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[VFN] Workshop "Extremal Events and Dependence Modelling ..." (fwd)
by Christopher Summer 08 Oct '01

08 Oct '01

Workshop Announcement --------------------- "Extremal Events and Dependence Modelling with Applications to Financial Risk Management" Location: Swiss Re Rüschlikon (Switzerland), Centre for Global Dialogue Date: Nov. 12 - 13, 2001 For detailed information and links see http://www.math.ethz.ch/finance/Ruschlikon2001.html Seminar Leaders: - Prof. Dr. Rüdiger Frey (Swiss Banking Institute, University of Zürich) - Prof. Dr. Alexander McNeil (Department of Mathematics, ETH Zürich) - Dr. Uwe Schmock (RiskLab Research Director, ETH Zürich) Target audience: insurance risk managers, actuaries, financial risk managers, interested mathematicians and physicists Registration fee: CHF 500.-; For students, assistants and other academic staff CHF 100.- Accommodation: Hotel facilities are available at Rüschlikon upon request. Registration: Please send your e-mail registration to the responsible event manager Nadine Schuhmacher (mailto:Nadine_Schuhmacher@swissre.com), phone no. ++41-1-704 88 31, indicating your full name, address, phone number. Registration deadline: Friday, October 19, 2001 Aim of the Workshop ------------------- Risk managers are primarily concerned with the risk of low-probability events that could lead to catastrophic losses. Yet traditional VaR methods tend to ignore extreme events. In particular, it is often assumed that log-returns are multivariate normally distributed, and little attention is paid to the distribution of the (possibly dependent) extreme returns we are most concerned about. The danger is then that our models are prone to fail in situations when they are needed most - in the event of large market or credit losses. Attempts to estimate the probability and severity of such large losses are hampered by the lack of data - unusually large market or credit losses are almost by definition rare events. Extreme Value Theory (EVT) is a set of statistical techniques that have been developed to deal with these problems. Financial risk management also confronts us with complex interdependencies. Of particular concern for risk managers is the issue of extremal dependence - the phenomenon of increased dependence and reduced diversification in stress periods. Copulas give us the very latest tools for understanding and modelling this phenomenon and show how extreme value theory may be taken to higher dimensions. Elliptical distributions and the corresponding robust estimation of dependence are a prominent example. All these mathematical and statistical techniques help the financial risk manager to make the best possible use of what little information we have about the extreme losses and their possible dependence, which explains why in recent years these techniques have become increasingly popular as a risk management tool. This two-day event consists of a systematic introduction to extreme value theory and dependence modelling with a strong focus on applications in financial risk management and worked-out case studies, including live presentations with the latest version of the free EVIS software routines (Extreme Values in S-Plus) developed at ETH Zurich as an add-on to S-Plus. Seminar Outline --------------- 1. Extreme Value Theory (EVT) in Risk Management (RM) - Rare events, heavy tails and EVT - General principles of risk measurement - Measures of tail risk - VaR and coherent measures beyond VaR 2. EVT: Basic Results - Maxima and worst-case losses - Limiting distributions for maxima - Modelling tails of probability distributions - The peaks-over-thresholds (POT) method - Software for EVT - the EVIS template 3. Case Study: EVT and Securitisation of Insurance Risk - Applying EVT to price catastrophe covers - Data analysis and mastering practical obstacles such as censoring - The art of modelling and testing for trends - Identifying and quantifying model risk - Implementing Monte Carlo scenario generation to assess robustness - Calculating the coupon value of a CAT bond 4. EVT and Market Risk Management - Embedding EVT in a stochastic volatility framework - Dynamic and static risk measurement - VaR estimation and backtesting - VaR for longer time horizons - scaling rules 5. Modelling Dependent Risks: Basic Concepts - Basics of multivariate statistics - Multivariate normal distributions - Elliptical models and normal mixture models - Portfolio theory in an elliptical world 6. Advanced Concepts: Copulas and Extremal Dependence - Describing dependence with copulas - Understanding the limitations of correlation - Alternative dependence measures - Statistical aspects of dependence modelling - Tail dependence and dependent extreme values - A survey of useful copula families 7. Applications: Credit Risk Models - Multivariate discrete models for credit risks - Latent variable models and mixture models - Standard solutions: CreditMetrics, KMV and CreditRisk+ - Mapping between latent variable and mixture models - Exchangeability and correlation - Dirichlet-Bernoulli mixture model - Motivation of the Dirichlet distribution, properties - What is extreme credit risk? - Copulas and extreme credit risk - Improving and extending standard solutions - Generating risky scenarios - a simulation study - Alternative risk transfer - basket credit derivatives - Calibrating credit models to available information - Modelling rating transitions With best regards, Uwe Schmock Home Page: http://www.math.ethz.ch/~schmock/ Financial and Insurance Mathematics: http://www.math.ethz.ch/finance/ RiskLab: http://www.risklab.ch/

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[VFN] Financial and Insurance Mathematics at ETH Zurich (fwd)
by Christopher Summer 30 Sep '01

30 Sep '01

Risk Day 2001 ------------- Mini-Conference on Risk Management in Finance and Insurance organised by RiskLab, ETH Zurich. Printable and online program with links: http://www.math.ethz.ch/finance/Risk-Day-2001.html Time: Friday, October 19, 2001, 9.00 - 17.30 Location: ETH Zurich, Main Building, Lecture Hall HG F7; Refreshments in the "Uhrenhalle" (main hall, F-floor) General Information: Participation is free, and there is no official registration. Everyone is welcome, practitioners are especially encouraged to attend. Program: -------- 9.00 - 9.10 Prof. Dr. Hans-Jakob Lüthi (IFOR and RiskLab, ETH Zürich) "Welcome and Presentation of RiskLab" 9.10 - 9.50 PD Dr. Wolfgang Breymann (RiskLab, Dept. of Math., ETH Zürich) "Volatility Estimation and Risk Measurement: >From Short to Long Time Horizons" Abstract: Market risk management, portfolio optimization and option pricing methods can only be as good as the model of the underlying volatility process. An approach will be presented that uses intraday high-frequency financial data to improve risk measurement at long time horizons. It takes advantage of the fact that volatility estimation on a time horizon of the order of days can be improved by the use of intra-day data. Such data require special methods for data analysis. The following results will be presented: - Universal method for deseasonalization of financial time series. - Use of intra-day data to improve volatility estimates at daily or longer time horizons. - Modelling financial time series by means of a hierarchical volatility model containing a cascade from long to short time horizons. An outlook will be given on how to use these techniques for portfolio optimisation and risk management at longer time horizons. 9.50 - 10.30 Enrico De Giorgi (RiskLab, Dept. of Math., ETH Zürich) "An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios" Abstract: In December 2000 Swiss banks held about 505 billion CHF debts in the form of mortgages. Nonetheless, current models for credit risk are not designed to capture the specific dependence characteristics of a large mortgage portfolio. Given the huge size of the mortgage market, it is surprising that the issue has been largely ignored by academic research. Our attention lies in a proper way of modeling default risk for individual residential mortgages, which is affected by macro-economic factors such as unemployment, mortgage and factors specific to the obligor. We consider the time to default, using a non-parametric proportional hazard model for the intensity process, which is assumed to depend on a set of factors (macro-economic, mortgage and obligor specific). A technique from generalized additive models is used for estimation and the contribution of each factor to the default intensity is computed. 10.30 - 11.00 Coffee Break (Main Hall, F-Floor, Uhrenhalle) 11.00 - 11.30 Filip Lindskog (RiskLab, Dept. of Math., ETH Zürich) "Multivariate Extremes, Aggregation and Dependence in Elliptical Distributions" Abstract: The class of elliptical distributions provides a rich source of multivariate distributions which share many of the tractable properties of the multivariate normal distribution and enables modelling of multivariate extremes and other forms of non-normal dependences. In this talk I aim to clarify dependence properties of elliptical distributions and give examples how these results can be applied. (Joint work with Henrik Hult.) 11.30 - 12.00 Alessandro Juri (Dept. of Math., ETH Zürich) "Using Copulae to Bound the Value-at-Risk for Functions of Dependent Risks" Abstract: The theory of copulae is known to provide a useful tool for modelling dependence in integrated risk management. For given risks X_1,...,X_n and a real-valued functional f on R^n, bounds for the Value-at-Risk of the global position f(X_1,...,X_n) are provided. The key point is that we do not have specific dependence information on X_1,...,X_n. A further issue is how these bounds change when specific dependence information is assumed. Various examples highlight the methodology introduced. (Joint work with Andrea Höing and Prof. P. Embrechts.) 12.00 - 13.40 Lunch Break 13.40 - 14.10 Pierre Patie (RiskLab, Dept. of Math., ETH Zürich) "Risk Management for Derivatives in Illiquid Markets" Abstract: In this talk, we study the hedging of derivatives in illiquid markets. We consider a model where the implementation of a hedging strategy affects the price of the underlying security. We derive a formula for the feedback effect of dynamic hedging on market volatility and characterize perfect hedging strategies by a nonlinear version of the Black-Scholes PDE. Then we extend our approach to portfolios of derivatives by providing a pricing rule for the individual claims in a portfolio assuming that we know the overall hedge cost and the replicating strategy for the large trader. We solve numerically the PDE and we provide results (option prices and greeks) for different kinds of options. On the topic of risk management, we suggest a methodology to measure liquidity based on the estimation of implied parameters obtained from real option prices. Finally, simulations are used to assess the performance of various hedging strategies under market illiquidity. (Joint work with Prof. Rüdiger Frey, ISB, University of Zurich.) 14.10 - 14.40 Dr. Jesper Lund Pedersen (RiskLab, Dept. of Math., ETH Zürich) "An Optimal Selling Strategy Based on Predicting the Ultimate Maximum Price" Abstract: In this talk I will present an optimal selling strategy for an asset in the following sense: An investor with a long position in one asset decides to close the position before a given time. The investor continuously observes the asset price performance and has to determine the point in time (selling strategy) to close out the position so that the asset price is as close as possible to the ultimate maximum price over the given period. The probable proximity is measured by a probability distance. Thus, the investor's objective is to maximize, over all strategies, the probability that the asset price when the position is closed out is greater than a given percentage of the ultimate maximum price. 14.40 - 15.10 Dr. Larbi Alili (Dept. of Math., ETH Zürich) "Exponential Functionals of Brownian Motion and Asian Options" Abstract: Exponential functionals of Brownian motion play an important role in the valuation and hedging of Asian options. The aim of this talk is to provide an elementary method for computing the distribution of the latter functionals. 15.10 - 15.50 Coffee Break (Main Hall, F-Floor, Uhrenhalle) 15.50 - 16.20 Dr. Dirk Tasche (RiskLab, Dept. of Math., ETH Zürich) "Expected Shortfall and Beyond" Abstract: Expected Shortfall (ES) in several variants has been proposed as a remedy for the deficiencies of Value-at-Risk (VaR), which in general is not a coherent risk measure. In fact, most definitions of ES lead to the same results when applied to continuous loss distributions. Differences may appear when the underlying loss distributions have discontinuities. In this case even the coherence property of ES can be lost. The relations between some of the definitions of ES will be discussed. It will be pointed out that there is one which is robust in the sense of yielding a coherent risk measure regardless of the underlying distributions. In contrast to VaR, this variant of ES can always be estimated naively. Moreover, as shown recently by S. Kusuoka, it generates in a certain sense the class of all law invariant coherent risk measures. 16.20 - 16:50 Prof. Dr. Philippe Artzner (RiskLab and Université Louis Pasteur) "Coherent Acceptability for Multiperiod Risk and Applications" Abstract: We explain why and how to deal with the definition, the acceptability and the management of risk in a genuinely multitemporal way. Acceptable value processes are primitive objects and the measure of risk of a value process is the initial extra capital which makes it acceptable. Coherence axioms then provide a representation of a risk-adjusted valuation as the minimum expected value of an Stieltjes integral with respect to random measures. Some special cases allowing for recursive computations are presented. (Joint work with Freddy Delbaen, Jean-Marc Eber, David Heath and Hyejin Ku.) 17.00 Awarding of the Prize of the Dimitris N. Chorafas Foundation. Conference Secretary: Mrs G. Baltes, HG G37.2, Phone 01/632 34 00, E-mail: baltes(a)math.ethz.ch With best regards, Uwe Schmock Home Page: http://www.math.ethz.ch/~schmock/ Financial and Insurance Mathematics: http://www.math.ethz.ch/finance/ RiskLab: http://www.risklab.ch/

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[VFN] September 2001 news notes on agent-based computational economics (fwd)
by VFN-L admin * Andreas Schamanek 25 Sep '01

25 Sep '01

---------- Forwarded message ---------- Date: Mon, 24 Sep 2001 19:44:54 -0500 From: Leigh Tesfatsion <tesfatsi(a)IASTATE.EDU> To: SIMSOC(a)JISCMAIL.AC.UK Subject: September 2001 news notes on agent-based computational economics 24 September 2001 Just a note to say that the September 2001 news notes on agent-based computational economics (ACE) are now available on-line in html document form at http://www.econ.iastate.edu/tesfatsi/ace0901.htm Featured items include journal, book, software, research group, on-line course, and conference announcements. Items of more permanent interest have been incorporated into the ACE Web site at http://www.econ.iastate.edu/tesfatsi/ace.htm ACE is the computational study of economies modelled as evolving systems of autonomous interacting agents. Best wishes, Leigh Tesfatsion Leigh Tesfatsion Department of Economics Tel: (515) 294-0138 Iowa State University FAX: (515) 294-0221 Ames, Iowa 50011-1070 tesfatsi(a)iastate.edu http://www.econ.iastate.edu/tesfatsi/

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[VFN] position at UBC (fwd)
by Christopher Summer 24 Sep '01

24 Sep '01

---------- Forwarded message ---------- Date: Mon, 24 Sep 2001 11:05:31 -0700 From: Ulrich Haussmann <uhaus(a)math.ubc.ca> Subject: position at UBC Please bring the following opening to the attention of anyone who might be interested. The Mathematics Department at the University of British Columbia is seeking candidates for at least one tenure-track Assistant Professorship, subject to funding, with a starting date of 1 July 2002. Exceptional candidates at the Associate Professor or Professor level may be considered. Applicants must have a superb research record in one of the following areas: Financial Mathematics, Mathematical Biology, Partial Differential Equations, Scientific Computing or Industrial/Applied Mathematics. The successful applicant is expected to interact with related groups in the Mathematics Department and have demonstrated interest and ability in teaching. The salary will be commensurate with experience and research record. Applicants should send a current cv including a list of publications, statement of research and teaching interests and a list of four referees to Professor George Bluman, Head Department of Mathematics University of British Columbia #121 - 1984 Mathematics Road Vancouver, B.C. Canada V6T 1Z2 Assistant Professorship candidates should arrange for three letters of recommendation to be sent directly to the same address. Applications must be received before November 27, 2001.

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[VFN] prof. kerry back's talk
by Gabriel Lee 24 Sep '01

24 Sep '01

on wednesday, oct. 10th 4 pm at the institut für höhere studien (stumpergasse 56, 1060) hs. II, there will be a seminar talk by kerry back (olin business school, washington university, st. louis) on "Information in securities markets: Kyle meets Glosten and Milgrom" best gabe lee ______________________________________________________________ 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/

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[VFN] CAP Workshop
by Christopher Summer 22 Sep '01

22 Sep '01

CALL FOR PARTICIPANTS The Center for Applied Probability at Columbia University presents the 8th Annual CAP Workshop on Derivative Securities and Risk Management Friday, November 9, 2001 Columbia University, New York City This year we present another group of highly distinguished speakers in the usual informal workshop aimed at fostering communication between academia and industry. SPEAKERS: David Chasman, Sempra Energy Trading "Managing 'Simple' and Not-So-Simple Energy Risk" Steve Heston, Goldman Sachs "The Expectations Puzzle in a Log-Linear Bond Model" Michael Johannes, Columbia Business School "The Impact of Jumps in Volatility and Returns" Alan Lewis, Analytic Investment Management "A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes" Keynote Address: Richard Sandor, Environmental Financial Products "The Chicago Climate Exchange: Creating a Market for Greenhouse Gas Emissions Trading" Philipp Schoenbucher, Bonn University "Pricing Exotic Credit Derivatives" Nick Webber, University of Warwick "Lattice Methods for Levy processes" Zhifeng Zhang, Morgan Stanley "Simulating Correlated Default Arrival Times and Pricing Basket Default Swaps" REGISTRATION FEES: Academic: By Nov. 2: $110 ($30 student) On site: $150 ($40 student) Corporate: By Nov. 2: $220 On site: $300 A light lunch will be provided, and a wine and cheese reception will be held at the end of the day. REGISTRATION PROCEDURE: Send Name, Title, Affiliation, Address and E-mail Address (as we prefer to acknowledge receipt of your registration by e-mail), along with a check or money order payable to CAP to the address below. Or, to pay by credit card (MC or Visa ONLY), send the same information in an e-mail to the address below and, in addition, include CC#, Exp. Date, Name (as it appears on card), and Billing Address. If you prefer, you may FAX the information, or a legible (not too dark) copy of your credit card, to the FAX number listed below. CONTACT: E-mail: cap(a)columbia.edu WWW: http://www.cap.columbia.edu/ Postal: Center for Applied Probability, ATTENTION: Finance Workshop 601 CEPSR, Columbia University, Mail code 8906 530 West 120th Street, New York, NY 10027 Phone: (212) 854-6096 FAX: (212) 854-6989 LOCATION: Columbia University, New York City Exact location TBA. Check http://www.cap.columbia.edu for updated information ORGANIZERS: M. Broadie, P. Glasserman, C. Heyde, S. Kou and K. Sigman.

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[VFN] Univ. Ass. (Karenzvertretung), Institut fuer medizinische Statatistik
by Christopher Summer 19 Sep '01

19 Sep '01

Ausschreibung Am Institut für Medizinische Statistik ist eine Planstelle mit einem Universitätsassistenten/in - Ersatzkraft vom 01.10.2001 bis 30.09.2002 zu besetzen. Aufnahmebedingungen: Abgeschlossenes Doktoratsstudium (Statistik, Mathematik oder ein fachverwandtes Studium) Gewünschte Zusatzqualifikationen: Erfahrung mit Anwendungen von statistischen Methoden in Medizin, Biologie oder Epidemiologie; Kenntnisse in statistischer Software; Erfahrung mit statistischmethodischen Problemstellungen. Kennzahl: 1735301 Bewerbungsfrist: 10.10.2001 Bewerbungen: Bewerbungsformulare mit Lebenslauf sind an die Universität Wien Universitätsdirektion Personalabteilung/Bundesbedienstete Allgemeines Krankenhaus Wien Medizinische Fakultät Währinger Gürtel 1820, A1090 Wien, zu richten. Am Institut bestehen statistischmethodische Forschungsschwerpunkte über sequentielle und adaptive Designs, Qualitätskontrolle in medizinischen Studien sowie multiple Inferenz und Versuchsplanung. Darüberhinaus nimmt das Institut für Medizinische Statistik innerhalb der Fakultät eine Dienstleistungsfunktion bei der Planung und Auswertung von medizinischen Forschungsprojekten wahr. Dabei kommt es zu Kooperationen mit medizinischen Fachwissenschaftlern aus den Bereichen medizinischer Experimente sowie klinischer und epidemiologischer Studien. Für diese Tätigkeit ist gute Statistiksoftwarekenntnis erforderlich. Schließlich nimmt auch die Bedeutung der Lehrtätigkeit, schwerpunktsmäßig zur Einführung in statistische Methoden für das medizinische Umfeld, ständig zu. Für weitere Informationen siehe auch http://www.mstat.univie.ac.at ____________________________ Martin Posch Department of Medical Statistics University of Vienna http://Posch.n3.net

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[VFN] Sixth International Congress on Insurance: Mathematics and Economics (fwd)
by Christopher Summer 13 Sep '01

13 Sep '01

---------- Forwarded message ---------- Date: Wed, 12 Sep 2001 15:30:09 +0100 From: cemapre <cemapre(a)iseg.utl.pt> To: <Undisclosed-Recipient:@mail.iseg.utl.pt;> Subject: Sixth International Congress on Insurance: Mathematics and Economics CEMAPRE is pleased to host the Sixth International Congress on Insurance: Mathematics & Economics, to be held on July 15-17, 2002, at ISEG, Technical University of Lisbon. We invite you to have a look at our web page at http://www.iseg.utl.pt/~cemapre/ime2002

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[VFN] tenure-track position in financial mathematics (fwd)
by Christopher Summer 12 Sep '01

12 Sep '01

---------- Forwarded message ---------- Date: Fri, 7 Sep 2001 15:46:51 -0400 (EDT) From: Jean-Pierre Fouque <fouque(a)unity.ncsu.edu> Subject: tenure-track position in financial mathematics Dear colleagues, Below you will find an announcement for an assistant professor position in financial mathematics. It is at: http://www.math.ncsu.edu/departmental/facpositions.html Please bring this announcement to the attention of qualified and interested individuals. Thanks a lot, JPF Jean-Pierre Fouque Department of Mathematics NCSU, Box 8205 Raleigh, NC 27695-8205 Phone: (919) 515-8588, Fax: (919) 515-3798 http://www.math.ncsu.edu/~fouque %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% The Department of Mathematics invites applications for a tenure track appointment at the assistant professor level in financial mathematics, beginning in the fall of 2002. Candidates should have a strong ongoing research program and a demonstrated skill in teaching. The candidate's areas of interest should complement the current research activities within the department in the broad areas of stochastic processes, partial differential equations and scientific computation. The successful candidate will participate in the creation and development of a multidisciplinary Masters program in Financial Mathematics. Applicants should send a vita and three letters of reference to Financial Mathematics Search Committee, NC State University, Mathematics Department, Box 8205, Raleigh, NC 27695-8205. Complete applications received before November 30, 2001 will receive full consideration. %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

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[VFN] Message from Actuarial Science Society (fwd)
by Christopher Summer 12 Sep '01

12 Sep '01

---------- Forwarded message ---------- Date: Wed, 05 Sep 2001 16:15:05 -0500 From: cywei(a)uts.cc.utexas.edu To: wschach(a)fam.tuwien.ac.at Subject: Message from Actuarial Science Society Dear Walter Schachermayer , POSITION IN ACTUARIAL SCIENCE The Department of Mathematics and Statistics of the Faculty of Arts and Sciences of the Université de Montréal invites applications for a tenure-track position in actuarial science at the assistant professor, associate professor or full professor level. The Department collaborates to the activities of the Centre de recherches mathématiques (CRM). The position is subject to budgetary approval. For more information on the Department or the CRM, visit www.dms.umontreal.ca/ and www.crm.umontreal.ca/ . DUTIES Undergraduate and graduate teaching, supervision of graduate students, and research. REQUIREMENTS: To hold a Ph.D. in Actuarial Science or in a related area and to be an associate member of an actuarial society. An expertise in mathematical finance is a supplementary advantage. The research record is of prime importance. The candidate must possess excellent teaching skills. A good working knowledge of French is required. SALARY: The Université de Montréal offers competitive salaries and a complete package of social benefits. STARTING DATE: June 1, 2002. The interested candidates must submit a curriculum vitae including a concise statement of their research interests, at least three letters of reference, and copies of at most three of their most important research publications before November 15, 2001 (or until the position is filled), to: Chair Département de mathématiques et de statistique Université de Montréal C.P. 6128, succursale Centre-ville Montréal QC H3C 3J7 Phone: (514) 343-6743 FAX: (514) 343-5700 email: mathstat(a)dms.umontreal.ca In accordance with Canadian immigration requirements, priority will be given to Canadian citizens and permanent residents of Canada. The Université de Montréal subscribes to an affirmative action program for women and to employment equity. Cordially, Patrick L. Brockett ************************************************************************** Actuarial Science Researchers Online International Directory Adminstrator http://wnt.cc.utexas.edu/~bgbc771/Acs_Dir.cfm Gus S. Wortham Memorial Chairholder in Risk Management and Insurance Department of Management Science and Information Systems, Director, Risk Management Program, Professor of Finance, Mathematics and Management Science **************************************************************************

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[VFN] DGF 2001 Conference (fwd)
by VFN-L admin * Andreas Schamanek 06 Jul '01

06 Jul '01

---------- Forwarded message ---------- Date: Fri, 6 Jul 2001 12:56:47 +0200 From: DGF 2001 Conference <dgf.finance(a)univie.ac.at> Subject: DGF 2001 Conference Dear Colleague! I would like to inform you that the preliminary program for this year's annual meeting of the German Finanance Association is now available on the Web at http://dgf.univie.ac.at/ . The conference will take place in Vienna on October 5th and 6th and registration is open now. I hope to see you at the conference, Josef Zechner -- Josef Zechner Department of Business Studies University of Vienna Bruennerstrasse 72 A-1210 Vienna Austria Tel: +43-1-4277 38071 Fax: +43-1-4277 38074

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[VFN] 15. Workshop der AWG on Banking and Finance
by Stefan Pichler 05 Jul '01

05 Jul '01

Technische Universitaet 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. Bezueglich 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. Einen schönen Sommer wünschen Helmut Uhlir Stefan Pichler

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[VFN] 2nd Intern. Workshop on Computational Intelligence in Economics and Finacne (CIEF'2002) (fwd)
by VFN-L admin * Andreas Schamanek 04 Jul '01

04 Jul '01

-------- forwarded message --------- Date: Wed, 4 Jul 2001 21:04:35 +0800 From: Chia-Hsuan Yeh <spock(a)MS17.URL.COM.TW> Subject: Call for papers, The Second International Workshop on Computational Intelligence in Economics and Finance (CIEF'2002) The Second International Workshop on Computational Intelligence in Economics and Finance (CIEF'2002) Research Triangle Park, North Carolina, U.S.A. March 8-13, 2002 http://www.ee.duke.edu/JCIS/ Keynote Speech: Agent-Based Computational Economics: The Computational Study of Evolving Decentralized Economies Leigh Tesfatsion Department of Economics Iowa State University Ames, IA 50011-1070, U.S.A. TBA Jasmina Arifovic Department of Economics Simon Fraser University Buranby, BC V5A 1S6, Canada Call for Papers The Second International Workshop on Computational Intelligence in Economics and Finance (CIEF'2002) will be held as a part of the Sixth Joint Conference on Information Science. Computational intelligence, usually known as a collection of techniques, including artificial neural networks, fuzzy logic, evolutionary algorithms, etc., is one of the most important tools in computational economics and finance. Over the last decade, computational intelligence has been widely used in various economical and financial modelling, prediction, and analysis. The most noticeable application of computational intelligence is in financial data mining. In addition to financial data mining, computational intelligence has also been intensively used in the research area known as agent-based computational economics where global regularities arise from the bottom up, through repeated local interactions of autonomous agents. Computational intelligence provides a tool to model these autonomous agents and their interactions. Issues addressed include the replication of laboratory results with human subjects, equilibrium selection, the emergence of the representative agent, rational expectations, markets and money, simulations of artificial stock markets and other social processes. We see now a need to bring together people with different backgrounds who share the same interests in their closely related studies. This conference serves this purpose. Topics of Interest: Application Areas: Application areas may include, but are not limited to: Agent-Based Computational Economics Artificial Stock Markets Simulation of Social Processes Evolutionary Game and Industrial Organization Financial Engineering Financial Data Mining Trading Strategies Hedging Strategies Portfolio Management Derivative Pricing Term Structure Models Financial Time Series Forecasting and Analysis Techniques: Artificial Neural Networks Fuzzy Logic Evolutionary Strategies Evolutionary Programming Genetic Algorithms Genetic Programming Statistical Classifiers Cluster Analysis Decision Trees Inductive Logic Programming Self-Organized Map Reinforcement Learning Wavelet Rough Sets Support Vector Machine Hybrid Systems Paper Submission Papers describing new techniques and/or novel applications are solicited. All papers should be no more than 4 pages of 10-point font, double column, single-spaced text, with figures and tables included. Papers should be sent to: Shu-Heng Chen AI-ECON Research Center Department of Economics National Chengchi University Taipei, Taiwan 11623 chchen(a)nccu.edu.tw While hard copies are acceptable, electronic submissions via PS or PDF files are highly encouraged. Authors who use electronic submissions should sent a separate email in plain text to indicate this. All submissions must be received by the 30th of September, 20001. Contributed papers will be reviewed by the program committee. The authors will be informed about the decision of the review process by the 5th of November 2001. All accepted papers will be published in the conference proceedings. Important Dates September 30, 2001 - Deadline for submission of papers November 5, 2001 - Paper acceptance letters to be sent out to authors November 5, 2001 - Deadline for invited sessions and exhibition proposals December 3, 2001 - Deadline for early registration with discounted fee December 3, 2001 - Publication fee ($180) due for each paper (regular and invited) to be included in proceedings. This amount is included in full registration fee. December 3, 2001 - Deadline for submission of revised camera ready copies of accepted papers March 8-14, 2002 - JCIS 2002 Conference General Chair: Professor Paul P. Wang Dept of Electrical & Computer Engineering P.O. 90291 Duke University Durham, NC 27708 - 0291 U.S.A email: ppw(a)ee.duke.edu Conference Chairs Professor Shu-Heng Chen AI-ECON Research Center Department of Economics National Chengchi University Taipei, Taiwan 11623 R.O.C. tel: +886-2-29387308 fax: +886-2-27386874 e-mail: chchen(a)nccu.edu.tw http://www.aiecon.org/ Professor Xin Yao School of Computer Science The University of Birmingham Edgbaston, Birmingham B15 2TT U.K. tel: +44 121 414 3747 Fax: +44 121 414 4281 e-mail: x.yao(a)cs.bham.ac.uk http://www.cs.bham.ac.uk/~xin Program Chair Assistant Prof. Chia-Hsuan Yeh Department of Information Management I-Shou University Kaohsiung County, Taiwan 84008 R.O.C. tel & fax: 886-7-3552758 e-mail: spockyeh(a)ms38.hinet.net http://econo.nccu.edu.tw/~spock/ Program Committee Peter Angeline (Natural Selection, Inc, USA) Kohen Bertels (University of Namur, Beligum) Shiddhartha Bhattacharyya (University of Illinois at Chicago, USA) Jane Binner (Nottingham University, UK) Lai-Wan Chan (The Chinese University of Hong Kong, HK) Paul Darwen (University of Queensland, Australia) Herbert Dawid (University of Vienna, Austria) John Duffy (University of Pittsburgh, USA) Hitoshi Iba (University of Tokyo, Japan) Lakhmi Jain (University of South Australia, Australia) Mahmoud Kaboudan (Penn State University, USA) Taisei Kaizoji (International Christian University, Japan) Kin Keung Lai (City University of Hong Kong, Hong Kong) Ana Marostica (University of Buenos Aires, Argentina) Michele Marchesi (University of Cagliari, Italy) Robert Marks (Australian Graduate School of Management, Australian) Zbigniew Michalewicz (University of North Carolina at Charlotte, USA) Nikolay Nikolaev (University of London, UK) Akira Namatame (National Defence Academy, Japan) Pavel Osmera (Technical University Brno, Czech Republic) Thomas Riechmann (University of Hannover, Germany) Hiroshi Sato (National Defence Academy, Japan) Stephen Smith (Algometrics, UK) KY Szeto (HK University of Science and Technology, Hong Kong) Leigh Tesfatsion (Iowa State University, USA) Nicholas Vriend (University of London, UK) Lei Xu (Chinese University of Hong Kong, Hong Kong) Byoung-Tak Zhang (Seoul National University, South Korea) Zijian Zheng (Deakin University, Australia) Gilles Zumbach (Olsen & Associates, Switzerland)

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[VFN] Special issue on Computational Finance (fwd)
by VFN-L admin * Andreas Schamanek 04 Jul '01

04 Jul '01

FYI, a call for papers for the "International Journal of Intelligent Systems in Accounting Finance & Management". -- VFN-L administrator ---------- Forwarded message ---------- Date: Wed, 04 Jul 2001 15:57:44 +0200 From: Christian Haefke <christian.haefke(a)econ.upf.es> Subject: Special issue on Computational Finance Call For Papers Special Issue on Computational Finance Guest Editor: Christian Haefke Papers are sought that address the use and application of computing and algorithms for solving finance problems. Papers on statistics and econometrics that potentially can be used in finance and involve computer-intensive methods are equally welcome. Topics of the special issue include, but are not limited to: Option Pricing Risk Volatility Tactical Asset Allocation Interest Rate Modelling Exchange Rate Modelling Resampling Methods Nonparametric Methods Density Estimation Extreme Value Statistics Important Dates =============== Deadline of submissions: 01 December 2001 Submission of Papers ==================== All papers submitted must contain original unpublished work that is not being submitted for publication elsewhere. Instructions to authors and information about the International Journal of Intelligent Systems in Accounting Finance and Management can be found at http://www.interscience.wiley.com/jpages/1055-615X/ Electronic submission is encouraged. Please e-mail a postscript or PDF file of your manuscript together with a plain text cover letter to mailto:christian.haefke@econ.upf.es Authors unable to submit electronically may send four copies of their manuscript to the guest editor. Further information can be obtained by contacting the special issue editor at the following address: Christian Haefke Department of Economics and Business Universitat Pompeu Fabra Ramon Trias Fargas 25-27 E-08005 Barcelona, Spain http://www.econ.upf.es/~chaefke

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[VFN] Bachelier Congress - Call for Papers (fwd)
by VFN-L admin * Andreas Schamanek 01 Jul '01

01 Jul '01

---------- Forwarded message ---------- Date: Fri, 29 Jun 2001 11:29:34 -0500 From: Bachelier Congress 2002 <bfs2002(a)mail.ma.utexas.edu> Subject: BACHELIER CONGRESS - 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), K.J. Arrow* (Stanford), N. El Karoui (Ecole Polytechnique), V. Kaminski (Enron), I. Karatzas (Columbia), P.-L. Lions (Paris IX), M. Musiela (BNP Paribas), M. O' Hara (Cornell), K. Singleton (Stanford), W. Zame (UCLA) (* not yet confirmed) 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 will be 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 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: http://www.ma.utexas.edu/Bachelier2002

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[VFN] Seminar Finanzmathematik
by Modernes Risk Management 27 Jun '01

27 Jun '01

Sehr geehrte Damen und Herren, Das Seminar "Finanzmathematik" hat vorige Woche seinen Abschluss gefunden: Wir moechten uns nochmals bei allen Vortragenden sehr herzlich bedanken fuer Ihr Engagement und Ihre Bereitschaft, einen Einblick in die "finanzmathematischen Praxis" zu geben; danke auch an die vielen Zuhoerer fuer Ihr Interesse an unseren Veranstaltungen. Die Vortragsunterlagen, soweit vorhanden, finden Sie unter http://www.mat.univie.ac.at/~mfulmek/sess01.html Wir wuenschen Ihnen einen schoenen und erholsamen Sommer, Mit besten Gruessen, Markus Fulmek ------------------------------------------------- Wissenschaftlicher Verein Modernes Risk Management WWW: http://keen.esi.ac.at/~amrm/ Institut fuer Mathematik Universitaet Wien Strudlhofgasse 4 A-1090 Wien Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at

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[VFN] Vortrag Seminar Finanzmathematik
by Modernes Risk Management 14 Jun '01

14 Jun '01

Sehr geehrte Damen und Herren, Im Rahmen des Seminars "Finanzmathematik" haelt Herr Dr. Peter Schaller (Bank Austria) einen Vortrag zum Thema "Jenseits der gemeinsamen Normalverteilung: Zeitreihen von Veraenderungen von Geld- und Kapitalmarktzinsen" Zeit: Mittwoch, 20. Juni 2001, 19 Uhr Ort: Hoersaal 1 Institut fuer Mathematik Strudlhofgasse 4 1090 Wien Mit besten Gruessen, Markus Fulmek ------------------------------------------------- Wissenschaftlicher Verein Modernes Risk Management WWW: http://keen.esi.ac.at/~amrm/ Institut fuer Mathematik Universitaet Wien Strudlhofgasse 4 A-1090 Wien Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at

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[VFN] Birthday lecture on June 19, 2001, of Martin Barlow (UBC)
by VFN-L admin * Andreas Schamanek 13 Jun '01

13 Jun '01

___ ___ _______ _______ _____ | | || ___|| | | ______ | |_ | | || ___|| ||______|| | \_____/ |___| |__|____| |_______| Vienna Finance Newsletter <vfn-l(a)fam.tuwien.ac.at> On June 19, 2001, The Vienna Finance Newsletter is celebrating 6 years of being and serving and mailing. Read more about the grounding of its birthday in the posting 'Vienna Finance Newsletter hat Geburtstag' (in German only, sorry) at http://www.fam.tuwien.ac.at/pipermail/vfn-l/2000q2/000707.html We are pleased to announce the following 'birthday lecture': Martin T. Barlow (University of British Columbia) A diffusion model for electricity spot prices Tue, June 19, 2001, 16:30-18:00 University of Technology, Wiedner Hauptstr. 8-10/107 Freihaus, green tower, 6th floor, Seminarraum 107 Abstract: Electricity is now a traded commodity in a number of regions. Starting from a simple supply/demand model for electricity, we obtain a model for spot prices which captures some of the features of real prices, including 'price spikes'. We estimate the parameters in the model for the Alberta and California markets, and compare this model with some others used for spot prices. Martin T. Barlow (University of British Columbia) http://www.math.ubc.ca/people/faculty/barlow/barlow.html Your VFN-L administrator will be there, too, hopefully with coffee, some birthday cookies and spikeless electricity. Yours administratively, -- Andreas Schamanek vfn-l administrator --------------------------------------------------------------------- ANDREAS SCHAMANEK <schamanek(a)gmx.net> T: +43-1 58801-10555, F: -10598 Admin @ Dept. of Statistics and Decision Support * Univ. of Vienna Admin @ Dept. of Financial and Actuarial Mathematics * TU Vienna

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[VFN] Ausschreibung
by Stefan Bogner 12 Jun '01

12 Jun '01

Liebe Kolleginnen, liebe Kollegen, ich darf Sie auf die folgende Ausschreibung am Institut für Finanzierung und Finanzmärkte, Ordinariat für Betriebliche Finanzierung, aufmerksam machen. Mit besten Grüßen Stefan Bogner XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX A U S S C H R E I B U N G Am INSTITUT für Finanzierung und Finanzmärkte der Wirtschaftsuniversität Wien, Ordinariat für Betriebliche Finanzierung (Prof. Bogner), ist ab 1. September 2001 1 Universitätsassistent/innen/enposten zu besetzen. Aufgabengebiet: Mitarbeit im organisatorisch-administrativen Bereich, Entwicklung und Abhaltung von Lehrveranstaltungen und Mitarbeit an Forschungsprojekten. Gesetzliche Aufnahmebedingungen: Abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften Zusätzlich erwünschte Kenntnisse: - Studienrichtung Betriebswirtschaftslehre/Handelswissenschaften mit spezieller Fachrichtung 'Finanzierung' - Vertiefende Kenntnisse auf dem Gebiet der betrieblichen Finanzierung und der EDV-Anwendung Schriftliche Bewerbungen mit Lebenslauf und Angabe über den Studienerfolg (ohne Originalzeugnisse) sind an die PERSONALABTEILUNG der Wirtschaftsuniversität Wien, Augasse 2 - 6, 1090 Wien zu richten. Ende der Bewerbungsfrist: 27. Juni 2001 Die Wirtschaftsuniversität Wien hat sich eine Erhöhung des Frauenanteils am wissenschaftlichen Personal zum Ziel gesetzt. Deshalb werden nachdrücklich Frauen aufgefordert, sich zu bewerben. Alle Bewerberinnen, welche die gesetzlichen Aufnahme- und Ernennungserfordernisse sowie die im Ausschreibungstext zusätzlich gewünschten Kriterien erfüllen, werden zu einem Aufnahmegespräch eingeladen. An der Wirtschaftsuniversität Wien ist ein Arbeitskreis für Gleichbehandlungsfragen eingerichtet. Auskunft über Funktion und Mitglieder des Arbeitskreises für Gleichbehandlungsfragen gibt die Personalabteilung. Es wird darauf hingewiesen, dass Frauen bei gleicher Qualifikation bevorzugt aufgenommen werden. Die Bewerber und Bewerberinnen haben keinen Anspruch auf Abgeltung aufgelaufener Reise- und Aufenthaltskosten, die aus Anlass des Aufnahmeverfahrens entstanden sind. XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX -- ------------------------------------------------------ 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] Vortrag Seminar Finanzmathematik
by Modernes Risk Management 07 Jun '01

07 Jun '01

Sehr geehrte Damen und Herren, Im Rahmen des Seminars "Finanzmathematik" haelt Herr Mag. Georg Wachberger (ERSTE Bank) einen Vortrag zum Thema "Einsatz quantitativer Methoden im Aktienhandel - statistical equity arbitrage" Zeit: Mittwoch, 13. Juni 2001, 19 Uhr Ort: Hoersaal 1 Institut fuer Mathematik Strudlhofgasse 4 1090 Wien Mit besten Gruessen, Markus Fulmek ------------------------------------------------- Wissenschaftlicher Verein Modernes Risk Management WWW: http://keen.esi.ac.at/~amrm/ Institut fuer Mathematik Universitaet Wien Strudlhofgasse 4 A-1090 Wien Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at

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[VFN] Vortrag Seminar Finanzmathematik
by Modernes Risk Management 31 May '01

31 May '01

Sehr geehrte Damen und Herren, Im Rahmen des Seminars "Finanzmathematik" haelt Herr Prof.Dr. Alois Geyer (WU Wien) einen Vortrag zum Thema "Methoden der univariaten Zeitreihenanalyse (ARIMA-Modelle) und multivariaten Zeitreihenanalyse (Vector-AR, Cointegration)." Zeit: Mittwoch, 6. Juni 2001, 19 Uhr Ort: Hoersaal 1 Institut fuer Mathematik Strudlhofgasse 4 1090 Wien Mit besten Gruessen, Markus Fulmek Abstract: In diesem Vortrag werden einige Methoden der univariaten Zeitreihenanalyse (ARIMA-Modelle) und multivariaten Zeitreihenanalyse (Vector-AR, Cointegration) vorgestellt. Anhand praktischer Beispiele werden die Grundidee der Methoden und die Vorgangsweise bei der Modellierung demonstriert. ------------------------------------------------- Wissenschaftlicher Verein Modernes Risk Management WWW: http://keen.esi.ac.at/~amrm/ Institut fuer Mathematik Universitaet Wien Strudlhofgasse 4 A-1090 Wien Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at

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[VFN] Vortrag Seminar Finanzmathematik
by Modernes Risk Management 24 May '01

24 May '01

Sehr geehrte Damen und Herren, Im Rahmen des Seminars "Finanzmathematik" halten Herr Dr. Andreas Weingessel (ERSTE Bank) und Herr Markus Rossmiller (ERSTE Bank) einen Vortrag zum Thema "Messung operationaler Risiken in der Erste Bank" Zeit: Mittwoch, 30. Mai 2001, 19 Uhr Ort: Hoersaal 1 Institut fuer Mathematik Strudlhofgasse 4 1090 Wien Mit besten Gruessen, Markus Fulmek Abstract: Waehrend bereits seit einiger Zeit in Banken Markt- und Kreditrisiken mittels statistischer Methoden (z.B.: Value-at-Risk) gemessen und gesteuert werden, steckt die Betrachtung operationaler Risiken noch in den Kinderschuhen. Grosze Finanzskandale der letzten Zeit (z.B.: Barings, Orange County, Bank Burgenland) zeigen die inhaerente Gefahr, die von diesen Risiken ausgeht. Im neuen Basler Konsultationspapier werden operationale Risiken zudem erstmals explizit erwaehnt und unterlegungspflichtig. Als eine der ersten europaeischen Banken hat die Erste Bank vor ca. einem Jahr ein Projekt zur Messung operationaler Risiken initiiert. In unserem Vortrag geben wir einen kurzen Ueberblick ueber Probleme und Loesungsansaetze in diesem aufstrebenden Gebiet des Risikomanagements. ------------------------------------------------- Wissenschaftlicher Verein Modernes Risk Management WWW: http://keen.esi.ac.at/~amrm/ Institut fuer Mathematik Universitaet Wien Strudlhofgasse 4 A-1090 Wien Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at

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[VFN] finance research seminar at ihs
by Gabriel Lee 23 May '01

23 May '01

Dear colleagues, On Monday, May 28, 2000, 16.00-17.30, SZ VI, IHS, Stumpergasse 56, 1060 there will be a talk by Dominique Y. Dupont at EURANDOM and Board of Governors, Washington on "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 efficiency of mean- square 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. JEL Classification: G12, G13, C63. Key words: Barrier Options, Static Hedging, Mean-Square Hedging best gabe ______________________________________________________________ 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/

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[VFN] Workshop on Finacial Time Series....
by Friedrich Hubalek 17 May '01

17 May '01

Workshop on Financial Time Series, Levy Processes, Stochastic Volatility, and Applications of Shot Noise Processes May 22-23, 2001 Vienna University of Technology An updated program with location information is now available under: http://www.fam.tuwien.ac.at/g2g/ Friedrich Hubalek Department of Financial and Actuarial Mathematics Vienna University of Technology

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[VFN] Vortrag Seminar Finanzmathematik
by Modernes Risk Management 16 May '01

16 May '01

Sehr geehrte Damen und Herren, Im Rahmen des Seminars "Finanzmathematik" halten Frau DI Gabriela de Raaij (OeNB) und Herr Dr. Burkhard Raunig (OeNB) einen Vortrag zum Thema "Evaluation Density Forecasts of Stock Market Returns" (Der Vortrag ist auf deutsch, trotz des englischen Titels.) Zeit: Mittwoch, 23. Mai 2001, 19 Uhr Ort: Hoersaal 1 Institut fuer Mathematik Strudlhofgasse 4 1090 Wien Mit besten Gruessen, Markus Fulmek Abstract der zugrundeliegenden Arbeit: The paper deals with the evaluation of density forecasts which have become quite popular in economics and finance. We use two probability integral transformations to evaluate such forecasts. The first transformation implies that the realizations transformed with respect to the forecasted densities of a stochastic process should be identically uniformly distributed if the density forecasts coincide with the densities underlying the true data generating process. The second transformation generates data that are identically normally distributed if the correct densities are forecasted. The second transformation enables us to apply standard statistical techniques to test for identically normally distributed data and hence for the quality of density forecasts. We use the methodology to evaluate density forecasts for daily returns of three stock market indices (S&P 500, DAX and ATX). Various models to forecast conditional densities are investigated. We consider the conditional normal distribution where the variances are estimated by moving averages or exponentially weighted moving averages, scaled t distributions and GARCH(1,1) variants with normally and t-distributed errors, respectively. In- and out-of-sample results for the density forecasting models are examined. Using the proposed methodology we find that GARCH models with t-distributed errors perform best in sample as well as out of sample. We are also able to demonstrate that certain misspecifications of a forecasting model are quite naturally reflected in the transformed series used for density forecast evaluation. ------------------------------------------------- Wissenschaftlicher Verein Modernes Risk Management WWW: http://keen.esi.ac.at/~amrm/ Institut fuer Mathematik Universitaet Wien Strudlhofgasse 4 A-1090 Wien Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at

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