer Anhänge) und allfällige Vervielfältigungen davon unverzüglich. Die/der Absender trägt keine Haftung insbesondere für unvollständige, verspätete oder verfälschte Nachrichten, sofern diesem kein vorsätzliches Verhalten vorgeworfen werden kann. ********************************************************************* Mag.a Brigitte Parnigoni WU Wien, Referat für Personalentwicklung und Frauenförderung A - 1090, Augasse 2-6 Tel.: (01)313 36 4934 Fax: (01)313 36 701 mailto: brigitte.parnigoni(a)wu-wien.ac.at http://www.wu-wien.ac.at/personal/frauenförderung

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[VFN] Gutmann Center for Portfolio Management - next Public Lecture, March 20th
by Gutmann Center-D.Grimm 24 Feb '03

24 Feb '03

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna is pleased to announce the following PUBLIC LECTURE "Stock Price Performance and Managerial Incentives" by Prof. Dr. Rajesh K. AGGARWAL (Tuck School of Business, Dartmouth College - http://mba.tuck.dartmouth.edu/pages/faculty/raj.aggarwal/) Abstract: Recent notable bankruptcies such as Global Crossing, Qwest, and Worldcom have led many observers to question whether there is a link between equity returns and incentive compensation for firm managers specifically and corporate governance more generally. Research has shown that there is such a link but that it is not a simple one. In general, greater incentives from compensation and better corporate governance are associated with higher stock returns. However, the form of incentive compensation matters. Very large stock option grants (such as those realized by the management teams of Global Crossing, Qwest, and Worldcom) are associated with lower stock returns, as well as worse corporate governance. Overall, the evidence suggests that incentive compensation and corporate governance provide useful information for portfolio selection. Date: Thursday, March 20th, 4.30 p.m. Location: Bank Gutmann AG (www.gutmann.at), Schwarzenbergplatz 16, 1010 Wien - Mezzanin Please register until Monday, March 17th - contact: Ms. Brigitte Juchelka - brigitte.juchelka(a)gutmann.at - phone: +43-1-50220-357 Further information: www.gutmann-center.at and: Dorothea Grimm Administrative Director Gutmann Center for Portfolio Management Department of Business Studies University of Vienna Phone: +43-1-4277-38186 Fax: +43-1-4277-38074 Mail: dorothea.grimm(a)univie.ac.at

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[VFN] DGF-Jahrestagung 2003 - Call for papers (fwd)
by VFN-L admin * Andreas Schamanek 31 Jan '03

31 Jan '03

---------- Forwarded message ---------- Date: Fri, 31 Jan 2003 19:17:47 +0100 From: dgf(a)cofar.uni-mainz.de To: Andreas.Schamanek(a)univie.ac.at Subject: DGF-Jahrestagung 2003 - Call for papers ANKÜNDIGUNG UND CALL FOR PAPERS 10. Jahrestagung der Deutschen Gesellschaft für Finanzwirtschaft e.V. (DGF) vom 10. -11. Oktober 2003, Mainz http://www.cofar.uni-mainz.de/dgf2003 Sehr geehrte Damen und Herren, im Namen des Vorstandes der Deutschen Gesellschaft für Finanzwirt- schaft (DGF) lade ich Sie sehr herzlich zu unserer 10. Jahrestagung am 10.-11. Oktober 2003 an die Johannes Gutenberg-Universität Mainz ein. Während der Tagung werden Arbeitspapiere zu aktuellen Themen und Bereichen der Finanzmarktforschung präsentiert und diskutiert. Ihre Arbeitspapiere können Sie elektronisch via Webformular auf unserer Homepage http://www.cofar.uni-mainz.de/dgf2003 bis zum 1. April 2003 einreichen. (...)

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[VFN] Finance Research Seminar: IHS (fwd)
by VFN-L admin * Andreas Schamanek 22 Jan '03

22 Jan '03

---------- Forwarded message ---------- Date: Wed, 22 Jan 2003 12:53:01 +0100 From: Gabriel Lee <lee(a)ihs.ac.at> To: vfn-admin(a)fam.tuwien.ac.at Subject: Finance Research Seminar: IHS We are pleased to announce a seminar talk by Dominique Y. Dupont University of Twente on Monday, January 27, 2003, 16:00, HS II: Finance Research Seminar "Hedging Barrier Options: Current Methods and Alternatives" Abstract This paper applies to the static hedge of barrier options a technique, mean-square hedging, designed to minimize the size of the hedging error when perfect replication is not possible. It introduces an extension of this technique which preserves the computational e±ciency of meansquare hedging while being consistent with any prior pricing model or with any linear constraint on the hedging residual. This improves on current static hedging methods, which aim at exactly replicating barrier options and rely on strong assumptions on the availability of traded options with certain strikes or maturities, or on the distribution of the underlying asset. Paper to download http://www.sms.utwente.nl/download.asp?link='/files/2906/hedging.pdf'&linkID=11887 gabe lee

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[VFN] Prmia Summit Award Competition: Essays On Risk (fwd)
by VFN-L admin * Andreas Schamanek 22 Jan '03

22 Jan '03

--------- Forwarded Message --------- Date: Wed, 22 Jan 2003 11:53:27 +0100 From: Eugen Puschkarski <puschkarski(a)hotmail.com> To: vfn-l(a)fam.tuwien.ac.at Subject: PRMIA SUMMIT AWARDS COMPETITION: ESSAYS ON RISK PRMIA ANNOUNCES THE US$35,000 PRMIA SUMMIT AWARDS COMPETITION: ESSAYS ON RISK January 16, 2002 - To celebrate our first anniversary and in association with the 2003 Summits in Paris and Boston, we are very excited to announce the PRMIA Summit Awards: Essays on Risk. This is a new competition for original thought and the expression of ideas about risk management practice and theory. In keeping with PRMIA's focus on standards setting and education, we are soliciting papers from members on specific and contemporary subjects of interest to the risk profession. These papers will then be published in a library for members and visitors to freely access on the PRMIA web site. To encourage participation, monetary awards and scholarships will be granted for original essays written by members in four distinct areas, two for each Summit. Entrants will compete in the Open Class, where all submissions are welcome, and the Student Class, which is restricted to bone fide students. Associated with each respective Summit, PRMIA will grant up to four awards in the Open Class and one award in the Student Class. In addition, one single paper will be selected as the overall PRMIA Summit Award winner, recognizing its author or authors for their contribution to the free exchange of ideas about risk management. The PRMIA Summit Awards will consist of full scholarships to the respective PRMIA Summit and ensuing Risk Congress, having value of approximately US$3,500 per award. In addition to the conference scholarship, the top student paper will be awarded US$500 to help with travel expenses to the Summit, while the top Open Class paper will be awarded US$750 for same. The best overall paper will be given the PRMIA Summit Award for Excellence and a US$1,000 additional prize. The author or authors of the winning paper will be invited present their work in a featured session at the respective PRMIA Summit. The total value of potential scholarships and prizes is in excess of US$35,000 and is being made possible by the sponsors of the PRMIA Summit, Risk Conferences and PRMIA. "PRMIA is intent upon being innovative in the fulfillment of its Mission to facilitate the free exchange of ideas," said David R. Koenig, PRMIAs Chair. "We believe that all submissions, whether selected as prize winners or not, will serve as tremendous resources for those in the risk management field. We are very grateful for the support we are receiving in this endeavor." We hope you agree that this is a very exciting opportunity to celebrate good work in writing and research, to celebrate our first year as a professional association and to bring resources to members throughout the world via our web site. To learn more about the PRMIA Summit Awards: Essays on Risk, click the links below: view the details of the European Summit Awards: http://www.prmia.org/summits2003/europe.html view the rules of the competition: http://www.prmia.org/summits2003/rules.html

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[VFN] Gutmann Center-Vortrag Montag, 27.01.03
by Gutmann Center-D.Grimm 22 Jan '03

22 Jan '03

REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER Das GUTMANN CENTER FOR PORTFOLIO MANAGEMENT an der Universität Wien lädt alle Interessierten herzlich zu dem folgenden Vortrag ein: Vortragender: Prof. Dr. Alexander KEMPF, Universität Köln (http://www.wiso.uni-koeln.de/finanzierung/) Thema: "TOURNAMENTS IN MUTUAL FUND FAMILIES" Datum: Montag, 27. Januar 2003, 16.00 Uhr Ort: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin Abstract: This lecture deals with the optimal risk taking strategy of mutual fund managers in rank-order tournaments. The empirical study provides three major results: First, in addition to the well documented segment tournamentfund managers also play a tournament within their fund family. Second, the behaviour of fund managers in both tournaments depends crucially on the number of competitors of the fund manager. Third, the risk taking behaviour of fund managers in the segment tournament has changed dramatically over time. Paper zum download: http://www.gutmann-center.at/z_activities/z_public_lectures/paper_kempf.pdf Der Vortrag wird in deutscher Sprache stattfinden. Weitere Informationen zum Vortrag und zum Gutmann Center: www.gutmann-center.at. oder: Mag. Dorothea Grimm - e-mail: dorothea.grimm(a)univie.ac.at, Tel: 01/4277-38186 Anmeldung: Die Teilnahme ist kostenlos, es wird jedoch um Anmeldung gebeten: Frau Alexandra Laugofsky, Bank Gutmann AG alexandra.laugofsky(a)gutmann.at oder Tel.: 01/50220-381

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[VFN] Announcement - Gutmann Center for Portfolio Management - Public lecture with Prof. Alexander Kempf (fwd)
by VFN-L admin * Andreas Schamanek 09 Jan '03

09 Jan '03

-------- forwarded message --------- Date: Wed, 8 Jan 2003 15:58:00 +0100 From: Zeiner Sonja <Sonja.Zeiner(a)gutmann.at> To: "'vfn-l(a)fam.tuwien.ac.at'" <vfn-l(a)fam.tuwien.ac.at> Subject: Announcement - Gutmann Center for Portfolio Management - Public lecture with Prof. Alexander Kempf Talk with Prof. Alexander Kempf, University of Cologne Date: 27.1.2003 Time: 04:00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin Title of the talk: Tournaments in Mutual Fund Families Abstract: This lecture deals with the optimal risk taking strategy of mutual fund managers in rank-order tournaments. The empirical study provides three major results: First, in addition to the well documented segment tournament fund managers also play a tournament within their fund family. Second, the behaviour of fund managers in both tournaments depends crucially on the number of competitors of the fund manager. Third, the risk taking behaviour of fund managers in the segment tournament has changed dramatically over time. The lecture will be held in German! Registration: until 22.1.2003 Frau Sonja Zeiner (Tel.: 01/502 20-357 or sonja.zeiner(a)gutmann.at)

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[VFN] Zur Info: Ausschreibung Wiss. Mitarbeiter
by Michael Hanke 18 Dec '02

18 Dec '02

[Auszug aus dem aktuellen Mitteilungsblatt der WU:] Im Institut für Unternehmensführung, Abteilung für Quantitative Unternehmensführung und Operations Research, ist voraussichtlich ab 3. Februar 2003 bis 2. Februar 2007 1 Posten für eine/n Wissenschaftlichen Mitarbeiter/in (Ausbildungsverhältnis) zu besetzen. Gesetzliche Aufnahmebedingungen: abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften EU-Staatsbürgerschaft Zusätzlich erwünschte Kenntnisse und Qualifikationen: sehr gute Kenntnisse im Bereich Operations Research und /oder Finanzierung Kennzahl: 77/02 Schriftliche Bewerbungen mit Lebenslauf und Angabe über den Studienerfolg (ohne Originalzeugnisse) sind unter Angabe der angeführten Kennzahl an die PERSONALABTEILUNG der Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien zu richten. Ende der Bewerbungsfrist: 8. Jänner 2003 Bitte die Kennzahl unbedingt anführen ! lg Michael Hanke -- Dr. Michael Hanke Institut für Quantitative Unternehmensführung (Operations Research) Wirtschaftsuniversität Wien Augasse 2-6 1090 Wien Tel.: (+43)1 31336 4560, Fax: (+43)1 31336 708

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[VFN] VIENNA-International Conference on Economics and Management of Franchising Networks - June 2003 (fwd)
by VFN-L admin * Andreas Schamanek 12 Dec '02

12 Dec '02

---------- Forwarded message ---------- Date: Thu, 12 Dec 2002 14:00:25 +0100 From: Josef Windsperger <josef.windsperger(a)univie.ac.at> Subject: VIENNA-International Conference on Economics and Management of Franchising Networks - June 2003 Josef Windsperger Ass. Professor in Organization and Management University of Vienna Center for Business Studies Brünner Str. 72 A-1210 Vienna Austria email: josef.windsperger(a)univie.ac.at www.univie.ac.at/EMNET Dear colleague, I organize the international conference on 'Economics and Management of Franchising Networks' in Vienna, next June (26-28, 2003). Since many people in the field of economics and management are doing research on networks, I want to invite you to submit a paper or to act as a discussant/session chair. You will find the call for papers and the response form at: http://www.univie.ac.at/EMNET . Yours sincerely, Josef Windsperger

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[VFN] GFC 2003 - Global Finance Conference 2003 - Frankfurt/Main
by VFN-L admin * Andreas Schamanek 11 Dec '02

11 Dec '02

Just a quick note: 10th Global Finance Conference 2003 Frankfurt/Main (Germany), June 15.17, 2003 EUROPEAN BUSINESS SCHOOL (ebs) http://www.cirm.de/GFC/ Deadline for submission of papers: January 6, 2003 -- -- Andreas Schamanek ------------------------------------------------------------------------ ANDREAS SCHAMANEK <Andreas.Schamanek(a)tuwien.ac.at> * Systemadministrator FAM @ TU Vienna E105, Wiedner Hauptstr. 8-10/105, A-1040 Vienna, Austria http://www.fam.tuwien.ac.at/~schamane/ * V: +43-1 58801-10555, F: -10598

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[VFN] Gutmann Center - Panel discussion on Long Term Asset Allocation Dec. 2nd
by GutmannCenter 26 Nov '02

26 Nov '02

"REMINDER * * * * REMINDER * * * * REMINDER * * * * REMINDER * * * * REMINDER * * * The Gutmann Center for Portfolio Management at the University of Vienna is pleased to invite all interested practitioners and academics to attend a Panel discussion titled "Long-Term Asset Allocation - what have we learned from the 90s?" Date: Monday, December 2nd, 2002 Time: 5.00 p.m. Location: Grosser Festsaal der Universität Wien (main building University of Vienna) Dr. Karl-Lueger-Ring, 1010 Wien Executive Summary: Prof. Dr. Josef Zechner (University of Vienna) Discussants: - Prof. Dr. Zvi Bodie (Boston University School of Management) - Prof. Dr. Klaus Spremann (University of St.Gallen) - Prof. Dr. Michael Brennan (University of California, Los Angeles) - Prof. Dr. Elroy Dimson (London Business School) - Horace "Woody" Brock (CEO Strategic Economic Decisions) - Dr. Rudolf Stahl (CEO Bank Gutmann AG) - Dr. Anton Fink (Member of the Board, Bank Gutmann AG) Presentation: Dr. Michael Prüller ("Die Presse") Following the panel discussion, the Gutmann Center cordially invites participants to a reception with refreshments. Please register: gutmann.bwl(a)univie.ac.at Further information: Mag. Dorothea Grimm Gutmann Center for Porfolio Management dorothea.grimm(a)univie.ac.at Tel.: +43-1-4277-38186 Fax: +43-1-4277-38074 www.gutmann-center.at This panel discussion is organized in cooperation with the newspaper "Die Presse" (www.diepresse.com)

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[VFN] Stellenausschreibung
by Michael Jeckle 26 Nov '02

26 Nov '02

Stellenausschreibung FH BFI FH-LektorIn für Finanzwirtschaft und Statistik (Ganze Stelle) Ihre Aufgaben a.. Lehrtätigkeit in Mathe/Statistik, Corporate Finance, Kapitalmarktlehre b.. Forschung und Diplomarbeitsbetreuung c.. in Fachhochschul-Studiengang für Vollzeit- und berufsbegleitend Studierende Ihr Profil a.. Abgeschlossenes Studium (Doktorat bevorzugt) mit Spezialisierung in Finanzwirtschaft b.. Gute Kenntnisse in Statistik und Finanzmarktlehre c.. Einschlägige Lehrerfahrung und/oder Berufspraxis Bitte schicken Sie Ihre Bewerbungsunterlagen an Prof. Stickler FH BFI Wohlmuthstraße 22 1020 Wien Dipl. Vw. Michael Jeckle Lektor im Studiengang Bank- und Finanzwirtschaft Tel. ++43/1/720 1286-46 Email: Michael.Jeckle(a)fh-vie.ac.at Internetaddresse: http://www.fh-vie.ac.at

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[VFN] CCEFM Workshop
by Alex Stomper 26 Nov '02

26 Nov '02

Alan Morrison (Oxford) gives a talk on his paper, titled "Partnerships" Coordinates: - 29th of November, 2 - 3 pm, - BWZ, Bruennerstrasse 72, 1210 Wien. This CCEFM workshop takes place as the keynote of the Austrian Working Group in Banking and Finance: - program of the AWG: http://www.bwl.univie.ac.at/bwl/fiwi3/news/awg.pdf - paper for the keynote: http://www.bwl.univie.ac.at/bwl/fiwi3/news/partner.pdf

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[VFN] 2nd Announcement: Eighth Viennese Workshop on Optimal Control ...
by Richard Hartl 21 Nov '02

21 Nov '02

************************************************************** ***** Second Announcement and Reminder for Registration ***** ************************************************************** ***** Eighth Viennese Workshop on Optimal Control, ***** ***** Dynamic Games and Nonlinear Dynamics: ***** ***** Theory and Applications in Economics and OR/MS ***** ***** Vienna , May 14-16, 2003 ***** ***** ws2003.bwl(a)univie.ac.at ***** ***** http://www.bwl.univie.ac.at/bwl/prod/EVENTS/ws2003 ***** ************************************************************** Unlike in the previous workshops this time we have not asked for preregistration (because this information was not really necessary) but have set a rather late deadline for registration and abstract submission. A consequence was, that so far not very many people have officially registered but in E-mails and at conferences people keep asking us, when the next announcement w.r.t the "Eighth Viennese Workshop " will be. So here it is. Additional Information to the Call for Papers is: ************************************************************** 1. We now have officially decided upon the TRAVEL AGENCY for HOTEL RESERVATIONS and tours: Imperial Tours Conference Department Dr. Karl Lueger Ring 8 A-1014 Vienna, Austria Tel.: (+43-1) 5356970 Fax: (+43-1) 53411202 office(a)imperial-tours.com http://www.imperial-tours.com The link for booking hotels is: http://www.imperial-tours.com/englisch/e_anmeldung- optimalcontrol2003.html We recommend you to book early, since May is the best and busiest tourist months in Vienna, because · it has the best weather for sightseeing (stable and not too hot) · the Austrian Federal Theatres and Operas are still open (they close in summer) · the Vienna Festival takes place (May 9 - June 15, 2003) If you book late you might end up in expensive hotels or in those not close to the center. ************************************************************** 2. We will have several excellent INVITED SPEAKERS which are being organized at the moment. Some have already confirmed that they will give a (semi-)plenary presentation: -> Richard Day, University of Southern California, USA - Recursive Programs and Games -> Ulrich Rieder, Ulm, Germany - Stochastic Control -> Evgenii Mishchenko, Steklov Institute, Russia - Historical Development of Optimal Control -> Erik Mosekilde, Technical University of Denmark - Chaotic synchronization in living systems Several others are just now being asked but have not confirmed yet: Benhabib, Lux, Scheinkman, etc. ************************************************************** 3. There is a number of RELATED CONFERENCES AND WORKSHOPS before and after the "Eighth Viennese Workshop " which might be of interest for you: Workshop on "Complexity" Aix en Provence, organized by Christope Deissenberg and Gustav Feichtinger May 8-11, 2003 http://zai.ini.unizh.ch/complexity2003/ 8th WORKSHOP ON ECONOMICS AND HETEROGENEOUS INTERACTING AGENTS (WEHIA) Institute for World Economics, Kiel, Germany May 29-31, 2003 http://www.bwl.uni-kiel.de/vwlinstitute/gwrp/wehia/index.htm XV IMGTA, a meeting on Game Theory Urbino, Italy, organized by Gian Italo Bischi, July 9-12, 2003 http://www.econ.uniurb.it/imgta/ ************************************************************** 4. REFUND POLICY: A few people have asked about the procedure whereby payment of EURO 190 is expected before people know if their abstract is accepted. Clearly, the E190 will be fully refunded if the abstract is not accepted. Also, potential contributors should know that it is the tradition of our workshops that we try to have as many top presentations as possible, but that we also want to give younger researchers (and those who want to talk about unfinished work in process) a chance to get feedback from the audience. Thus, although refereed, contributions will usually only be rejected if they clearly do not fall within the scope of the workshop of if it is clear from the abstract, that it is nonsense. Papers will usually not be rejected because of lack of space. ************************************************************** 5. REMINDER: Please note that the DEADLINE FOR ABSTRACT SUBMISSION is approaching: December 31, 2002 Also note, that compared with the previous workshops we have chosen a very late deadline, and that therefore this deadline is absolutely STRICT. Abstracts, for which the registration fee has not been paid by then will not be considered any further. Links for general information, registration, and payment are: http://www.bwl.univie.ac.at/bwl/prod/EVENTS/ws2003/ http://orgwww.bwl.univie.ac.at/ws2003/registration.htf http://www.bwl.univie.ac.at/bwl/prod/EVENTS/ws2003/Creditcard.pdf ************************************************************** 6. Request for cooperation - SPECIAL SESSIONS: In case you wish to organize a session on a special topic you are very welcome to suggest this to us. In this case, send us an E-Mail about your suggestion of session topic and papers to be included. All contributions to be included in this session should be submitted as usual: http://orgwww.bwl.univie.ac.at/ws2003/registration.htf ************************************************************** Please do not hesitate to contact us if you have any questions concerning the workshop. Please contact us via email at the address ws2003.bwl(a)univie.ac.at if possible. Only if you have NO access to electronic mail please contact Prof. Richard F. Hartl Chair of Production and Operations Management University of Vienna / BWZ Bruennerstr. 72 A-1210 Vienna, Austria Fax. +43 - 1 - 4277 - 38094 by surface mail or fax. We look forward to the meet you in Vienna. The organizers Gustav Feichtinger and Richard F. Hartl

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[VFN] tenure-track appointment in financial mathematics (fwd)
by VFN-L admin * Andreas Schamanek 20 Nov '02

20 Nov '02

---------- Forwarded message ---------- Date: Wed, 20 Nov 2002 17:25:49 +0100 From: Tom Hurd <tomhurd(a)imf.au.dk> Subject: tenure-track appointment in financial mathematics Dear Colleague, Please find below an announcement for a tenure-track appointment in financial mathematics at the Department of Mathematics and Statistics at McMaster University in Canada. I would be most grateful if you would forward this notice to anyone you feel might be interested in applying. sincerely, Tom Hurd Mathematics and Statistics work 905 525 9140 x27304 McMaster University fax 905 522 0935 Hamilton, ON, L8S 4K1 email hurdt(a)mcmaster.ca Canada SHARCNET Chair in Financial Mathematics The Department of Mathematics & Statistics, McMaster University, invites applications for a SHARCNET Chair in Financial Mathematics starting July 1, 2003. This Chair is funded in part by SHARCNET, which has developed a network of high-performance computer clusters spanning seven universities and colleges in Southern Ontario. The McMaster site has a 128-node cluster and is in the process of setting up a 64-node serial farm (please see http://www.sharcnet.ca for more information). Candidates should have a Ph.D., have the potential to become an international leader in some area of financial mathematics, and have demonstrated interest and ability in undergraduate and graduate level teaching. The successful candidate will have a strong scientific background in applied mathematics, probability theory or mathematical analysis, as well as some experience in large-scale implementation of computational finance models. Candidates with experience in the financial industry are especially welcome to apply. The salary and rank will be based on qualifications and experience. Normally the appointment will be made at the tenure-track assistant or associate professor level, but tenure may be offered in exceptional circumstances. McMaster University is located 65 km from downtown Toronto, the financial heartland of Canada. The Department of Mathematics & Statistics is home to PhiMAC, the Financial Mathematics Lab at McMaster, a group of faculty, postdoctoral fellows and graduate students working in financial mathematics (please see http://www.math.mcmaster.ca/phimac/ for more information). The appointee will be expected to supervise PhiMAC graduate students and to be involved in running PhiMAC programs. All qualified candidates are encouraged to apply; however, Canadian citizens and permanent residents will be considered first for this position. McMaster University is strongly committed to employment equity within its community, and to recruiting a diverse faculty and staff. The University encourages applications from all qualified candidates, including women, members of visible minorities, Aboriginal persons, members of sexual minorities, and persons with disabilities. Applicants should arrange for at least three letters of recommendation to be sent to the Chair. These letters should address the applicant's research accomplishments and supply evidence that the applicant can communicate articulately and teach effectively. In the case of an application from a senior candidate, the names of six arms-length references should also be provided. The deadline for receiving applications is January 13, 2003. Applications received after this date will be considered only if the position has not been filled. Applications, including a curriculum vitae and a letter of application should be sent to the following address: M. Valeriote, Chair Mathematics & Statistics McMaster University Hamilton, Ontario Canada L8S 4K1

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[VFN] Position for full professor - IAG/UCL (fwd)
by VFN-L admin * Andreas Schamanek 19 Nov '02

19 Nov '02

---------- Forwarded message ---------- Date: Tue, 19 Nov 2002 10:32:25 +0100 From: Francoise SACRE <sacre(a)iag.ucl.ac.be> Subject: full professor - IAG/UCL Prof. Pierre Semal,IAG President, has the pleasure to inform you that a new position in .... will be open in September 2003 at IAG, Louvain School of Management, at the same time as 3 other positions in Quantative Finance. The relevant information regarding the positions and the application procedure can be found at http://www.iag.ucl.ac.be/news/acad2003-en.html Please forward this information to any person you know who might be interested. [attachment removed. -- vfn-l-admin]

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[VFN] Lectureship position in Mathematical Finance, IC London (fwd)
by VFN-L admin * Andreas Schamanek 18 Nov '02

18 Nov '02

---------- Forwarded message ---------- Date: Mon, 18 Nov 2002 09:00:31 -0000 From: "Abeysekera, Doris" <d.abeysekera(a)ic.ac.uk> Dear Colleague, We have a new Lectureship position in Mathematical Finance in the Mathematics Department at Imperial College London. Details can be found at the website http://www.ma.ic.ac.uk. (This is equivalent to Assistant Professor or the lower ranks of Associate professor in the US system. An appointment at a higher level is a possibility.) Naturally, we are keen to get the strongest possible candidates for this position. I would appreciate your help in bringing it to the attention of anyone you know who might be a candidate. Anyone interested can always contact me directly for an informal discussion. With best regards, Mark __________________________________ Mark H. A. Davis Department of Mathematics, Imperial College www.ma.ic.ac.uk/~mdavis [included attachment can be viewed on-line at http://www.ma.ic.ac.uk/appointments/lectappliedoct02.htm ]

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[VFN] Workshop am 6. Dezember 2002 ab 9.00 Uhr (fwd)
by VFN-L admin * Andreas Schamanek 15 Nov '02

15 Nov '02

---------- Forwarded message ---------- Date: Fri, 15 Nov 2002 15:06:55 +0100 From: Olivia Ferner <Olivia.Ferner(a)oenb.co.at> To: vfn-admin(a)fam.tuwien.ac.at Subject: Workshop am 6. Dezember 2002 ab 9.00 Uhr Sehr geehrte Damen und Herren! Bitte entnehmen Sie der Beilage das Programm zu einem Workshop der Oesterreichischen Nationalbank zum Thema "Pension Finance Reform: From Public to Financial Economics" am Freitag, den 6. Dezember 2002, von 9.00 Uhr - 17.30 Uhr. Ort: Geldzentrum der Oesterreichischen Nationalbank Mehrzwecksaal (O 3085), 3. Stock Garnisongasse 15 1090 Wien Mit freundlichen Grüßen Olivia Ferner Oesterreichische Nationalbank Sekretariat des Direktoriums/Öffentlichkeitsarbeit Secretariat of the Governing Board and Public Relations phone: 0043/1/404 20-6623 fax: 0043/1/404 20-6697 Olivia.Ferner(a)oenb.co.at http://www.oenb.co.at/ >From Daniel.Eckert(a)oenb.co.at Fri Nov 15 16:22:48 2002 Date: Thu, 14 Nov 2002 11:45:40 +0100 From: Daniel Eckert <Daniel.Eckert(a)oenb.co.at> To: Olivia Ferner <Olivia.Ferner(a)oenb.co.at> Subject: vfn programm Program for the Workshop Pension Finance Reform: >From Public to Financial Economics Friday, December 6, 2002 Venue: Oesterreichische Nationalbank Geldzentrum (OeNB II) Mehrzwecksaal 3rd Floor Garnisongasse 15 1090 Vienna hosted by Oesterreichische Nationalbank Economic Analysis Division 9:00 a.m. Introductory Remarks Gertrude Tumpel-Gugerell Vice Governor, Oesterreichische Nationalbank 9:15 a.m. Welfare effects of pension finance reform Speaker: Johann K. Brunner, Professor of Economics, Johannes Kepler University Linz Discussant: Thomas Steinberger, Oesterreichische Nationalbank 10:30 a.m. Public policy and pension finance: Pension regimes and financial systems Speaker: Sigurt Vitols, Wissenschaftszentrum Berlin Discussant: Helene Schuberth, Oesterreichische Nationalbank Public policy and pension finance: Tax incentives for life annuities and the problem of adverse selection Speaker: Susanne Pech, Johannes Kepler University Linz Discussant: Claudia Kwapil, Oesterreichische Nationalbank 1:00 p.m. Pension funds and EU financial markets Speaker: E. Philip Davis, Professor of Economics and Finance, Brunel University Discussant: Josef Zechner, Professor of Finance, University of Vienna 2:00 p.m. Risk issues in pension reform discussion Speaker: Daniel Eckert, Oesterreichische Nationalbank Discussant: Thomas Url, WIFO (Austrian Institute of Economic Research) 3:00 p.m. Investment-based pension reform for Austria? Speaker: Alois Guger, WIFO (Austrian Institute of Economic Research) Discussant: Peter Rosner, University of Vienna 4:00 p.m. General Discussion: Pension reform and financial systems -- policy implications E. Philip Davis, Brunel University Alois Guger, WIFO (Austrian Institute of Economic Research) Sylvia Angelo, Chamber of Labour of Vienna Johann K. Brunner, Johannes Kepler University Linz Martin Gleitsmann, The Austrian Economic Chamber Moderator: Helene Schuberth, Oesterreichische Nationalbank

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[VFN] Stellenangebot mit der Bitte um Verteilung
by Dirk Becherer 14 Nov '02

14 Nov '02

Sehr geehrte Damen und Herren, Ich bitte um Verbreitung der folgenden Ausschreibung einer Lecturerstelle in Ihrem VFNewsletter. Mit besten Gruessen, Dirk Becherer -------------------------------------------------------------------- The Imperial College of Science and Technology, Dept. of Mathematics, invites applications for a permanent Lectureship in Mathematical Finance. The lectureship is to be appointed as soon as possible but not later than 1/10/2003. Further details are available from http://www.ma.ic.ac.uk/appointments/lectappliedoct02.htm Informal enquiries can be made to Professor Mark Davis (mark.davis(a)ic.ac.uk, +44 20 7594 8486) ******************************************************************* Dirk Becherer room: 6m24 Dept. of Mathematics tel: +44+20-75948554 Imperial College fax: +44+20-75948517 London SW7 2BZ dirk.becherer(a)ic.ac.uk United Kingdom www.ma.ic.ac.uk/~becherer *******************************************************************

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[VFN] Ausschreibung Professur fuer "Banken und Finanzdienstleistungen" (fwd)
by VFN-L admin * Andreas Schamanek 14 Nov '02

14 Nov '02

--------- Forwarded message ------------ Date: Wed, 13 Nov 2002 12:54:08 +0100 From: Brigitte Parnigoni <brigitte.parnigoni(a)wu-wien.ac.at> To: vfn-l(a)fam.tuwien.ac.at Subject: Ausschreibung Professur Sehr geehrte Damen und Herren, ich ersuche um Veröffentlichung der Ausschreibung einer Professur für "Banken und Finanzdienstleistungen" an der WU Wien (siehe attachement) in Ihrem Vienna Finance Newsletter. Mit bestem Dank im Voraus und freundlichen Grüßen Brigitte Parnigoni [Hinweis: VFN-L akzeptiert keine Attachments. Das Attachment wurde in Text umgewandelt.] Attachment: Ausschreibung der Professur fuer "Banken und Finanzdienstleistungen" An der Wirtschaftsuniversitaet Wien (WU) ist ab 1. Oktober 2003 die unbefristete Stelle einer Universitaetsprofessorin / eines Universitaetsprofessors (vergleichbar C4) fuer "Banken und Finanzdienstleistungen" am derzeitigen Institut fuer Kreditwirtschaft zu besetzen. Die Bewerberin / der Bewerber soll die universitaere Ausbildung auf dem Gebiet Banken und Finanzdienstleistungen verantwortlich betreuen. Eine Mitarbeit im Lehrprogramm Finanzierung wird erwartet. Neben der Erfuellung der gesetzlichen Bedingungen (Par.Par. 49f ff. VBG) soll sie / er auf dem Gebiet der Finanzintermediation ausgewiesen und in der Lage sein, in der Forschung die modernen Entwicklungen im Bereich Finanzierungstheorie und Theorie der Finanzintermediation zu vertreten. Die Zusammenarbeit mit anderen wissenschaftlichen Einheiten des Hauses in Forschung und Lehre im Bereich Risikomanagement ist erwuenscht. Von der Bewerberin / dem Bewerber wird die Bereitschaft erwartet, am englischsprachigen Lehrveranstaltungsprogramm mitzuwirken. Da sich die WU eine Erhoehung des Frauenanteils am wissenschaftlichen Personal zum Ziel gesetzt hat, werden Frauen nachdruecklich aufgefordert, sich zu bewerben. Frauen werden bei gleicher Qualifikation vorrangig aufgenommen. An der WU ist ein Arbeitskreis fuer Gleichbehandlungsfragen eingerichtet. Bewerberinnen / Bewerber mit einschlaegiger Habilitation oder einer gleichzuhaltenden wissenschaftlichen Eignung moegen ihre Bewerbung mit den ueblichen Bewerbungsunterlagen (Lebenslauf, Schriftenverzeichnis, fuenf facheinschlaegige Publikationen ihrer Wahl, Uebersicht ueber die Lehrtaetigkeit) bis zum 18. Dezember 2002 an den Rektor der Wirtschaftsuniversitaet Wien, A - 1090 Wien, Augasse 2-6 richten. Die Probevortraege sind fuer den 27. und 28. Jaenner 2003 vorgesehen. Naehere Auskuenfte erteilt der Vorsitzende der Berufungskommission (o. Univ. Prof. Dr. Reinhard Moser Telefon: 0043 / 1/ 31336 / 4372, E-Mail: Reinhard.Moser(a)wu-wien.ac.at) -- Ende des Attachments **************************************************************************** Diese E-Mail (und ihre Anhänge) ist ausschließlich für die/den darin genannten Empfängerin/er bestimmt. Sie enthält rechtlich geschützte und vertrauliche Informationen. Die Verwendung, Verarbeitung oder Übermittlung dieser E-Mail, ihrer Anhänge oder irgendwelcher Teile davon kann Rechte von Betroffenen verletzen und ist deshalb strikt untersagt. Wenn Sie diese Nachricht irrtümlich erhalten oder aus anderen Gründen nicht die/der bestimmungsgemäße Empfängerin/er sind, informieren Sie mich bitte sofort unter der oben genannten Adresse und vernichten Sie diese Nachricht (einschließlich ihrer Anhänge) und allfällige Vervielfältigungen davon unverzüglich. Die/Der Absender trägt keine Haftung insbesondere für unvollständige, verspätete oder verfälschte Nachrichten, sofern diesem kein vorsätzliches Verhalten vorgeworfen werden kann **************************************************************************** Mag.a Brigitte Parnigoni WU Wien, Referat für Personalentwicklung und Frauenförderung A - 1090, Augasse 2-6 Tel.: (01)313 36 4934 Fax: (01)313 36 701 mailto: brigitte.parnigoni(a)wu-wien.ac.at http://www.wu-wien.ac.at/personal/frauenförderung

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[VFN] seminar talk at IHS
by Gabriel Lee 14 Nov '02

14 Nov '02

There will be a seminar talk given by Raimund Alt (IHS) Ines Fortin (IHS) Simon Weinberger (IHS) on "The Day-of-the-Week Effect Revisited: An Alternative Testing Approach" Tuesday, Nov. 19th. 4 - 5:30 p.m. IHS (Stumpergasse 56, 1060 Wien) HS 2. Abstract: Our paper questions traditional approaches for testing the day-of-the-week effect on stock returns. We propose an alternative approach based on the closure test principle introduced by Marcus, Peritz and Gabriel (1976), which has become very popular in Biometrics and Medical Statistics. We test all pairwise comparisons of daily expected stock returns, while the probability of committing any type I error is always kept smaller than or equal to some prespecified level a for each combination of true null hypotheses. We confirm day-of-the-week effects for the S&P 500, the FTSE 30 and the DAX 30 found in earlier studies, but find no evidence for the 1990's. ______________________________________________________________ Gabriel S. LEE Institute for Advanced Studies Department of Economics and Finance Stumpergasse 56 A-1060 Vienna, AUSTRIA Tel: +43.1.59991.141 Fax: +43.1.59991.555 Homepage: http://www.ihs.ac.at/~lee/

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[VFN] Ausschreibung
by Stefan Bogner 06 Nov '02

06 Nov '02

Liebe Kolleginnen, liebe Kollegen, ich darf Sie auf die Ausschreibung folgender Stelle am Institut für Finanzierung und Finanzmärkte der Wirtschaftsuniversität Wien aufmerksam machen. Diese Stelle ist der Einheit Betrieblicher Finanzierung/ Corporate Finance zugeordnet. Für nähere Auskünfte stehe ich gerne zur Verfügung. ************************************************************************************************************** Im Institut für Finanzierung und Finanzmärkte Posten für eine/n Wissenschaftlichen Mitarbeiter/in (Ausbildungsverhältnis) zu besetzen. Gesetzliche Aufnahmebedingungen: abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften oder der Mathematik bzw. Informatik mit wirtschaftlichem Schwerpunkt Zusätzlich erwünschte Kenntnisse und Qualifikationen: Vertiefte Kenntnisse auf dem Gebiet der Finanzierung, der EDV-Anwendung und der englischen Sprache, Interesse an finanzwirtschaftlicher Forschung Kennzahl: 68/02 Schriftliche Bewerbungen mit Lebenslauf und Angabe über den Studienerfolg (ohne Originalzeugnisse) sind unter Angabe der angeführten Kennzahl an die PERSONALABTEILUNG der Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien zu richten. Ende der Bewerbungsfrist: 27. November 2002 Bitte die Kennzahl unbedingt anführen ! ************************************************************************************* Mit besten Grüßen Ihr Stefan Bogner ------------------------------------------------------ Stefan Bogner Ordinarius für betriebliche Finanzierung am Institut für Finanzierung und Finanzmärkte an der Wirtschaftsuniversität Wien A-1090 Wien, Austria Tel: 01/31336/4242 Fax: 01/31336/736 e-mail: Stefan.Bogner(a)wu-wien.ac.at ------------------------------------------------------

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[VFN] Gutmann Symposium on Long-Term Asset Allocation on December 2nd 2002
by Michael Halling 04 Nov '02

04 Nov '02

Please accept our apologies if you receive multiple copies of this announcement. The Gutmann Center for Portfolio Management at the University of Vienna is pleased to announce the Gutmann Symposium on Long-Term Asset Allocation on December 2nd, 2002. There will be two parts: (A) a research session including presentations and discussions of current research activities, and (B) a panel discussion and reception. Time and Location of Research Session: 8:45 a.m. - 4:00 p.m, Aula Altes AKH, Alser Str. 4, 1090 Wien Time and Location of Panel Discussion and Reception: 5:00 - 7:30 p.m., Grosser Festsaal der Universität Wien, Dr. Karl-Lueger-Ring, 1010 Wien Research Session Program: Zvi Bodie (Boston University School of Management): " Life-Cycle Finance in Theory and in Practice". Maria Vassalou (Columbia University): "Default Risk in Equity Returns". Klaus Spremann (University of St. Gallen): "Pro-cyclic versus anti-cyclic investment in a shortfall framework". Michael Brennan (University of California): "Dynamic Asset Allocation under Inflation". Robert Korajczyk (Northwestern University): "Are Momentum Profits Robust to Trading Costs?". Elroy Dimson (London Business School): "Global Evidence on the Equity Risk Premium". The list of chairmen and discussants further includes Horace "Woody" Brock (CEO Strategic Economic Decisions), Engelbert Dockner (University of Vienna), Alois Geyer (Vienna University of Economics and Business Administration), Andreas Grünbichler (Austrian Financial Market Authority), Neal Stoughton (UC Irvine), Erich W. Streissler (University of Vienna), Suresh Sundaresan (Columbia University) and Josef Zechner (University of Vienna). Participation fee: the participation is free, but all participants are required to register. Registration and further information (detailed programme, papers to download etc.) can be found on the webpage: www.gutmann-center.at Contact: gutmann.bwl(a)univie.ac.at phone: +43-1-4277-38186 (Dorothea Grimm) fax:: +43-1-4277-38074 This symposium is organized in cooperation with the daily newspaper "Die Presse" (www.diepresse.com). The Gutmann Center for Portfolio Management is sponsored by Bank Gutmann AG (www.gutmann.at).

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[VFN] CCEFM Workshop am 8. November
by Alexander Stomper 31 Oct '02

31 Oct '02

Einladung zum CCEFM Workshop von Prof. Bryan Routledge (Carnegie Mellon) zum Thema "Model Uncertainty and Liquidity" um 15:30 am 8. November in der Wiener Börse, 1010 Wien. Ein Abstract und der dem Vortrag zugrundeliegende Artikel sind unter http://sulawesi.gsia.cmu.edu/papers/Liquidity verfügbar.

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