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1159 discussions

[VFN] Jacod/Todorov/Podolskij Talks on Jan 13
by Friedrich Hubalek 12 Jan '10

12 Jan '10

I am very sorry to bother everybody again, but it was necessary to reschedule the Viktor Todorv's talk once more. Below is the updated information for the talks on Jan 13. Friedrich Hubalek We, 13.01.2010, 11:00-12:00, Seminar room C 7.14 (Wofgang Pauli Inst.), (1090 Wien, Nordbergstr. 15, Univ. Wien, UZA4, 7th floor) Jean Jacod (Université Paris VI): "Statistics for high frequency data: some open problems" We, 13.01.2010, 13:15 - 14:15, Seminar room D 1.01 (Mathematik), (1090 Wien, Nordbergstr. 15, Univ. Wien, UZA4, 1st floor) Viktor Todorov (Kellogg School of Management): "Tails, Fears and Risk Premia" We, 13.01.2010, 15:15-16:00 Uhr, Seminar room C 2.09 (1090 Wien, Nordbergstr. 15, Univ. Wien, UZA4, 2nd floor) Mark Podolskij (ETH Zurich) "Stein's Method, Malliavin Calculus and Central Limit Theorems" (Außerordentliches Mathematisches Kolloquium) ---

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[VFN] January 20th: GUTMANN CENTER PUBLIC LECTURE: Thorsten Hens "Behavioral Finance for Private Banking"
by Grimm, Dorothea 12 Jan '10

12 Jan '10

The Gutmann Center for Portfolio Management has been relaunched as the WU GUTMANN CENTER FOR PORTFOLIO MANAGEMENT www.gutmann-center.at We are pleased to announce the continuation of our successful and renowned activities and would like to invite you to our first WU GUTMANN CENTER PUBLIC LECTURE (apologies for any cross-listings!) Date: January 20th, 2010 (Wednesday) - 4:30 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. THORSTEN HENS, University of Zurich http://www.isb.uzh.ch/institut/staff/hens.thorsten/index.php Title: BEHAVIORAL FINANCE FOR PRIVATE BANKING Abstract: This presentation shows how behavioral finance can be applied to private banking. The application is based on a mixture of scientific methods: laboratory experiments, careful economic modelling and mathematical reasoning. Moreover, the application draws from profound experience that we could gather in the Swiss Banking Industry. About Thorsten Hens: Thorsten Hens is an economist from Germany. He is Swiss Finance Institute Professor of Financial Economics and director of the Swiss Banking Institute at the University of Zürich, Switzerland as well as a Fellow of CEPR and an Adjunct Professor of Finance at the Norwegian of Economics and Business Administration in Bergen. He studied at the University of Bonn and at DELTA in Paris and previously held professorships at Stanford University and at the University of Bielefeld. His research areas are -- among others -- Behavioral Finance and Evolutionary Finance. According to the Handelsblatt ranking Thorsten Hens was ranked among the top 10 economics professors in the German spoken area (Germany, Switzerland and Austria). In researching how investors make their decisions, Professor Hens draws on work in Psychology and applies insights from Biology in order to understand the dynamics of financial markets. His consulting experience includes application of Behavioral Finance for Private Banking and evolutionary finance for asset management. Please REGISTER: Mail: dorothea.grimm(a)wu.ac.at Phone: +43-1-31336-4244 Contact and further information: WU Gutmann Center for Portfolio Management WU 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] Jacod and Todorov talks at the Pauli Institute
by Friedrich Hubalek 11 Jan '10

11 Jan '10

As part of the thematic program at the Wolfgang Pauli Institute (WPI) Vienna "The interplay between Financial and Insurance Mathematics, Statistics and Econometrics" there will be two talks on Wednesday January 13, 2010 at the seminar room C714 at the Pauli Institute <http://www.wpi.ac.at/address.php> 11:00-12:00 Jean Jacod (Université Paris VI): tba 15:00-16:00 Viktor Todorov (Kellogg School of Management): Tails, Fears and Risk Premia Abstract: We show that the compensation for rare events accounts for a large fraction of the average equity and variance risk premia. As such, our results suggest that any satisfactory equilibrium-based asset pricing model must be able to generate both large and time-varying compensations for fears of disasters. Our empirical investigations are essentially model-free, involving new extreme value theory approximations based on ``medium'' size jumps in high-frequency intraday prices for estimating the expected values of the tails under the statistical probability measure, and short maturity out-of-the money options and new model-free implied variation measures for estimating the corresponding risk neutral expectations. Friedrich Hubalek

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[VFN] 5th Annual CARISMA Conference 2010: The Interface of Behavioural Finance and Quantitative Finance, 2 - 3 February 2010, London
by Xiaochen Sun 22 Dec '09

22 Dec '09

Dear colleague, We would like to bring your attention to the 5th annual CARISMA conference. 5th Annual CARISMA Conference 2010: The Interface of Behavioural Finance and Quantitative Finance, 2 - 3 February 2010, London Pre-conference workshop: News Analytics Applied to Trading, Fund Management and Risk Control, 1 February 2010, London http://www.optirisk-systems.com/events/carisma2010.asp <http://www.optirisk-systems.com/events/carisma2010.asp> Background: In the current chaotic financial climate, new systems are being developed to analyze market behaviour and the attitudes of financial professionals. The emergence and impact of behavioural finance is reflected in the choice of recent recipients of the Nobel Prize in Economics. As behavioural finance develops, it is intensifying its use of tools and techniques from quantitative finance, so that mathematical and statistical methodologies are being employed to understand the behavioural biases of decision makers (fund managers, traders...) and their impact on market valuations. For the last half century, the neoclassical paradigm -- featuring rational decision making, efficient markets, the capital asset pricing model, and the Black-Scholes option pricing formula -- has dominated finance. However, a new financial paradigm is emerging, one that combines the realistic psychological features favoured by proponents of behavioural finance and the powerful quantitative techniques favoured by proponents of neoclassical finance. Conference Programme: Day 1: Opening Keynote Address: Behaviouralizing Finance - Hersh Shefrin, Mario L. Belotti Professor of Finance, Department of Finance at Santa Clara University's Leavey School of Business. Tutorial: Hope, Fear, and Aspiration - Xunyu Zhou, Nomura Professor of Mathematical Finance and Director, Nomura Centre for Mathematical Finance, Mathematical Institute, University of Oxford A Satisfying Alternative to Prospect Theory - Enrico De Giorgi, University of Lugano Tutorial: Evolutionary Finance - Investment advice inspired by Darwin - Klaus Reiner Schenk-Hoppé, Leeds University Individual Asset Liability Management - Michael Dempster and Elena Medova, University of Cambridge and Cambridge Systems Associates Ltd Prospect Theory and the Implied Fundamental Risk - Philip Z. Maymin, Polytechnic Institute of New York University Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization - Stan Uryasev, University of Florida Learning from the Outcomes of Others: Stock Market Experiences of Local Peers and New Investors' Market Entry - Markku Kaustia, Professor, Helsinki School of Economics Day 2 Assessing Equity Risk as the Potential Imbalance of Buyers and Sellers - Dan di Bartolomeo, Northfield Information Services Inc Applications of News Analytics in Finance: A Review - Gautam Mitra and Leela Mitra, CARISMA/OptiRisk Systems Keynote Presentation 1: Relating News Analytics to Stock Returns - David Leinweber and Jacob Sisk, UC Berkeley Why Does Volatility Increase in Bear Markets? An international view on asymmetric volatility. - Marc Oliver Rieger, Assistant Professor, Swiss Banking Institute, University of Zurich Over- and Under- Reaction in Liquid Markets - Alexei Chekhlov , Columbia University / Systematic Alpha Management Keynote Presentation 2: Speculative Bubbles: Theory and Implications - Wei Xiong, Princeton University Crowded Trades: A Potential Bayesian Remedy - Wing Cheung, Nomura International Plc Conference website: http://www.optirisk-systems.com/events/carisma2010.asp We look forward to seeing you at the event. Merry Xmas and Happy New Year! Warm regards, Michael ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Michael(Xiaochen) Sun, PhD, MSc Research Associate The Centre for the Analysis of Risk and OptimISation Modelling Applications CARISMA, www.carisma.brunel.ac.uk <http://www.carisma.brunel.ac.uk/> School of Information Systems, Computing and Mathematics Brunel University, Uxbridge, UB8 3PH, Middlesex, United Kingdom Telephone: +44 1895 265625 [M503], Fax: +44 1895 269732 Webpage:http://people.brunel.ac.uk/~mapgxcs <http://people.brunel.ac.uk/~mapgxcs> http://optirisk.googlepages.com <http://optirisk.googlepages.com/> http://ssrn.com/author=974259 <http://ssrn.com/author=974259> ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

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[VFN] MAF2010: Conf. on Mathematical and Statistical Methods for Actuarial Sciences and Finance
by VFN-L admin * Andreas Schamanek 22 Dec '09

22 Dec '09

Fourth International Conference > Mathematical and Statistical Methods for > Actuarial Sciences and Finance (MAF2010) 7-9 April 2010, Ravello, Italy http://maf2010.unisa.it == Invited speakers Narayanaswamy Balakrishnan (McMaster University, Canada) Giampiero Gallo (University of Florence, Italy) Sheri Markose (University of Essex, U.K.) Sheldon M. Ross (University of California, Berkeley, U.S.A.) == Deadlines Submission of 1-page abstract: 15 January 2010 Acceptance decision: 30 January 2010 Submission of full papers: 30 June 2010 ***

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[VFN] Nomura Postdoctoral Fellows at Oxford
by Xunyu Zhou 17 Dec '09

17 Dec '09

Dear colleagues The Mathematical and Computational Finance Group at Oxford is looking for up to 2 Nomura Postdoctoral Fellows, who will be affiliated with St. Hugh's College and Wadham College respectively. The advertisement is live at https://www.maths.ox.ac.uk/node/11239. Please feel free to forward this email to anyone who might be interested. Apologies if you have received this email multiple times. Best regards, Xunyu Zhou -- Xunyu Zhou Nomura Professor of Mathematical Finance Director, Nomura Centre for Mathematical Finance Mathematical Institute University of Oxford 24-29 St Giles', Oxford OX1 3LB, UK Email: zhouxy(a)maths.ox.ac.uk Tel.: +44 1865 280614 Fax: +44 1865 270715 http://people.maths.ox.ac.uk/~zhouxy/

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[VFN] Assistant Professor position at ETH Zurich (fwd)
by VFN-L admin * Andreas Schamanek 11 Dec '09

11 Dec '09

---------- Forwarded message ---------- Date: Fri, 11 Dec 2009 16:15:00 +0100 From: Martin Schweizer <martin.schweizer(a)math.ethz.ch> Subject: Assistant Professor position at ETH Zurich Dear all Attached please find a position announcement. Please feel free to forward it to anyone who might be interested. And apologies if you do not want to get this! [Attachment removed by list-admin since the information is available on-line at http://www.math.ethz.ch/jobs/ap ] Many thanks and best regards Martin -- ======================================================= Martin Schweizer ETH Zurich Department of Mathematics ETH-Zentrum, HG G 51.2 CH - 8092 Zurich Switzerland phone: + 41 - 44 - 63 - 23351 / 23580 fax: + 41 - 44 - 63 - 21537 e-mail: martin.schweizer(at)math.ethz.ch http://www.math.ethz.ch/~mschweiz =======================================================

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[VFN] 1st announcement: Workshop Financial Markets & Risk in Obergurgl, April 8-10, 2010
by Michael Hanke 25 Nov '09

25 Nov '09

The Department of Banking and Finance at the University of Innsbruck organizes again a workshop on financial markets and risk. Deadline for the submission of papers is Jan. 15, 2010. Further information and the call for papers can be found at http://www.uibk.ac.at/ibf/sonstiges/obergurgl/oghome.html Best wishes from Innsbruck, Michael Hanke

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[VFN] Grazer Bankensymposium 2009
by office＠bwg.at 11 Nov '09

11 Nov '09

Das Institut für Banken und Finanzierung der Universität Graz und die Österreichische Bankwissenschaftliche Gesellschaft veranstalten das Grazer Bankensymposium 2009 Risikomanagement nach der Krise –gibt es Neuerungsbedarf? Freitag, 27. November 2009 Meerscheinschlössl 8010 Graz , Mozartgasse 3 9.00-10.25 Stefan Pichler (WU Wien): Auswirkungen der Finanzkrise auf das Risikomanagement von Banken Hellmuth Milde (Universität Luxemburg): Finanzmarktmodelle mit endogenem Anreizsystem - Kaffeepause - 10.50-12.10 Andreas Höger (OeNB): Neuerungen im bankaufsichtlichen Überprüfungsprozess Peter Ladreiter (Security KAG): Aktuelle Entwicklungen im Risikomanagement von Versicherungen - Kaffeepause - 12.35-13.15 Wolfgang Wainig (RZB): Kernfragen eines "neuen" Risikomanagements - Konsequenzen aus der Krise Kurt Marold (RLB Stmk): Neue Anforderungen an die Gesamtbank-Steuerung (Risiko-Controlling) ab 14.00 Buffet und Come Together Die Teilnahme ist kostenlos! Anmeldung unter www.bwg.at /Veranstaltungen oder matthias.pachler(a)uni-graz.at Tel.: (0316) 380 7300

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[VFN] WG: Bankensymposium 2009
by silvia.gersin＠uni-graz.at 11 Nov '09

11 Nov '09

Karl-Franzens-Universität Graz INSTITUT FÜR BANKEN UND FINANZIERUNG DER SOZIAL- UND WIRTSCHAFTSWISSENSCHAFTLICHEN FAKULTÄT Leiter: o.Univ.Prof. Dr. Peter Steiner 8010 Graz, Universitätsstraße 15/F2, ReSoWi-Zentrum Tel.: +43 (0) 316/380-7300, E-Mail: bafin(a)uni-graz.at E I N L A D U N G zum Grazer Bankensymposium 2009 Institut für Banken und Finanzierung der KFU in Kooperation mit der Österreichischen Bankwissenschaftlichen Gesellschaft (BWG) über das Thema: Risikomanagement nach der Krise - gibt es Neuerungsbedarf? Datum: Freitag, 27.11.2009, 9:00-14:00 Uhr Ort: Meerscheinschlössl, 8010 Graz, Mozartgasse 3 Alle Interessierten sind zu diesen Vorträgen herzlich eingeladen.

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