Dear colleagues,
we would like to invite you to participate in the workshop
Stochastic Analysis, Lévy Processes and (B)SDEs
which will be held in the outskirts of Innsbruck, Austria,
from the 3rd to the 7th October, 2011.
Participants are kindly requested to register by the 12th of August,
20011.
For registration and further information please visit our workshop
website:
stochastics-mathematics.uibk.ac.at/workshop/index.html
Looking forward to meeting you in Innsbruck in October 2011
Zdzislaw Brzezniak
Christel Geiss
Stefan Geiss
Erika Hausenblas
Robert Tichy
--
Stefan Geiss
Institut für Mathematik
Universität Innsbruck
Phone : +43 512/ 507 6090
Fax : +43 512/ 507 2758
Mobil : +43 676/ 404 1301
E-mail: stefan.geiss(a)uibk.ac.at
http://www.uibk.ac.at/mathematik/personal/geiss/
INVITATION
WU GUTMANN CENTER PUBLIC LECTURE
www.gutmann-center.at
(apologies for cross-postings!)
DATE: March, 31 (Thursday), 2011 - 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
SPEAKER: Prof. Dr. Stephen FIGLEWSKI, New York University, Stern School of Business
http://pages.stern.nyu.edu/~sfiglews/
TITLE:
USING OPTIONS TO LEARN ABOUT PRICE EXPECTATIONS AND RISK PREFERENCES IN THE STOCK MARKET
ABSTRACT:
Market prices for options on the S&P 500 Index reflect the market's assessment of the probability distribution over the level of the index on expiration day, adjusted for the market's tolerance for bearing risk. This information is contained in the "risk neutral probability distribution" (RND), which can be extracted from option price quotes in the market. The presentation will describe how this technology can be used to explore several interesting issues, including
- how the RND changes from day to day and from minute to minute within a day as the underlying stock market moves;
- how the public release of a major piece of information - the Federal Reserve's announcement of its target for the Federal funds rate becomes incorporated into market prices;
- what factors are most important in determining the risk neutral volatility.
ABOUT STEPHEN FIGLEWSKI:
Stephen Figlewski is a Professor of Finance at the New York University Leonard N. Stern School of Business, where he has been since 1976. He holds a B.A. in Economics from Princeton University and a Ph.D in Economics from the Massachusetts Institute of Technology. He has published extensively in academic journals, especially in the area of financial futures and options. He is the founding Editor of The Journal of Derivatives and he also edits the Financial Economics Network's two "Derivatives" series published over the Internet. He is the director of the NASDAQ OMX Derivatives Research Project, which is a research initiative at the Stern School that supports applied and theoretical research on derivatives and promotes intellectual interchange between academics and practitioners in derivatives, risk management, and financial engineering.
Professor Figlewski has also worked on Wall Street. Recently he took a leave of absence to work on margin setting for credit-sensitive securities at Citigroup. Previously, he spent a year at the First Boston Corporation, in charge of research on equity derivative products, and was at one time a member of the New York Futures Exchange and a Competitive Options Trader at the New York Stock Exchange.
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
Dear Colleagues,
Please find attached an announcement and cfp for the OR 2011 International Conference on Operations Research which will take place at the University of Zurich from August 30 to September 2, 2011. There will be a special stream on "Financial modeling, risk management and banking".
Kind regards,
Roland Mestel
Institute of Banking and Finance
University of Graz
**************************************************************************
OR 2011
Zurich, Switzerland, August 30 to September 2, 2011 Announcement / Call for Papers
This international conference on operations research will take place in Zurich, Switzerland.
The conference of the three German speaking OR societies GOR, ÖGOR and SVOR is under the patronage of the Swiss OR Society (SVOR) and hosts at the same time the respective annual meetings of the three OR societies.
The main goal of the conference is to bring together members of the international OR community to discuss scientific progresses in various subfields of OR in a truly interdisciplinary spirit.
For further information, please visit the website: www.or2011.ch<http://www.or2011.ch>
:: Plenary/Semi-plenary lectures:
http://www.or2011.ch/topics_program/lectures
:: Streams and chairs:
http://www.or2011.ch/topics_program
:: Program/organizing committee:
http://www.or2011.ch/topics_program/program_committee
All members of the OR/MS community are invited to participate in the OR 2011!
Hans-Jakob Lüthi, chair organizing committee Director of the Institute for Operations Research (IFOR), ETH Zurich
Karl Schmedders, chair program committee Director of the Institute for Operations Research (IOR), University of Zurich
**************************************************************************
INVITATION
WU GUTMANN CENTER PUBLIC LECTURE
www.gutmann-center.at
(apologies for cross-postings!)
DATE: March, 31 (Thursday), 2011 - 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
SPEAKER: Prof. Dr. Stephen FIGLEWSKI, New York University, Stern School of Business
http://pages.stern.nyu.edu/~sfiglews/
TITLE:
USING OPTIONS TO LEARN ABOUT PRICE EXPECTATIONS AND RISK PREFERENCES IN THE STOCK MARKET
ABSTRACT:
Market prices for options on the S&P 500 Index reflect the market's assessment of the probability distribution over the level of the index on expiration day, adjusted for the market's tolerance for bearing risk. This information is contained in the "risk neutral probability distribution" (RND), which can be extracted from option price quotes in the market. The presentation will describe how this technology can be used to explore several interesting issues, including
- how the RND changes from day to day and from minute to minute within a day as the underlying stock market moves;
- how the public release of a major piece of information - the Federal Reserve's announcement of its target for the Federal funds rate becomes incorporated into market prices;
- what factors are most important in determining the risk neutral volatility.
ABOUT STEPHEN FIGLEWSKI:
Stephen Figlewski is a Professor of Finance at the New York University Leonard N. Stern School of Business, where he has been since 1976. He holds a B.A. in Economics from Princeton University and a Ph.D in Economics from the Massachusetts Institute of Technology. He has published extensively in academic journals, especially in the area of financial futures and options. He is the founding Editor of The Journal of Derivatives and he also edits the Financial Economics Network's two "Derivatives" series published over the Internet. He is the director of the NASDAQ OMX Derivatives Research Project, which is a research initiative at the Stern School that supports applied and theoretical research on derivatives and promotes intellectual interchange between academics and practitioners in derivatives, risk management, and financial engineering.
Professor Figlewski has also worked on Wall Street. Recently he took a leave of absence to work on margin setting for credit-sensitive securities at Citigroup. Previously, he spent a year at the First Boston Corporation, in charge of research on equity derivative products, and was at one time a member of the New York Futures Exchange and a Competitive Options Trader at the New York Stock Exchange.
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
**REMINDER
*Final Call For Papers*
to the
*5th Workshop "Financial
Markets & Risk" 2011 in Obergurgl
14.-16. April 2011*
You are encouraged to submit
full papers or extended
abstracts for the Workshop
"Financial Markets & Risk"
2011 in Obergurgl, taking
place on 14.-16. April 2011.
Submission deadline: February,
13, 2011
All further information can be
found on:
http://www.uibk.ac.at/ibf/sonstiges/obergurgl/oghome.html
Best regards,
Jochen Lawrenz
--
Jochen Lawrenz
Department of Banking& Finance
University of Innsbruck
Universitaetsstrasse 15
A-6020 Innsbruck
Phone +43-512-5077582
Fax +43-512-5079808
AUSSCHREIBUNG
Am Institut fuer Banken und Finanzierung der Universitaet Graz gelangt folgende Stelle zur Ausschreibung:
1 Dissertationsstelle (20 h / Woche)
Besetzung ab sofort moeglich; die Stelle ist auf 17 Monate befristet.
Die Einstellung erfolgt im Zuge eines vom Bundesministerium fuer Verkehr, Innovation und Technologie gefoerderten Forschungsprojektes zum Thema "mobilityXchange: Marktbasiertes Anreizsystem zur Optimierung des betrieblichen Mobilitaetsmanagements". Die Arbeit umfasst Forschungsleistungen im Bereich der Konzeptionierung eines Marktmechanismus fuer den innerbetrieblichen Handel mit Mobilitaetsguetern, dessen experimentelle Ueberpruefung und die Ableitung von daraus resultierenden Handlungsempfehlungen fuer das Design eines solchen Marktes. Dieses Projekt ist Teil einer interdisziplinaeren Kooperation zwischen dem Verkehrsbuero verkehrplus Prognose, Planung und Strategieberatung GmbH, dem Institut fuer Banken und Finanzierung und Northbridge IT Solutions GmbH. Die Entlohnung erfolgt gemaess dem oesterreichischen Universitaeten-KV.
Qualifikationen:
- Abgeschlossenes wirtschaftswissenschaftliches Studium (Diplom- oder Masterstudium), vorzugsweise VWL. Erfahrung und/oder Interesse im Bereich Marktmechanismen und -design.
- Erwuenscht: Analytische und quantitative Kompetenzen sowie Erfahrung mit wirtschaftswissenschaftlichen Experimenten und Programmierkenntnisse.
- Bereitschaft zur interdisziplinaeren Zusammenarbeit.
- Projekterfahrung von Vorteil.
Ihre aussagekraeftige Bewerbung (Anschreiben, Lebenslauf, Zeugniskopien) senden Sie postalisch oder per E-mail an:
Dr. Stefan Palan
Institut fuer Banken und Finanzierung
Universitaetsstrasse 15/F2, A-8010 Graz
stefan.palan(a)uni-graz.at
Mit der Bitte um Aushang und Weitergabe an geeignete Bewerberinnen und Bewerber.
Mit freundlichen Gruessen,
Stefan Palan.
Dr. Stefan Palan
Assistenzprofessor
Karl-Franzens-Universitaet Graz
Institut fuer Banken und Finanzierung
Universitaetsstrasse 15/F2
8010 Graz
Tel.: +43 (0) 316 / 380 7306
Fax.: +43 (0) 316 / 380 9580
stefan.palan(a)uni-graz.at
http://www.palan.biz/academic
Ausschreibung der Stelle eines/r Universitätsassistenten/in mit
Diplom/Master nach dem Kollektivvertrag der ArbeitnehmerInnen der
Universitäten und UG am Institut für betriebliche Finanzwirtschaft der
Sozial- und Wirtschaftswissenschaftlichen Fakultät der Universität Linz
Am Institut für betriebliche Finanzwirtschaft, Abteilung für Coporate
Finance, der Sozial- und Wirtschaftswissenschaftlichen Fakultät der
Johannes Kepler Universität Linz ist befristet auf 4 Jahre die Stelle
eines/r
Universitätsassistenten/in mit Diplom/Master
nach dem Kollektivvertrag der ArbeitnehmerInnen der Universitäten und
UG
im vollen Beschäftigungsausmaß
zu besetzen.
Voraussetzung ist ein abgeschlossenes wirtschaftswissenschaftliches
Studium auf Magister- oder Masterniveau.
Erwartet werden sehr gute Kenntnisse des Spezialisierungsfaches
betriebliche Finanzwirtschaft sowie Interesse und Befähigung für das
Doktoratsstudium der Sozial- und Wirtschaftswissenschaften.
Die Forschungsinteressen des Bewerbers bzw. der Bewerberin sollen auf
dem Gebiet von „Corporate Finance“ liegen.
Nähere Auskünfte erteilt o.Univ.Prof. Dr. Helmut Pernsteiner,
helmut.pernsteiner(a)jku.at
Im Sinne des Frauenförderungsplanes werden besonders Frauen ermutigt,
sich zu bewerben. Bei gleicher Qualifikation werden Frauen bevorzugt
aufgenommen. Begünstigt behinderte BewerberInnen werden bei
entsprechender Eignung besonders berücksichtigt.
InteressentInnen werden gebeten, ihre Bewerbung mit den üblichen
Unterlagen (Lebenslauf, Lichtbild, Werdegang sowie Zeugniskopien) bis
8.12.2010 an das Personalmanagement der Zentralen Dienste der Johannes
Kepler Universität Linz, 4040 Linz/Auhof, zu richten.
Bitte geben Sie bei der Bewerbung unbedingt die „Anzeigennummer 2158“
an.
--
MARGIT EDER
Institut für betriebliche Finanzwirtschaft
Abteilung für Corporate Finance
Johannes Kepler Universität
Altenberger Str. 69
4040 Linz
Tel.: +43 732 2468 9138
Fax: +43 732 2468 9118
margit.eder(a)jku.at
www.ibfw.jku.at
REMINDER - REMINDER - REMINDER
INVITATION
(apologies for cross-postings!)
WU COMPETENCE DAY 2010:
"THE NEW FINANCIAL ARCHITECTURE"
NOVEMBER 18th, 2010
www.wu.ac.at/wucompetenceday
organized by the WU Department of Finance, Accounting and Statistics
PROGRAM
9:30-10:00 Welcome
Christoph Badelt, Rector
Barbara Sporn, Vice-Rector
Josef Zechner, Professor of Finance and Investments
10:00-10:30 KEYNOTE SPEECH: "FINANCIAL REGULATION"
CHARLES GOODHART, London School of Economics (LSE)
10:30-11:00 Coffee Break
11:00-11:30 KEYNOTE SPEECH: "FINANCIAL SYSTEM REFORM AFTER THE CRISIS"
MARTIN HELLWIG, Max Planck Institute for Research on Collective Goods
11:30-12:30 Panel Discussion:
"THE NEW FINANCIAL ARCHITECTURE:
WHAT DO WE NEED, WHAT DO WE WANT, AND WHAT CAN WE DO WITHOUT?"
Wilhelm Molterer, Member of Parliament and former Minister of Finance
Friedrich Strasser, CIO and member of the Executive Board of Bank Gutmann AG
Josef Zechner, Professor of Finance and Investments, WU
Moderator: Michael Prüller, Die Presse
12:30-14:00 Buffet Lunch
14:00-15:30 PARALLEL SESSIONS
Session 1: "ADVANCES IN ASSET MANAGEMENT" - Session Chair: Josef Zechner
Session 2: "HOUSEHOLD FINANCE" - Session Chair: Engelbert Dockner
Session 3: "CUSTOMER BEHAVIOR AND INFORMATION PROBLEMS IN INSURANCE MARKETS"
Session Chair: Alexander Mürmann
15:30 Refreshments
Further information and REGISTRATION: www.wu.ac.at/wucompetenceday
Contact: dorothea.grimm(a)wu.ac.at
Workshop
Institutional Framework for the Carbon Market:
Can Financial Markets and Institutions be a Model?
Date: November 25, 2010
Time: 12.00 – 18.30
Venue: Institute of Banking and Finance (i:bf), University of
Graz, Austria
Universitaetsstrasse 15/F2, SR 15.25
Aim of this workshop:
Aim of this workshop is to discuss the role of financial markets and
institutions for the carbon market, with a special focus on the EU
Emissions Trading System (EU-ETS). Questions addressed are the role banks
play for hedging companies under the EU-ETS, whether a higher degree of
regulation and market oversight is needed for the EU-ETS and what the main
differences to other commodity markets are. Furthermore it will be
discussed what lessons can be learned from financial markets regarding
market oversight and from central banks regarding the management of
monetary policy. The workshop brings together leading experts of carbon
market policy from academia and practice.
Contact and registration:
Prof. Roland Mestel
Institute of Banking and Finance, University of Graz
Email: silvia.gersin(a)uni-graz.at
Phone: +43 316 380 7300
Agenda
12:00 – 12:30 Welcome and Introduction
Roland Mestel (Institute of Banking and Finance) and Andreas Tuerk (Wegener
Center)
12:30 – 14:00
Session 1 Quo Vadis, EU-ETS?
Barbara Buchner, Climate Policy Initiative, Venice: Is there a need for
more market oversight and regulation in the EU-ETS?
Stefan Schleicher, University of Graz and Austrian Institute for Economic
Research: The role of CO2 prices for low-carbon technologies: latest
empirical evidence from the EU-ETS.
Michael Loretz, University of Graz: A real option-based approach for CO2
price management.
14:00 – 14.30 Coffee break
14:30 – 16:00
Session 2 Carbon markets in practice: Lessons from financial and
commodity markets
Stefan Ulreich, E.ON Energy Trading, Duesseldorf: The role of the CO2 price
for investment decisions in the energy sector: Is the CO2 market
sufficiently hedged against price risks?
Nicolas Stephan, Caisse des Dépôts, Paris: Managing carbon markets: Lessons
from commodity markets.
Claire Dufour, BlueNext, Paris: Regulating carbon markets: The view of a
CO2 exchange.
16:00 – 16.30 Coffee break
16:30 – 18:00
Panel
Discussion What is needed to increase the success of the CO2 market?
Panelists: Barbara Buchner, Claire Dufour, Nicolas Stephan, Stefan Ulreich
18:00 Concluding remarks by Roland Mestel and Andreas Tuerk
About the participating organizations:
BlueNext:
BlueNext is one of the leading environmental trading exchanges, founded
by NYSE Euronext and Caisse des Dépôts. BlueNext offers spot trading of
CO2 emission rights and derivative products for the EU-Emissions Trading
Scheme, as well as Certified Emissions Reductions (CERs) generated under
the Kyoto Protocol’s Clean Development Mechanism.
Claire Dufour is product manager and participates in the development of
new products and services and monitors regulatory and competitive
environments of carbon markets.
Caisse des Dépôts:
The Caisse des Dépôts group, a long term investor, is a public group in
France serving the economic development of the country. Within CDC, CDC
Climat Research is a centre for analysis and research on climate change
economics. It provides information and expertise to the general public,
companies, experts and public decision-makers.
Nicolas Stephan, having a strong background in global commodity and
energy markets, carries out research on carbon funds and innovations in
carbon finance.
Climate Policy Initiative:
CPI was established by George Soros as a nonprofit institution that
examines the effectiveness of energy and climate policies around the
globe. It works closely with the finance and business communities to
understand how emerging climate policies create and affect markets that
allocate investment capital. The initiative maintains offices in key
countries around the world.
Barbara Buchner is director of the CPI office in Venice, Italy.
E.ON Energy Trading:
E.ON Energy Trading is one of Europe’s leading energy trading businesses
and the commercial heart of E.ON, one of the largest investor-owned power
and gas companies in the world. As the link between E.ON and the world’s
wholesale energy markets, the company buys and sells electricity, natural
gas, oil, coal, freight, biomass and emissions certificates.
Stefan Ulreich is one of the leading energy policy experts in E-ON Energy
Trading. Before joining E.ON Energy Trading he worked as a quantitative
analyst in an investment bank.
University of Graz:
Within its current research portfolio the University of Graz combines
excellent know-how regarding carbon markets (Wegener Center) with long
term experience in the fields of finance and investment (Institute of
Banking and Finance). The research is based on a strong theoretical
background and is applied in empirical market analyses.
Stefan Schleicher is senior advicer to the Wegener Center.
Michael Loretz is a PhD canditate at the Institute of Banking and
Finance.