Richard Stanton from UC Berkeley is giving a VGSF research seminar on
"Optimal Exercise of Executive Stock Options and Implications for Firm Cost"
on FRIDAY, June 22nd, from 15:30 to 17:00 in HS 7 at the BWZ, Brünnerstrasse
72, 1210 Wien. See the VGSF webpage (Activities & Events --> Research
Seminars) for a map of the location, the paper to download and this term's
entire schedule of seminars.
Please find the paper's abstract below. Please contact Youchang Wu if you
would like to meet and discuss your research with Richard.
Best,
Michael Halling
Abstract
The cost of executive stock options has become a focus of investor
attention. The difficulty is that option cost depends on the exercise
policies of executives. This paper analyzes the optimal policy for a general
utility-maximizing executive holding a nontransferable option. We show
analytically how the policy varies with risk aversion, wealth, and dividend
rate, and when the policy is characterized by a single stock price boundary.
We also provide an example with a split continuation region. In CRRA
examples, option value decreases with risk aversion, increases with wealth,
increases with outside hedging opportunities, but can actually decline with
volatility.
*The Finance Department of the University of Vienna invites Applications
for an Assistant Professor Position* (Universitätsassistent)
*Department of Finance,* Faculty of Economics and Business
Administration (O. Univ.-Prof. Dr. Josef Zechner)
*Location:* Vienna, Austria
The position is available starting in July 2007. The duration of the
employment contract is six years. Applicants should have high research
potential and must have completed their doctoral degree.
Applications are invited in all fields of Finance.
The successful candidate is expected to take an active role in the
department's research activities, engage in joint research projects,
interact with seminar speakers and visiting faculty and contribute to
the doctoral programme, the Vienna Graduated School of Finance. Teaching
responsibilities are limited to 3 class room hours per week per
semester. The teaching language will be English.
Finance as one of our faculty's strategic areas of development for
research and teaching activities. Through its successful track record in
this area, the University of Vienna hopes to attract candidates with
international exposure who are willing to contribute to its development
as a strong centre for academic research in Finance.
The University of Vienna is an Equal Opportunity Employer. Women are
encouraged to apply.
*Applications/Contact Details*
Applicants should submit their application before June 24, 2007 to
Universität Wien
Personalabteilung
Kennzahl: 37573/MB
Dr.-Karl-Lueger-Ring 1
A-1010 Wien.
Further informations are available at
<http://personalabteilung.univie.ac.at/index.php?id=job>.
22. Workshop der Austrian Working Group on Banking and Finance
Das Institut für Banken und Finanzen (o. Univ.-Prof. Dr. M. Bank, CFA /
a.o. Univ.-Prof. Dr. M. Hanke / o. Univ.-Prof. Dr. K. Schredelseker) an der
Leopold-Franzens-Universität Innsbruck veranstaltet gemeinsam mit der
Österreichischen Bankwissenschaftlichen Gesellschaft am
23. und 24. November 2007 in Innsbruck
den 22. Workshop der Austrian Working Group on Banking and Finance
Der Workshop findet am Freitag, dem 23. November 2007, nachmittags, und am
Samstag,
dem 24. November 2007, vormittags, an der Leopold-Franzens-Universität
Innsbruck statt.
Bezüglich der Themen ist keine Einschränkung vorgesehen.
First CALL for PAPERS
Papers oder Extended Abstracts (ca. zwei Seiten) können bis spätestens 12.
Oktober 2007 bei
o. Univ.-Prof. Dr. M. Bank, CFA, Leopold-Franzens-Universität Innsbruck,
Institut für betriebliche Finanzwirtschaft, Hypo Tirol Stiftungsprofessur
für Banking & Finance, A-6020 Innsbruck, Universitätsstraße 15, oder
e-mail: banken-finanzen(a)uibk.ac.at, eingereicht werden.
Um den angestrebten Workshop-Charakter der Veranstaltung zu fördern, können
Papers durch einen Discussant besprochen werden. Jene Teilnehmer, die eine
solche Vorgangsweise wünschen, werden gebeten, ihr Manuskript bis 1.
Oktober 2007 einzureichen.
Der Call for Papers kann als pdf unter
http://www.bwg.at/bwg2/bwg.nsf/Menue/1.4 abgerufen werden.
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
- apologies for duplicated emails! -
Date: June 26th, 2007, 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. David HIRSHLEIFER, University of California at Irvine
http://web.merage.uci.edu/~Hirshleifer/
Title: A TOUR OF BEHAVIORAL FINANCE
Abstract:
Using classical tools, the behavioral revolution in finance has laid the
groundwork for a new asset pricing paradigm based upon the psychology of
investors. In this approach, security expected returns are determined by
both risk and mispricing. In this overview of psychology and asset
pricing, I describe how psychological bias affects investor decisions
and market prices. I illustrate with examples of how feelings, limited
attention, and overconfidence affect financial markets.
About David Hirshleifer:
David Hirshleifer is Professor of Finance and Merage Chair in Business
Growth at the Merage School of Business, University of
California-Irvine, which he joined after serving as the Kurtz Chair in
Finance at Ohio State University, the Waterman Professor of Finance at
the University of Michigan, and as a tenured faculty member at UCLA.
Some of his recent research has explored psychology and securities
markets, how emotions affect stock prices and managerial decision
biases, and how firms exploit market inefficiency. He has also conducted
research on risk management, corporate finance, futures pricing, and the
role of social learning in the spread of fads and fashions. His research
has been profiled in international news media, and has won several
awards, including the Smith-Breeden Award for outstanding paper in the
Journal of Finance. Professor Hirshleifer has served as a consultant for
securities and money management firms; as editor of the Review of
Financial Studies; as associate editor of the Journal of Finance; in
editorial positions at several other finance, economics, and strategy
journals; and as director of the American Finance Association and the
Western Finance Association.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
{Apologise for cross-sending.}
Dear Colleagues,
On behalf of Professor Gautam Mitra, CARISMA, we are pleased to announce the forthcoming events on Program Trading and Hedge Funds. Please find the details below (or request PDF brochures for both conference and workshops by email to mapgxcs(a)brunel.ac.uk / info(a)unicom.co.uk ). We are also delighted to announce that ALL STUDENTS and ACADEMIC RESEARCHERS WILL BENEFIT THE EARLY BIRD RATE, besides that there are some discounts for group booking. We would appreciate if you could distribute this message to those colleagues who are interested in this topic.
Program Trading Techniques and Financial Models for Hedge Funds: 3rd Annual CARISMA Seminar <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…>
26 - 27 June 2007, London
Related workshops:
* Robust Portfolio Optimisation <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> - Daniel Bienstock, Columbia University, 25 June - Half Day
* Structuring Step-up CDOs: an Optimization Approach (including models and software demonstration) <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> - Stanislav Uryasev, University of Florida, and Gautam Mitra, CARISMA & OptiRisk Systems
25 June - Half Day
* Great investors and hedge fund managers:their methods and evaluation <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> - William T Ziemba, University of British Columbia, 25 June
* Financial Innovation <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> - Dilip Madan, University of Maryland, and Marek Musiela, BNP Paribas, 28 June 2007
* Algorithmic Decision Making Framework <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> - Roberto Malamut, SAC Capital Advisors, with guest presentation by Ekaterina Kochieva, CARISMA, 28 June
Conference Programme
* Day One
Continuing Research on Optimal Trade Execution
- Daniel Bienstock, Professor of Operations Research, Columbia University
A Market Impact Model That Works
- Dan diBartolomeo, Northfield Information Services, Inc., and Visiting Professor, CARISMA
High Frequency Trading on Equity Market Micro Structure Evolution
- M A H Dempster, Centre for Financial Research, Judge Business School
University of Cambridge; V Leemans, Goldman Sachs, London
Algorithmic Execution: Some future challenges
- Gordon Baker, Head, Algorithmic Execution Services, Deutsche Bank
Optimal Liquidation Against a Markovian Limit Order Book
- Patrick Hewlett, OCIAM, University of Oxford
Automated New Content and Algorithmic Trading
- Philip Gagner, RavenPack International SL
Algorithmic Trading of Hedge Funds
- Nicos Christofides, Director, Centre for Quantitative Finance, Imperial College
Invitation-only senior executive networking event on the first evening, which will be attended by an additional group of guests
* Day Two
Theory of Acceptability Indices Applied to Evaluating Hedge Fund Performance
- Dilip Madan, University of Maryland
Improving Hedge Fund Performance via Multi-Stage Stochastic Programs
- John M. Mulvey, Professor of Operations Research, Princeton University
Validation of Derivatives Pricing Models
- Dario Cziraky, Insightful
Independent Components Analysis of Hedge Fund Returns
- Andrew Robinson, APT
Detection of Momentum Effects Using an Index Out-performance Strategy
- N. Meade, Imperial College & J.E. Beasley, CARISMA
Portfolio Optimization with Drawdown Constraints
- Stan Uryasev, University of Florida, USA, and American Optimal Decisions
Algorithmic Decision Making Framework
- Roberto Malamut, SAC Capital Advisors
For further details please go to http://www.carisma.brunel.ac.uk/newsandinfo.html <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> or www.unicom.co.uk/finance <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> or email mapgxcs(a)brunel.ac.uk or info(a)unicom.co.uk <mailto:info@unicom.co.uk> for a PDF flier.
We look forward to welcoming you to the conference and workshops, please also make your colleagues aware of it.
With kind regards
Michael Sun
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Michael(Xiaochen) Sun
CARISMA, www.carisma.brunel.ac.uk <http://www.carisma.brunel.ac.uk/>
Centre for the Analysis of Risk and Optimisation Modelling Application;
School of Computing, Information Systems and Mathematics
Brunel University
Uxbridge, UB8 3PH
United Kingdom
Email: xiaochen.sun (at) brunel.ac.uk
http://optirisk.googlepages.com/ <http://optirisk.googlepages.com/>
http://people.brunel.ac.uk/~mapgxcs <http://people.brunel.ac.uk/~mapgxcs>
Blog: http://mam3xs.blogspot.com <http://mam3xs.blogspot.com/>
Tel: (+44) (0)1895 265625
Mobile: (+44) (0)7841873292
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Günter Strobl from the University of North Carolina, Chapel Hill, is giving
a VGSF research seminar on "Time-Varying Information Asymmetry and the
Disposition Effect" on FRIDAY, May 25th, from 15:30 to 17:00 in HS 7 at the
BWZ, Brünnerstrasse 72, 1210 Wien. See the VGSF webpage (Activities & Events
--> Research Seminars) for a map of the location, the paper to download
(soon) and this term's entire schedule of seminars.
Please find the paper's abstract below.
Best,
Michael Halling
Abstract
Economists have long been puzzled by the tendency of investors to sell
winning investments too soon and hold losing investments too long. Several
behavioral explanations for this phenomenon, known as the disposition
effect, have been advanced. This paper demonstrates that the disposition
effect is not intrinsically at odds with rational behavior. We present a
rational expectations model with asymmetrically informed investors and show
that, for some parameterizations, trading strategies as predicted by the
disposition effect are in fact an optimal response to dynamic changes in the
information structure. We provide conditions under which the disposition
effect holds and derive new empirical implications relating it to public
news releases, trading volume, and stock price dynamics.
The Gutmann Center for Portfolio Management
at the University of Vienna
http://www.gutmann-center.at
is pleased to announce the
GUTMANN CENTER SYMPOSIUM 2007:
CREDIT RISK AND THE MANAGEMENT OF FIXED INCOME PORTFOLIOS
- With copious apologies for duplicated emails! -
June 1st, 2007 - 9.00 am - 6.30 pm,
University of Vienna (Austria)
Aula Altes AKH, Hof 1, Alser Str. 4, 1090 Wien
Fixed income products and credit derivatives represent booming markets
with predictable cash-flows and attractive return-risk profiles. Still,
the economic relationships underlying these products are very
sophisticated. Determinants of credit spreads, the price of default and
liquidity risk and models of default correlations are important
questions in academic research and have immediate implications for fixed
income fund management. At the Gutmann Symposium 2007 internationally
recognized experts will address these issues and present their most
current research results.
08.30-09.00 Registration
09.00-09.15 WELCOME
Josef Zechner - University of Vienna
09.15-10.45 SESSION I: CREDIT SPREADS AND CREDIT RATINGS
Chair: Josef Zechner - University of Vienna
"Cash Holdings and Credit Spreads"
Sergei Davydenko - University of Toronto
Discussant: Youchang Wu - University of Vienna
"Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle"
Alexander David - University of Calgary
Discussant: Thomas Steinberger - University of Vienna
"Bayesian Inference for Issuer Heterogeneity in Credit Ratings Migration"
Ashay Kadam - Cass Business School
Discussant: Alexander David - University of Calgary
10.45-11.15 - coffee break -
11.15-12.45 SESSION II: CREDIT DEFAULT SWAP MARKETS:
DEFAULT, LIQUIDITY AND RECOVERY RISK
Chair: Klaus Spremann - University St. Gallen
"Liquidity and Liquidity Risk Premia in the CDS Market"
Dion Bongaerts - University of Amsterdam
Discussant: Holger Kraft - University of Kaiserslautern
"Liquidity and Credit Default Swap Spreads"
Dragon Yongjun Tang - Kennesaw State University
Discussant: Stefan Pichler - Wirtschaftsuniversität Wien
"Separating the Components of Default Risk: A Derivative-Based Approach"
Anh Le - New York University
Discussant: Ashay Kadam - Cass Business School
12.45-14.00 - lunch break -
14.00-15.30 PANEL DISCUSSION:
CREDIT RISK MARKETS - OPPORTUNITIES AND CHALLENGES
Chair: Engelbert Dockner - University of Vienna
Discussants:
Joe Biernat - European Credit Management Limited (ECM)
Pierre Collin-Dufresne - UC Berkeley/ Goldman Sachs Asset Management
Stephen Schaefer - London Business School
Suresh Sundaresan - Columbia University
Friedrich Strasser - Bank Gutmann AG
15.30-16.00 - coffee break -
16.00-17.00 SESSION III: STRUCTURAL CREDIT RISK MODELS
Chair: Stephen Schaefer - London Business School
"On the Relation between the Credit Spread Puzzle and the Equity Premium
Puzzle"
Pierre Collin-Dufresne - UC Berkeley/ Goldman Sachs Asset Management
Discussant: Neal Stoughton - University of Calgary
"Specification Analysis of Structural Credit Risk Models"
Jing-zhi Huang - Penn State University
Discussant: Thomas Dangl - Vienna University of Technology
17.00-17.15 - coffee break -
17.15-18.15 SESSION IV: FIXED INCOME PORTFOLIO MANAGEMENT
Chair: Robert Korajczyk - Northwestern University
"An ABC of Portfolio Choice: Asset Allocation with Bankruptcy and Contagion"
Holger Kraft - University of Kaiserslautern
Discussant: Helmut Elsinger - University of Vienna
"Understanding Common Factors in Domestic and International Bond Spreads"
Rodolfo Martell - Purdue University
Discussant: Otto Randl - Anaxo
- refreshments -
Participation fee: the participation is free, but all participants are
required to register.
Contact:
Gutmann Center for Portfolio Management
University of Vienna
- Dorothea Grimm -
gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186
Fax: +43-1-4277-38074
Web: www.gutmann-center.at
Toni M. Whited from the University of Wisconsin, Madison, is giving a VGSF
research seminar on "The Corporate Propensity to Save" on FRIDAY, May 18th,
from 15:30 to 17:00 in HS 7 at the BWZ, Brünnerstrasse 72, 1210 Wien. See
the VGSF webpage (Activities & Events --> Research Seminars) for a map of
the location, the paper to download (soon) and this term's entire schedule
of seminars.
Please find the paper's abstract below.
Best,
Michael Halling
Abstract
We study corporate saving in a stochastic, dynamic model of the firm with
endogenous choices of external finance, distributions, cash, and investment.
Intertemporal trade-offs between costly external finance and interest income
taxation determine optimal savings. Unlike static models, our model produces
negative propensities to save out of income because firms lower cash
reserves to invest after receiving good productivity news, and vice versa.
OLS regressions using international data replicate positive saving
propensities found previously. However, treating measurement error in
Tobin's q produces negative propensities, consistent with our model.
Empirically, income uncertainty matters more for saving than the cost of
external finance.
Kolloquium
Finanz- und Versicherungsmathematik in Theorie und Praxis
Ort: TU Graz, Steyrergasse 30, EG, HS AE01
Zeit: 1. Juni 2007
10:00: Eröffnung
10:15: Prof. Dr. Ralf Korn (Univ. Kaiserslautern)
Vortragstitel: Dividenden, Inflation und dynamische Mortalität
11:15: Prof. Dr. Wim Schoutens (K.U.Leuven)
Vortragstitel: Levy Processes jumping into Credit Risk
Mittagspause
14:00: Dr. Jürgen Hartinger (Kärntner Landesversicherung Klagenfurt)
Vortragstitel: Solvency II - Aktuarielle Herausforderungen im neuen
Aufsichtssystem für Versicherungen
14:35: Mag. Peter Rohrer (Raiffeisen Landesbank Graz)
Vortragstitel: Neue Märkte - Chancen und Herausforderungen im Geld- und
Kapitalmarktgeschäft am Beispiel der RLB Steiermark
15:10: Dipl. Ing. Mario Kasper (Merkur Versicherung Graz)
Vortragstitel: Auswirkungen aktueller rechtlicher Entwicklungen auf die
Kalkulation in der Lebensversicherung
Kaffeepause
16:15: Dr. Günther Puchtler (Grazer Wechselseitige Versicherung)
Vortragstitel: Wirkungen der Lebensversicherung auf die Unternehmensbilanz
Organisatoren: R. Tichy, H. Albrecher
--
------------------------------
Institut für Analysis und Computational
Number Theory (Math A)
Technische Universität Graz
Steyrergasse 30 - A-8010
The Gutmann Center for Portfolio Management
at the University of Vienna
www.gutmann-center.at
invites to the first
GUTMANN CENTER PRACTITIONERS' SEMINAR
"THE STRUCTURAL APPROACH TO CREDIT RISK"
with: Prof. Dr. Stephen SCHAEFER, London Business School
Date: May 31st (Thursday), 14.00 - 17.30
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
(Invitation available as pdf on www.gutmann-center.at!)
On occasion of its 5th annual symposium, the Gutmann Center extends its
bridging activities, bringing together academia and industry, and offers
for the first time a "Gutmann Center Symposium Practitioners' Seminar".
In this half-day workshop designed especially for participants from the
portfolio management industry, Stephen Schaefer from London Business
School provides an introduction to the problem of modeling credit risk,
describes the "structural approach", explains how it works, what its
successes and failures have been and what it has to offer to
practitioners who have to deal with credit risk.
About Stephen Schaefer:
Stephen Schaefer is Professor of Finance at London Business School.
Formerly on the faculty of the Graduate School of Business at Stanford
University, he has also been a visiting professor at the Universities of
British Columbia, California (Berkeley), Cape Town, Chicago and Venice.
He has published widely on fixed income markets, risk management, credit
risk and financial regulation. At London Business School he has been at
various times Research Dean, Chairman of the finance area, Director of
the Institute of Finance and Accounting and a member of the School's
Governing Body.
In his outside academic life, Stephen Schaefer is a Senior Research
Advisor to Moody's KMV, a member of Moody's Academic Research and
Advisory Committee and a Non-Executive Director of Leo Fund Management.
He was formerly an Independent Board Member of the Securities and
Futures Authority and a Trustee-Director of Smith Breeden Mutual Funds.
Program:
14.00-14.15 Welcome
Rudolf Stahl, CEO Bank Gutmann AG
Josef Zechner, University of Vienna and Gutmann Center
14.15-15.30 Introduction to Credit Risk
- What is default?
- How to model default - the main alternatives
- The data
The Structural Approach (Part I)
- The basic idea (Black-Scholes-Merton[BSM])
- Limitations of BSM
15.30-16.00 - Coffee Break -
16.00-17.15 The Structural Approach (Part II)
- Models with early default
- Evidence on using structural models for predicting credit spreads and
default probabilities
Some recent research: Using structural models to
understand
- Hedge ratios (against the issuing firm's equity)
- Duration
Summary and discussion
- Refreshments -
Please register no later than May 23rd, 2007!
Participation is free of charge, but the number of participants is limited.
Registration, contact and further information:
Gutmann Center for Portfolio Management
University of Vienna
Bruenner Strasse 72
1210 Wien (Vienna), Austria
Phone: +43-1-4277-38186
Fax: +43-1-4277-38074
Mail: gutmann.bwl(a)univie.ac.at
Homepage: www.gutmann-center.at