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[VFN] CHANGED: Mini course on June 16/17 at WPI, U. of Vienna
by Peter Laurence 12 Jun '11

12 Jun '11

The previously anounced mini-course by Peter Forsyth, on June 16 and 17 at WPI, U. of Vienna, has undergone major changes. Professor Forsyth had to cancel due to an INJURY (Friday 10/6). We managed to put together however an excellent new program same days, slightly different times. Due to the unforseen circumstances and enlarged scope of the conference we are accepting, even at this late stage,new registrations. To register write an email to: laurenceWPI(a)gmail.com Outline of new program follows: Thurs morning 10-12:30 Antoine Jacquier(Imperial College) Asymptotics in finance Thurs afternoon 14:30-16:30 Christian Bayer(Vienna): Computational Finance Friday morning & early aft: 10-12:30 and 14:00-16:00 Christof Riesinger: HJB equations and their numerical treatmentFriday late aft: 16:30-18:30 Christian Bayer: Computational Finance Further details will be posted as soon as possible at http://www.math.nyu.edu/~laurence/Wpi/vienna-Energy-bis.htm Best regards, Peter Laurence

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[VFN] Reminder: June 15: WU Gutmann Center Symposium 2011: Liquidity and Asset Management
by Grimm, Dorothea 31 May '11

31 May '11

Reminder: INVITATION / CONFERENCE ANNOUNCEMENT The WU Gutmann Center for Portfolio Management is proud to invite to its sixth symposium. WU GUTMANN CENTER SYMPOSIUM 2011: "LIQUIDITY AND ASSET MANAGEMENT" http://www.wu.ac.at/gc/whatwedo/bridging/symposia June 15, 2011 - 09:00-17:30 Venue: WU (Vienna University of Economics and Business) Festsaal, UZA 1, Augasse 2-6, 1090 Vienna PROGRAM 08:30 Registration 09:00-09:15 Welcome 09:15-10:45 SESSION I Chair: William F. Sharpe, Stanford University HOW DOES ILLIQUIDITY AFFECT DELEGATED PORTFOLIO CHOICE? Luis Goncalves-Pinto, University of Southern California Discussant: Neal Stoughton, UNSW Sydney THE DIMINISHING LIQUIDITY PREMIUM Azi Ben-Rephael, Tel Aviv University (joint with Ohad Kadan and Avi Wohl) Discussant: Yong Chen, Virginia Tech EVAPORATING LIQUIDITY Stefan Nagel, Stanford University Discussant: Miguel A. Ferreira, Universidade Nova de Lisboa 10:45-11:15 Coffee Break 11:15-12:45 SESSION II Chair: Alexander Mürmann, WU ECONOMETRIC MEASURES OF SYSTEMIC RISK IN THE FINANCE AND INSURANCE SECTORS Mila Getmansky Sherman, University of Massachusetts (joint with Monica Billio, Andrew Lo and Loriana Pelizzon) Discussant: Joost Driessen, Tilburg University CAN HEDGE FUNDS TIME MARKET LIQUIDITY? Yong Chen, Virginia Tech (joint with Charles Cao, Bing Liang and Andrew Lo) Discussant: Azi Ben-Rephael, Tel Aviv University HEDGE FUND STOCK TRADING IN THE FINANCIAL CRISIS OF 2007-2008 Francesco Franzoni, University of Lugano (joint with Itzhak Ben-David and Rabih Moussawi) Discussant: Stefan Nagel, Stanford University 12:45-13:45 Lunch Break 13:45-15:15 SESSION III Chair: Thomas Gehrig, University of Vienna MONEY AND LIQUIDITY IN FINANCIAL MARKETS Kjell G. Nyborg, University of Zürich (joint with Per Östberg) Discussant: Loriana Pelizzon, Università Ca'Foscari di Venezia AN ASSET PRICING APPROACH TO LIQUIDITY EFFECTS IN CORPORATE BOND MARKETS Joost Driessen, Tilburg University (joint with Dion Bongaerts and Frank de Jong) Discussant: Lubos Pastor, University of Chicago ILLIQUIDITY OR CREDIT DETERIORATION: A STUDY OF LIQUIDITY IN THE US CORPORATE BOND MARKET DURING FINANCIAL CRISES Rainer Jankowitsch, WU (joint with Nils Friewald and Marti G. Subrahmanyam) Discussant: Robert Korajczyk, Northwestern University 15:15-15:45 Coffee Break 15:45-17:15 SESSION IV Chair: Terrance Odean, University of California, Berkeley THE GEOGRAPHY OF MUTUAL FUNDS: THE ADVANTAGE OF DISTANT INVESTORS Miguel A. Ferreira, Universidade Nova de Lisboa (joint with Massimo Massa and Pedro Matos) Discussant: Susan Christoffersen, University of Toronto INVESTORS' HORIZONS AND THE AMPLIFICATION OF MARKET SHOCKS Cristina Cella, Stockholm School of Economics (joint with Andrew Ellul and Mariassunta Giannetti) Discussant: Luis Goncalves-Pinto, University of Southern California MONEY FUND RUNS Russ Wermers, University of Maryland Discussant: Thomas Dangl, Vienna University of Technology 17:15 Concluding Remarks and Refreshments PLEASE REGISTER not later than June 8th, 2011: gutmann-center(a)wu.ac.at Participation is free of charge CONTACT AND FURTHER INFORMATION: WU Gutmann Center for Portfolio Management WU (Vienna University of Economics and Business) Department of Finance, Accounting and Statistics Phone: +43-1-31336-4244 gutmann-center(a)wu.ac.at www.gutmann-center.at

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[VFN] Masterstudiengang "Quantitative Asset and Risk Management" (ARIMA)
by Helmreich, Silvia 25 May '11

25 May '11

Sehr geehrte Damen und Herren, Die FH des bfi Wien hat im September 2009 einen neuen Studiengang im Bereich Asset- und Risikomanagement von Banken und Versicherungen gestartet. Heuer im Juni gibt es die ersten AbsolventInnen und die Chancen am Arbeitsmarkt sind hervorragend. Für das kommende Studienjahr 2011/12 werden noch Bewerbungen bis zum 15. Juni 2011 entgegen genommen. Die Entwicklung dieses Programmes erfolgte gemeinsam mit internationalen Partneruniversitaeten in Prag, Istanbul und Katowice und wurde von der EU als Joint Degree Curriculum Development Programm gefoerdert. Im 3. Semester findet daher ein verpflichtender Auslandsaufenthalt (zweimal 3 Wochen geblockt) bei einer der Partneruniversitaeten statt. Daraus ergibt sich auch, dass die Unterrichtssprache durchgaengig Englisch ist. Im Bereich Internationalisierung konnte außerdem mit der Universität Bologna, die einen Master in Quantitative Finance anbietet, ein Double Degree Abkommen abgeschlossen werden Das Ziel von ARIMA besteht darin, den Studierenden ein umfassendes Verstaendnis ueber die Zusammenhaenge zwischen Asset- und Risikomanagement im Finanzbereich zu vermitteln. Die AbsolventInnen erhalten eine fundierte Ausbildung im Risikomanagement (Quantifizierung von Risiken, Risikoaggregation; integrierte Steuerung von Banken und Versicherungen etc.) und Asset Management (Assetklassen, Portfolioselektion, Asset Liability Management, etc.). Hinzu treten methodisch-analytische Kenntnisse und Fertigkeiten, vor allem in Finanzmathematik und Statistik. Voraussetzungen zur Teilnahme am Masterprogramm: Im Anschluss an ein wirtschafts-, sozial-, natur- oder rechtswissenschaftliches oder technisches Studium einer Universitaet oder Fachhochschule kann der vier Semester umfassende und berufsbegleitend organisierte Masterstudiengang ARIMA absolviert werden. Weiters muessen besuchte Lehrveranstaltungen im Bereich Mathematik/Statisitk und Wirtschaftswissenschaften nachgewiesen werden. Aufnahmeverfahren: Formales Kriterium fuer die Teilnahme am Aufnahmeverfahren ist eine schriftliche Bewerbung bis spaetestens 15. Juni 2011. Das Aufnahmeverfahren selbst besteht aus einem strukturierten Interview (kurze Praesentation zu einem aktuellen Thema auf Englisch und zusaetzliche Fragen zur Motivation fuer die Bewerbung) und einem Multiple-Choice Test. Die Literatur fuer den MC-Test kann von der homepage der FH des bfi Wien heruntergeladen werden. Der MC-Test findet am 22. Juni 2011 statt. Die strukturierten Interviews werden von Mitte Mai bis Ende Juni gefuehrt. Lektorenpool aus dem wissenschaftlichen und berufsrelvanten Bereich: Um einerseits theoretische Grundlagen zu vermitteln und andererseits die Anwendung der Theorie in der Praxis aufzuzeigen, konnten namhafte Lektoren aus diesen Bereichen fuer eine Vortragstaetigkeit in ARIMA gewonnen werden. Beispielshaft seien das IHS, die TU Wien, Oesterreichische Grossbanken und die OeNB genannt. Wir hoffen, Ihr Interesse fuer den neuen Studiengang geweckt zu haben und wuerden uns sehr freuen, wenn Sie dieses Schreiben an weiterbildungsinteressierte Personen in Ihrem Unternehmen weiterleiten wuerden. Fuer weitere Fragen stehen wir Ihnen gerne zur Verfuegung (silvia.helmreich(a)fh-vie.ac.at) oder besuchen Sie unsere homepage: http://www.fh-vie.ac.at/en/Degree-Programmes/Master/Quantitative-Asset-and-… Mit freundlichen Gruessen Prof.in (FH) Mag.a Silvia Helmreich Studiengangsleiterin ARIMA Fachhochschule des bfi Wien GmbH Wohlmutstrasse 22 1020 Wien Tel.: +43 1 7201286 - 972 e-mail: silvia.helmreich(a)fh-vie.ac.at http://www.fh-vie.ac.at P.S.: die Kosten des Masterstudienganges betragen EUR 363,36 im Semester. ________________________________ Firmenwortlaut: Fachhochschule des bfi Wien Gesellschaft m.b.H Firmenbuchnummer: 148597 a Firmenbuchgericht: Handelsgericht Wien Firmensitz: Wohlmutstraße 22, 1020 Wien This message contains confidential information and is intended only for the individual named. If you are not the named addressee you should not disseminate, distribute or copy this e-mail. Please notify the sender immediately by e-mail if you have received this e-mail by mistake and delete this e-mail from your system. E-mail transmission cannot be guaranteed to be secure or error-free as information could be intercepted, corrupted, lost, destroyed, arrive late or incomplete, or contain viruses. The sender therefore does not accept liability for any errors or omissions in the contents of this message, which arise as a result of e-mail transmission. If verification is required please request a hard-copy version.

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[VFN] Stellenausschreibung an KFUni Graz Institut für Banken u Finanzierung
by Gersin, Silvia (silvia.gersin＠uni-graz.at) 23 May '11

23 May '11

Stellenausschreibung: Wissenschaftliche/n Mitarbeiter/in im Forschungs- und Lehrbetrieb 20 Stunden/Woche; befristet auf 4 Jahre; zu besetzen ab 20. Dezember 2011; Aufgabenbereich: - Forschung: Vorbereitung, Mitarbeit und kritische Auseinandersetzung mit den Forschungsarbeiten und Forschungsprojekten des Instituts; eigene Forschungstätigkeit; Möglichkeit zur Erstellung der Dissertation - Lehre: Abhaltung eigener Lehrveranstaltungen; Mitwirkung bei der Betreuung von Bachelor- und Masterarbeiten; Betreuung von Studierenden - Organisations-, Evaluierungs- und Verwaltungstätigkeiten Fachliche Qualifikation: - abgeschlossenes Diplom- oder Magister/Masterstudium der Betriebswirtschaftslehre mit überdurchschnittlichem Erfolg - gute Kenntnisse auf dem Gebiet Banking und Finance und den angrenzenden Fachgebieten der quantitativen Wirtschaftswissenschaften (insb. Mikroökonomik) - sehr gute Kenntnisse der englischen Sprache - fundierte EDV-Kenntnisse Persönliche Anforderungen: Soziale Kompetenz; Kommunikations-, Organisations- und Teamfähigkeit; Durchsetzungsvermögen; Freude an wissenschaftlichem Arbeiten und am Umgang mit Studierenden. Ende der Bewerbungsfrist: 08. Juni 2011 Kennzahl: MB/112/99 ex 2010/11 Bei Interesse senden Sie Ihre Bewerbungsunterlagen innerhalb der angegebenen Bewerbungsfrist inkl. Lebenslauf, Foto und relevanter (Dienst-)Zeugnisse unter Angabe der Kennzahl bitte an: Karl-Franzens-Universität Graz Personalressort Universitätsplatz 3 8010 Graz oder per Email an: bewerbung(a)uni-graz.at

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[VFN] Reminder May 26: WU Gutmann Center Public Lecture with Mark Grinblatt "Investment, Valuation, and Parameter Uncertainty"
by Grimm, Dorothea 23 May '11

23 May '11

INVITATION WU GUTMANN CENTER PUBLIC LECTURE www.gutmann-center.at (apologies for cross-postings!) DATE: May 26th (Thursday), 2011 - 4:00 pm LOCATION: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien SPEAKER: Prof. Dr. MARK GRINBLATT, Anderson School at UCLA http://www.anderson.ucla.edu/x1927.xml TITLE: "INVESTMENT, VALUATION, AND PARAMETER UNCERTAINTY" ABSTRACT Financial decisions hinge on the values of key parameters like expected returns, volatilities, and discount rates. In any practical setting, these parameters have to be estimated. This talk will show that the standard estimation procedures, like estimating unbiased values of the expected return, volatility, or discount rate, almost always lead to inappropriate financial decisions. The talk will analyze simple finance problems to illustrate proper estimation of unknown parameters. The insights gained from this real world application of finance turns finance intuition on its head. For example, multi-period investments with negative risk premia can be profitable, there can be infinite demand for risky securities by risk averse investors, settings exist where risk averse investors should not diversify, and demand for mutual funds with negative alphas may be rational. We also expect to observe smile effects in option-implied volatilities, even in settings that use the Black-Scholes assumptions about the return generating process of the underlying asset. ABOUT MARK GRINBLATT Mark Grinblatt is the J. Clayburn LaForce Professor of Finance at the UCLA Anderson School of Management, where he has been on the faculty since 1981. He received his Ph.D, M. Phil., and M.A. from Yale University, and his undergraduate degree from the University of Michigan. He served as a visiting professor at the Wharton School, as a visiting fellow at Yale University, and worked as a vice president for Salomon Brothers, Inc. He is a former president of the Western Finance Association and a founding member of the Foundation for the Advancement of Research in Financial Economics. He currently serves on the board of directors of the National Bureau of Economic Research and of Citi (formerly Salomon) Swapco, Inc., as an advisory or associate editor of four journals, and as Senior Associate Dean and Director of the UCLA Anderson Ph.D. Program. Professor Grinblatt has authored numerous scholarly papers in finance and economics, as well as a corporate finance textbook and an edited book volume. His research, which appears in most of the major journals in finance and economics, focuses on asset pricing, rational expectations equilibria, performance evaluation, stock market anomalies, corporate finance, derivatives valuation, and investor behavior. 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, Heiligenstädter Str. 46-48, 1190 Wien - www.gutmann-center.at

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[VFN] Mini-course on numerical methods for stochastic control in mathematical finance: WPI
by Peter Laurence 18 May '11

18 May '11

Hello, please remind your readers that about the mini-course coming up soon June 16 & 17-th at WPI. Registration is via an email to laurenceWPI(a)gmail.com Information is at http://www.math.nyu.edu/~laurence/Wpi/vienna-Energy-bis.htm and then click on "mini-courses" There are still about ten seats available. Best regards Peter

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[VFN] Stellenausschreibung WU - Institute Finance, Banking and Insurance
by Grimm, Dorothea 16 May '11

16 May '11

WU WIRTSCHAFTSUNIVERSITÄT WIEN - STELLENAUSSCHREIBUNG The Institute for Finance, Banking and Insurance is currently inviting applications for a ASSISTANT PROFESSOR (non-tenure track) position in Professor Josef Zechner`s group. RESPONSABILITIES. Teaching (Bachelor): Finance Teaching (Master): Finance Research in Professor Zechner's group in one or several of the following areas: Asset Management, Corporate Finance, Asset Pricing, Banking REQUIRED SKILLS AND QUALIFICATIONS: Doctoral Degree in Economics or Business Administration or equivalent qualification DESIRABLE SKILLS AND QUALIFICATIONS: 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 APPLICATION DEADLINE: June 1st, 2011 FURTHER INFORMATION AND APPLICATION: http://www.wu.ac.at/jobs - REFERENCE NUMBER: 1783 FURTHER INFORMATION ABOUT THE INSTITUTE FOR FINANCE, BANKING AND INSURANCE: www.wu.ac.at/finance

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[VFN] May 26: WU Gutmann Center Public Lecture with Mark Grinblatt "Investment, Valuation, and Parameter Uncertainty"
by Grimm, Dorothea 09 May '11

09 May '11

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[VFN] June 15: WU Gutmann Center Symposium 2011: Liquidity and Asset Management
by Grimm, Dorothea 06 May '11

06 May '11

INVITATION / CONFERENCE ANNOUNCEMENT The WU Gutmann Center for Portfolio Management is proud to invite to its sixth symposium. WU GUTMANN CENTER SYMPOSIUM 2011: "LIQUIDITY AND ASSET MANAGEMENT" http://www.wu.ac.at/gc/whatwedo/bridging/symposia June 15, 2011 - 09:00-17:30 Venue: WU (Vienna University of Economics and Business) Festsaal, UZA 1, Augasse 2-6, 1090 Vienna PROGRAM 08:30 Registration 09:00-09:15 Welcome 09:15-10:45 SESSION I Chair: William F. Sharpe, Stanford University HOW DOES ILLIQUIDITY AFFECT DELEGATED PORTFOLIO CHOICE? Luis Goncalves-Pinto, University of Southern California Discussant: Neal Stoughton, UNSW Sydney THE DIMINISHING LIQUIDITY PREMIUM Azi Ben-Rephael, Tel Aviv University (joint with Ohad Kadan and Avi Wohl) Discussant: Yong Chen, Virginia Tech EVAPORATING LIQUIDITY Stefan Nagel, Stanford University Discussant: Miguel A. Ferreira, Universidade Nova de Lisboa 10:45-11:15 Coffee Break 11:15-12:45 SESSION II Chair: Alexander Mürmann, WU ECONOMETRIC MEASURES OF SYSTEMIC RISK IN THE FINANCE AND INSURANCE SECTORS Mila Getmansky Sherman, University of Massachusetts (joint with Monica Billio, Andrew Lo and Loriana Pelizzon) Discussant: Joost Driessen, Tilburg University CAN HEDGE FUNDS TIME MARKET LIQUIDITY? Yong Chen, Virginia Tech (joint with Charles Cao, Bing Liang and Andrew Lo) Discussant: Azi Ben-Rephael, Tel Aviv University HEDGE FUND STOCK TRADING IN THE FINANCIAL CRISIS OF 2007-2008 Francesco Franzoni, University of Lugano (joint with Itzhak Ben-David and Rabih Moussawi) Discussant: Stefan Nagel, Stanford University 12:45-13:45 Lunch Break 13:45-15:15 SESSION III Chair: Thomas Gehrig, University of Vienna MONEY AND LIQUIDITY IN FINANCIAL MARKETS Kjell G. Nyborg, University of Zürich (joint with Per Östberg) Discussant: Gyöngyi Lóránth, University of Vienna AN ASSET PRICING APPROACH TO LIQUIDITY EFFECTS IN CORPORATE BOND MARKETS Joost Driessen, Tilburg University (joint with Dion Bongaerts and Frank de Jong) Discussant: Lubos Pastor, University of Chicago ILLIQUIDITY OR CREDIT DETERIORATION: A STUDY OF LIQUIDITY IN THE US CORPORATE BOND MARKET DURING FINANCIAL CRISES Rainer Jankowitsch, WU (joint with Nils Friewald and Marti G. Subrahmanyam) Discussant: Robert Korajczyk, Northwestern University 15:15-15:45 Coffee Break 15:45-17:15 SESSION IV Chair: Terrance Odean, University of California, Berkeley THE GEOGRAPHY OF MUTUAL FUNDS: THE ADVANTAGE OF DISTANT INVESTORS Miguel A. Ferreira, Universidade Nova de Lisboa (joint with Massimo Massa and Pedro Matos) Discussant: Susan Christoffersen, University of Toronto INVESTORS' HORIZONS AND THE AMPLIFICATION OF MARKET SHOCKS Cristina Cella, Stockholm School of Economics (joint with Andrew Ellul and Mariassunta Giannetti) Discussant: Luis Goncalves-Pinto, University of Southern California MONEY FUND RUNS Russ Wermers, University of Maryland Discussant: Engelbert Dockner, WU 17:15 Concluding Remarks and Refreshments PLEASE REGISTER not later than June 8th, 2011: gutmann-center(a)wu.ac.at Participation is free of charge CONTACT AND FURTHER INFORMATION: WU Gutmann Center for Portfolio Management WU (Vienna University of Economics and Business) Department of Finance, Accounting and Statistics Phone: +43-1-31336-4244 gutmann-center(a)wu.ac.at www.gutmann-center.at

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[VFN] Quantitative Methods in Finance 2011, Sydney, Dec 14-17
by VFN-L admin * Andreas Schamanek 06 May '11

06 May '11

> The Quantitative Methods in Finance - 2011 Conference http://www.qfrc.uts.edu.au/qmf/ 4-day conference in Sydney, Australia from December 14-17 > Focus: Stochastic Volatility, Monte Carlo Methods, Quantitative Investing, Long Dated Pension and Insurance Contracts, Liquidity, Portfolio Optimisation, Energy and Emission Trading and other areas of Quantitative Finance > Plenary Speakers include: Alexandre Antonov, Peter Bank, Giovanni Barone-Adesi, Freddy Delbaen, Robert Elliott, Robert Fernholz, Jean-Pierre Fouque, John Van der Hoek, Mark Joshi, Yuri Kabanov, Yannis Karatzas, Constantinos Kardaras, Takeaki Kariya, Ashkan Nikeghbali, Dan Rosen, Marek Rutkowski, Wim Schoutens, Josef Teichmann Paper submission extended until May 15, 2011. For details see http://www.qfrc.uts.edu.au/qmf/ -- -- Andreas Schamanek VFN-L list-admin

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