IHS Finance Workshop.
Stumpergasse 56, 1060, Vienna
http://www.ihs.ac.at/fin/finsem.html
1. Nov. 30 Monday, 3 p.m. HS II, Gabriela Raaij and Burkhard Raunig (OeNB)
"A Comparison of Value at Risk Approaches and their Implications for
Regulators"
2. Dec. 2 Wednesday, 4 p.m. HS II, Jamsheed Shorish (Univ. Aarhus,
with Goran Peskir, Department of Theoretical Statistics, Univ. of
Aarhus)
"Market Forces and Dynamic Asset Pricing"
We introduce a model of asset pricing which is driven by two characteristic
market features--the law of investor demand (e.g. 'buy low, sell high') and
the law of the market institution, which codifies the trading rules
(explicitly or implicitly defined) that the market operates under. Motivated
by Ait-Sahalia (1998) we demonstrate in a simple investor-specialist trading
model that these features are sufficient to guarantee an equilibrium where
the log-price of the asset follows an Ornstein-Uhlenbeck process, i.e. a
stochastic process with time-varying drift. Recent empirical results
indicate that such a process may provide a more natural characterization of
observed asset prices. We show that a straightforward extension to the Black
and Scholes (1972) options pricing model follows from this stochastic
process.
______________________________________________________________
Gabriel Lee
Institute for Advanced Studies
Department of 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://w3.ihs.ac.at/~lee/>
=========================================================================
** Applications of Physics in Financial Analysis **
How do financial markets behave? Can we model them effectively? Fresh ideas
on the behaviour of markets and other phenomena in economics are currently
being drawn from the emerging subject of econophysics, based on the
techniques and concepts of statistical physics.
A landmark conference on this subject will take place in Dublin next
summer, 15-17 July 1999.
Confirmed speakers are renowned econophysicists from around the world
(professors Aurell, Dacorogna, Stanley, Zhang) and include Per Bak, who
formulated the theory of self-organized criticality.
The aim of the conference will be to provide an active forum for
cross-disciplinary interaction between economists, financial experts,
physicists, and mathematicians. The conference will focus on analyses
and models of financial markets by discussing topics such as market
fluctuations, option pricing, risk assessment, and other phenomena of
current interest in econophysics, finance, and mathematical and
statistical finance.
The venue will be Trinity College, in the heart of Dublin. The cost of this
innovative conference will be 277 euros (with discounts for students and
members of the European Physical Society). Reserve your place today by
replying to this email. We will send you further details by return.
Alternatively, see the conference Website www.nbi.dk/APFA/ .
Perhaps you would like to take part in the conference. You might be
interested in giving a talk, putting up a poster on your research, or
setting up an exhibit of your company's services.
Need to register?
Need to reserve exhibition space?
Simply want to know more?
Reply to this email (send your address), or contact us at the following
address:
Christine Bastian
EPS Conferences
34 rue Marc Seguin
BP 2136, F-68060 Mulhouse Cedex, France
tel +33 389 32 94 40
fax +33 389 32 94 49
email: eps.conf(a)univ-mulhouse.fr
The above conference is organized by the European Physical Society together
with its new Division of Statistical and Non-Linear Physics. The
international scientific committee is comprised of Preben Alstrom
(Denmark), Marcel Ausloos (Belgium), Jean-Philippe Bouchaud (France),
Janos Kertesz (Hungary), Kent Baekgaard Lauritsen (Denmark) and Rosario
Mantegna (Italy).
Conference Website: www.nbi.dk/APFA/
=========================================================================
Request to post
Colleagues:
As a member of the conference committee, I am scheduling articles,
panels, workshops and other relative submissions to be presented and/or
discussed at the Association of Management and the International
Association of Management's (AoM/IAoM) 17th Annual International
Conference being held August 6-8, 1999 in San Diego, California, USA.
Your tendered submissions are refereed and scheduled for
presentation/discussion on site at the Watergate Hotel, in addition to
being published in the many divisions' proceedings, and often in the
AoM/IAoM annual journals.
Papers, panels, discussions and etc. have opened doors for faculty and
practitioners of management, education, cybertechnology and leadership
over the many years. Previous conferences resulted in valuable input,
new friends, and extended collaboration for the attendees.
I am seeking your participation for the 1999 conference for presentation
and publication. Your discipline and work is of great importance to the
business and finance community. Specifically, we seek to have your work
exposed to our business and accounting listservs, divisions, special
interest groups,and conference participants. I am seeking a full range
of business and accounting methods, theory, pratice and application
studies in multi settings which enlighten and instruct others in both
academic and practitioner environments. New metnods are especially
welcome.
By submitting your proposal, practitioner interest, and/or camera-ready
material formatted in MSWord 7.0 or WordPerfect 7.0 directly to me at
AoMgt(a)Infi.Net (electronic mail), I can process it. Or, if you wish to
speak to me with questions, you can call at 757-482-2273, in addition to
using email above. For information and guidelines, you can also visit
http://www.aom-iaom.com. Just click the address.
Your participation is eagerly awaited. Please contact me with your
questions and submission.
Willem A. Hamel, Ph.D.
AoM/IAoM Conference Committee
AoMgt(a)Infi.Net
**************************************************************************
The Association of Management and the International Association of
Management (AoM/IAoM) is a bona fide academic and practitioner of
management, education, cybertechnology, and leadership professional
association having its approved Federal ID Number and constitution
(1983).
**************************************************************************
=========================================================================
Stellenausschreibung
Im Rahmen des Spezialforschungsbereichs SFB 010 ueber 'Adaptive Systems and
Modelling in Economics and Management Science' werden zum sofortigen
Eintritt wissenschaftliche Mitarbeiter/innen f=FCr interdisziplinaere
Forschungsprojekte gesucht. Die Mitarbeit kann als Post-Doc oder
Doktorand/in erfolgen.=20
Folgende Qualifikationsprofile sind erwuenscht:
1. Studienabschluss aus Wirtschaftswissenschaften oder Informatik;
Interesse an Management und Marketing Science-Applikationen;
(Projektleiter: Prof. J. Mazanec, Institut f=FCr Tourismus und
Freizeitwirtschaft
der WU Wien)
=20
2. Studienabschluss Mathematik, Statistik oder Informatik;
Interesse an Statistik in Theorie und Anwendung;
(Projektleiter: Prof. H. Strasser, Abteilung f=FCr experimentelle Mathemati=
k
und Statistik, Institut f=FCr Statistik der WU Wien)
f=FCr 1. und 2.:
=B7 Bereitschaft zur Mitarbeit an der Erstellung von EDV-Loesungen;
=B7 Kenntnisse von Programmiersprachen und mathematisch-statistischen
Programmierumgebungen (Matlab, "R", S-Plus);
=B7 Bereitschaft zur interdisziplinaeren Zusammenarbeit.
Ueber die Taetigkeit des SFB informieren Sie sich via:
http://www.wu-wien.ac.at/am
Anfragen und Bewerbungen richten Sie elektronisch an:
josef.mazanec(a)wu-wien.ac.at bzw.
helmut.strasser(a)wu-wien.ac.at
**************************************************************
* Special Research Programme *
* "Adaptive Modelling and Information Systems *
* in Economics and Management Science" *
* *=20
* a joint endeavour of three universities: *
* Vienna University of Economics & Business Administration *=20
* University of Vienna *
* Vienna University of Technology *
* sponsored by the Austrian Research Foundation *
* (FWF: http://www.fwf.ac.at/) *
* *
* for more information consult: *
* http://www.wu-wien.ac.at/am/am.html *
**************************************************************
=========================================================================
CCEFM (Center for Central European Markets)
eine Initiative der Universitaet Wien, Wirtschaftsuniversitaet Wien,
Technischen Universitaet Wien und der Wiener Boerse AG,
laedt zum 2. Workshop von
Pierre Mella-Barral (London School of Economics):
"Collateral, Renegotiation and the Valuation of Widely Held Debt"
am Feitag, 27. November 1998, 15.30 - 17.00 in der Wiener Borse,
1010 Wien, Wallnerstrase 8 ein.
Sollten Sie weitere Einladungen erhalten wollen, ersuchen wir Sie
sich beim Vienna Finance Newsletter anzumelden:
Vienna Finance Letters
Um den Informationsfluss ueber Vortraege und Seminare aus dem
Bereich Finanzwirtschaft zu vereinfachen gibt es jetzt eine mailing
Liste am listserver des Rechenzentrums der Uni-Wien.
* Wie funktionert eine Mailing-Liste?
Um an einer Mailing-Liste teilzunehmen, muss man sich einmal
eintragen, danach erhaelt man alle Informationen, die Teilnehmer an
die Liste schicken per email zugesandt. Natuerlich kann man sich
jederzeit abmelden und wird sofort von der Liste gestrichen.
* Wie traegt man sich in die Liste ein?
Sie schicken einfach ein email an listserv(a)ls.univie.ac.at, wobei
in der ersten Zeile des Textes SUBSCRIBE vfn-l gefolgt von Ihrem
vollen Namen stehen muss (z.B. SUBSCRIBE vfn-l Thomas Tester).
* Wie melde ich mich ab?
Sie schicken ein email an listserv(a)ls.univie.ac.at, wobei sie in
die erste Zeile des Textes SIGNOFF vfn-l schreiben.
* Wie kommen die Informationen in die Liste?
Die Informationen muessen von den Teilnehmern kommen. Wenn Sie eine
Ankuendigung machen wollen, dann schicken Sie diese bitte als email
an vfn-l(a)ls.univie.ac.at. Der Listserver verteilt Ihre Nachricht an
alle Mitglieder. Tip: Achten Sie darauf, dass Sie keine
Lese-Bestaetigung zurueckerhalten wollen.
* Wie stelle ich die Abonnenten der Liste fest?
Schicken sie ein email an listserv(a)ls.univie.ac.at, in der ersten
Zeile schreiben Sie nur REV vfn-l. Sie erhalten automatisch eine
Liste der Teilnehmer zugesandt (ca. 1-2 Minuten).
* Wo bekomme ich weitere Informationen zum Umgang mit dem Listserver?
Schicken sie ein email an den Listserver listserv(a)ls.univie.ac.at
mit der ersten Textzeile HELP.
=========================================================================
CCEFM (Center for Central European Markets)
eine Initiative der Universitaet Wien, Wirtschaftsuniversitaet Wien,
Technischen Universitaet Wien und der Wiener Boerse AG,
laedt zum 1. Workshop von
Terrance Odean (University of California, Davis):
"Boys will be Boys:
Gender, Overconfidence, and Common Stock Investment"
am Feitag, 13. November 1998, 15.30 - 17.00 in der Wiener Borse,
1010 Wien, Wallnerstrase 8 ein.
Sollten Sie weitere Einladungen erhalten wollen, ersuchen wir Sie
sich beim Vienna Finance Newsletter anzumelden:
Vienna Finance Letters
Um den Informationsfluss ueber Vortraege und Seminare aus dem
Bereich Finanzwirtschaft zu vereinfachen gibt es jetzt eine mailing
Liste am listserver des Rechenzentrums der Uni-Wien.
* Wie funktionert eine Mailing-Liste?
Um an einer Mailing-Liste teilzunehmen, muss man sich einmal
eintragen, danach erhaelt man alle Informationen, die Teilnehmer an
die Liste schicken per email zugesandt. Natuerlich kann man sich
jederzeit abmelden und wird sofort von der Liste gestrichen.
* Wie traegt man sich in die Liste ein?
Sie schicken einfach ein email an listserv(a)ls.univie.ac.at, wobei
in der ersten Zeile des Textes SUBSCRIBE vfn-l gefolgt von Ihrem
vollen Namen stehen muss (z.B. SUBSCRIBE vfn-l Thomas Tester).
* Wie melde ich mich ab?
Sie schicken ein email an listserv(a)ls.univie.ac.at, wobei sie in
die erste Zeile des Textes SIGNOFF vfn-l schreiben.
* Wie kommen die Informationen in die Liste?
Die Informationen muessen von den Teilnehmern kommen. Wenn Sie eine
Ankuendigung machen wollen, dann schicken Sie diese bitte als email
an vfn-l(a)ls.univie.ac.at. Der Listserver verteilt Ihre Nachricht an
alle Mitglieder. Tip: Achten Sie darauf, dass Sie keine
Lese-Bestaetigung zurueckerhalten wollen.
* Wie stelle ich die Abonnenten der Liste fest?
Schicken sie ein email an listserv(a)ls.univie.ac.at, in der ersten
Zeile schreiben Sie nur REV vfn-l. Sie erhalten automatisch eine
Liste der Teilnehmer zugesandt (ca. 1-2 Minuten).
* Wo bekomme ich weitere Informationen zum Umgang mit dem Listserver?
Schicken sie ein email an den Listserver listserv(a)ls.univie.ac.at
mit der ersten Textzeile HELP.
=========================================================================
Im Rahmen der CCEFM Workshops wird am 13. 11.
Terrance Odean (University of California, Davis),
zum Thema
"Boys will be Boys: Gender, Overconfidence, and Common Stock Investment"
vortragen.
Zeit: Freitag, 13. 11. 98, 15.30 - 17.00
Ort: Wiener Börse, 1010 Wien, Wallnerstraße 8
Otto Randl
Einladung
zum
Adaptive Friday
06. 11. 1998
TU Wien, Freihaus
Wiedner Hauptstr. 8-10
1040 Wien
Programm:
SFB-Seminar
(im Zeichensaal 3, Institut f=FCr Geometrie 7. Stock, gruener Bereich)
15:00 - 16:00 Prof. Mark Davis
Tokyo-Mitsubishi Bank, London
Credit Spreads, Derivative Pricing and Default Risk
=20
Abstract: =20
This talk will describe how 'implied default probabilities' are obtained
from market credit spreads, and how these can be used for pricing of credit
derivatives and other transactions such as swaps between risky
counterparties. Some of the problems surrounding the modelling of changes
of rating category, and evaluating the potential exposure of
default-related transactions, will also be discussed.=20
16:00 - 16:30 Kaffeepause
16:30 - 17:30 Prof. Hans Foellmer
Humboldt-Universitaet Berlin
Efficient Hedging: Cost versus Shortfall Risk
=20
Abstract:
An investor faced with a contingent claim may eliminate risk by (super-)
hedging in a financial market. As this is often quite expensive, we study
partial hedges which require less capital and reduce the risk. In a
previous paper we determined qantile hedges which succeed with maximal
probability, given a capital constraint. Here we look for strategies which
minimize the shortfall risk defined as the expectation of the shortfall
weighted by some loss function. The resulting efficient hedges allow the
investor to interpolate in a systematic way between the extremes of no
hedge and a perfect (super-) hedge, depending on the accepted level of
shortfall risk.=20
=20
=20
**************************************************************
* Special Research Programme *
* "Adaptive Modelling and Information Systems *
* in Economics and Management Science" *
* *=20
* a joint endeavour of three universities: *
* Vienna University of Economics & Business Administration *=20
* University of Vienna *
* Vienna University of Technology *
* sponsored by the Austrian Research Foundation *
* (FWF: http://www.fwf.ac.at/) *
* *
* for more information consult: *
* http://www.wu-wien.ac.at/am/am.html *
**************************************************************
=========================================================================
by Wissenschaftlicher Verein Modernes Risk Management
Sehr geehrte Damen und Herren,
Ich moechte Sie auf die folgende Veranstaltung an der
Technischen Universitaet hinweisen, die vor allem mathematisch
ausgerichtete Interessenten anspricht:
Adaptive Friday
06. 11. 1998
TU Wien, Freihaus
Wiedner Hauptstr. 8-10
1040 Wien
SFB-Seminar
(im Zeichensaal 3, Institut fuer Geometrie 7. Stock, gruener Bereich)
15:00 - 16:00 Prof. Mark Davis
Tokyo-Mitsubishi Bank, London
Credit Spreads, Derivative Pricing and Default Risk
Abstract:
This talk will describe how 'implied default probabilities'
are obtained from market credit spreads, and how these can
be used for pricing of credit derivatives and other
transactions such as swaps between risky counterparties. Some
of the problems surrounding the modelling of changes of
rating category, and evaluating the potential exposure of
default-related transactions, will also be discussed.
16:00 - 16:30 Kaffeepause
16:30 - 17:30 Prof. Hans Foellmer
Humboldt-Universitaet Berlin
Efficient Hedging: Cost versus Shortfall Risk
Abstract:
An investor faced with a contingent claim may eliminate
risk by (super-) hedging in a financial market. As this is
often quite expensive, we study partial hedges which require
less capital and reduce the risk. In a previous paper we
determined qantile hedges which succeed with maximal
probability, given a capital constraint. Here we look for
strategies which minimize the shortfall risk defined as the
expectation of the shortfall weighted by some loss function.
The resulting efficient hedges allow the investor to
interpolate in a systematic way between the extremes of no
hedge and a perfect (super-) hedge, depending on the
accepted level of shortfall risk.
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
Einladung
Am Fr., 23. 10. 1998 haelt von 15.30-17.00 im Hoersaal 8 des
Betriebswirtschaftlichen Zentrums, Universitaet Wien,
Bruennerstrasse 72, 1210 Wien,
Prof. Kit Pong Wong (University of Hong Kong)
einen Vortrag ueber seine gemeinsame Arbeit mit Prof. Sudipto
Dasgupta (Jawaharial Nehru University and Hong Kong University),
"Predation, Financing Choices, and the Pecking Order''.
=========================================================================
Z U R E R I N N E R U N G !!!=20
----------
Mathematisches Kolloquium
EINLADUNG zu einem VORTRAG
von
Prof. Walter Schachermayer
(Institut f=FCr Statistik, Wahrscheinlichkeitstheorie und =
Versicherungsmathematik)
mit dem Thema
"Die Rolle der Mathematik auf den Finanzmaerkten"
=20
Zeit: Mittwoch, 21. Oktober 1998, 16 Uhr c.t.
Ort: Institut f=FCr Mathematik der Universitaet Wien, Boltzmanngasse 9, =
ESI - Hoersaal
Harald Rindler
=========================================================================
> Title
> Applications of Heavy Tailed Distributions in Economics, Engineering
> and Statistics
>
> Date
> June 3-5, 1999
>
> Location
> American University, Washington, DC
>
> Information
> Objective: Heavy tailed distributions are being used in a large
> variety
> of problems in economics, finance, engineering, statistics, and other
> areas. It is evident that many important problems are poorly described
> by standard Gaussian models. This conference will draw together
> experts from a range of disciplines to describe ths methods used to
> analyze such processes.
>
> Invited Speakers:
> Robert Adler, Gonzalo Arce, Richard Davis, Francis Diebold, Raya
> Feldman, Mircea Grigoriu, Saleem Kassam, Andrew Lo, Benoit Mandelbrot,
> J.H. McCulloch, Steve McLaughlin, Chrysostomos Nikias, Athina
> Petropulu, Nalini Ravishanker, Sid Resnick, Gennady Samorodnitsky,
> Murad Taqqu, Walter Willinger, Edward Wegman, Aleksander Weron, Tong
> Zhou.
>
> Organizers:
> John P. Nolan (American University)
> E-mail: jpnolan(a)american.edu
> Ananthram Swami (Army Research Labs)
> E-mail: aswami(a)arl.mil or a.swami(a)ieee.org
>
> Information:
> For additional information please visit our webpage at:
> http://www.cas.american.edu/~jpnolan/HeavyTails.html
>
=========================================================================
Ausschreibung einer Assistent(inn)enstelle
Am Institut f=FCr Betriebswirtschaftslehre des Au=DFenhandels der
Wirtschaftsuniversit=E4t Wien ist
1 Universit=E4tsassistent(inn)enposten - allenfalls
2 Vertragsassistent(inn)enposten (halbb.)
voraussichtlich ab 02. November 1998 zu besetzen.
Gesetzliche Aufnahmebedingungen:
Abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften
Zus=E4tzlich erw=FCnschte Kenntnisse:
Fundierte Kenntnisse im Bereich der Betriebswirtschaftlehre des
Au=DFenhandels (facheinschl=E4gige wissenschaftliche Arbeiten und/oder
einschl=E4gige praktische Erfahrungen), =FCberdurchschnittlicher Studienerfo=
lg,
Fremdsprachenkenntnisse, F=E4higkeit zur Betreuung wissenschaftlicher
Forschungsprojekte, p=E4dagogische Ausbildung und Lehrerfahrung, Bereitschaf=
t
zur Mitarbeit in der Institutsadministration, Stre=DFresistenz, Flexibilit=
=E4t
und hohe Selbstmotivation
Schriftliche Bewerbungen mit Lebenslauf und Angabe =FCber den Studienerfolg
(ohne Originalzeugnisse) sind an die Personalabteilung im Wege der
Universit=E4tsdirektion, Augasse 2-6, A-1090 Wien zu richten.
Bewerbungsfrist: bis 28. Oktober 1998
BewerberInnen haben keinen Anspruch auf Abgeltung der aufgelaufenen Reise-
und Aufenthaltskosten, die aus Anla=DF des Aufnahmeverfahrens entstanden=
sind.
Die Wirtschaftsuniversit=E4t Wien hat sich eine Erh=F6hung des Frauenanteils=
am
wissenschaftlichen Personal zum Ziel gesetzt. Deshalb werden nachdr=FCcklich
Frauen aufgefordert, sich zu bewerben. Es wird darauf hingewiesen, da=DF
Frauen bei gleicher Qualifikation bevorzugt aufgenommen werden und da=DF an
der Wirtschaftsuniversi-t=E4t ein Arbeitskreis f=FCr Gleichbehandlungsfragen
eingerichtet ist.
Wien, 7. Oktober 1998
=========================================================================
Prof. Paul Pfleiderer (Stanford) wird am Montag, 19. Oktober einen
Vortrag zum Thema
Forcing Firms to Talk:
Financial Disclosure Regulation and Externalities
halten.
Ort: Wiener Börse AG, Herrensaal, Herrengasse 8 (Eingang Konditorei Café
Central)
Zeit: 17.00 - 19.00
=========================================================================
Im Rahmen des
KOLLOQUIUM aus Statistik, Operations Research und Informatik
(ISOC-Kolloquium)
findet heute, Montag, 12. Oktober 1997, 17:00 (puenktlich)
im Rittersaal des Instituts fuer Statistik, Operations Research und
Informatik, Universitaetsstrasse 5, 1010 Wien
ein Vortrag von K. Frauendorfer (Univ. St.Gallen) ueber
"Stochastische Optimierung und baryzentrische Approximation"
statt.
(Fuer Kaffee und Kuchen ist gesorgt).
=========================================================================
Ausschreibung einer Assistentenplanstelle
Die Wirtschaftsuniversit=E4t Wien hat sich eine Erh=F6hung des Frauenanteils=
am
wissenschaftlichen Personal zum Ziel gesetzt. Deshalb werden nachdr=FCcklich
Frauen aufgefordert, sich zu bewerben.=20
Alle Bewerberinnen, welche die gesetzlichen Aufnahme- und
Ernennungserfordernisse sowie die im Ausschreibungstext zus=E4tzlich
gew=FCnschten Kriterien erf=FCllen, werden zu einem Aufnahmegespr=E4ch
eingeladen. An der Wirtschaftsuniversit=E4t Wien ist ein Arbeitskreis f=FCr
Gleichbehandlungsfragen eingerichtet. Auskunft =FCber Funktion und Mitgliede=
r
des Arbeitskreises f=FCr Gleichbehandlungsfragen gibt die Personalabteilung.
Es wird darauf hingewiesen, da=DF Frauen bei gleicher Qualifikation bevorzug=
t
aufgenommen werden.
Am Institut f=FCr Finanzierung und Finanzm=E4rkte, Abteilung f=FCr
Investmentbanking und Kapitalmarktkommunikation, Univ.Prof. Dr. Otto
Loistl; ist voraussichtlich ab 1. Dezember 1998 f=FCr 4 Jahre ein
Universit=E4tsassistent/innen/en/posten zu besetzen.
=09
Gesetzliche Aufnahmebedingungen:
Abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften oder der
Informatik oder der Wirtschaftsinformatik
=09
Zus=E4tzlich erw=FCnschte Kenntnisse:
Studium der Speziellen BWL 'Finanzierung'
Vertiefte Kenntnisse in Investmentbanking
Fundierte und nachweisbare Programmierkenntnisse, insbesondere Erfahrungen
mit einschl=E4gigen Softwarepaketen und objektorientierter Programmierung
(z.B. Visual Basic)
Kenntnisse in der Kapitalmarktkommunikation
Schriftliche Bewerbungen mit Lebenslauf und Angabe =FCber den Studienerfolg
(ohne Orginalzeugnisse) sind an die Personalabteilung der WU Wien,
Augasse 2 - 6, 1090 Wien zu richten.
Bewerbungsfrist: 28.Oktober 1998
Bewerber/innen haben keinen Anspruch auf Abgeltung der aufgelaufenen Reise-
und Aufenthaltskosten, die aus Anla=DF des Aufnahmeverfahrens entstanden=
sind.=20
Wien; 7.10.1998
----------------------------------------------------------------------------
Univ. Ass. Mag. Stefan Schmidt =20
Institut fuer Finanzierung und Finanzmaerkte =20
Wirtschaftsuniversitaet Wien, Althanstr. 39-45, A-1090 Wien
Telefon: +43 1 31336/4179 Fax: /761 =20
mail: Stefan.Schmidt(a)wu-wien.ac.at
http://www.wu-wien.ac.at/wwwu/institute/finanzm/tafel.html =20
----------------------------------------------------------------------------
nam et ipsa scientia potestas est =20
----------------------------------------------------------------------------
=========================================================================
Sehr geehrte Damen und Herren,
Im Rahmen des Mathematischen Kolloquiums haelt Prof. Walter Schachermayer
(Institut fuer Statistik, Wahrscheinlichkeitstheorie und
Versicherungsmathematik, TU Wien) einen Vortrag mit dem Thema
"Die Rolle der Mathematik auf den Finanzmaerkten"
Zeit: Mittwoch, 21.10.1998, 16 Uhr c.t.
Ort: ESI-Hoersaal, Institut fuer Mathematik
Boltzmanngasse 9
1090 Wien
Der Vortrag richtet sich zwar an ein Fachpublikum, ist aber sicher auch
fuer Nichtmathematiker von Interesse.
Mit besten Gruessen,
Markus Fulmek
-------------------------------------------------------------
Markus Fulmek
Institute of Mathematics
University of Vienna
Strudlhofgasse 4
A-1090 Vienna, Austria
Phone: +43-1-407 63 63 - 5
FAX: +43-1-407 63 63 - 1
Email: mfulmek(a)mat.univie.ac.at
WWW: http://radon.mat.univie.ac.at/~mfulmek
Valentingasse 1A
A-1230 Vienna, Austria
Phone: +43-1-8883465
FAX: +43-1-8883465
GSM: +43-664-1031751
=========================================================================
Am
Do, 8. Oktober
um 9:15 hält
Martin Scheicher,
Institut für Wirtschaftswissenschaften, Universität Wien
im Rahmen des Ökonometrischen Forschungsseminars
am Institut für Höhere Studien, Stumpergasse, 1060 Wien
einen Vortrag zum Thema:
Comovements in Eastern European Stock Markets.
------------------------------------------------
Alfred Lehar - vfn-l admin
=========================================================================
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>From admin(a)SSRN.COM Sun Mar 19 17:27:57 2000
Date: Wed, 23 Sep 1998 09:13:55 -0700
Reply-to: admin(a)SSRN.COM
>From: Sherry Beauchamp <admin(a)SSRN.COM>
Subject: Announcing a new FEN Journal
To: SSRN-SUPER(a)PUBLISHER.SSRN.COM
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As has been our practice in the past we will distribute this
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FEN-Course Abstracting Journal
Editors:
KAREN H. WRUCK
Harvard University
Mailto:kwruck@hbs.edu
PETER TUFANO
Harvard Business School
Mailto:ptufano@hbs.edu
Our new Finance Course Abstracting Journal (FEN-Course) is
devoted to the rapid, worldwide dissemination of innovative
courses addressing subject areas covered by the Financial
Economics Network (FEN) journals. Innovative courses
include courses that: cover new and emerging fields, bring
the findings of cutting-edge research into the classroom,
utilize unique materials or educational approaches, and/or
address standard subject matter in a particularly effective
way. Subject areas include, but are not limited to:
Corporate Finance and Organizations, Banking and Financial
Institutions, Capital Markets, International Finance,
Emerging Markets, Derivatives, and Real Estate. Courses
designed for undergraduates, graduate students and
executives are all welcomed, as are courses adopting a
variety of educational formats. The latter includes
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of ideas that are developed in journal articles and books.
Yet ideas from courses and teaching materials strongly
influence the work of scholars, students and managers. We
strongly encourage the acknowledgment and appropriate
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scholarly work.
Submissions to FEN-COURSE can be sent to the editors, Karen
Hopper Wruck kwruck(a)hbs.edu, or Peter Tufano ptufano(a)hbs.edu
As part of a submission package we would like to receive the
following:
1) A course description of up to 500 words.
2) A document, such as a class by class reading list with
full references for as many of the materials as possible,
including cases, articles, exercises, problem sets,
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distribution in electronic form.
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A D V I S O R Y B O A R D
____________________________________________________________
FINANCE COURSE ABSTRACTS
FRANKLIN ALLEN
Nippon Life Professor of Finance and Economics, University
of Pennsylvania, Wharton School
MICHAEL J. BARCLAY
Assoc. Prof. of Finance, University of Rochester, William E.
Simon Graduate School of Business Administration
GEERT BEKAERT
Assoc. Prof. of Finance, Stanford University Graduate School
of Business
MICHAEL H. BRADLEY
F.M. Kirby Prof. of Investment Banking, Duke University,
Fuqua School of Business
ROBERT F. BRUNER
Vandell Research Prof. of Business Administration, University
of Virginia, Colgate Darden Graduate School of Business
Administration
SUSAN CHAPLINSKY
Assoc. Prof. of Business Administration, University of Virginia,
Colgate Darden Graduate School of Business Administration
HARRY DEANGELO
Charles E. Cook/Community Bank Prof. of Banking, School
of Business Administration, U. of Southern California
STEPHEN R. FOERSTER
Associate Professor of Finance, Richard Ivey School of
Business, The University of Western Ontario
JULIAN FRANKS
Corporation of London Professor of Finance, Institute of
Finance, London Business School; Director, EIASM;
Director, European Union TMR Grant
ROBERT GERTNER
Prof. of Economics and Strategy, University of Chicago,
Graduate School of Business; Co-Editor, Journal of Business
CAMPBELL R. HARVEY
J. Paul Sticht Professor of International Business, Duke
University, Fuqua School of Business
LAURIE SIMON HODRICK
Professor of Finance and Economics, Columbia University,
Graduate School of Business
MICHAEL C. JENSEN
Jesse Isidor Straus Professor, Harvard Business School;
President, SSEP, Inc.
STEVEN N. KAPLAN
Leon Carroll Marshall Professor of Finance, University of
Chicago, Graduate School of Business; Co-founder and
Series Advisor, CaseNet
DENNIS E. LOGUE
Steven Roth Professor of Management, The Amos Tuck
School of Business Administration, Dartmouth College;
Co-editor: Contemporary Finance Digest
TIMOTHY LUEHRMAN
Professor of Finance, Thunderbird, The American Graduate
School of International Management
RONALD M. SCHMIDT
Professorial Lecturer and Chairman of the Faculty Committee
on International Executive Programs, University of Rochester,
William E.Simon Graduate School of Business Administration
WILLIAM F. SHARPE
The STANCO 25 Prof. of Finance, Graduate School of Business,
Stanford Business School; Past President, American Finance
Association; 1990 Nobel Laureate in Economic Sciences
JEREMY C. STEIN
J.C. Penney Prof. of Management, Sloan School of Management,
MIT; Co-founder and Series Advisor, CaseNet
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F I N A L C A L L F O R P A P E R S
*******************************************************************
Journal of Computational Intelligence in Finance
Final Call for Papers
Special Issue on
"Financial News Analysis using Distributed Data Mining"
The Journal of Computational Intelligence in Finance, a peer-reviewed
technical journal, published by Finance & Technology Publishing, is
seeking papers for review and publication on "Financial News Analysis
using Distributed Data Mining".
The Journal of Computational Intelligence in Finance publishes applied
research and practical applications of high quality that are based on
sound theoretical, empirical or quantitative analysis. For practitioners
and applied researchers, JCIF serves as the journal of record on
"the application of advanced computational technologies and analytical
techniques for financial modeling, investing and trading, and risk
management."
Papers published in JCIF are eligible for the "Distinguished Essay on
Computational Intelligence in Finance" award, which is selected by the
Editorial Board each year.
EDITORIAL BOARD
Randall B. Caldwell, Editor-in-Chief
Emilio Barucci - University of Florence, Italy
Richard J. Bauer, Jr. - St. Mary's University, Texas
Neil Burgess - London Business School
Oscar Castillo - UABC University, California
Jerry Connor - London Business School
Eric de Bodt - Universite Catholique de Louvain, France
James F. Derry - Mgmt. Engineering Productivity Systems, Ohio
Athanasios Episcopos - National Bank of Greece
Andrew Flitman - Monash University, Australia
Susan Garavaglia - Dun and Bradstreet, New Jersey
Ramo Gencay - University of Windsor, Canada
Sabyasachi Ghoshray - Florida International University
Lee Giles - NEC Research Institute, New Jersey
Christian Haefke - University of California at San Diego
Ypke Hiemstra - Vrije Universiteit, The Netherlands
Jason Kingdon - Searchspace Limited, University College London
Ralph Neuneier - Siemens AG Corporate Research Center, Germany
Zoran Obradovic - Washington State University
Marimuthu Palaniswami - University of Melbourne
Carlos E. Pedreira - Catholic University, Rio
Stuart H. Rubin - Central Michigan University
David B. Skalak - IBM, New York
Leon Sterling - University of Melbourne
Manoel F. Tenorio - Purdue University, Indiana
Halbert White - University of California at San Diego
Lei Xu - The Chinese University of Hong Kong
SPECIAL TOPIC
Financial News Analysis using Distributed Data Mining
PAPERS DUE
September 15, 1998
ACCEPTANCE NOTIFICATION
November 30, 1998
FINAL REVISED MANUSCRIPTS DUE
January 15, 1999
PUBLICATION DATE
March 1999
GUEST EDITORS
Zoran Obradovic Stuart H. Rubin
Associate Professor Associate Professor
Elec. Eng. & Comp. Sci. Dept. of Comp. Sci.
Washington State University Central Michigan University
Pullman, WA 99164-2752, USA Mt. Pleasant, MI 48859, USA
zoran(a)eecs.wsu.edu rubin(a)cps.cmich.edu
FOR THE LATEST AND MOST COMPLETE INFORMATION ON THIS CALL, SEE:
http://ourworld.compuserve.com/homepages/ftpub/call.htm
MOTIVATION
Recent technological developments, the rapid growth of the World Wide Web,
and maturing corporate intranet structures have led to the rapid
dissemination of huge amounts of financial news and information (newspaper
articles, financial services information, corporate publications, stock
exchange news, peer-reviewed financial journal articles, etc.). However,
cost and time constraints prohibit an exhaustive search through or download
of all potentially relevant financial news and information available on the
Internet, for later analysis and processing. One possible solution is to
distribute information sampling over a large number of locations in order
to classify local data, construct a pool of relevant information, and
generate useful rules that might be further analyzed or processed at a
central location. This requires intelligent and dynamic domain decomposition,
as well as flexible software agents for symbolic information processing.
SCOPE
All papers submitted must focus on the data mining of financial news and
information, and on applications of interest to financial analysis or
decision-making, investing or trading. Of particular interest are algorithms
and techniques that both incorporate computational intelligence and are
unique or especially relevant to financial tasks. Authors are invited to
submit papers on the design of automated, scalable, distributed knowledge
discovery systems for financial information mining on the Internet, to address
issues related to:
- search strategies
- knowledge representation
- reasoning mechanisms
- learning algorithms
Suggested topics include but are not limited to the following:
- intelligent software agent structures
- sampling strategies for mining the World Wide Web
- distributed search algorithms for mining financial news
- collaborative and heuristic search methods
- statistical text mining
- incremental knowledge discovery methods
- financial news and information quality
- dynamic domain decomposition
- expert and decision-based strategies
- knowledge representation issues
- knowledge-base design and segmentation
- communications and query issues
- Knowledge Interchange Format (KIF)
- Knowledge Query and Manipulation Language (KQML)
- semantic nets and frames
- combining natural language processing and statistical text mining
- algorithms for organizing, filtering and summarizing textual information
- state space methods and issues
- novel learning and reasoning algorithms
ABSTRACTS
Submit 150 to 300 word abstract including full name(s) and affiliation(s) of
the author(s), complete mailing address and telephone numbers of all authors.
Authors should provide a brief biographic sketch of themselves. Send abstracts
to:
Post: JCIF, P.O. Box 764, Haymarket, VA 20168 USA
E-mail: ftpub(a)compuserve.com
Fax: 1-703-753-2634
PAPERS
Papers must not have been previously published or currently submitted for
publication elsewhere. All material must be provided in the English language.
Submit three copies of each paper. Papers must be formatted for 8.5x11-inch
page format. Authors should provide a brief biographic sketch of themselves.
Each copy submitted should include a page that contains the title of the paper,
the full name(s) and affiliation(s) of the author(s), complete mailing address
and telephone numbers of all authors, and a 150 to 300 word abstract. The
Journal reserves the right to edit all material to meet space requirements
and to make grammatical and typographical corrections.
The final text should be 4000 to 6000 words in length, contain no more than
15 references, and be provided as follows:
(1) Hardcopy: printed and double-spaced, with notations for the location
of graphics, mathematical equations, given thereon, as necessary,
(2) Softcopy:
The REQUIRED MEDIA FORMAT is IBM PC 3.5", 1.44MB.
The PREFERRED FILE FORMAT is Word for Windows 3.1/95 (Word 6/7/97). Other
acceptable software file formats are the following:
Tex and LaTex using the required media format (Scientific Workplace 3.0
preferred, use standard features)
The PREFERRED GRAPHICS formats are Windows 3.1/95 (*.bmp,*.wmf,*.eps).
For other graphics formats, submit high-quality, camera-ready hardcopy, or
make an inquiry.
Include pseudo-code or source code in separate figures (listings). Extensive
code listings may be published on the Web site because of space limitations
in the journal.
Text citations must use the following format: last name(s) of author(s),
publication date and suffix (as necessary) in brackets. Example:
(a) direct reference: Watkins and McCoy [1993a]
(b) indirect reference: [Watkins and McCoy 1993a]
References must be listed alphabetically by the last name of the first
author according to the following formats:
Journal Article: authors' names, publication date and suffix (as
necessary) in brackets, article title (in double quotations),
periodical title (in italics), volume and number, pages cited.
Book: authors' names, publication date and suffix (as necessary)
in brackets, book title (in italics), publisher, publisher location,
pages cited.
Chapter in Book/Proceedings: authors' names, publication date and
suffix (as necessary) in brackets, chapter title (in double
quotations), editors' names, book title (in italics), publisher,
location, pages cited.
Send all manuscripts by Post to:
Editors, JCIF, P.O. Box 764, Haymarket, VA 20168 USA
*******************************************************************
F I N A L C A L L F O R P A P E R S
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Leonard N. Stern School of Business
New York University
Computational Finance (CF99)
January 6, 1999 (Tutorials)
January 7 - 8 (Conference)
The sixth international conference Computational Finance (CF99)
will be held at NYU's Leonard N. Stern School of Business. CF99
is sponsored by the New York University Salomon Center, the
Center for Research on Information Systems and the Department
of Statistics and Operations Research.
Computational Finance has emerged as a genuinely cross-
disciplinary research meeting. CF99 is the sixth in a series of
conferences that have been sponsored by the California
Institute of Technology and the London Business School. In the
past, this conference was called Neural Networks in the Capital
Markets (NNCM). The expanding set of computational tools has
moved this meeting from its original emphasis on neural network
techniques to a broad spectrum of different methodologies.
With several hundred attendees, this fully refereed conference
has become an international forum where original research in
advanced computational applications in finance is presented and
discussed. CF99 brings together decision-makers and strategists
from the financial industries, with academics from finance,
statistics, economics, information systems and other
disciplines. In the last few years, the conference has seen
papers covering many different computational techniques
including: statistical machine learning, Monte Carlo
simulation, data mining, knowledge discovery, bootstrapping,
genetic algorithms, nonparametric methods, information theory
and fuzzy logic. Applications in many different areas are
welcome, including but not limited to: risk management, asset
allocation, dynamic trading and hedging strategies,
forecasting, numerical solutions of derivative PDEs, exotic
options and trading cost control.
Studies may cover any major international financial market
including equity, foreign exchange, bond, commodity and
derivatives. The conference emphasizes in-depth analysis and
comparative evaluation with established approaches.
CF99 will have two distinguished keynote speakers,
Gifford Fong, Chairman, and CEO of Gifford Fong Associates, and
David E. Shaw, PhD, Chairman and CEO of D. E. Shaw & Co., Inc.
The conference also features several invited speakers sharing
their expertise from both the academic and applied perspectives.
CF99 begins with a full day of tutorials designed to inform the
diverse group of participants on a selection of the latest tools
and research results. This year's tutorials feature the following speakers:
Professor Stephen Figlewski, Finance Department, Stern School of Business,
New York University
Professor Halbert White, Economics Department, University of California,
San Diego
Professor David A. Hsieh, Finance Department, Fuqua School of Business,
Duke University
Professor Benjamin van Roy, Engineering Economic Systems Department,
Stanford University
The conference will have several talk and poster sessions for
accepted papers. A selection of the presentations will be
invited to appear in a volume published by Kluwer Academic
Publishers.
Submissions to CF99:
Authors who wish to present papers should submit four copies
along with full contact information, including e-mail
addresses, to:
CF99 / Andreas Weigend
Information Systems Department
Leonard N. Stern School of Business
New York University
44 W 4th St., MEC 9-171
New York, NY 10012, USA
E-mail: cf99(a)stern.nyu.edu
Web: www.stern.nyu.edu/cf99
All submissions must be received by August 31st.,
1998. Full papers are preferred, but extended
abstracts clearly stating the results are
acceptable. Only original, relevant research work
will be accepted.
Registration material will be put up on the Web at
www.stern.nyu.edu/cf99 in August.
Deadline for early registration is December 1, 1998.
Conference Chairs:
General Chair
Y. S. Abu-Mostafa, Caltech
Organizational Chair
A. S. Weigend, NYU Stern
Program Co-chairs
B. LeBaron, University of Wisconsin
A. W. Lo, MIT Sloan
Organizing Committee:
A. Atiya, Cairo University
J. Cowan, University of Chicago
R. Gencay, University of Windsor
M. Jabri, Sydney University
J. E. Moody, Oregon Graduate Institute
C. E. Pedreira, Catholic Univ. PUC-Rio
A.-P. N. Refenes, London Business School
M. Steiner, Universitaet Augsburg
D. Tavella, Align Risk Analysis
A. Timmermann, U.of Calif., San Diego
H. White, Univ. of California, San Diego
L. Xu, Chinese University of Hong Kong
The Stern School:
Founded in 1900, the Stern School has grown into one of the
most highly ranked business schools in the world. A talented
and diverse student body benefits in many ways from Stern's
long-standing excellence, top faculty and its central New York
City location. Stern offers several specializations in
computational finance that include a highly quantitative MBA
financial engineering track, an MS in statistics with
specialization in financial engineering, and PhD programs in
the fields of finance, statistics and information systems.
Further conferences, symposia and workshops at Stern for 1999
include Derivatives: What's New?; Market Risk: Advances and
Challenges; and Data Mining in Finance.
=========================================================================
Ausschreibung einer Assistentenstelle
Am Institut f=FCr Betriebswirtschaftslehre des Au=DFenhandels der
Wirtschaftsuniversit=E4t Wien ist
1 Universit=E4tsassistent/inn/en/posten, allenfalls
2 Vertragsassistent/inn/en/posten (halbbesch=E4ftigt)
voraussichtlich ab 01. September 1998 zu besetzen.
Gesetzliche Aufnahmebedingungen:
Abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften
Zus=E4tzlich erw=FCnschte Kenntnisse:
Fundierte Kenntnisse im Bereich der Betriebswirtschaftlehre des
Au=DFenhandels (facheinschl=E4gige wissenschaftliche Arbeiten und/oder
einschl=E4gige praktische Erfahrungen), =FCberdurchschnittlicher Studienerfo=
lg,
Fremdsprachenkenntnisse, F=E4higkeit zur Betreuung wissenschaftlicher
Forschungsprojekte, p=E4dagogische Ausbildung und Lehrerfahrung, Bereitschaf=
t
zur Mitarbeit in der Institutsadministration, Stre=DFresistenz, Flexibilit=
=E4t
und hohe Selbstmotivation.
Schriftliche Bewerbungen mit Lebenslauf und Angabe =FCber den Studienerfolg
(ohne Originalzeugnisse) sind an die Personalabteilung im Wege der
Universit=E4tsdirektion, Augasse 2-6, 1090 Wien zu richten.
Bewerbungsfrist: bis 5. August 1998
Bewerberinnen/Bewerber haben keinen Anspruch auf Abgeltung der
aufgelaufenen Reise- und Aufenthaltskosten, die aus Anla=DF des
Aufnahmeverfahrens entstanden sind.
Die Wirtschaftsuniversit=E4t Wien hat sich eine Erh=F6hung des Frauenanteils=
am
wissenschaftlichen Personal zum Ziel gesetzt. Deshalb werden nachdr=FCcklich
Frauen aufgefordert, sich zu bewerben. Es wird darauf hingewiesen, da=DF
Frauen bei gleicher Qualifikation bevorzugt aufgenommen werden und da=DF an
der Wirtschaftsuniversit=E4t ein Arbeitskreis f=FCr Gleichbehandlungsfragen
eingerichtet ist.
VSX WORKSHOP
Am Fr., 3.7.1998 von 15.30-17.00
haelt im Hoersaal 8 des Betriebswirtschaftlichen Zentrums,
Universitaet Wien, Bruennerstrasze 72, 1210 Wien,
Prof. Bruce Grundy (Wharton)
einen Vortrag ueber seine Arbeit ,
''Executive Compensation & The Boundary of the Firm:
The Case of Short-Lived Projects''.
On Wednesday July 1st, 16:30, Prof. Kerry Back from the Washington
University will give a talk at the Institute for Advanced Studies,
Stumpergasse 56, HS II.
The title of the talk is
"Imperfect Competition among Informed Traders".
Regards
Gabe
______________________________________________________________
Gabriel Lee
Department of Finance
Institute for Advanced Studies
Stumpergasse 56
A-1060 Vienna, AUSTRIA
Email: gabriel.lee(a)ihs.ac.at
Tel: +43-1-59991 141
Fax: +43-1-597 0635
=========================================================================
VSX WORKSHOP
Am Do., 25.6.1998 von 13.30-15.00
haelt im Hoersaal 8 des Betriebswirtschaftlichen Zentrums,
Universitaet Wien, Bruennerstrasze 72, 1210 Wien,
Prof. Uptal Bhattacharya (Kelley School of Business)
einen Vortrag ueber seine Arbeit ,
''Capital Markets and the Evolution of Family Businesses''
VSX WORKSHOP
Am Fr., 26.6.1998 von 15.30-17.00
haelt im Hoersaal 8 des Betriebswirtschaftlichen Zentrums,
Universitaet Wien, Bruennerstrasze 72, 1210 Wien,
Prof. Sudipto Bhattacharya (LSE)
einen Vortrag ueber seine Arbeit ,
''Insider Trading, Investment and Liquidity: A Welfare Analysis''
Eine Kopiervorlage der Papers liegt im Sekretariat von Prof.
Zechner am Betriebswirtschaftszentrum auf.
=========================================================================