---------- Forwarded message ----------
Date: Mon, 4 Feb 2002 16:42:26 +0100
From: Uwe Schmock <schmock(a)math.ethz.ch>
Subject: Master of Science in Finance (in Zurich/Switzerland)
Announcement
------------
The ETHZ (Swiss Federal Institute of Technology Zurich) and the
University of Zurich are jointly launching the new degree program
*** Master of Science in Finance ***
It is an intense two-semester program of courses followed by a master's
thesis.
Mandatory courses:
- Mathematical Foundations in Discrete and Continuous Time
- Financial Economics (incl. Corporate Finance)
- Empirical Methods for Finance
- Financial Institutions and Financial Markets
- Financial Theory and Asset Pricing
- Derivatives and Financial Engineering
- Insurance Analytics
Specializations (choose A or B):
(A) Quantitative Finance and Risk Management
- Risk Management
- Term Structures and Credit Risk Models
- Quantitative Methods for Risk Management
(B) Asset Management
- Asset Allocations and Performance Measurement
- Theory of Banking and Financial Intermediation
- Behavioral Finance or Empirical Methods
Optional Courses:
- Computational Methods for Quantitative Finance
- Real Options and Commodities
- International Finance
- Incomplete Markets: Further Developments
- Economics of Insurance
(Other courses may be taken upon request.)
Language:
The entire program will be taught in English so that international as
well as Swiss graduate students can attend.
Target students:
Undergraduates with an economics and/or a science background
(mathematics, physics, engineering) and practitioners who feel that
they need additional and more specialized training in financial
economics and in quantitative methods for finance.
Please visit http://www.msfinance.ch/ for a list of the teaching
faculty members, a more detailed description of the curriculum, the
application procedure and further details.
Please tell your colleagues and students about the new program; feel
free to forward this email. You can use the two slides at
http://www.msfinance.ch/misc/MSc_Finance_Slides.pdf in your class.
With best regards,
Uwe Schmock
(Director MSc Finance Program)
Financial and Insurance Mathematics: http://www.math.ethz.ch/finance/
Master of Science in Finance: http://www.msfinance.ch/
RiskLab: http://www.risklab.ch/
Home page: http://www.math.ethz.ch/~schmock/
Am Dienstag, 22. Jänner 2002, spricht Prof. Hans Bühlmann (ETH-Zürich) im
Rahmen der Vortragsreihe aus Finanz- und Versicherungsmathematik über "Die
Vorsicht des Aktuars und den Mut des Spielers".
Termin: Dienstag, 22. Januar 2002, 16:30 Uhr s.t.
Ort: Technische Universität Wien
1040 Wien, Wiedner Hauptstraße 8-10
Freihaus, Turm B (gelber Bereich), 2. Stock,
FH HS 8 (Nöbauer Hörsaal)
WWW: http://www.fam.tuwien.ac.at/~sandra/events/vr/20020122.htm
Abstract:
Der finanzielle Verlauf eines Versicherungsgeschäfts kann als
stochastischer Prozess modelliert werden. Die Frage der Bewertung dieses
stochastischen Prozesses wird je nach zugrunde liegender Risikohaltung
anders beantwortet. Die vorsichtige Haltung (Prudent Approach) wird
traditionellerweise durch die Aktuare eingenommen. Dem gegenüber steht die
ökonomische Haltung, welche im Versicherungs-geschäft (ähnlich dem
Glücksspieler) vor allem Gewinnchancen sieht. Beide Haltungen lassen sich
mathematisch darstellen. Es soll der Frage nachgegangen werden, was die
praktischen Konsequenzen der zwei verschiedenen Grundhaltungen sind.
CCEFM Workshop with Avi Wohl, Tel Aviv University
Topic: The Information Content of the Demand and Supply Schedules of Stocks
Date: Friday, 18th of January
Time: 3.30 p.m.-5.00 p.m.
Location: Wiener Börse, Wallnerstrasse 8, 1010 Wien
The paper is downloadable from http://info.tuwien.ac.at/workshop/work.htm
---------- Forwarded message ----------
Date: Fri, 21 Dec 2001 16:51:01 +0100 (MET)
From: Guenter Lau <h0054syg(a)rz.hu-berlin.de>
Reply-To: info(a)efa2002.org
Subject: EFA 2002, Berlin - Call for Paper
EUROPEAN FINANCE ASSOCIATION
29th Annual Meeting
21-24 August, 2002
Berlin, Germany
http://www.efa2002.org
The European Finance Association will hold its 29th annual meeting at Humboldt University of Berlin, 21-24 August, 2002.
RESEARCH PAPERS
Contributions are welcome in all fields of Finance. All submitted papers will be evaluated by two referees in a double-blind process.
To enable this process, the cover page of the submitted paper should contain the title of the manuscript, the name and the affiliation of all the authors. The first page of text should contain the title, an abstract of about 100 words, and the appropriate JEL classification code, but not the author's name. (The JEL codes may be accessed at http://papers.ssrn.com/sol3/DisplayJel.cfm)
SYMPOSIUM
As part of the EFA 2002 meeting there will be a special Symposium on Taxation and Financial Markets, which will be organized by Professor Bjarne Astrup Jensen, Copenhagen Business School, und Kristian Rydkvist, Norwegian School of Management Oslo, in collaboration with the Program Chair.
Topics include but are not limited to:
- Taxation and valuation
- Taxation and asset allocation
- Taxation and pension saving
- International tax arbitrage
- Tax arbitrage with derivatives
- Case studies
Papers for the Symposium will be selected from those accepted by the EFA 2002 program committee. A future issue of the European Finance Review will publish selected papers from the symposium if resubmitted by the authors and after a second refereeing procedure. Authors wishing to submit papers for the symposium should also use the regular submission procedure as detailed below.
PRIZES FOR BEST PAPERS
We are delighted to announce that Barclays Global investors, one of the world's largest investment managers, will be awarding the following prizes for three outstanding papers:
- 5.000 Euros for the best paper presented at the Symposium
- 5.000 Euros for the best finance paper presented at the conference
- 5.000 Euros for the best paper by a current or recent Ph.D. candidate
SUBMISSION PROCEDURE
To make the submission and refereeing process faster and more efficient, we plan to do everything electronically. Thus we will only accept electronic submissions (in form of pdf-files). If you have problems in submitting your paper electronically, please let us know.
Authors wishing to present a paper should use the following 2-step procedure:
S t e p 1:
Register at our website as soon as possible - this will help us to prepare the refereeing process efficiently. Use the registration form at our website www.efa2002.org
S t e p 2:
Upload your paper into the SSRN system. In the SSRN-form to be filled out please select "EFA 2002 Submission" as Recommended Abstract Appearance. If you do not select other SSRN Subject Matter Journals, your submission will not be shown to and will not be accessible by the public, but only by the program chair. Note that if you choose to submit the paper to other SSRN Subject Journals at the same time, either on the same form or separately, SSRN will publish the paper in the regular way without mentioning that it is also an EFA submission.
If a paper is accepted for conference presentation it will be included in the "EFA 2002 Presentations Journal". The first issues of this electronic journal will be published by SSRN in June.
Because of the large number of submissions many high quality papers had to be rejected during the past years. To promote academic discussions during the meeting a second journal will be published. If a paper is not accepted for presentation but is judged "above average" by the referees it may be included in the "EFA 2002 Discussion Journal" if the submitting author wishes to do so and at least one of the authors attends the conference. The first issue of this electronic journal will be published by SSRN in July. Both journals will remain publically accessible in the SSRN system for the near future.
If a submitted paper is not included in either journal it will be included in the SSRN e-Library or deleted, at the discretion of the submitting author and the SSRN editors.
For further information please contact paper(a)efa2002.org
DEADLINE
Deadline for registration and uploading papers is March 1, 2002.
DOCTORAL TUTORIAL
As part of the 29th annual meeting, the European Finance Association (EFA) and the European Institute for Advanced Studies in Management (EIASM) will jointly organize a Doctoral Tutorial, as is now customary. It will take place on the 21 of August 2002, starting at 10:00 a.m.
Selected proposals by Ph.D. students will be presented during the day. We encourage Ph.D. students to submit well defined and detailed research proposals for one of their Ph.D. essays or completed papers. In their research proposals, students are welcome to add an additional page raising the conceptual and methodological problems they face with the current status of their dissertations and that they would like to discuss during the tutorial. Attendants will benefit from the comments of prestigious academics as well from the overall discussion. The tutorial will be co-organized by Professors Wolfgang Bühler (University of Mannheim) and Rajna Gibson (University of Zurich) in collaboration with the EFA 2002 Chairman and the organizing committee. This year we are pleased to be able to make participation to the Tutorial free for students attending the EFA 29th annual meeting. (Students have to pay the hotel, travel, and personal expenses as well as the reduced fee for the confere!
nc!
e.) Doctoral students interested in participating at the tutorial should print and fill out the PDF format form (you will need Acrobat reader) and return it together with their research proposal or completed paper before March 1, 2002, to:
Marion Hebbelynck
EIASM Rue d'Egmont 13
1000 Bruxelles
BELGIUM
E-mail: hebbelynck(a)eiasm.be
Presentation: The cover page of the submitted research proposal or paper should contain the title of the manuscript, the name and affiliation of all the authors, and should be marked "TUTORIAL". The first page of text should contain the title, the abstract, and the appropriate JEL classification code.
Deadline for submission of papers for the Tutorial is also March 1, 2002.
Announcement: Talk with Phelim Boyle, University of Waterloo
Date: 14.01.2002
Time: 04:00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin
Title of the talk: Asset Allocation
Abstract: The asset allocation decision is an important one for the
investment
managers of pension plans, mutual funds and other financial
institutions. The optimal decision will depend on the nature of the
assets and liabilities as well as the investment objectives. In recent
years this important decision has become increasingly passed down to the
individual investor. We will examine some traditional and modern tools
for solving this problem. In particular we will discuss a promising new
approach that can provide numerical solutions under increasingly
realistic assumptions. We will try to give the intuition but some math
is alas inevitable.
registration: until 10.01.2002 under sonja.zeiner(a)gutmann.at or phone: 502
20-357
Sehr geehrte Damen und Herren,
das Gutmann Center of Competence freut sich, Ihnen das Erscheinen des neuen
Gutmann Journals ankündigen zu dürfen. Das Gutmann Journal wird einerseits
Beiträge von hochkarätigen Wissenschaftern beinhalten, wie zum Beispiel in
der ersten Ausgabe ein Interview mit Nobelpreisträger William F. Sharpe.
Andererseits wird das Gutmann Journal über die Aktivitäten des Gutmann
Center of Competence berichten. Im Rahmen von public lectures konnten in
diesem Herbst anerkannte Professoren wie Elroy Dimson (London Business
School), Maurice Levi (University of British Columbia) oder Duane Seppi
(Carnegie Mellon University) für Vorträge gewonnen werden.
Sollten Sie Interesse an der Zusendung des Gutmann Journals haben, ersuchen
wir Sie um Bekanntgabe Ihres Namens und Ihrer Adresse per mail.
Mit freundlichen Grüßen
Sonja Zeiner
Tel.: +43/1/502 20-357
Fax: +43/1/502 20-249
*****************************************************************
Persönlich und Vertraulich
Die Information dieser E-Mail-Nachricht und beigefügte Dokumente
ist vertraulich und ausschliesslich fuer den Adressaten bestimmt.
Der Empfaenger dieser Nachricht, der nicht Adressat, einer seiner
Mitarbeiter oder sein Empfangsbevollmaechtigter ist, wird hiermit
davon in Kenntnis gesetzt, dass er deren Inhalt nicht verwenden,
weitergeben oder reproduzieren darf. Sollten Sie diese Nachricht
und beigefügte Dokumente versehentlich erhalten haben bitten wir
Sie die Bank Gutmann AG zu informieren.
Private and Confidential
The information contained in this e-mail message is privileged and
confidential and is for the exclusive use of the addressee. The person
who receives this message and who is not the addressee, one of his
employees or an agent entitled to hand it over to the addressee, is
informed that he may not use, disclose or reproduce the contents
thereof. If you have received this e-mail or any file or
attachment transmitted with it in error please notify Bank Gutmann AG.
Announcement: Talk with Duane Seppi, Carnegie Mellon University
Date: 12.12.2001
Time: 04:00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin
Title of the talk: Pricing of Energy Derivates
Abstract: Pricing of Energy Derivates by using the two-factor term-structure
model of Longstaff and Schwartz
registration: until 6.12.2001 under sonja.zeiner(a)gutmann.at or phone: 502
20-357
------------------------------------------------------
The Vienna Finance Newsletter <VFN-L(a)fam.tuwien.ac.at>
http://www.fam.tuwien.ac.at/mailman/listinfo/vfn-l
Dear colleague,
please find the 'First Call for Papers' for a workshop on recent
topics in real options valuation at
http://ebweb.tuwien.ac.at/ibwl/realopt.html.
The workshop will take place between July 6 and 8, 2002 at
Donau-Universität Krems,
Austria.
We want to ask you to consider the submission of a paper as well as the
active
participation in the workshop.
Best regards
Thomas Dangl
--
Thomas Dangl
Vienna University of Technology
Department of Managerial Economics
and Industrial Organization
Theresianumgasse 27
A-1040 Vienna, Austria
Tel: ++43-1-58801-33063
Fax: ++43-1-58801-33096
mailto:Thomas.Dangl@tuwien.ac.at
http://ibab.tuwien.ac.at/ibwl
An der Fakultaet fuer Technische Naturwissenschaften und Informatik
ist am Institut für Finanz- und Versicherungsmathematik eine
Planstelle für eine/n Universitaetsprofessor/in fuer
Versicherungsmathematik in Form eines zeitlich unbefristeten
vertraglichen Dienstverhaeltnisses ehestmoeglich zu besetzen.
Den offiziellen Ausschreibungstext mit naeheren Informationen
finden Sie unter
"http://www.tuwien.ac.at/dektnf/Download/Ausschreibungen.htm"
als pdf-File.
----------------------------------------------------------------
The Department of Financial and Actuarial Mathematics
at the Faculty of Natural Science and Computer Science
is seeking applicants for a Position in Actuarial Mathematics
at the Professor level in the form of a contract of employment
for an unlimited period.
The official job announcement (in German) can be found under
"http://www.tuwien.ac.at/dektnf/Download/Ausschreibungen.htm"
as pdf file, an informal translation is given at
"http://www.fam.tuwien.ac.at/g2g/jobengl.txt".
Prof. Karatzas (Columbia) will give a public lecture on on Dec 17 (Monday)
at the Institute for Advanced Studies, Vienna from 4 - 5:30 p.m. HS. 2
The title and abstract are listed below.
Regards
Gabe Lee
>"Probabilistic Aspects of Portfolio Analysis"
>
>Abstract
>
>We formulate and discuss notions such as growth rate, diversity, and
>arbitrage, that arise naturally in the study and analysis of portfolios.
>Relations among these notions are discussed, including examples of diverse
>markets that lead to arbitrage opportunities; some optimization problems are
>posed and solved; and a couple of open questions are suggested. (Joint work
>with Robert Fernholz.)
______________________________________________________________
Gabriel S. LEE
Institute for Advanced Studies
Department of Economics and Finance
Stumpergasse 56
A-1060 Vienna, AUSTRIA
Email: gabriel.lee(a)ihs.ac.at
Tel: +43.1.59991.141
Fax: +43.1.597.0635
Homepage: http://www.ihs.ac.at/~lee/
---------- Forwarded message ----------
Date: Fri, 16 Nov 2001 12:46:20 -0600
From: Bachelier Congress 2002 <bfs2002(a)mail.ma.utexas.edu>
Subject: BFS 2002 CONGRESS - THIRD CALL FOR PAPERS
B A C H E L I E R F I N A N C E S O C I E T Y
2 N D W O R L D C O N G R E S S
CRETE, GREECE : JUNE 12-15, 2002
-----------------------------
C A L L F O R P A P E R S
The Bachelier Finance Society was founded in 1996 by a group of
researchers in Mathematical Finance to serve as a platform where
academics and practitioners can meet and exchange ideas spanning across
Mathematics, Finance, Economics, Econometrics and Insurance. To achieve
this goal, the BFS organizes every two years an International Congress.
The scientific program of the 2002 BFS Congress consists of plenary
talks and contributed papers. The invited plenary talks will give an
overview of the latest important developments in the field. They will
also present new ideas, directions and methodologies from Finance,
Economics, Econometrics and Mathematics and, discuss pressing problems
in the Finance and Insurance industries. The contributed papers will
complement the plenary talks with recent results and advances.
The overall scope is to create a unique interdisciplinary forum for
discussion of new concepts, incite stronger interaction across the
fields, and, at the same time, define new directions for the future
development of Mathematical Finance.
P L E N A R Y S P E A K E R S
Y. Ait-Sahalia (Princeton), N. El Karoui (Ecole Polytechnique),
V. Kaminski (Enron), I. Karatzas (Columbia), P.-L. Lions (Paris IX),
M. Musiela (BNP Paribas), M. O'Hara (Cornell), W. Schachermayer
(TU Wien), K. Singleton (Stanford), W. Zame (UCLA)
S C I E N T I F I C C O M M I T T E E
G. Constantinides (Chicago), M.H.A. Davis (Imperial College),
F. Delbaen (ETH), D. Duffie (Stanford), H. Foellmer (Humboldt),
M. Jeanblanc (Evry), E. Platen (UTS), T. Zariphopoulou (UT-Austin)
SUBMISSIONS: Participants are encouraged to submit a research paper.
Submissions can be either a completed paper or an extended summary
(two to four pages long).
The deadline for submissions is November 30, 2001. Instructions
regarding submissions are posted on the web site of the Congress.
LOCATION: Crete, the largest greek island, offers a unique combination
of natural beauty, historical sites and vibrant life. A land with a
distinct character, Crete is one of the most magnificent places in
Greece. The Congress will take place at the Capsis Beach Hotel and
Sofitel Capsis Palace Conference Center (www.capsis.gr) on the peninsula
of Agia Pelagia, a picturesque site on the northern shore of Crete near
Heraklion. A block of rooms at special rates will be available for
the conference participants. Information regarding registration, hotel
reservations, transfers as well as the planned cultural and social events
will be posted in the upcoming months.
FINANCIAL SUPPORT: Depending on the availability of funds, limited
financial support will be provided to students and young researchers.
The application material will be posted on the web site of the Congress.
WEB SITE: www.ma.utexas.edu/Bachelier2002
CORRESPONDENCE: Thaleia Zariphopoulou, Chair of the Scientific Committee
zariphop(a)math.utexas.edu
CCEFM (Center for Central European Financial Markets)
laedt zu folgendem Workshop ein:
Pegaret Pichler, Boston College
"Optimal Contracts for Teams of Traders"
Freitag, 23.11.2001, 15.30-17.00
Wiener Börse, Wallnerstrasse 8, 1010 Wien
Weitere Termine entnehmen Sie bitte der Seite
http://info.tuwien.ac.at/ccefm/workshop/work.htm
P.S. Falls Sie dieses email nur einfach erhalten, so sind Sie nicht
Abonnent des Vienna Finance Newsletter! Um vor zukünftigen Vorträgen
benachrichtigt zu werden, tragen Sie sich bitte ein. Infos unter
http://www.fam.tuwien.ac.at/mailman/listinfo/vfn-l
Technische Universität Wien
15. Workshop
Austrian Working Group on Banking and Finance
30. 11. / 1. 12. 2001
EINLADUNG
Sie sind herzlich zur Teilnahme am 15. Workshop der Austrian Working
Group on Banking and Finance eingeladen. Das Programm und das
Anmeldeformular finden Sie im WWW unter
http://info.tuwien.ac.at/E330/tu3306/program.doc
Mit freundlichen Gruessen
Wolfgang Aussenegg
Stefan Pichler
Walter Schwaiger
Helmut Uhlir
Announcement: Talk with Maurice Levi, University of British Columbia
Date: 22.11.2001
Time: 05:00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin
Title of the talk: Stock market anomalies
Abstract: The purpose of the presentation is to review the arguments behind
and evidence supporting alternative explanations of two time-related
anomalies in stock market returns, namely, the weekend-effect and the
turn-of-the-year effect.
registration: until 16.11.2001 under sonja.zeiner(a)gutmann.at or phone: 502
20-357
Professorship of Quantitative Finance
With this senior faculty position within its Department of
Mathematics, the ETHZ aims to further strengthen both research and
teaching in the mathematical aspects of finance and insurance.
Through this newly created professorship, ETHZ also seeks to
intensify the already established collaboration with the University
of Zurich and with the local finance and insurance industry.
Candidates should possess outstanding records in research and
teaching in the field of quantitative finance and should demonstrate
the ability to transform new mathematical concepts into relevant
applications.
As a member of the Department of Mathematics the new professor is
expected to take part in the teaching of mathematics to a broad range
of students.
Applications with curriculum vitae and publication list should be
sent to the President of the ETH Zurich, Prof. Dr. O. Kübler, ETH
Zentrum, CH-8092 Zürich, Switzerland, by January 15, 2002. The ETHZ
encourages female candidates to apply with a view towards increasing
the proportion of female professors. For more information on the
position, interested persons can contact Prof. F. Delbaen
(delbaen(a)math.ethz.ch, tel. (+)411 632 6357) or Prof. P. Embrechts
(embrechts(a)math.ethz.ch, tel. (+)411 632 3419). The websites
www.math.ethz.ch, www.math.ethz.ch/finance and www.risklab.ch contain
further information on the Department of Mathematics, the Research
Group in Mathematical Finance and Insurance, and RiskLab, the
Research Centre on Quantitative Risk Management.
Sehr geehrte Damen und Herren,
am Institut für Finanzierung und Finanzmärkte der Wirtschaftsuniversität Wien,
Ordinariat Investmentbanking und Kapitalmarktkommunikation, Univ. Prof. Dr.
Otto Loistl,
ist voraussichtlich ab 1. Dezember 2001 ein Posten für einen
Wissenschaftlichen
Mitarbeiter/in (Ausbildungsverhältnis) zu besetzen.
Finden Sie bitte zu Ihrer Information die Ausschreibung obiger Stelle unter
<http://ifm.wu-wien.ac.at/aktuell/Ausschreibung.pdf>.
Mit der Bitte um wohlwollende Kenntnisnahme und gegebenenfalls Weiterleitung
an Interessent/inn/en verbleibe ich
mit freundlichen Grüßen
Alexander Veverka
------------------------------------------------------------------
Alexander Veverka, Assistant Professor
Vienna University of Economics and Business Administration
Institute of Finance and Financial Markets
Department of Investment Banking and Capital Markets Communication
Althanstraße 39-45, 1090 Vienna, Austria, Europe
Tel: ++43 1 31336 ext. 4183
Fax: ++43 1 31336 ext. 761
E-mail: alexander.veverka(a)wu-wien.ac.at
------------------------------------------------------------------
Dear colleagues,
the CCEFM-Alumni Club is pleased to announce the following talk
Gerhard Stahl
Bundesaufsichtsamt für das Kreditwesen
"How to formulate a regulatory framework. A case study: Electricity
risk."
Fr. 16.11.01, 15:30-17:00
Wiener Börse, Wallnerstrasse 8, 1010 Wien.
For further information about CCEFM Workshops please consult the
CCEFM Website at http://www.ccefm.at
--
Thomas Dangl
Vienna University of Technology
Department of Managerial Economics
and Industrial Organization
Theresianumgasse 27
A-1040 Vienna, Austria
Tel: ++43-1-58801-33063
Fax: ++43-1-58801-33096
mailto:Thomas.Dangl@tuwien.ac.at
http://ibab.tuwien.ac.at/ibwl
Technische Universitaet Wien
15. Workshop
Austrian Working Group on Banking and Finance
30. 11. / 1. 12. 2001
EINLADUNG
Sie sind herzlich zur Teilnahme am 15. Workshop der Austrian Working
Group on Banking and Finance eingeladen. Um sich anzumelden,
retournieren Sie bitte das Anmeldeformular, zu finden im WWW unter
http://info.tuwien.ac.at/E330/tu3306/einladung.doc
Mit freundlichen Gruessen
Wolfgang Aussenegg
Stefan Pichler
Walter Schwaiger
Helmut Uhlir
Technische Universität Wien
15. Workshop
Austrian Working Group on Banking and Finance
30. 11. / 1. 12. 2001
CALL FOR PAPERS
Der Workshop findet am Freitag, dem 30. 11. 2001, nachmittags und am
Samstag, dem 1. 12. 2001, vormittags an der TU Wien statt. Bezüglich
der Themen ist keine Einschränkung vorgesehen. Papers oder extended
abstracts (ca. 2 Seiten) können bis spätestens 5. 11. 2001 bei Prof.
Helmut Uhlir und Prof. Stefan Pichler, TU Wien, Abteilung für
Industriefinanzierung und Investment Banking, Favoritenstrasse 11, 1040
Wien (Tel.: 01-58801-33080, Fax: 01-58801-33098), eingereicht werden.
Einreichung per Email (huhlir(a)pop.tuwien.ac.at bzw.
spichler(a)pop.tuwien.ac.at) ist erwünscht.
Mit freundlichen Grüßen
Helmut Uhlir Stefan Pichler
Announcement: Talk with Elroy Dimson, London Business School
Date: 5.11.2001
Time: 04:00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin
Title of the talk: High frequency performance mointoring
Abstract: The presentation shows optimal strategies for monitoring
performance of asset managers on a quarterly, weekly or even daily basis.
registration: until 2.11.2001 under sonja.zeiner(a)gutmann.at or phone: 502
20-357
Announcement: Talk by Hansjörg Albrecher, Department of Mathematics, Graz
University of Technology
Title of the talk: On some generalizations of the classical ruin model in
risk theory
Date: We, 24.10.2001
Time: 17:00
Location: Vienna University of Technology, Freihaus, Turm A (green),
6th floor, Room 107
(see map at: http://www.fam.tuwien.ac.at/schedule/)
Abstract:
The classical model in collective risk theory for the development of the
free reserve of an insurance portfolio is characterized by a Poisson claim
number process, independent and identically distributed claims and a
constant premium density. Several generalizations of this model are
considered. In a ruin model allowing for a constant force of inflation and
interest on the free reserve, we investigate when it is suitable to
represent the finite-time survival probability as a gamma series and
derive some exact analytical solutions for exponentially distributed claim
sizes. In a model with dividend payments according to a non-linear
dividend barrier strategy, integro-differential equations for the survival
probability and the expected discounted dividend payments are derived and,
using integral operators, efficient number-theoretic solution methods are
developed. Moreover we investigate the behavior of the Lundberg exponent
when dependence structures among consecutive claims are considered.
Further information on other talks at the Institute of Financial and
Actuarial Mathematics can be found at
http://www.fam.tuwien.ac.at/schedule/
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
Announcement: Talk by Kerry Back, John M. Olin School of Business,
Washington University in St. Louis
Date: 23.10.2001
Time: 16:30
Location: Vienna University of Technology, Freihaus, Turm A (green),
6th floor, Room 107
(see map at: http://www.fam.tuwien.ac.at/schedule/)
Title of the talk: Information in Securities Markets: Kyle meets Glosten
and Milgrom
Abstract:
We study a model of informed trading in which trades arrive sequentially,
uninformed trades arriving as a Poisson process. We characterize an
equilibrium in which the single informed trader plays a mixed strategy - a
point process with stochastic intensity. In this equilibrium, informed and
uninformed trades arrive probabilistically, as they are assumed to do in
Glosten-Milgrom models. We study a sequence of such markets in which
uninformed trades become smaller and arrive more frequently, approximating
a Brownian motion. We show that if the equilibria converge, then their
limit is the equilibrium of a Kyle-type continuous auction model.
Further information on other talks at the Institute of Financial and
Actuarial Mathematics can be found at
http://www.fam.tuwien.ac.at/schedule/
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
CCEFM (Center for Central European Markets),
eine Initiative der Universitaet Wien, Wirtschaftsuniversitaet Wien,
Technischen Universitaet Wien und der Wiener Börse AG,
laedt zu folgendem Workshop ein:
Otto Randl, Universität Wien
"Chinese Walls in German Banks"
Freitag, 19.10.2001, 15.30-17.00
Wiener Börse, Wallnerstrasse 8, 1010 Wien.
Voraussichtliche weiter Termine entnehmen Sie bitte dem file, das mit
diesem email versandt wird, sowie der Seite
http://info.tuwien.ac.at/ccefm/workshop/work.htm.
Announcement: Talk by Robert Tompkins
Date: 16.10.2001
Time: 17:30 (note: this is one hour later than the usual weekly seminar at
the Institute of Financial and Actuarial Mathematics)
Location: Vienna University of Technology, Freihaus, Turm A (green),
6th floor, Room 107
(see map at: http://www.fam.tuwien.ac.at/schedule/)
Title of the talk: The relation between implied and realised probability
density functions
Abstract:
By Iliana Anagnou, Mascia Bedendo, Stewart Hodges and Robert Tompkins
A number of financial regulators [see Neuhaus (1995), Bahra (1996, 1997),
McManus (1999) and Shiratsuka (2001)] have suggested that risk neutral
densities (RND) associated with options markets could provide useful
indicators of future market turbulence. Critical to this assumption is
that such RNDs should provide an unbiased forecast of realised probability
density functions. To date, this assumption has not been fully examined.
In this research, we test the ability of RNDs for options on the S&P 500
and the British Pound / US Dollar to predict future probability densities.
We consider three approaches to estimate the RNDs, which are consistent
with approaches proposed and used by financial regulators. We also provide
a number of new testing procedures to assess the efficiency and unbiasness
of the forecasts. These tests provide more power than the usual
Komolgorov/Smirnov tests. Using non-overlapping quarterly data from the
mid 1980s to 2000, we find that we can reject the hypothesis that the RNDs
for both the S&P 500 and British Pounds are unbiased forecasts. Even with
a limited number of observations, the tests are powerful enough to allow
rejection. These results are consistent with Weinberg (2001) and are more
robust as this work relied upon the use of overlapping data. These
results tend to support the conclusions of Shiratsuka (2001), that RNDs
should not be used by financial regulators as financial indicators, and
that such use could prove counterproductive; actually increasing future
market turbulence rather than alleviating it.
Further information on other talks at the Institute of Financial and
Actuarial Mathematics can be found at
http://www.fam.tuwien.ac.at/schedule/
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
Frontieres en Finance
http://www.frontiers-in-finance.com/
and
ARTABEL SA
http://www.artabel.net/
have the pleasure of announcing a one-day
Workshop on
Model Calibration:
theoretical and computational aspects.
Journée
Calibration de modèle:
aspects numériques et théoriques.
Paris, Vendredi 26 Octobre 2001.
Paris, Friday 26 October 2001.
8:30 - 18:00.
The use of increasingly sophisticated stochastic models in finance makes
difficult the calibration of model parameters to data. On the other hand,
more and more complex derivatives are created whose prices and hedging
strategies are increasingly sensitive to model parameters and therefore
to the calibration methods used to obtain them. Th goal of this workshop
is to shed some light on some of the theoretical and numerical tools
available to tackle these difficulties: through 4 mini-courses on the
subject, we will present various methods for model calibration, examples
of their application in option pricing and finally a numerical
implementation of each method on a parallel architecture.
La sophistication croissante des modèles financiers rend difficile et
delicat la calibration des parametres de modele. D autre part, l'arrivee
sur le marche d'instruments de plus en plus complexes augmente la
sensibilite des prix et des strategies de couverture aux parametres de
modele, rendant le resultat encore plus sensible a la procedure utilisee
pour la calibration. L'objectif de cette journee sera de proposer une
approche scientifique de ce probleme et de presenter un panorama des
methodes numeriques disponibles pour le resoudre. L'exposition de chaque
methode theorique sera accompagne d'une demonstration numerique et de
commentaires sur les aspects pratiques de l'implementation.
Exposés / Talks:
Rama CONT
Centre de Mathematiques Appliquees
CNRS - Ecole Polytechnique.
Beyond Dupire:
model calibration by regularization and optimization.
Fabio MERCURIO
Banca San Paolo, Milan.
Joint Calibration of the LIBOR Market Model to Caps and Swaptions.
Stephane CREPEY
Artabel SA
Calibration of volatility surfaces I:
deterministic penalization approach.
Claude MARTINI -- Steven FARCY
Artabel SA.
Calibration of local volatility surfaces II:
stochastic control approach..
Inscriptions/ Registrations
To register, fill out and send us the registration form with your payment
or proof of bank transfer before Oct 19, 2001.
http://www.fiquam.polytechnique.fr/finance/261001.html
E-mail registration is not accepted. PhD students should include a letter
describing their subject of research.
Pour vous inscrire, renvoyez le formulaire d'inscription:
http://www.fiquam.polytechnique.fr/finance/261001.html
avec votre reglement par courrier ou télécopie au 01 41167171 avant le
19 Octobre 2001
Renseignements / Information :
For more information contact: tikhonov(a)frontiers-in-finance.com
Pour plus de renseignements, contacter: tikhonov(a)frontiers-in-finance.com
------------------------------------------------------
Frontières en Finance
http://www.frontiers-in-finance.com/
E-mail: info(a)frontiers-in-finance.com