Sehr geehrte Damen und Herren!
Am Montag, den 14. Mai, 2001, 16.00-17.30, SZ VI findet im Finance Research
Seminar des IHS
ein Vortrag von Manfred Frühwirth/Leopold Sögner (Wirtschaftsuniversität
Wien) zum Thema
"The Jarrow/Turnbull Default Risk Model: Evidence from the German
Market"
statt.
Der Vortrag ist auf Englisch.
-----------------------------------------
Michael Jeckle, Head of the Finance Group
Department of Economics and Finance
Institute for Advanced Studies
Stumpergasse 56
A-1060 Vienna
Austria
Tel ++43/1/59991/211
E-Mail: jeckle(a)ihs.ac.at
Ladies and Gentlemen,
Please find announcements for two brand new job offers below
On Thu, 10 May 2001, Sandra Trenovatz <jobs(a)fam.tuwien.ac.at> wrote:
> weitere neue stellenangebote --->
>
> 2001-05-16: Institut fuer Finanz- und VersMath an der TU Wien -
> Universitaetsassistent/in
> http://www.fam.tuwien.ac.at/~sandra/jobs/20010516.htm
>
> 2001-05-11: Institut fuer Finanz- und VersMath an der TU Wien -
> PostDoc in Forschungsprojekt
> http://www.fam.tuwien.ac.at/~sandra/jobs/20010511.htm
Further details and more offers may be found at
http://www.fam.tuwien.ac.at/~sandra/jobs/
-- Andreas Schamanek
vfn-l-admin
-----------------------------------------------------------------------
ANDREAS SCHAMANEK <Andreas.Schamanek(a)univie.ac.at> T: +43-1 58801-10555
Admin @ Dept. of Statistics and Decision Support * Univ. of Vienna
Admin @ Dept. of Statistics, Probability Theory & AM * TU Vienna
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik" haelt Herr
Stefan Mandl (Bank Austria) einen Vortrag zum Thema
"Anwendung der Technischen Analyse in der Praxis"
Zeit: Mittwoch, 16. Mai 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
CCEFM Workshop - Update zur Einladung von letzter Woche:
Das Thema des Vortrags von Prof. von Thadden lautet
"An Incomplete-Contracts Approach to Corporate Bankruptcy".
Der Workshop findet am Freitag, 11. Mai 2001, von 15.30 bis
17.00 in der Säulenhalle der Wiener Börse, Wallnerstr. 8, 1010 Wien, statt.
Mit freundlichen Grüßen
Otto Randl
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik" haelt Herr
Mag. Oliver Lintner (ERSTE Bank) einen Vortrag zum Thema
"System Trading: Building and trading profitable systems"
Der Vortrag ist auf Deutsch (trotz des englischen Titels!) und wird
folgende Punkte behandeln:
* Benefits of CTA industry
* Benefits of systematic trading
* Components of a trading system
* Evaluation of successful systems
* Moving into realtime trading
* Pitfalls in a realtime world
Zeit: Mittwoch, 9. Mai 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
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:
Ernst-Ludwig von Thadden (HEC Lausanne)
Der Workshop findet am Freitag, 11. Mai 2001, von 15.30 bis
17.00 in der Säulenhalle der Wiener Börse, Wallnerstr. 8, 1010 Wien, statt.
Für weitere Informationen über CCEFM:
http://info.tuwien.ac.at/ccefm/
Mit freundlichen Grüßen
Otto Randl
----------- forwarded messages:
Date: Fri, 27 Apr 2001 23:04:36 +0200 (MET DST)
From: Summer School in Mathematical Finance <ssmf(a)valjhun.fmf.uni-lj.si>
Subject: Mathematical Finance in Dubrovnik
SECOND ANNOUNCEMENT
SUMMER SCHOOL IN MATHEMATICAL FINANCE
Inter-University Centre Dubrovnik
Dubrovnik, Croatia, September 17-22, 2001
The aim of the summer school is to have leading researchers
deliver lectures on current research in mathematical
finance. There will be five invited speakers who will each
give 6 expository lectures on topics concerning mainly pric-
ing of derivative securities but will include also term
structure models and actuarial science. There will also be a
limited number of contributed talks. English will be the
official language of the summer school.
PROGRAMME
As mentioned before there will be five lecturers each
delivering six hours of lectures. The idea is to bring the
audience up to date with current research but not to clutter
the presentation with too much technical detail. Some fami-
liarity with probability and finance is expected. Note that
the programme has changed slightly from the first announce-
ment.
The five confirmed lecturers are:
Tomas Bjoerk (The Stockholm School of Economics): INTEREST
RATE MODELS.
Mark Davis (Imperial College): MATHEMATICAL MODELS FOR
DEFAULT AND CREDIT RISK.
Nicole El Karoui (Ecole Polytechnique, Paris): INVERSE PROB-
LEMS IN FINANCE
Paul Embrechts (Swiss Institute of Technology): INSURANCE
ANALYTICS.
Ragnar Norberg (London School of Economics): FINANCIAL
MATHEMATICS IN LIFE AND PENSION INSURANCE.
ORGANISERS
The organising institution is the Inter-University Centre in
Dubrovnik, Croatia. The IUC is an international organisa-
tion whose members are universities all over the world. At
the moment the number of participating universities is 175
and the list is expected to grow in the future. The main
aim of the Centre is to provide the location and facilities
for meetings, summer schools and conferences in all fields
of science.
The organising committee consists of J. Cvitanic (University
of Southern California), D. Mramor (Univeristy of Lju-
bljana), W. Runggaldier (University of Padova) and W.
Schachermayer (Technical University Vienna). The local
organisers are M. Perman (University of Ljubljana) and Z.
Vondraèek (University of Zagreb).
REGISTRATION
The registration fee will be 120 EURO for regular partici-
pants and 80 EURO for registered students. The number of
participants is limited to 60. Registration will be handled
on a first come first served basis. You can register on-
line at http://www.math.hr/~ssmf or by sending e-mail to to
ssmf(a)valjhun.fmf.uni-lj.si. You will only be considered
registered once the registration fee has been paid. The
deadline for registration is June 15, 2001. Keep in mind
that the number of participants is limited and the number of
registrations is increasing fast. ACT now.
ACCOMMODATION AND TRAVEL
The best way to get to Dubrovnik is to fly. The local air-
port Æilipi is a short drive from the city. There are regu-
lar flights from Zagreb, Croatia. For more information on
travel and hotels consult the conference homepage. We URGE
you to book hotels as soon as possible. Dubrovnik is a
popular destination and hotels may be a problem if you do
last minute reservations. See the homepage for information
on hotels.
ABOUT DUBROVNIK
Dubrovnik is located on the eastern coast of the Adriatic
sea close to the southernmost tip of Croatia. It is best
known for its impressive ramparts encircling the picturesque
renaissance inner city, and for its rich and colourful his-
tory. The origins of the city go back to the Romans who
appreciated the suave Mediterranean climate and the beauti-
ful surroundings. The life of the inhabitants has always
been closely tied to the sea; the trading network of the
Ragusan traders extended across Europe and they were known
as reliable partners and were renowned for their shipbuild-
ing skills. At the height of its power in the 15. and 16.
century the tiny city-republic of Dubrovnik had over 150
consular representatives countries and was actively involved
in European politics. The ensuing centuries brought a slow
decline as the Mediterranean lost its role as the primary
trading route. As a historical curiosity one should mention
that Dubrovnik was the first state to recognise the indepen-
dence of the United States in 1776. Today tourism is the
main activity in Dubrovnik. It's surroundings and bathing
possibilities along with cultural events have been attract-
ing visitors for many years. In September the weather is
usually sunny and the temperatures range between 25-30C
(78-86F). The water temperatures are balmy 24C (76F).
April 26, 2001
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik" haelt Herr
DI Walter Mussil (Bank Austria)
einen Vortrag zum Thema
"Modellierung von Transferrisken"
Zeit: Mittwoch, 2. Mai 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
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik" haelt Herr
Dr. Stephan Schulmeister (Oesterreichisches Wirtschaftsforschungsinstitut)
einen Vortrag zum Thema
"Profitabilitaet und Kurseffekte der `technischen Analyse'
im DM-Dollar-Handel"
Zeit: Mittwoch, 25. April 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
Forwarded message
CALL FOR PAPERS
GERMAN FINANCE ASSOCIATION
2001 ANNUAL MEETING
October 5-6, 2001, Vienna, Austria
Keynote Speaker: Prof. William F. Sharpe,
1990 Nobel Laureate in Economics
The 8th Annual Meeting of the German Finance Association
(DGF) will be hosted by the Department of Business Studies
of the University of Vienna, Austria, on October 5, 2001.
On October 6th, a symposium on "Technological and
Institutional Change in Financial Intermediation" follows.
CALL FOR PAPERS:
Contributions are welcome in all fields of finance for the
Annual Meeting.
Major topics of the symposium are:
- Competition between Financial Markets
- New Developments in Regulation and Risk Management
- Valuation of Internet Companies
- New Trading Systems
Submissions should be sent in triplicate to Prof. Josef
Zechner (see contact information below). All submitted
papers are double blind-refereed. Please indicate whether
your paper is to be considered:
( i) either for the 8th annual meeting of the DGF or for
the symposium
( ii) for the 8th annual meeting of the DGF only
(iii) for the symposium only.
The cover page of the paper should contain the title, name
and affiliation of the authors, complete address and email
addresses. The first page of text should contain the title,
the abstract and JEL classification codes, but not the
authors' names.
Deadline for submission of papers is March 31, 2001.
REGISTRATION:
Registration is already open. Please download the
registration form from the conference web site. There will
be no conference fee for members of the German Finance
Association who register early.
CONTACT: Prof. Josef Zechner
University of Vienna
Department of Business Studies
Bruenner Strasse 72
A-1210 Wien, Austria
Tel: +43-1-4277-38072
Fax: +43-1-4277-38074
Email: mailto:dgf.finance@univie.ac.at
Website: http://dgf.univie.ac.at
Sehr geehrte Damen und Herren,
Unser Workshop Kreditrisikomanagment (http://www.fam.tuwien.ac.at/crm) vom
31.1.-2.2.2001, das in Kooperation mit der Oesterreichischen Nationalbank
veranstaltet wurde, war mit ueber 130 Teilnehmern sehr gut besucht und bot
ein gelungenes Forum fuer den Gedankenaustausch zwischen Universitaet,
Finanzindustrie und Aufsichtsbehoerde.
In diesem Sommersemester wird wieder das "traditionelle" Seminar
Finanzmathematik angeboten: Als Ergaenzung zum Thema Risikomanagement
wollen wir diesmal auch Vortraege ueber mathematische Ansaetze im Handel
(technische Analyse, Zeitreihenanalyse, neuronale Netze) bringen.
Das Seminar startet am 14. Maerz, wie immer mit einer Einfuehrung, die
sich primaer an die Studenten des Mathematischen Institutes richtet
(aber auch an interessierte Praktiker).
Nach den Osterferien sind dann wieder Vortraege von Wissenschaftlern
und Praktikern geplant, zu denen wir gesondert einladen werden.
Zeit und Ort unseres Seminars:
Zeit: Mittwoch, 19 Uhr bis 20 Uhr 30
Ort: Hoersaal 1
Institut fuer Mathematik
Strudlhofgasse 4
1090 Wien
Weitere Informationen dazu unter
http://www.mat.univie.ac.at/~mfulmek/sess01.html
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
------------ forwarded message -------------
Date: Tue, 30 Jan 2001 16:07:16 +0800
From: Chia-Hsuan Yeh <spock(a)MS17.URL.COM.TW>
**********************************************
* *
* Call for Papers *
* *
* Sessions on *
* *
* Evolutionary Computation in *
* Economics and Finance *
* *
* 7th International Conference *
* of the *
* Society for Computational Economics *
* on *
* Computing in Economics and Finance *
* (CEF'2001) *
* *
* June 28-30, 2001 *
* Yale University, New Haven *
* Connecticu, U.S.A. *
**********************************************
Organizor: Berc Rustem
Correspondence:
Berc Rustem
Department of Computing
Imperial College of Science, Technology & Medicine
180 Queen's Gate, London SW7 2BZ, UK
Tel: 44 (0)20 7594 8345
Fax: 44 (0)20 7581 8024
E-mail: br(a)doc.ic.ac.uk
Scope:
In the last two years, CEF has consecutively hosted special sessions
on Evolutionary Computation in Economics and Finance (ECEF). This series
of events aims at bringing together economists to explore current
development of evolutionary computation (EC) in economic and financial
modeling, simulation and computation. These special sessions, along
with many similar events have revealed some promising features of EC
in the study of option pricing, time series modeling, economic forecasting,
trading strategies, oligopoly games, bargaining behavior, economic
experiments, and artificial financial markets. Through these applications,
EC tools such as genetic algorithms, genetic programming, evolutionary
programming, evolutionary strategies and evolutionary artificial neural
nets have been introduced to a larger circle of economists, and also
provides us with a better opportunity to reflect upon the chances which
we may have from these tools.
As a continuation of this learning process, this year we will organize
special sessions on the 7th SCE conference at Yale University. Papers
addressing novel applications of EC techniques to economics, game theory
and finance, and methodologies are cordially solicited. Authors wishing
to present a paper should submit a 4-page extended abstract or a full
paper via the conference webpage,
http://gemini.econ.yale.edu/conference/SCE2001
The conference Web site will begin accepting submissions on January 1,
2001, and will continue to accept submissions through March 1, 2001.
To expedite the screening process, a menu is provided on the webpages
allowing precategorization of submissions. Authors are advised to
indicate the program committee member by whom the submission is to be
considered. For example, to have a paper included in the sessions on
``Evolutionary Computation in Economics and Finance'', one should choose
Berc Rustem as the conference program committee member by whom the
submission is to be considered.
For any further information, please contact
Berc Rustem
Department of Computing
Imperial College of Science, Technology & Medicine
180 Queen's Gate, London SW7 2BZ, UK
Tel: 44 (0)20 7594 8345
Fax: 44 (0)20 7581 8024
E-mail: br(a)doc.ic.ac.uk
or
Shu-Heng Chen
AI-ECON Research Center
Department of Economics
National Chengchi University
Taipei, Taiwan 11623
Tel: 886-2-29387308
Fax: 886-2-27386874
E-mail: chchen(a)nccu.edu.tw
http://www.aiecon.org/
CCEFM (Center for Central European Markets),
eine Initiative der Universitaet Wien, Wirtschaftsuniversitaet Wien,
Technischen Universitaet Wien und der Wiener Börse AG,
laedt zu folgenden Workshops ein:
Prof. Lux (Universität Kiel)
"Künstliche Finanzmärkte und die 'stilisierten' Fakten"
Der Vortrag findet am Freitag, 26. Jänner 2001, von 15.30 bis 17.00 im
HÖRSAAL 8, BWZ, Bruennerstr. 72, 1210 Wien, statt.
Sehr geehrte Damen und Herren,
Im Rahmen des "Seminar aus Finanzwirtschaft - Kreditrisiko" haelt
Herr Dr. Alfred Lehar (Universitaet Wien) einen Vortrag mit dem Titel
"Basle Accord vs. Value-at-Risk Regulation in Banking"
Zeit: Mittwoch, 24. Jaenner, 17 Uhr
Ort: Hoersaal 6
Technische Universitaet Wien
Karlsplatz 13, Erdgeschoss Stiege 2
1060 Wien
Dies ist der letzte Vortrag in diesem Wintersemester: Auf die
Veranstaltungen
des Sommersemesters (ab Maerz) werden wir wieder gesondert hinweisen.
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
Sehr geehrte Subscriber des Vienna Finance Newsletters!
Leider habe ich übersehen, dasz die Säulenhalle der Wiener Börse für den
Vortrag von Christian Laux nicht zur Verfügung steht. Der Vortrag findet
deshalb
zur angekündigten Zeit (Fr., 19.1., 15.30-17.00)
im HÖRSAAL 8, BWZ, Bruennerstr. 72, 1210 Wien,
statt.
Hochachtungsvoll,
Alex Stomper
CCEFM (Center for Central European Markets),
eine Initiative der Universitaet Wien, Wirtschaftsuniversitaet Wien,
Technischen Universitaet Wien und der Wiener Börse AG,
laedt zu folgenden Workshops ein:
1. Christian Laux (Universität Mannheim)
"Incentives in Internal Capital Markets: Capital Constraints,
Competition, and Investment Opportunities".
Der Workshop findet am Freitag, 19. Jänner 2001, von 15.30 bis
17.00 in der Wiener Börse, Wallnerstr. 8, 1010 Wien, statt.
2. Prof. Lux (Universität Kiel)
Der Titel des Vortrags wird noch bekanntgegeben. Der Vortrag findet am
Freitag, 26. Jänner 2001, von 15.30 bis 17.00 ebenfalls in der Wiener
Börse statt.
Sehr geehrte Damen und Herren,
Im Rahmen des "Seminar aus Finanzwirtschaft - Kreditrisiko" haelt
Herr Mag. Gerald Krenn (Oesterreichische Nationalbank)
einen Vortrag mit dem Titel
"Identifizierung von Worst-Case-Szenarien unter
Plausibilitaetsbedingungen"
Zeit: Mittwoch, 17. Jaenner, 17 Uhr
Ort: Hoersaal 6
Technische Universitaet Wien
Karlsplatz 13, Erdgeschoss Stiege 2
1060 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
Sehr geehrte Damen und Herren,
Im Rahmen des "Seminar aus Finanzwirtschaft - Kreditrisiko" haelt
Herr Prof. Peter Reichling (Universitaet Magdeburg)
einen Vortrag mit dem Titel
"Bestimmung des Bonitaetsspreads bei unsicherem
Unternehmenswert"
Zeit: Mittwoch, 10. Jaenner, 17 Uhr
Ort: Hoersaal 6
Technische Universitaet Wien
Karlsplatz 13, Erdgeschoss Stiege 2
1060 Wien
Mit besten Gruessen,
Markus Fulmek
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:
Prof. Krahnen,
"Private debt restructuring: Evidence on coordination risk in financial
distress".
Der Workshop findet am Freitag, 15. Dezember 2000, von 16.00 bis
17.30 in der Wiener Börse, Wallnerstr. 8, 1010 Wien, statt.
(BITTE BEACHTEN SIE DIE GEÄNDERTE BEGINNZEIT!)
Für weitere Informationen:
http://info.tuwien.ac.at/ccefm/workshop/work.htm
Sehr geehrte Damen und Herren,
Im Rahmen des "Seminar aus Finanzwirtschaft - Kreditrisiko" haelt
Herr Dipl.-Volkswirt Michael Maifarth (PricewaterhouseCoopers Frankfurt)
einen Vortrag mit dem Titel
"ABS und synthetische ABS - Bestandsaufnahme
und aktuelle Diskussionspunkte"
Zeit: Mittwoch, 13. Dezember, 17 Uhr
Ort: Hoersaal 6
Technische Universitaet Wien
Karlsplatz 13, Erdgeschoss, Stiege 2
1060 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
Sehr geehrte Damen und Herren,
Im Rahmen des "Kolloquium aus Statistik, Operations Research und
Informatik" haelt Prof. W. Stute (Universitaet Giessen) einen Vortrag
mit dem Titel
"Diffusionsprozesse mit shot-noise Effekten und ihre Anwendung
in der Finanzmathematik"
Zeit: Montag, 11. Dezember, 17 Uhr 30
Ort: Leopold-Schmetterer-Seminarraum
Institut fuer Statistik
Universitaet Wien
Universitaetsstrasse 5, 3. Stock (Lift!)
1010 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
CCEFM (Center for Central European Markets)
This is to remind that there will be a research seminar by Professor
Raman Uppal on
"Risk Aversion and Optimal Portfolio Policies in Partial and General
Equilibrium Economies"
on Friday, December 1, 2000, 3:30 p.m - 5.00 p.m., at the Wiener Börse,
Wallnerstr. 8, 1010 Wien.
--
Elke M. Pendl
University of Vienna
Department of Business Studies
Bruenner Strasse 72
A-1210 Vienna
Austria
Tel.: ++43 1 4277 38072
Fax: ++43 1 4277 38074
email: elke.pendl(a)univie.ac.at
Sehr geehrte Damen und Herren,
Im Rahmen des "Seminar aus Finanzwirtschaft - Kreditrisiko" haelt
Herr Mag. Manfred Angel (ERSTE Bank) einen Vortrag mit dem Titel
"CreditManager in der Praxis - Implementierung
und Einsatzmoeglichkeiten"
Zeit: Mittwoch, 29. November, 17 Uhr
Ort: Hoersaal 6
Technische Universitaet Wien
Karlsplatz 13, Erdgeschoss
1060 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
Advanced Computing in Financial Markets
June 19-22, 2001
Bangor, Wales
The purpose of this symposium is to bring together leading researchers
and
interested practitioners in all fields of computational methods and
finance. Submissions are especially encouraged in the areas of
derivative
pricing, risk management, as well as exchange rate and interest rate
modeling. Papers that provide new methodologies and techniques or
enhance
our understanding of existing methods are particularly welcome.
Topics (not limited to:)
Application areas: Asset Valuation and Trading, Corporate Distress,
Currency Models, Derivatives: Hedging Strategies, Pricing, Portfolio
Management, Retail Finance, Risk Management, Tactical Asset Allocation,
Term Structure Models
Methodologies: Adaptive/Kalman Filtering Techniques, Automated
Reasoning, Classification, Context Free Languages, Econometrics of High
Frequency Data, Extreme Value Statistics, Fuzzy Systems and Rough Sets,
Genetic Algorithms and Genetic Programming, Global Optimization,
Hypothesis
Testing and Confidence Intervals, Intelligent Trading Agents, Model
Identification, Selection and Specification, Neural Networks and Machine
Learning, Probabilistic Modeling/Inference, Resampling and Monte Carlo
Methods, Robust Model Estimation, Time Series Analysis.
International Program Committee:
Ait-Sahalia Y., Princeton University, USA
Bollerslev T., Duke University, USA
Colemann T., Cornell University, USA
Dacorogna M. M., Olsen & Associates, Switzerland
Dawid H., U of Southern California, USA
Gottschling A., Euroquants Consulting, Germany
Haefke, C., Universitat Pompeu Fabra, Spain
Haerdle W., Humboldt University, Germany
Hiemstra Y., Vrije Universiteit Amsterdam, Netherlands
Hussain, A., University of Stirling, Scotland, U.K.
Hyung N., Tinbergen Institute Rotterdam, Netherlands
Kamstra, Mark, Simon Fraser University, Canada
Korczak J., Université Louis Pasteur, France
Lehmann B., IRPS, University of California at San Diego, USA
Manganelli S., European Central Bank, Frankfurt, Germany
Moody J., Oregon Graduate Inst., USA
O'Leary D., University of Southern California, USA
Politis D., UC San Diego, USA
Poon S., University of Strathclyde, Scotland, U.K.
Rockinger M., HEC School of Finance, France
Skalak D., IBM Data Mining and Analytics Group, USA
Soni T., SBS Technologies, USA
Tauchen G., Duke University, USA
Tzavalis E., Queen Mary & Westfield College, U.K.
KEYNOTE SPEAKER
Wolfgang Haerdle: Quantlets for (Financial) Risk Management
SUBMISSION OF PAPERS
Prospective authors are requested to send an extended abstract or a
draft
paper of maximum 7 pages for review by the International Program
Committee
to Christian Haefke (mailto://christian.haefke@econ.upf.es).
All submissions must be written in English.
The submissions should include:
- Title of symposium (ACFM 2001)
- Preferred type of the paper (oral/poster)- Title of proposed paper-
Authors names, affiliations, addresses- Name of author to contact for
correspondence- E-mail address and fax number of the contact author-
Topics
which best describe the paper (max 7 keywords)
CALL FOR WORKSHOPS/TUTORIALS
A workshop/tutorial should focus on a particular topic, and consist of
several presentations and open discussions. The proposal for a
workshop/tutorial should include the title, topics covered, proposed
speakers, targeted audiences, and estimated length (hours) of the
workshop/tutorial. The proposal should be submitted either to the
congress
chair, the corresponding symposium chair or the congress organizer by
January 15, 2001.
CALL FOR INVITED SESSIONS
Proposals for invited sessions are encouraged. A session proposal
consists
of 4-5 invited papers, the recommended session-chair and co-chair, as
well
as a short statement describing the title and the purpose of the
session.
The organizer should send the proposal to the respective symposium chair
or
the congress organizer. Invited sessions should preferably start with a
tutorial paper. The organizer will be responsible for the review of the
papers in the session. The registration fee of the session organizer
will
be waived, if at least 4 authors of invited papers register to the
conference.
Proceedings and Publications
Proceedings will be available at the congress. All accepted and invited
papers (oral and poster presentations) will be included in the
proceedings,
published in print and on CD-ROM by ICSC Academic Press,
Canada/Switzerland. Extended versions of selected papers can be
considered
for possible publication in special issues of leading international
journals.
Important Dates
Extended Abstract Submission December 15, 2000
Notification of Acceptance December 31, 2000
Delivery of Full Papers March 1, 2001
Symposium June 19 - 22, 2001
Further Information
Please contact:
Christian Haefke
Universitat Pompeu Fabra
Department of Economics and Business
Ramon Trias Fargas 25-27
E-08005 Barcelona, Spain
E-mail: mailto://christian.haefke@econ.upf.es
www: http://www.econ.upf.es/~chaefke
Phone: +34 542 2706/ Fax: +34 542 1746
or the conference webpage: http://www.icsc.ab.ca/174-info.htm.
Sehr geehrte Damen und Herren,
Im Rahmen des "CCEFM Research Workshops" haelt Herr Prof.
Marek Musiela (BNP-Paribas) einen Vortrag mit dem Titel
"ATM-volatility and volatility related
expectation hypotheses"
Zeit: Freitag, 24. November, 15:30 - 17:30
Ort: Hoersaal 9
Technische Universitaet Wien
Karlsplatz 13
1040 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