VFN-L

vfn-l@fam.tuwien.ac.at

1159 discussions

[VFN] SMFP2013: Stochastic Methods in Finance and Physics (fwd)
by VFN-L admin * Andreas Schamanek 03 Mar '13

03 Mar '13

---------- Forwarded message ---------- Date: Sun, 03 Mar 2013 00:43:42 +0100 From: summerschoolmathfi <summerschoolmathfi(a)cmap.polytechnique.fr> To: (multiple recipients) Subject: Conference (...) Dear colleagues, we would like to inform you about the workshop on Stochastic Methods in Finance and Physics http://www.acmac.uoc.gr/SMFP2013/ that will take place in Heraklion, Crete from 15 until 19 July 2013. The workshop will consist of mini-courses and talks around the following topics: Interacting agents and equilibrium models, numerical methods for SPDEs, rough stochastic PDEs, probabilistic interaction models, metastabilty and condensation. The following speakers have agreed to deliver a mini-course or a talk: Jean?Dominique Deuschel (TU Berlin) Alexandre Gaudillière (Marseille) Stefan Grosskinsky (Warwick) Ulrich Horst (HU Berlin) Michael Kupper (Konstanz) Claudio Landim (Rio de Janeiro) Elena Sartori (Padova) Josef Teichmann (ETH Zürich) Dimitrios Tsagkarogiannis (Crete) Hendrik Weber (Warwick) Thaleia Zariphopoulou (Oxford) Nikolaos Zygouras (Warwick) There will also be short talks and posters presented by young researchers. Partial financial support is available. The deadline for submissions is 15 April 2013. http://www.acmac.uoc.gr/SMFP2013/submissions.php Best regards, Claudio Landim, Peter Friz, Michalis Loulakis, Antonis Papapantoleon

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[VFN] Invitation Spängler IQAM Invest Round Table March 14, 2013
by Schlichting, Martina 26 Feb '13

26 Feb '13

INVITATION The WU Institute for Finance, Banking and Insurance and Spängler IQAM Invest are pleased to invite you to a Spängler IQAM Invest Round Table DATE: March 14, 2013 - 04:30 pm SPEAKER: Prof. Dr. Franklin ALLEN, Wharton School, University of Pennsylvania TOPIC: "IS US GOVERNMENT DEBT DIFFERENT? EFFECTS OF THE US DEBT CRISIS ON GLOBAL FINANCIAL MARKETS" ABSTRACT: The skyrocketing U.S. government debt, the standoff over the statutory debt limit between the Congress and the President of the United States, underlines the urgent need to consider the unthinkable: default, restructuring, or a wholesale reassessment of the U.S. Treasury securities' place in the world. Franklin Allen presents major results from his recently published book "Is US Government Debt Different?", that contains contributions by economists, historians, lawyers, market participants, and policy makers. He will discuss different aspects of U.S. government debt, including its role in the global financial markets, its constitutional, statutory and contractual basis, and its sustainability. Having laid the conceptual foundation, Professor Allen will also present a thought experiment, mapping out options for a hypothetical U.S. debt restructuring. ABOUT FRANKLIN ALLEN: Franklin Allen is the Nippon Life Professor of Finance and Professor of Economics at the Wharton School of the University of Pennsylvania. He has been on the faculty since 1980. He is currently Co- Director of the Wharton Financial Institutions Center. He was formerly Vice Dean and Director of Wharton Doctoral Programs and Executive Editor of the Review of Financial Studies, one of the leading academic finance journals. He is a past President of the American Finance Association, the Western Finance Association, the Society for Financial Studies, and the Financial Intermediation Research Society, and a Fellow of the Econometric Society. He received his doctorate from Oxford University. Dr. Allen's main areas of interest are corporate finance, asset pricing, financial innovation, comparative financial systems, and financial crises. He is a co-author with Richard Brealey and Stewart Myers of the eighth through tenth editions of the textbook Principles of Corporate Finance. Further information about Franklin Allen: http://finance.wharton.upenn.edu/~allenf/ REGISTRATION IS REQUIRED. WE KINDLY ASK YOU TO REGISTER AT vsam(a)wu.ac.at LOCATION: WU Institute for Finance, Banking and Insurance Heiligenstädter Str. 46-48, 1190 Wien - Seminar Room 1 (Ground Floor) Contact and further information: WU Institute for Finance, Banking and Insurance att. Martina Schlichting Heiligenstädter Str. 46-48 1190 Vienna Phone: +43-1-31336 6315 Mail: vsam(a)wu.ac.at Web: http://www.wu.ac.at/finance/coop/vsam

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[VFN] Leopold Gratz-Stipendium 2013/2014 (fwd)
by VFN-L admin * Andreas Schamanek 15 Feb '13

15 Feb '13

---------- Forwarded message ---------- Date: Fri, 15 Feb 2013 12:28:48 +0100 From: ROHRINGER Gabriela <Gabriela.Rohringer(a)unicreditgroup.at> Subject: Leopold Gratz-Stipendium 2013/2014 Sehr geehrte Damen und Herren, die "Leopold Gratz-Stiftung" hat in Kooperation mit der Bank Austria und der UniCredit & Universities Foundation zur Erinnerung an den ehemaligen Bürgermeister von Wien, Leopold Gratz -analog dem vergangenen Jahr - wieder die Vergabe eines Stipendiums ausgeschrieben. Das Stipendium ist darauf ausgerichtet, für einen Studenten ein PhD oder MSc Programm an einer österreichischen Universität in den Bereichen Wirtschaft, Bank und Finanzen zu fördern. (...) Bitte beachten Sie, dass nur Master/Diplom Studenten und Doktoranden in Österreich angesprochen sind. Mit freundlichen Grüßen Dr. Alvin Krauss e.h. Gabriela Rohringer e.h. Sekretär der "Leopold Gratz-Stiftung" (...) [Das PDF-Attachment wurde vom list-admin gelöscht, da alle relevanten Information offenbar on-line verfügbar sind unter http://www.unicreditanduniversities.eu/de/fellow/show/fellow_id/4 ]

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[VFN] Actuarial Science Professor Position at University of Lausanne
by Hansjoerg Albrecher 13 Feb '13

13 Feb '13

The Faculty of Business and Economics of the University of Lausanne (HEC Lausanne, www.hec.unil.ch <http://www.hec.unil.ch/>) invites applications for a full-time position of *Full Professor or Tenure-track Assistant Professor in Actuarial Science* Starting on August 1^st , 2013 or a mutually agreed upon date. The new professor will be a member of HEC Lausanne's Department of Actuarial Science. Candidates must hold a PhD in actuarial science or a related discipline. We seek applicants with a strong research and teaching potential in actuarial science. A job description is available at: www.hec.unil.ch/candidatures/offres <http://www.hec.unil.ch/candidatures/offres>. Applications should be submitted online using the above link by *April 13,* *2013*. Please fill in the electronic form, upload a curriculum vitae and a motivation letter with a statement of research interests, as well as a list of publications and samples of scholarly work, and provide the names and addresses of three references. Additional information may be obtained from Professor François Dufresne, Director of the Department of Actuarial Science (DSA), HEC Lausanne, Bâtiment Extranef, CH-1015 Lausanne-Dorigny, Francois.Dufresne(a)unil.ch <mailto:Francois.Dufresne@unil.ch>. The University of Lausanne promotes access of women to academic positions and strongly encourages them to apply.

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[VFN] Sixth European Summer School in Financial Mathematics
by vienna conference 12 Feb '13

12 Feb '13

Dear Colleagues, Registration for the Sixth European Summer School in Financial Mathematics is now open. Important deadlines: For financial support applications should be submitted by April 15, 2013. Registration closes on June 30, 2013. This year the summer school will take place in Vienna (Campus of the Vienna University) from August 26 to 30, 2013. All the details are on the web site http://www.mat.univie.ac.at/~finance_hp/summer_school_Vienna_2013/index.html Please circulate this announcement. Yours sincerely, The organizing committee Beatrice Acciaio, Mathias Beiglböck, Christa Cuchiero, Christoph Czichowsky, Walter Schachermayer, Pietro Siorpaes

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[VFN] Summer School: Numerical Methods for SDEs, 2-4 Sep 2013, Vienna University of Technology, Austria
by Bertram Düring 11 Feb '13

11 Feb '13

We are glad to announce a summer school on "Numerical Methods for Stochastic Differential Equations" which will take place from 2-4 September, 2013, at Vienna University of Technology, Austria. The summer school aims to bring together talented young researchers in the field of (stochastic) differential equations and computational finance, mainly in their first PhD year. In a series of four lectures, each of four renowned international experts will give an introduction and present new numerical results. The topics of the summer school include Monte-Carlo methods, numerical techniques for stochastic (partial) differential equations, error estimation, and applications in sciences and finance. The following speakers have confirmed to present mini-courses: • Evelyn Buckwar (Linz, Austria) • Desmond Higham (Strathclyde, United Kingdom) • Andreas Rößler (Lübeck, Germany) • Gabriel Lord (Edinburgh, United Kingdom) (*) (*) to be confirmed For further information, please see http://www.asc.tuwien.ac.at/~juengel/sde/sde.html Organizers: Bertram Düring, University of Sussex, Brighton, UK Ansgar Jüngel, Vienna University of Technology, Austria

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[VFN] Int. Summer School on Enterprise Risk Management, Lausanne, 3-7, 2013
by Hansjoerg Albrecher 02 Feb '13

02 Feb '13

*First Announcement **26th International Summer School of the Swiss Association of Actuaries *Topic: *Enterprise Risk Management *Teachers: Prof. *Stéphane Loisel* and *David N Ingram*,**CERA, FRM, PRM, FSA, MAAA Location: University of Lausanne, Switzerland Dates: 3-7 June 2013 Registration is now open on the web site www.saa-iss.ch <http://www.saa-iss.ch/> . Please inform all colleagues you know who might be interested. Best regards, François Dufresne SAA ISS Organizing Director

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[VFN] Workshop on Current Topics in Mathematical Finance 2013, Vienna, April 18 and 19, 2013
by Ruediger Frey 31 Jan '13

31 Jan '13

First announcement: Workshop on Current Topics in Mathematical Finance 2013, Vienna, April 18 and 19, 2013. Confirmed Invited Speakers: Michal Barski, Universität Leipzig Dirk Becherer, HU Berlin Tomas Björk, Stockholm School of Economics Rama Cont, Imperial College London Stephane Crepey, Université d'Evry Martin Larsson EPFL Lausanne Eva Lütkebohmert, Universität Freiburg Andrea Macrina, University College London Michael Monoyios, University of Oxford Agatha Murgoci, Copenhagen Business School Walter Schachermayer, Universität Wien Thorsten Schmidt, TU Chemnitz Location: WU Vienna University of Economics and Business, Department of Finance, Accounting and Statistics, Heiligenstädter Str 46, A-1190 Vienna Conference Chair: Prof. Rüdiger Frey Organisational details: Participation is free but there is a mandatory registration. Interested participants have the opportunity to present a poster. Further information can be found at the workshop homepage: http://mafin2013.wu.ac.at (online on 1.2.2013) -- Prof. Ruediger Frey Institute for Statistics and Mathematics WU Vienna email: ruediger.frey(a)wu.ac.at web: http://statmath.wu.ac.at/~frey/

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[VFN] REMINDER: INVITATION January 22: WU Gutmann Center Public Lecture with Giovanna Nicodano: "The Economic Value of Timing Bull and Bear Markets"
by Grimm, Dorothea 17 Jan '13

17 Jan '13

REMINDER - INVITATION The WU Gutmann Center cordially invites you to the forthcoming WU GUTMANN CENTER PUBLIC LECTURE www.gutmann-center.at (apologies for duplicated mails!) **************************************************************************** Date: JANUARY 22 (Tuesday), 2013 - 4:00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Giovanna NICODANO, University of Torino http://sites.carloalberto.org/nicodano/ Title: "THE ECONOMIC VALUE OF TIMING BULL AND BEAR MARKETS" ABSTRACT: Risk-adjusted profits of portfolio managers derive from their ability in forecasting returns out-of-sample. Recently, several papers cast doubts on prevailing linear methods for predicting out-of-sample. These doubts are reinforced by the difficulty of optimizing strategies in obtaining out-of-sample gains relative to a naïve equally-weighted strategy. This presentation examines the ex-post performance of optimal portfolios using returns predicted by a switching regression model. Due to the investor's ability to anticipate shifts from bull to bear markets, predictability involves the risk premium, volatility and correlations, and may extend to third and fourth moments. The out-of-sample performance of these timing strategies is assessed for horizons ranging from one month to ten years using three different equity datasets, including the commonly used US Industry and International Book-to-Market portfolios. ABOUT GIOVANNA NICODANO: Giovanna Nicodano is professor of financial economics at the University of Torino, chair of the Masters Programs in Economics and Finance, and fellow at Collegio Carlo Alberto. A recipient of the European Investment Bank Prize, she obtained her Ph.D. from Princeton University. She has been a visiting scholar at CEMFI Madrid, the London School of Economics and the Universities of Amsterdam, Freiburg and Haifa. Her research deals with strategic asset allocation, corporate finance and market liquidity. As a founder of the Centre for Research on Pension (CeRP), she initiated a research project on Asset Classes for Long Run Investors - with publications in the Annals of Finance, the Journal of Real Estate Finance and Economics and Real Estate Economics. Since 2008 she is international fellow of the Dutch Network for Studies on Pensions, Aging and Retirement (Netspar). She is research associate of the Brussels-based European Corporate Governance Institute (ECGI), and her work in corporate finance, focusing on complex structures such as business groups, has been published in the European Economic Review, the Journal of Banking and Finance and the Journal of Public Economics. Finally, her work on market liquidity was published in the Journal of Finance, the Review of Finance and the Journal of Banking and Finance. **Please REGISTER**: Mail: gutmann-center(a)wu.ac.at Phone: +43-1-31336-4244 CONTACT AND FURTHER INFORMATION: WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien) - Department of Finance, Accounting and Statistics Mag. Dorothea GRIMM www.gutmann-center.at

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[VFN] Invitation Spängler IQAM Invest Round Table January 17, 2013
by Schlichting, Martina 10 Jan '13

10 Jan '13

INVITATION The WU Institute for Finance, Banking and Insurance and Spängler IQAM Invest are pleased to invite you to a SPÄNGLER IQAM INVEST ROUND TABLE (apologies for duplicated mails!) DATE: January 17, 2013 - 04:30 pm SPEAKER: Prof. Dr. Terrance ODEAN, University of California, Berkeley TOPIC: "DO BEHAVIORAL BIASES LEAD TO UNRECOGNIZED RISK-TAKING?" ABSTRACT: Professor Odean will discuss how behavioral biases can lead to unrecognized risk taking by financial institutions. Financial models often exacerbate risk taking due to unrecognized substitution, aggregation, and feedback risks. Success may lead money managers and traders to become overconfident and to overuse leverage. The use leverage by some institutions can increase risks to others. Limited attention and decision biases such as the availability bias distort our perceptions of probability. Emotions change our attitudes toward risk. And confirmation bias leads us to underestimate the likelihood that things will go wrong. ABOUT TERRANCE ODEAN: Terrance Odean is the Rudd Family Foundation Professor and Chair of the Finance Group at the Haas School of Business at the University of California, Berkeley. He is a member of the Journal of Investment Consulting editorial advisory board, of the Russell Sage Behavioral Economics Roundtable, of the Russell Investments Academic Advisory Board, and of the WU Gutmann Center Academic Advisory Board at the Vienna University of Economics and Business. He has been an editor and an associate editor of the Review of Financial Studies, an associate editor of the Journal of Finance, a co-editor of a special issue of Management Science, an associate editor at the Journal of Behavioral Finance, a director of UC Berkeley's Experimental Social Science Laboratory, a visiting professor at the University of Stavanger, Norway, and the Willis H. Booth Professor of Finance and Banking. As an undergraduate at Berkeley, Odean studied Judgment and Decision Making with the 2002 Nobel Laureate in Economics, Daniel Kahneman. This led to his current research focus on how psychologically motivated decisions affect investor welfare and securities prices. His research has been cited in the Wall Street Journal, the New York Times, the Los Angeles Times, the Washington Post, the International Herald Tribune, Time, Newsweek, U.S. News and World Report, Forbes, Businessweek, and several other publications. Further information about Terrance Odean: www.odean.org **REGISTRATION IS REQUIRED at vsam(a)wu.ac.at** LOCATION: WU Institute for Finance, Banking and Insurance Heiligenstädter Str. 46-48, 1190 Wien - Seminar Room 1 (Ground Floor) Contact and further information: WU Institute for Finance, Banking and Insurance att. Martina Schlichting Heiligenstädter Str. 46-48 1190 Vienna Phone: +43-1-31336 6315 Mail: vsam(a)wu.ac.at Web: http://www.wu.ac.at/finance/coop/vsam

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[VFN] INVITATION January 22: WU Gutmann Center Public Lecture with Giovanna Nicodano: "The Economic Value of Timing Bull and Bear Markets"
by Grimm, Dorothea 09 Jan '13

09 Jan '13

INVITATION The WU Gutmann Center cordially invites you to the forthcoming WU GUTMANN CENTER PUBLIC LECTURE www.gutmann-center.at (apologies for duplicated mails!) **************************************************************************** Date: JANUARY 22 (Tuesday), 2013 - 4:00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Giovanna NICODANO, University of Torino http://sites.carloalberto.org/nicodano/ Title: "THE ECONOMIC VALUE OF TIMING BULL AND BEAR MARKETS" ABSTRACT: Risk-adjusted profits of portfolio managers derive from their ability in forecasting returns out-of-sample. Recently, several papers cast doubts on prevailing linear methods for predicting out-of-sample. These doubts are reinforced by the difficulty of optimizing strategies in obtaining out-of-sample gains relative to a naïve equally-weighted strategy. This presentation examines the ex-post performance of optimal portfolios using returns predicted by a switching regression model. Due to the investor's ability to anticipate shifts from bull to bear markets, predictability involves the risk premium, volatility and correlations, and may extend to third and fourth moments. The out-of-sample performance of these timing strategies is assessed for horizons ranging from one month to ten years using three different equity datasets, including the commonly used US Industry and International Book-to-Market portfolios. ABOUT GIOVANNA NICODANO: Giovanna Nicodano is professor of financial economics at the University of Torino, chair of the Masters Programs in Economics and Finance, and fellow at Collegio Carlo Alberto. A recipient of the European Investment Bank Prize, she obtained her Ph.D. from Princeton University. She has been a visiting scholar at CEMFI Madrid, the London School of Economics and the Universities of Amsterdam, Freiburg and Haifa. Her research deals with strategic asset allocation, corporate finance and market liquidity. As a founder of the Centre for Research on Pension (CeRP), she initiated a research project on Asset Classes for Long Run Investors - with publications in the Annals of Finance, the Journal of Real Estate Finance and Economics and Real Estate Economics. Since 2008 she is international fellow of the Dutch Network for Studies on Pensions, Aging and Retirement (Netspar). She is research associate of the Brussels-based European Corporate Governance Institute (ECGI), and her work in corporate finance, focusing on complex structures such as business groups, has been published in the European Economic Review, the Journal of Banking and Finance and the Journal of Public Economics. Finally, her work on market liquidity was published in the Journal of Finance, the Review of Finance and the Journal of Banking and Finance. **Please REGISTER**: Mail: gutmann-center(a)wu.ac.at Phone: +43-1-31336-4244 CONTACT AND FURTHER INFORMATION: WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien) - Department of Finance, Accounting and Statistics Mag. Dorothea GRIMM www.gutmann-center.at

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[VFN] Market Microstructure Confronting Many Viewpoints - 10th to 13th December 2012 Paris
by Cyril Armange 14 Nov '12

14 Nov '12

<http://caleis.fr/ilb/mms2012/savethedate/images/header.png> <http://caleis.fr/ilb/mms2012/savethedate/images/visu.jpg> Dear Colleague, After the success of the first edition of "Market Microstructure: confronting many viewpoints" in December 2010, we have decided to organize the second edition, again in Paris, from Monday 10th of December, 2012 to Thursday the 13th. <http://caleis.fr/ilb/mms2012/savethedate/images/hr.png> We believe that an important aspect of this success was the cross-disciplinary nature of the conference that we will again heavily rely on this time around. Well known experts from various fields (finance, econometrics; computer science and (econo-)physics), coming from academic institutions, government agencies, banks and hedge funds, have accepted to come and confront their ideas about several important issues that appeared in the last few years. These include both theoretical and practical problems, ranging from execution costs and price impact to high-frequency data, high-frequency trading and market stability. HIGHLIGHTS Themes - Microstructure - Market Impact - Market Design/Regulation - Data Analysis Among the speakers - KYLE Albert, University of Maryland - HENDERSHOTT Terrence, University of California - LIONS Pierre-Louis, Collège de France - HASBROUCK Joel, Stern School of Business, New York University View program <http://market-microstructure.institutlouisbachelier.org/> Learn more about this event Information about the details of the conference, the list of confirmed speakers and a preliminary program... <http://caleis.fr/ilb/mms2012/savethedate/images/hr.png> We strongly believe that this event will be as exciting as the previous one, and trust that your participation is a key ingredient to this success. Best regards, The organization committee F Abergel, JP Bouchaud, Th Foucault, C. Lehalle and M Rosenbaum <http://www.institutlouisbachelier.org/> Cyril Armange Head of Project --------------- Institut Louis Bachelier Palais Brongniart 28, place de la Bourse 75002 Paris Tél: +33 1 73 01 93 40 Fax: +33 1 73 01 93 28 Web: cyril.armange(a)institutlouisbachelier.org <http://www.institutlouisbachelier.org/cgi-bin/viewimg?k=209144511&r=1889553 26>

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[VFN] Ausschreibung Projektstelle
by Susanna Hammer 22 Oct '12

22 Oct '12

Sehr geehrte Damen und Herren, ich möchte Sie auf folgende Stellenausschreibung an der Technischen Universität hinweisen: 1 Stelle für eine/n vollbeschäftigte/n Projektassistenten/in (40 Wochenstunden) am Institut für Managementwissenschaften, Fachbereich Finanzwirtschaft und Controlling, ehestmöglich bis 30. September 2014, Gehaltsgruppe B1 Das monatliche Mindestgehalt für diese Verwendung beträgt derzeit EUR 2.532,00 brutto (14x jährlich). Aufgrund tätigkeitsbezogener Vorerfahrungen kann sich das Entgelt erhöhen. Aufnahmebedingungen: abgeschlossenes Magister-, Diplom-, Masterstudium der Fachrichtung Wirtschaftsingenieurwesen Maschinenbau, Wirtschaftsinformatik, Betriebswirtschaftslehre oder Mathematik Sonstige Kenntnisse: gute Kenntnisse der Finanzwirtschaft, insbesondere der Ökonometrie und des aktiven Portofoliomanagements Bewerbungsfrist: bis 7. November 2012 Bewerbungen schriftlich oder per E-Mail (rene.fuchs(a)tuwien.ac.at <mailto:rene.fuchs@tuwien.ac.at>) an die Personaladministration, Fachbereich wiss. Personal der Technischen Universität Wien, Karlsplatz 13, 1040 Wien. Die Bewerber und Bewerberinnen haben keinen Anspruch auf Abgeltung angefallener Reise- und Aufenthaltskosten, die aus Anlass des Aufnahmeverfahrens entstanden sind. -- Mit besten Grüßen / best regards Susanna Hammer Office Management Technische Universität Wien Vienna University of Technology Institut für Managementwissenschaften Institute of Management Science Bereich Finanzwirtschaft und Controlling Department Finance and Corporate Control Theresianumg. 27 A - 1040 Wien/Vienna Austria Tel +43 1 58801 33006 Fax +43 1 58801 33096 susanna.hammer(a)tuwien.ac.at http://www.imw.tuwien.ac.at/fc/home/ DVR 0005886 ----------------------

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[VFN] REMINDER: Oct 10: WU Gutmann Center Public Lecture with Stefan NAGEL: “GREAT EXPECTATIONS, BIG DISAPPOINTMENTS: CYCLES IN SUBJECTIVE ASSET RETURN EXPECTATIONS”
by Grimm, Dorothea 04 Oct '12

04 Oct '12

INVITATION The WU Gutmann Center cordially invites you to the forthcoming WU GUTMANN CENTER PUBLIC LECTURE www.gutmann-center.at (apologies for duplicated mails!) **************************************************************************** Date: OCTOBER 10 (Wednesday), 2012 - 4:00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Stefan NAGEL, Graduate School of Business, Stanford University http://faculty-gsb.stanford.edu/nagel/ Title: “GREAT EXPECTATIONS, BIG DISAPPOINTMENTS: CYCLES IN SUBJECTIVE ASSET RETURN EXPECTATIONS” ABSTRACT: Recurrent boom/bust episodes in financial markets and the macroeconomy are challenging for economists to explain. In this talk, I discuss research that examines micro data on portfolio choice and subjective expectations to uncover potential drivers of these boom/bust cycles. A variety of empirical patterns in household asset allocation and in subjective expectations about future stock returns, house prices, and inflation suggest a common underlying expectations-formation mechanism that we label "learning from experience": While individuals continuously refine their forecasts in light of new data, they draw primarily on their own life-time experiences rather than all available historical data in forming their expectations. As a result, memory of past macroeconomic events is gradually lost over time. Extrapolation from life-time experiences generates to pro-cyclical asset return expectations, where rising asset prices fuel optimism, and downturns generate pessimism. ABOUT STEFAN NAGEL: Stefan Nagel is an Associate Professor of Finance at Stanford University's Graduate School of Business. He has won various awards and fellowships, among them the Smith-Breeden Prize of the American Finance Association for the best paper in the Journal of Finance in 2004 and the Fama/DFA prize for the best asset pricing paper in the Journal of Financial Economics in 2006 (first prize) and 2010 (second prize). He is a Research Associate at the National Bureau of Economic Research, a Research Fellow at the Centre for Economic Policy Research, an Associate Editor of the Journal of Finance and the Review of Finance, and a former Associate Editor of the Review of Financial Studies. Professor Nagel received his PhD from the London Business School in 2003, and he had been a visiting doctoral student at MIT. Before joining the Stanford GSB in 2004, he spent a year as a lecturer at Harvard University. **Please REGISTER**: Mail: gutmann-center(a)wu.ac.at Phone: +43-1-31336-4244 CONTACT AND FURTHER INFORMATION: WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien) - Department of Finance, Accounting and Statistics Mag. Dorothea GRIMM www.gutmann-center.at

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[VFN] Lecturer in Probability
by Goran Peskir 28 Sep '12

28 Sep '12

Lecturer in Probability School of Mathematics, The University of Manchester Closing date: 19 October 2012 Further particulars: http://www.maths.manchester.ac.uk/info/vacancies.html

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[VFN] INVITATION: October 10: WU Gutmann Center Public Lecture with Stefan NAGEL: “GREAT EXPECTATIONS, BIG DISAPPOINTMENTS: CYCLES IN SUBJECTIVE ASSET RETURN EXPECTATIONS”
by Grimm, Dorothea 21 Sep '12

21 Sep '12

INVITATION The WU Gutmann Center cordially invites you to the forthcoming WU GUTMANN CENTER PUBLIC LECTURE www.gutmann-center.at (apologies for duplicated mails!) **************************************************************************** Date: OCTOBER 10 (Wednesday), 2012 - 4:00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Stefan NAGEL, Graduate School of Business, Stanford University http://faculty-gsb.stanford.edu/nagel/ Title: “GREAT EXPECTATIONS, BIG DISAPPOINTMENTS: CYCLES IN SUBJECTIVE ASSET RETURN EXPECTATIONS” ABSTRACT: Recurrent boom/bust episodes in financial markets and the macroeconomy are challenging for economists to explain. In this talk, I discuss research that examines micro data on portfolio choice and subjective expectations to uncover potential drivers of these boom/bust cycles. A variety of empirical patterns in household asset allocation and in subjective expectations about future stock returns, house prices, and inflation suggest a common underlying expectations-formation mechanism that we label "learning from experience": While individuals continuously refine their forecasts in light of new data, they draw primarily on their own life-time experiences rather than all available historical data in forming their expectations. As a result, memory of past macroeconomic events is gradually lost over time. Extrapolation from life-time experiences generates to pro-cyclical asset return expectations, where rising asset prices fuel optimism, and downturns generate pessimism. ABOUT STEFAN NAGEL: Stefan Nagel is an Associate Professor of Finance at Stanford University's Graduate School of Business. He has won various awards and fellowships, among them the Smith-Breeden Prize of the American Finance Association for the best paper in the Journal of Finance in 2004 and the Fama/DFA prize for the best asset pricing paper in the Journal of Financial Economics in 2006 (first prize) and 2010 (second prize). He is a Research Associate at the National Bureau of Economic Research, a Research Fellow at the Centre for Economic Policy Research, an Associate Editor of the Journal of Finance and the Review of Finance, and a former Associate Editor of the Review of Financial Studies. Professor Nagel received his PhD from the London Business School in 2003, and he had been a visiting doctoral student at MIT. Before joining the Stanford GSB in 2004, he spent a year as a lecturer at Harvard University. **Please REGISTER**: Mail: gutmann-center(a)wu.ac.at Phone: +43-1-31336-4244 CONTACT AND FURTHER INFORMATION: WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien) - Department of Finance, Accounting and Statistics Mag. Dorothea GRIMM www.gutmann-center.at

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[VFN] Call for Papers WU Gutmann Center Symposium 2013: "Sovereign Credit Risk and Asset Management"
by Grimm, Dorothea 19 Sep '12

19 Sep '12

CALL FOR PAPERS / CONFERENCE ANNOUNCEMENT (apologies for cross-postings!) WU GUTMANN CENTER SYMPOSIUM 2013 "SOVEREIGN CREDIT RISK AND ASSET MANAGEMENT" JUNE 11, 2013 WU Gutmann Center for Portfolio Management WU (Vienna University of Economics and Business), Austria www.gutmann-center.at ******************************************************************************** The WU Gutmann Center for Portfolio Management is proud to announce its seventh symposium to be held at WU (Vienna University of Economics and Business), Austria. The general topic of the symposium is "Sovereign Credit Risk and Asset Management". Papers submitted to the symposium can address but are not restricted to the following TOPICS: - Measuring and managing sovereign credit risk - The implications of sovereign credit risk for asset management - Sovereign credit risk and the banking sector - Sovereign credit risk and prudential regulation - The role of rating agencies - Sovereign credit risk contagion - Currency unions - The political economics of sovereign credit risk PAPER SUBMISSION: Papers should be submitted by email (in Acrobat PDF) NOT LATER THAN DECEMBER 15, 2012 to the following address: E-mail: gutmann-center(a)wu.ac.at CONTACT: WU Gutmann Center for Portfolio Management Dorothea Grimm WU (Vienna University of Economics and Business) Heiligenstädter Straße 46-48, 1190 Wien (Vienna), Austria Phone: +43-1-31336-4244 E-mail: gutmann-center(a)wu.ac.at - Web: http://www.gutmann-center.at/ All submissions will be reviewed by a committee composed of members of the WU Gutmann Center's Academic Advisory Board and decisions will be announced by March 15, 2013. Submission and participation are free of charge. Accommodation and travel expenses (economy fare) of presenting authors will be covered by the WU Gutmann Center.

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[VFN] Reminder___JOB OFFER WU - Assistant Professor for Finance
by Fuchs, Daniela 03 Sep '12

03 Sep '12

ASSISTANT PROFESSOR FOR FINANCE WU (Vienna University of Economics and Business) is currently inviting applications for the position of an ASSISTANT PROFESSOR (tenure track) in Professor Josef Zechner`s group at the Institute for Finance, Banking and Insurance (www.wu.ac.at/finance<http://www.wu.ac.at/finance>). RESPONSIBILITIES: Teaching (Bachelor and Master): Finance; Research in Professor Josef Zechner's group in one or several of the following areas: Asset Management, Corporate Finance, Asset Pricing, Banking. REQUIREMENTS: Doctoral Degree in Economics or Business Administration or equivalent qualification; Research experience in one of the following areas of financial economics: Corporate Finance, Asset Management, Asset Pricing, Risk Management, Banking, or in a related field, e.g. Decision Theory, Corporate Governance, Game Theory. Teaching experience. Apply using reference number 2079 until September 12,2012 at http://www.wu.ac.at/jobs where a full description of tasks and requirements can be found.

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[VFN] JOB OFFER WU - Assistant Professor for Finance
by Fuchs, Daniela 20 Jul '12

20 Jul '12

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[VFN] Save the Date: Solvency II Symposium am 27. September 2012
by Cech, Christian 16 Jul '12

16 Jul '12

Sehr geehrte Damen und Herren, die Fachhochschule des bfi Wien lädt herzlich zum "Solvency II Symposium" am 27. September 2012 ab 14:00 Uhr ein. Zu Beginn werden ExpertInnen der FH des bfi Wien, der FMA, der KPMG etc. Vorträge zu ausgewählten Themen von Solvency II halten. Ab 18:00 Uhr gibt es eine Podiumsdiskussion mit dem Präsidenten der österreichischen Aktuarvereinigung Christoph Krischanitz, dem Vorstand der Allianz Mag. Werner Müller, dem stellvertretenden Abteilungsleiter der FMA Mag. Andreas Hell, dem Leiter für Finanzen und Wirtschaft beim Versicherungsverband Mag. Rudolf Diewald und einem Vertreter von KPMG. Anschließend möchten wir Sie herzlich zum Buffet einladen. Wir ersuchen Sie, den Tag in Ihrem Terminkalender vorzumerken. Das detaillierte Programm erhalten Sie im August. Bei Rückfragen wenden Sie sich bitte an Dipl. Vw. Michael Jeckle (michael.jeckle(a)fh-vie.ac.at). Mit freundlichen Grüßen, Ihre FH des bfi Wien

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[VFN] WG: 27. Workshop
by office＠bwg.at 06 Jul '12

06 Jul '12

Die Austrian Working Group on Banking and Finance (AWG) der Österreichischen Bankwissenschaftlichen Gesellschaft veranstaltet gemeinsam mit der Universität Innsbruck, Institut für Banken und Finanzen, den 27. WORKSHOP First CALL for PAPERS Der Workshop findet am Freitag, dem 23. November 2012, nachmittags, und am Samstag, dem 24. November 2012, vormittags, an der Universität Innsbruck statt. Bezüglich der Themen ist keine Einschränkung vorgesehen. Papers oder Extended Abstracts (ca. zwei Seiten) können bis spätestens 15. Oktober 2012 bei o.Univ.-Prof. Dr. Matthias Bank, Institut für Banken und Finanzen, Universität Innsbruck, Universitätsstrasse 15, A-6020 Innsbruck, oder e-mail: Matthias.Bank(a)iubk.ac.at eingereicht werden. Um den angestrebten Workshop-Charakter der Veranstaltung zu fördern, können Papers durch einen Discussant besprochen werden. Jene Teilnehmer, die eine solche Vorgangsweise wünschen, werden gebeten, ihr Manuskript bis 1. Oktober 2012 einzureichen. Ziele: Schaffen eines österreichweiten Diskussionsforums für theoretische und empirische Forschungsarbeiten auf dem Gebiet des Bankwesens und der Finanzwirtschaft. Förderung der Zusammenarbeit innerhalb der Hochschulen und der Zusammenarbeit mit der Praxis. Teilnehmer: Angesprochen sind sowohl der wissenschaftliche Nachwuchs an allen österreichischen Universitäten und verwandten Institutionen der Forschung als auch Praktiker in Kreditinstituten und Finanzabteilungen von Unternehmen. Schwerpunkte (Auswahl): Arbitrage Pricing – Behavioural Finance - Capital Market Theory – Capital Requirements of Financial - Commercial Banking – Contingent Claims Analysis – Corporate Finance – Financial Innovations – Financial Markets Research – Intermediaries – International Banking and Finance – Investment Banking – Options and Futures – Performance Measurement – Portfolio Management – Risk Management – Security Analysis.

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[VFN] Postdoctoral Positions in Math Finance in Berlin
by Ulrich Horst 29 Jun '12

29 Jun '12

-------- POSTDOCTORAL POSITION IN MATH FINANCE IN BERLIN --------------------- Dear Colleagues and friends, Humboldt-Universität zu Berlin and Technische Universität Berlin invite applications for two Postdoctoral/Doctoral Positions in Mathematical Finance/Economics. The positions are funded jointly by the DFG Research Center Matheon, Humboldt-Universität and Technische Universität. Tasks: Candidates will develop and analyze mathematical models for illiquid financial markets. They will be offered the opportunity of collaborating with the Quantitative Research Group of Cheuvreux, the brokerage arm of Credit Agricole. This includes, but is not limited to, the opportunity of a long-term internship with Cheuvreux in Paris. Requirements: Successful candidates for the postdoctoral (doctoral) positions will hold a PhD (Msc, Diploma) in Mathematics, Business Mathematics or Mathematical Economics with an excellent background in Probability Theory, Financial Mathematics, Optimization or Economic Theory. A strong interest in applied research in financial mathematics is expected. We offer competitive salaries, commensurate with seniority and research record. The initial appointment for postdoctoral (doctoral) students will be for two (three) years, with continuation for another year upon performance and availability of funding. The starting date is flexible. Applicants should send a CV including a list of publications, preprints, reprints, statement of research interests and arrange for three (two) letters of recommendation. Applications should e-mailed to either one of us no later than July 20, 2012: mailto:bank@math.tu-berlin.de or mailto:horst@math.hu-berlin.de Kind regards, Peter Bank and Ulrich Horst Postdoctoral Position http://www.qfl-berlin.com/newsletter/postdoctoral-position

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[VFN] STELLENANZEIGE: hauptberuflicher Vortragender/hauptberuflich Vortragende (Senior Lecturer)
by Fuchs, Daniela 19 Jun '12

19 Jun '12

HAUPTBERUFLICHE/R VORTRAGENDE/R (SENIOR LECTURER) Im DEPARTMENT FÜR FINANCE, ACCOUNTING AND STATISTICS ist ab sofort bis 31. Dezember 2014 eine Stelle für einen hauptberuflichen Vortragenden/eine hauptberufliche Vortragende post doc (Senior Lecturer) (Angestellte/r gemäß Kollektivvertrag für die Arbeitnehmer/innen der Universitäten, monatliches Entgelt: 3.381,70 € brutto) vollbeschäftigt zu besetzen. Wir weisen Sie darauf hin, dass der WU-Personalentwicklungsplan für hauptberufliche Vortragende grundsätzlich eine maximale Befristungsdauer von sechs Jahren vorsieht. AUFGABENGEBIET: Durchführung von Lehrveranstaltungen im Bachelorstudium in den Spezialisierungen (SBWLs) Finance und/oder Accounting (gesamt max. 8 – 10 Semesterwochenstunden); Planung, Weiterentwicklung, Organisation der SBWLs Finance und Accounting inkl. Bedarfsanalyse sowie Kapazitäts- und Lehrveranstaltungsplanung; inhaltliche und organisatorische Abstimmung der SBWLs innerhalb der Bachelor-Programme der WU; Koordination von externen und internen Lehrenden dieser SBWLs; Zentrale Mitwirkung bei allen Agenden des Qualitätsmanagements in der Lehre des Departments; Organisation der im Department zentral erfolgenden Vergabe der Bachelorarbeiten inkl. Qualitätssicherung in der Betreuung, Unterstützung der wiss. Mitarbeiter/innen in der Themenerstellung, Bedarfsplanung und –kontrolle, Monitoring der dem Department in diesem Bereich vorgegebenen Ziele Eigenständige Betreuung von Bachelorarbeiten; Aufbau und Weiterentwicklung (fach-)didaktischer Expertise NOTWENDIGE KENNTNISSE UND QUALIFIKATIONEN: Abgeschlossenes Doktoratsstudium mit fachlicher Ausrichtung in den Bereichen Finance und/oder Accounting Erfahrungen in der Lehre an tertiären Bildungseinrichtungen (Universitäten, Fachhochschulen, etc.) Ausgeprägte Team-, Kommunikations- und Organisationsfähigkeit ERWÜNSCHTE KENNTNISSE UND QUALIFIKATIONEN: Fachdidaktische Qualifikation Kennzahl: 2042 Ende der Bewerbungsfrist: 4. Juli 2012 Bewerbung unter www.wu.ac.at/jobs<http://www.wu.ac.at/jobs> Daniela Fuchs Office Finance Institute for Finance, Banking and Insurance Department of Finance, Accounting and Statistics WU Wirtschaftsuniversität Wien Vienna University of Economics and Business Heiligenstädter Straße 46-48, A - 1190 Wien, Austria [T] 01/31336/4691 [F] 01/31336/904691 [E] daniela.fuchs(a)wu.ac.at<mailto:daniela.fuchs@wu.ac.at>

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[VFN] Young Researcher Workshop Berlin
by Ulrich Horst 23 May '12

23 May '12

-------- 4TH BERLIN WORKSHOP ON MATHEMATICAL FINANCE FOR YOUNG RESEARCHERS --- Dear Colleague, we are pleased to send you the second announcement of the upcoming 4th Berlin Workshop on Mathematical Finance for Young Researchers, October 11-13, 2012. The workshop provides a forum for PhD students, postdoctoral researchers and young faculty members from all over the world to discuss their research in an informal atmosphere. Keynote lectures will be given by Freddy Delbaen (Zurich) Rüdiger Frey (Vienna) Steven Shreve (Pittsburgh) We also invite up to 15 contributed papers from young researchers. Accommodation expenses for speakers will be covered. The closing date for submissions to mailto:finance@math.hu-berlin.de is June 15th, 2012. Notification of acceptance will be sent by July 15th, 2012. Please visit http://www.qfl-berlin.de/workshop2012 for further information and (required) registration. Please forward this announcement to interested students. With our best regards, Jana Bielagk, Selim Gökay, Christoph Mainberger Peter Bank, Peter Friz, Ulrich Horst, Michael Kupper Young Researcher Workshop Berlin newsletter http://www.qfl-berlin.com/newsletter/young-researcher-workshop-berlin-newsl…

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[VFN] 2nd Int. Conference on Energy and Commodities, Vienna, Sept. 17-19, 2012
by Peter Laurence 14 May '12

14 May '12

------------------------------------------------------------------------ On September 17-19-th, 2012, WPI Vienna will host the 2nd International Conference on Energy and Commodities ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ The registration is free but mandatory, up to 2 weeks prior to the event. Confirmed speakers, so far, include: Rene' Aid, Electricite' de France Ole Barndorff-Nielsen, Aarhus University Matt Davidson, Kyloe Energy Emanuel Gobet, Ecole Polytechnique, Paris Ruediger Kiesel, Lehrstuhl, Duisburg Delphine Lautier, Paris-Dauphine Brenda-Lopez Cabrera, Humboldt University, Berlin Peter Tankov, Ecole Polytechnique, Paris Xavier Warin, Electricite de France, Paris The organizers are: Rene Aid, Fred Benth, Valery Kholodnyi, Peter Laurence, Almut Veraart The conference is co-funded by WPI - Wolfgang Pauli Institut, Electricite de France, Verbund, Austria. Registration, via email to: laurenceWPI(a)gmail.com Updates will be posted at http://www.math.nyu.edu/~laurence/Wpi/vienna-Energy-bis.htm (--> Conference II) The organizers invite the submission of CONTRIBUTED TALKS.

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