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
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>
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
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
***
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/
---------- 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
=======================================================
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
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
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.
EINLADUNG
zum
24. Workshop
der
Austrian Working Group on Banking and Finance
4. / 5. Dezember 2009
Ort: Fachhochschule des bfi Wien,
Wohlmutstrasse 22, 1020 Wien
Hörsaal: E01 (Erdgeschoss)
Programm:
Freitag, 4.12. 2009
14:00 – 14:15
Begrüßung durch den Rektor der FH des bfi Wien
Session 1(14:15 – 16:00). Chairperson: Jeckle (FH des bfi Wien)
14:15 bis 14:45 Geyer/ Hanke/ Weissensteiner (WU Wien, UNI Innsbruck):
No Arbitrage Condition, Szenario Trees and Multi-Asset
Financial
Optimization
14:45 bis 15:15 Fischer/ Lind-Braucher (UNI Graz)):
Optimale Portfolios mit traditionellen und alternativen
Investments:
Eine empirische Studie
15:15 bis 16:00 Glawischnig/ Seidl (UNI Graz):
Portfolio Optimization with serially correlated, skewed
and fat tailed index returns
Discussant: (Jeckle, FH des bfi Wien)
16:00 bis 16:30 Kaffeepause
Session 2 (16:30 – 18:00): Chairperson: Pichler (WU Wien)
16:30 bis 17:00 Löcker (WU Wien): :
Dynamisches Hedging in Levy Modellen.
17:00 bis 17:30 Ortega/ Pullirsch/ Teichmann/ Wergiluk (CNRS, RZB, TU
Wien):
A new Approach of Szenario Generation in Risk Management
17:30 bis 18:00 Hofmarcher/ Hornik (WU Wien):
Benford`s Law in Credit Risk
19:00 Gemeinsames Abendessen
Samstag, 5.12. 2009
Session 3: Chairperson: Hanke (Uni Innsbruck)
9:00 bis 9:30 Grün/ Hofmarcher/ Hornik/ Leitner/ Pichler (WU
Wien):
Consensus Default Probabilities of the Big Three Rating
Agenices
9:30 bis 10:15 Hayden/ Stomper/ Westerkamp (OeNB, IHS, UNI Wien):
Selection versus Averaging of Logistic Credit Risk Models
Discussant: (Leinter)
10:15 bis 10:45 Kaffeepause
Session 4: Chairperson: Jeckle/Steiner (Fh des Bfi Wien/ Uni Graz)
10:45 bis 11:15 Kernbauer (Österreichische Clearing Bank AG):
Geldmarktentwicklung und Notenbankpolitik während der
Finanzkrise 2008 -2009
11:15 bis 11:45 Strobl (FH des bfi Wien):
Aspekte der Korrelation in der Zeitreihenanalyse
11:45 bis 12:15 N.N
Dear all! I would like to draw your attention to the
XI Workshop on Quantitative Finance
Palermo (Italy) January 28 - 29, 2010
http://qf2010.unipa.it/qf2010/
Friedrich Hubalek