AUSTRIAN WORKING GROUP ON BANKING AND FINANCE
9. Workshop, Wien, 17.-18. Jaenner 1997
Veranstaltungsort:
Gartenhotel Altmannsdorf, Hoffingergasse 26-28, 1120 Wien
Anmeldungen (unter Angabe der ueblichen Daten) bitte an:
spichler(a)pop.tuwien.ac.at
Vorlaeufiges Programm (Aenderungen vorbehalten):
Freitag, 17. Jaenner:
Session 1:
Stoughton, N. / Zechner, J.:
IPO-Mechanisms, Monitoring and Ownership Structure
Bogner, S.:
Betriebliche Investitions-, Finanzierungs- und
Versicherungsentscheidung unter adverser Selektion
Session 2:
Boeheim, R. / Boss M.:
Consumption Based Capital Asset Pricing and the Austrian Stock
Exchange
Session 3:
Brandner, P.:
Auktionstechniken zur Emission der Bundesanleihen
Gruenbichler, A. / Rudolf, M.:
Optimale Strukturierung der Finanzschuld der Republik Oesterreich
ueber verschiedene Waehrungen
Gemeinsames Abendessen in Anschluss an den Workshop
Samstag, 18. Jaenner
Session 4:
Biasin, M.:
Sinnhaftigkeit und Aussagekraft des Cash-Flow Statement italienischer
Banken
Casey, C.:
Moeglichkeiten der Objektivierung des risikoangepassten
Kalkulationszinsfusses in der Praxis der Unternehmensbewertung
Session 5:
Schaefer, G.:
Fixed-Rate versus Fairly Priced Deposit Insurance in Equilibrium:
Structural Effects and Bank Stability
Aussenegg, W. / Pichler, S.:
Empirical Evaluation of Simple Methods to Calculate Value-at-Risk of
Fixed-Income Instruments
=========================================================================
EINLADUNG
zum Wirtschaftstheoretischen Forschungsseminar der Wiener
Universit=E4ten gemeinsam mit dem Institut f=FCr H=F6here Studien und der
National=F6konomischen Gesellschaft
5. Dezember 1996
16.00 Uhr:
Winand Emons (Universit=E4t Bern)
"Expertise, Contingent Fees, and Excessive Litigation"
17.30 Uhr:
Thomas GEHRIG (Universit=E4t Basel)
"Excessive Risks and Banking Regulation"
Ort: Institut f=FCr H=F6here Studien, Stumpergasse 56, 1060 Wien,
H=F6rsaal II
Papers zu den Vortr=E4gen liegen (soweit vorhanden) im Sekretariat des
Instituts f=FCr Wirtschaftswissenschaften, Hohenstaufengasse 9, 1010
Wien, 5. Stock, am IHS (Abteilung =D6konomie) und im BWZ, Lehrstuhl Cleme=
nz,
Sekretariat Fr. Kellner, auf.
Die n=E4chsten Vortr=E4ge finden voraussichtlich am 16. J=E4nner und am 23=
.
J=E4nner 1997 statt.
Egbert Dierker
=========================================================================
>From compfin(a)cse.ogi.edu Sun Mar 19 17:27:57 2000
Date: Tue, 26 Nov 1996 12:14:52 -0800 (PST)
>From: Computational Finance <compfin(a)cse.ogi.edu>
To: devfinance(a)lists.acs.ohio-state.edu, corryfee(a)mundo.eco.utexas.edu,
scelist(a)mundo.eco.utexas.edu, csemlist(a)mundo.eco.utexas.edu,
snde_l(a)email.rutgers.edu, comp_finance(a)teleport.com,
economics <majordomo@mundo>, finance(a)vm.temple.edu,
listserve(a)templevm.bitnet
Subject: Computational Finance at the Oregon Graduate Institute
Status: RO
X-Status:
X-Keywords:
X-UID: 218
=======================================================================
COMPUTATIONAL FINANCE at the Oregon Graduate Institute of
Science & Technology (OGI)
Masters of Science Concentrations in
Computer Science & Engineering (CSE)
Electrical Engineering (EE)
Now Reviewing MS Applications for Fall 1997!
Early Decision Deadline: January 15 (Decisions by February 15)
Final Deadline: March 15 (Decisions by April 15)
New! Certificate Program Designed for Part-Time Students.
For more information,
call the OGI Office of Admissions (503)690-1027, or visit
http://www.cse.ogi.edu/CompFin/
=======================================================================
Computational Finance Overview:
Advances in computing technology now enable the widespread use of
sophisticated, computationally-intensive analysis techniques applied
to finance and financial markets. The real-time analysis of
tick-by-tick financial market data, and the real-time management
of portfolios of thousands of securities is now sweeping the
financial industry. This has opened up new job opportunities for
scientists, engineers, and computer science professionals in the
field of Computational Finance.
The strong demand within the financial industry for technically-
sophisticated graduates is addressed at OGI by the Masters of
Science and Certificate Programs in Computational Finance. Unlike
a standard two year MBA, the programs are directed at training
scientists, engineers, and technically-oriented financial professionals
in the area of quantitative finance.
The Masters programs lead to a Master of Science in Computer Science
and Engineering (CSE track) or in Electrical Engineering (EE track).
The MS programs can be completed within 12 months on a full time
basis. In addition, OGI has introduced a Certificate program
designed to allow professionals in engineering and finance a way
of acquiring skills or upgrading their skills in quantitative finance
on a part-time basis.
The Computational Finance MS concentrations feature a unique
combination of courses that provide a solid foundation in finance
at a non-trivial, quantitative level, plus training in the essential
core knowledge and skill sets of computer science or the information
technology areas of electrical engineering. These skills are
important for advanced analysis of markets and for the development
of state-of-the-art investment analysis, portfolio management,
trading, derivatives pricing, and risk management systems.
The MS in CSE is ideal preparation for students interested in
securing positions in information systems in the financial industry,
while the MS in EE provides rigorous training for students interested
in pursuing careers as quantitative analysts at leading-edge
financial firms.
The curriculum is strongly project-oriented, using state-of-the-art
computing facilities and live/historical data from the world's
major financial markets provided by Dow Jones Telerate. Students
are trained in using high level numerical and analytical packages
for analyzing financial data.
OGI has established itself as a leading institution in research
and education in Computational Finance. Moreover, OGI has very
strong research programs in a number of areas that are highly
relevant for work in quantitative analysis and information systems
in the financial industry.
-----------------------------------------------------------------------
Admissions
-----------------------------------------------------------------------
Applications for entrance into the Computational Finance MS programs
for Fall Quarter 1997 are currently being considered. The deadlines
for receipt of applications are:
January 15 (Early Decision Deadline, decisions by February 15)
March 15 (Final Deadline, decisions by April 15)
A candidate must hold a bachelor's degree in computer science,
engineering, mathematics, statistics, one of the biological or
physical sciences, finance, econometrics, or one of the quantitative
social sciences. Candidates who hold advanced degrees in these
fields or who have experience in the financial industry are also
encouraged to apply.
Applications for the Certificate Program are considered on an
ongoing basis for entrance in any quarter.
----------------------------------------------------------------------
Contact Information
----------------------------------------------------------------------
For general information and admissions materials:
Office of Admissions
Oregon Graduate Institute
P.O.Box 91000
Portland, OR 97291-1000
E-mail: admissions(a)admin.ogi.edu
Phone: (503)690-1027
WWW: http://www.cse.ogi.edu/CompFin/
For special inquiries:
E-mail: compfin(a)cse.ogi.edu
======================================================================
------------------------------------------------------------------
Dr. Andrea Gaunersdorfer
Department of Business Administration
University of Vienna Tel.: +43-1-29 1 28-466
Bruenner Strasse 72 FAX: +43-1-29 1 28-464
A - 1210 Wien e-mail: gauner(a)finance2.bwl.univie.ac.at
VSX WORKSHOP
Einladung zum
Vortrag
von
Professor Bryan R. Routledge,
Carnegie Mellon University
mit dem Thema ueber
"Adaptive Learning and Financial Markets"
am Donnerstag, 19. Dezember 1996, 15.30 - 17.00 Uhr
im Seminarraum 2 des Betriebswirtschaftlichen Zentrums
der Universitaet Wien, Bruenner Strasse 72, 1210 Wien.
=========================================================================
****************************************************************
* To post a message, send it to OWNER-SNDE_L(a)EMAIL.RUTGERS.EDU *
* To leave the list, send the message UNSUBSCRIBE SNDE_L *
* to MAJORDOMO(a)EMAIL.RUTGERS.EDU *
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****************************************************************
----------
Dear Colleague:
Below is a call for papers for a Computational Economics
conference I am hosting next summer here at Hoover. Please
circulate it among your colleagues. Also, note the
items of special interest below for your graduate students.
Thanks,
Ken Judd
P.S. Please excuse multiple messages; I am using many lists.
*****************************************************************
*********************************************************
****** CALL FOR PAPERS ******
Society for Computational Economics
announces the
Third International Conference
on
"COMPUTING IN ECONOMICS AND FINANCE"
Stanford, CA, June 30 - July 2, 1997
The Third International Conference on Computing in Economics and
Finance, organized under the auspices of the Society for
Computational Economics, will be held at the HooverInstitution at
Stanford University from June 30 through July 2, 1997. We invite
participation from all branches of economics and finance, and
related areas in computer science, operations research, statistics,
and mathematics, in both the academic and business worlds.
Presentations will cover both quantitative and empirical methods
for economics and finance including, but not limited to, optimization,
linear and nonlinear equations, computationally intensive statistical
methods, option pricing, CGE modelling, neural networks, agent-based
economics, rational expectations modelling, computation of Nash
equilibrium, variational inequalities, genetic algorithms, simulation
methods, automatic differentiation, Bayesian methods, databases,
network economics, option pricing, and artificial intelligence.
Those unacquainted with the SCE and this conference series should
consult the web page http://www.unige.ch/ce/ce96/ which describes the
program from the Second International Conference on Computing in
Economics and Finance held in Geneva, Switzerland, in June, 1996,
or the page http://www.unige.ch/ce/austin/ which describes the
program from the previous meeting held in Austin, Texas, in 1995.
Individuals who wish to present papers should submit
abstracts or finished papers to:
Kenneth L. Judd
Hoover Institution
Stanford, CA. 94305
judd(a)hoover.stanford.edu.
415-723-1687 (fax)
Electronic submissions in ASCII, TeX, and LaTeX formats
are encouraged, but ordinary paper (by mail or fax) is fine.
Deadline for submissions: February 15, 1997.
=====================================================
CONFERENCE WEB PAGE:
Visit us at http://bucky.stanford.edu/cef97/ for
up-to-date information on the program, accomodations,
and local attractions.
======================================================
Following are some special program notes:
CURRENTLY PLANNED PLENARY TALKS:
"Solution Methods for Equations"
Curtis Eaves, Stanford EES/OR Department
Panel Discussion on "The Teaching of Computational Economics"
Ken Judd (Hoover Institution)
David Kendrick (University of Texas)
Mario Miranda (Ohio State University)
"Computational Economics in Practice in the
Telecommunications Industry"
Louis F. Pau, (Ericsson Utvecklings AB and
Technical University of Denmark)
GRADUATE STUDENT POSTER SESSION:
In an effort to encourage graduate student participation, there will
be a poster session for graduate students to present their
work-in-progress.
There will also be some financial aid for graduate student participants;
contact Ken Judd for details.
GRADUATE STUDENT PRIZE:
The Society for Computational Economics is offering three $1,000
prizes for outstanding papers by graduate students. A description of
that prize is available at http://bucky.stanford.edu/cef97/
PROGRAM COMMITTEE:
Ken Judd, Hoover Institution, General Chairman
Hans Amman, University of Amsterdam
Kit Baum, Boston College
Dave Belsley, Boston College
Chris Birchenhall, University of Manchester
Dee Dechert, University of Wisconsin
John Duffy, University of Pittsburgh
Larry Eisenberg, The Risk Engineering Company
Manfred Gilli, University of Geneva
Bill Goffe, University of Southern Mississipi
Seth Greenblatt, University of Reading
Steve Hall, Imperial College
David Kendrick, University of Texas
Mario Miranda, Ohio Statue University
Anna Nagurney, University of Massachusetts
Louis Pau, Ericsson Utvecklings AB and Technical University of Denmark
Ken Pearson, Monash University
John Rust, Yale University
Berc Rustem, Imperial College
Tom Sargent, Hoover Insitution
Leigh Tesfatsion, Iowa State
Charles Tapiero, ESSEC
Peter Tinsley, U.S. Federal Reserve Bank, Washington, D.C.
Andy Whinston, University of Texas
=========================================================================
EINLADUNG zum
Wirtschaftstheoretischen Forschunngseminar
7. November 1996
16.00 Uhr
Philip Han FRANSES (Erasmus University Rotterdam)
"Modelling Seasonality In Economic Time Series"
17.30 Uhr
Konrad PODCZECK (Universit=E4t Wien)
"Gleichgewichtstheorie mit unendlich vielen G=FCtern"
21. November 1996
16.00 Uhr
Stefan KRASA (University of Illinois)
"Enforcement in Differential Information Economies"
17.30 Uhr
Henry TULKENS (CORE, Louvain-La-Neuve)
"Cooperation vs. Free Riding in International Environmental Affairs"
Die Vortr=E4ge finden im Institut f=FCr H=F6here Studien, Stumpergasse 56,=
1060 Wien, H=F6rsaal II, statt.
Egbert Dierker
Institut f=FCr Wirtschaftswissenschaften
Hohenstaufengasse 9, 1010 Wien
OEKONOMETRISCHES FORSCHUNGSSEMINAR
(M. Deistler, R. Alt, R. Kunst)
Donnerstag, 31. Oktober 1996
R. BOEHEIM und M. BOSS
(IHS)
Consumption Based Capital Asset Pricing und der Wiener Aktienmarkt
Abstract:
In einem einflussreichen Artikel aus dem Jahre 1985 beschreiben Mehra
und Prescott das sogenannte Equity Premium Puzzle. In diesem Artikel
versuchen die Autoren die empirisch beobachtete Risikopraemie
(durchschnittlicher Return am Aktienmarkt minus dem risikolosen Zinssatz)
am New Yorker Aktienmarkt mittels eines einfachen Consumption Based
Capital Asset Pricing Modells (C-CAPM) zu erklaeren. Das C-CAPM ist
ein Gleichgewichtsmodell, das auf den Annahmen vollstaendiger Konkurrenz
und friktionsfreier Maerkte beruht. Mehra und Prescott kommen zu dem
Schluss, dass die von ihrem Modell generierten Risikopraemien viel
zu klein sind, um die empirisch beobachteten zu erklaeren und bezeichnen
dies als das Equity Premium Puzzle.
In diesem Vortrag wird zunaechst das allgemeine C-CAPM vorgestellt.
In der Folge werden Ergebnisse der Schaetzung dreier verschiedener
C-CAPMs fuer den Wiener Aktienmarkt praesentiert. Das erste dieser
Modelle ist das urspruengliche Modell von Mehra und Prescott, das
zweite wurde von Rietz (1988) vorgestellt, der in das urspruengliche
Modell einen sogenannten Crash-Zustand einfuehrt und dadurch das
Equity Premium Puzzle loesen will. Das dritte Modell beinhaltet
zudem einen Zustand, in dem ueberdurchschnittlich hohe Returns,
wie sie am Wiener Aktienmarkt waehrend der 80er Jahre zu beobachten
waren, beruecksichtigt werden. Die Parameter dieser Modelle wurden
mit der Generalized Method of Moments (GMM) geschaetzt. Die von den
Modellen generierten Risikopraemien lassen den Schluss zu, dass das
von Mehra und Prescott beschriebene Equity Premium Puzzle auch am
Wiener Aktienmarkt besteht.
Literatur: BOEHEIM R. und M. BOSS, Consumption Based Capital Asset
Pricing and the Austrian Stock Exchange, Economic Series No. 29/May 96
Ort: HS II
Zeit: 9.00 Uhr c. t.
=========================================================================
Einladung
zum
Privatissimum
des Institutes fuer Betriebswirtschaftslehre
der Universitaet Wien
A-1210 Wien, Bruennerstrasse 72
Montag, 21. 10. 1996, 16:00
BWZ-Bruennerstrasse (Besprechungsraum Lehrstuhl Marketing, Zimmer
Nr. 156)
Professor Gerald Goodhart
''BRAND-LOYALTY VS STORE-LOYALTY''
This presentation outlines a methodology - based on the Dirichlet
model of buyer behaviour - for comparing brand and store loyalty. It
reports results concerning three frequently bougth products in the
UK. The main finding is that store-loyalty generally exceeds
brand-loyalty, although the difference is not great and varies by
product field.
=========================================================================
Einladung
zum
Privatissimum
des Institutes fuer Betriebswirtschaftslehre
der Universitaet Wien
A-1210 Wien, Bruennerstrasse 72
Montag, 21. 10. 1996, 16:00
BWZ-Bruennerstrasse (Besprechungsraum Lehrstuhl Marketing, Zimmer
Nr. 156)
Professor Gerald Goodhardt
"BRAND-LOYALTY VS STORE-LOYALTY"
=========================================================================
VSX WORKSHOPS
Einladungen
zu den
Vortraegen
von 15:30 - 17:00 im Hoersaal 8 des Betriebswirtschaftlichen
Zentrums der Universitaet Wien,
Bruenner Strasse 72, 1210 Wien.
Freitag, 25. 10. 1996
Professor Dieter Sondermann (Universitaet Bonn)
''Closed Form Solutions for Term Structure Derivatives with
Log-Normal Interest Rates''
Donnerstag, 31. 10. 1996
Professor William Perraudin (Birkbeck College, London)
''Real Options and Preemption''
Freitag, 15. 11. 1996
Professor Thierry Foucault (Universitaet Pompeu Fabra)
''Monitoring Incentives with Liquidity Shocks''
Freitag, 22. 11. 1996
Professor Espen Eckbo u. Karin Thorburn (Stockholm, School of Economics)
''Competition and State-Contingent Payoffs in Tender Offers''
''Corporate Restructurings under a Liquidation Code: Evidence from
Swedish Bankruptcies''
Freitag, 29. 11. 1996
Professor Eckhart Boehmer (Humboldt-Universitaet zu Berlin)
''Corporate Governance Strukturen in Deutschland''
=========================================================================