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[VFN] Radon Workshop on Financial and Actuarial Mathematics for Young Researchers, Linz, Austria
by Hansjoerg Albrecher 17 Jan '07

17 Jan '07

Please spread the following information via your newsletter! Hansjörg Albrecher Dear colleagues, we would like to bring your attention to the following event: Radon Workshop on Financial and Actuarial Mathematics for Young Researchers Linz, Austria, May 30-31, 2007 This international workshop aims to bring together young researchers, in particular Ph.D. students and Postdocs, working in the field of Financial and Actuarial Mathematics to discuss recent developments in the theory of mathematical finance and insurance and its application to current issues facing the industry. The goal is to promote the exchange of ideas between young scholars in this field. Researchers in all areas of financial and actuarial mathematics are welcome to apply. The workshop is held at the Radon Institute of Computational and Applied Mathematics (RICAM) of the Austrian Academy of Sciences in Linz, Austria. Each participant is supposed to give a talk of 30 minutes length (including discussion). In addition, there will be an opening lecture by Prof. Ralf Korn (Kaiserslautern, Germany) and a closing lecture by Prof. Wim Schoutens (Leuven, Belgium). Since there is no registration fee and for all participants the hotel accomodation will be covered, the number of participants has to be limited to 35. Application for participation including an abstract (length about half a page) for the talk should be sent to fayr07(a)ricam.oeaw.ac.at The closing date for the receipt of applications is March 31, 2007. Notification of acceptance: April 16, 2007. For participants from Eastern Europe, there is a limited number of travel grants available upon application. For further information, please visit the workshop web page at http://www.ricam.oeaw.ac.at/conferences/fayr07/ or contact the organizers Dr. Hansjoerg Albrecher Radon Institute for Computational and Applied Mathematics Austrian Academy of Sciences Altenbergerstrasse 69 tel: +43-732-2468-5247 A-4040 Linz, Austria fax: +43-732-2468-5212 email: hansjoerg.albrecher(a)oeaw.ac.at web: http://www.ricam.oeaw.ac.at/people/page/albrecher and Philipp Mayer Graz University of Technology Steyrergasse 30 tel: +43-316-873-5365 A-8010 Graz, Austria fax: +43-316-873-5369 email: mayer(a)opt.math.tugraz.at web: http://www.opt.math.tugraz.at/~mayer/

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[VFN] Call for Papers Gutmann Center Symposium 2007: Credit Risk and the Management of Fixed-Income Portfolios
by Gutmann Center-D.Grimm 17 Jan '07

17 Jan '07

CALL FOR PAPERS/ CONFERENCE ANNOUNCEMENT GUTMANN CENTER SYMPOSIUM 2007: "CREDIT RISK AND THE MANAGEMENT OF FIXED-INCOME PORTFOLIOS" Gutmann Center for Portfolio Management at the University of Vienna http://www.gutmann-center.at June 1st, 2007 University of Vienna, Austria The Gutmann Center for Portfolio Management at the University of Vienna is proud to announce its fifth annual symposium to be held at the University of Vienna. Topics of this year's symposium include but are not restricted to the following aspects: - corporate bond valuation - corporate bond trading - distressed debt analysis - measuring and pricing default risk - credit derivatives and structured credit products - counterparty risk management - exchange rates, sovereign risk and emerging market debt - leveraged loan indices - project finance and default risk PAPER SUBMISSION: Papers on topics mentioned above should be submitted by email (in Acrobat PDF) not later than March 1st, 2007 to the following address: E-mail: gutmann.bwl(a)univie.ac.at CONTACT: Gutmann Center for Portfolio Management University of Vienna Director: Josef Zechner Administrative Director: Dorothea Grimm 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: http://www.gutmann-center.at All submissions will be reviewed by a committee composed of members of the Gutmann Center's Academic Advisory Board and decisions will be announced by March 15th, 2007 Submission and participation are free of charge. Presenting authors are invited to apply to Gutmann Center to cover their accommodation and travel expenses.

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[VFN] VGSF Research Seminar (Jan. 12th) by Leopold Sögner
by Michael Halling 09 Jan '07

09 Jan '07

Leopold Sögner from the Vienna University of Technology is giving a VGSF research seminar on "Jumps and Recovery Rates Inferred from Corporate CDS Premia" on FRIDAY, Jan. 12th, from 15:30 to 17:00 at the WU Wien (Seminarraum D204, UZA 4, Nordbergstrasse 15, 1090 Wien, see http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed plan). Please find the paper's abstract below. Best, Michael Halling ABSTRACT We provide a thorough investigation of the US corporate credit default swap (CDS) market. We take a full parametric approach with an observable, multi-factor, affine reduced-form model that accommodates jumps in the riskless, as well as default-risky discount rates. Our empirical results reveal that a multifactor formulation is imperative for fitting, both, the time-series and in particular the cross-section of CDS premia. Model implied loss given default (LGD) is well identified; it appears to be positively related to a firm's credit quality. Incorporation of jumps significantly improves the model's capability to reproduce the time-series behavior of CDS premia.

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[VFN] Invitation: January 25th - Public Lecture with Pedro Santa-Clara " How to Optimize Portfolios with a Large Number of Assets?"
by Gutmann Center-D.Grimm 08 Jan '07

08 Jan '07

GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna - http//:www.gutmann-center.at invites to the following PUBLIC LECTURE: (Apologies for any cross-listings!): Date: January 25th, 2007, 4.00 pm Location: Bank Gutmann, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. PEDRO SANTA-CLARA, UCLA Anderson School of Management http://personal.anderson.ucla.edu/pedro.santa-clara/ Title: HOW TO OPTIMIZE PORTFOLIOS WITH A LARGE NUMBER OF ASSETS? Abstract: We propose a novel approach to optimizing portfolios with large numbers of assets. We model directly the portfolio weight in each asset as a function of the asset's characteristics. Our approach is computationally simple, easily modified and extended, produces sensible portfolio weights, and offers robust performance in and out of sample. In contrast, the traditional approach of first modeling the joint distribution of returns and then solving for the corresponding optimal portfolio weights is not only difficult to implement for a large number of assets but also yields notoriously noisy and unstable results. About Pedro Santa-Clara: Pedro Santa-Clara is Associate Professor of Finance at UCLA's Anderson School of Management, where he has been since 1996. He received his Ph.D. degree in Management from INSEAD, France. He is a research associate of the National Bureau of Economic Research and an associate editor of the Journal of Financial and Quantitative Analysis, Journal of Business and Economic Statistics, and Management Science. Professor Santa-Clara's research interests are focused on theoretical models of asset pricing and the development of econometric methods to estimate them, particularly in the areas of equity and bond pricing, option valuation, and portfolio choice. His contributions, including the string model of the term structure, the MIDAS model of conditional variance, and dynamic portfolio choice by extending the asset space, have gained wide acceptance by academics and finance professionals. His research has been published in the Journal of Finance, Review of Financial Studies, Journal of Financial Economics, and other leading journals in Economics and Finance. Professor Santa-Clara founded Atrium Investments, an asset management company and has worked as a consultant to multiple investment banks and hedge funds on pricing derivatives and developing investment strategies. 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

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[VFN] Stellenausschreibung für wissenschaftliche/n MitarbeiterIn an der Donau-Universität Krems
by Willibald Gfoehler 13 Dec '06

13 Dec '06

Die Donau-Universität Krems ist Europas einzige staatliche Weiterbildungsuniversität und Österreichs führender Anbieter postgradualer Master-Studien. Mehr als 3.000 Studierende sind in über 120 Universitätslehrgängen eingeschrieben. Zur Verstärkung im Department für Wirtschafts- und Managementwissenschaften/Zentrum für Finance suchen wir ab sofort eine/n engagierte/n Wissenschaftliche/r Mitarbeiter/in 38,5 Stunden pro Woche Ihre Aufgaben: * Mitwirkung bei der Durchführung von Universitätslehrgängen * Betreuung der Studierenden * Unterstützung bei der Planung und Durchführung von Forschungsprojekten Ihr Profil: * abgeschlossenes Hochschulstudium im Bereich Wirtschaftswissenschaften, vorzugsweise mit Schwerpunkt Finanzwirtschaft/Finance * ausgewiesene Kenntnisse in der Finanzwirtschaft/Finance, insbesondere in der empirischen Kapitalmarktforschung * ausgezeichnete Englischkenntnisse * Teamfähigkeit sowie ausgeprägte kommunikative Kompetenzen Ihre Perspektive: Freuen Sie sich auf eine anspruchsvolle Tätigkeit in einem kreativen, hoch motivierten Team. Gestalten Sie mit uns die erfolgreiche Zukunft der jüngsten Universität Österreichs. Wir freuen uns auf Ihre überzeugende Bewerbung! Wenden Sie sich bitte schriftlich bis spätestens 29.12.2006 an die Personalabteilung der Donau-Universität Krems, Dr.-Karl-Dorrek-Straße 30, A-3500 Krems, astrid.adam(a)donau-uni.ac.at

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[VFN] VGSF Research Seminar on Friday, Dec. 15th from 13:00 to 14:30 (CHANGED TIME), by Denis Gromb
by Michael Halling 13 Dec '06

13 Dec '06

Denis Gromb from London Business School is giving a VGSF research seminar on "Financially Constrained Arbitrage and the Cross-section of Market Liquidity" (no paper available) on FRIDAY, Dec. 15th, from 13:00 to 14:30 at the WU Wien (Seminarraum A619 - 6th floor Red Sector, UZA 4, Nordbergstrasse 15, 1090 Wien, see http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed plan). Denis is going to be in Vienna during the entire week. Please contact Michael Halling if you would like to talk to him. Best, Michael Halling

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[VFN] Scholarships VGSF PhD Program in Finance
by VGSF-D.Grimm 12 Dec '06

12 Dec '06

VIENNA GRADUATE SCHOOL OF FINANCE (VGSF) www.vgsf.ac.at offers PhD SCHOLARSHIPS IN FINANCE INVITATION TO APPLY The Vienna Graduate School of Finance - a joint initiative of the University of Vienna, the Institute for Advanced Studies, Vienna, and the Wirtschaftsuniversität Wien - invites applications for its PhD Program in Finance. The VGSF offers a stimulating learning and research environment plus financial support to outstanding students from around the world. VGSF graduates can look forward to a rewarding career at leading academic institutions. FACULTY The VGSF faculty is very well connected in the academic finance community and complemented by leading international finance scholars. For example, 2006/07 courses will be taught by Tomas Björk, Nicolae Garleanu, Ruey Tsay, Jan Werner, and Toni Whited. In addition, international scholars are regularly invited to present their current research in the VGSF finance research seminar. PROGRAM The VGSF PhD-program in Finance is a four-year program which consists of two years of rigorous coursework and two years work on the PhD-thesis. All courses are taught in English. In addition to excellent language skills, good skills in mathematics and statistics are advantageous to successfully complete the program. APPLICATION The program is open for students from all countries with all academic specializations, provided they hold a Master degree or equivalent and have a sufficient level of formal training. Applicants should take a GRE and/or GMAT and a TOEFL test, and provide proof of basic proficiency in finance and/or economics (based on either the degree they hold or a sample of original written work). The application package must also contain a statement of purpose, as well as copies of any certificates and diplomas obtained during prior studies, along with certified translations into English. Finally, each applicant should arrange for at least two letters of reference to be sent directly to the address below. SCHOLARSHIP Successful applicants will receive financial support. Approximately 4-6 scholarships are offered for the curriculum starting in September 2007. Please send your application package no later than February 15th, 2007, to the following address: VGSF - Prof. Dr. Josef Zechner University of Vienna, Department of Finance, Brünnerstrasse 72, 1210 Vienna (Wien), Austria. FOR FURTHER DETAILS AND AN APPLICATION FORM PLEASE SEE: http://www.vgsf.ac.at - Contact: vgsf(a)vgsf.ac.at

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[VFN] Guest Lecture: professor Gang Yi
by Youchang Wu 01 Dec '06

01 Dec '06

Department of Finance at the University of Vienna invites participation in Guest Lecture on China's Macroeconomy and Monetary Policy under Globalization Speaker: Prof. Dr. Gang Yi, assistant governor of People's Bank of China, professor of economics at Beijing University Time: Dec. 4th (Monday), 2006. 11:00-12:30 Location: Palais Coburg, Coburgbastei 4/1, Vienna (ISK wien) about Prof. Gang Yi: Gang Yi is assistant governor of People's Bank of China (the central bank of China) and professor of economics at Beijing University. Professor Yi holds a Ph.D in economics from University of Illinois. Before returning to China in 1994, he was associated professor (with tenure) at Indiana University, Indianapolis. His research focuses on macroeconomy, monetary policy and financial markets. Best regards, Youchang Wu

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[VFN] Reminder: Talk on Dec 5th with P. Bossaerts on "NEURO-FINANCE"
by Gutmann Center-D.Grimm 30 Nov '06

30 Nov '06

GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna - http//:www.gutmann-center.at invites to the following PUBLIC LECTURE: (Apologies for any cross-listings!): Date: DECEMBER 5th, 2006, (Tuesday) - 4.00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. PETER BOSSAERTS, California Institute of Technology (Caltech) http://www.hss.caltech.edu/~pbs/ Title: NEURO-FINANCE Abstract: Finance has always treated humans as black boxes, whereby behavioral rules are either imposed by decision theory (neoclassical finance) or derived from observation of actual or hypothetical choice (behavioral finance). In contrast, neuro-finance attempts to understand behavior by examining the physiological processes in the human brain when exposed to financial risk. The talk will illustrate this with the recent discovery that the brain analyzes monetary gambles by separately encoding their expected payoff and the payoff variance (even when subjects have never heard of these concepts). As such the brain uses the same inputs as Markowitz' portfolio theory. This is in sharp contrast with economics (which includes Prospect Theory), which represents desirability of gambles through scores on a single-dimensional utility scale. About Peter Bossaerts: Peter Bossaerts is William D. Hacker Professor of Economics and Management and Professor of Finance at the California Institute of Technology (Caltech). At present, he is at the Université de Lausanne as Swiss Finance Institute Visiting Professor. Prof. Bossaerts holds a PhD in Management (Finance) from UCLA. His current research area is experimental finance, in particular, neuro-finance. He investigates cognitive biases and their impact on asset prices, through observation of individual behavior, observation of price formation in large-scale experimental financial markets, and through analysis of brain activation while individuals face financial risk. 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

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[VFN] VGSF Research Seminar on Friday, Dec. 1st, by Peter Bossaerts
by Michael Halling 29 Nov '06

29 Nov '06

Peter Bossaerts from CalTech (California Institute of Technology) is giving a VGSF research seminar on "EQUILIBRATION UNDER COMPETITION IN SMALLS: THEORY AND EXPERIMENTAL EVIDENCE" on FRIDAY, Dec. 1st, from 15:30 to 17:00 at the WU Wien (Seminarraum D204, UZA 4, Nordbergstrasse 15, 1090 Wien, see http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed plan). Please find the paper's abstract below. Peter is going to be in Vienna on Monday and Tuesday (Dec. 4th and 5th). Please contact Michael Halling if you would like to talk to Peter. Best, Michael Halling Abstract Many real-world markets are competitive only in smalls, taken to mean that price taking applies only to small orders. Starting from this observation, a theory of equilibration is derived where orders are optimal merely in a local sense. Prices are assumed to adjust in the direction of the order imbalance. In the context of financial markets populated with mean-variance optimizing agents, the theory predicts that a security's price will correlate with excess demands in other securities, and the sign of this correlation is the same as that of the covariance of the final payoffs. In the short run, prices tend to a local equilibrium where the risk-aversion weighted endowment portfolio (RAWE) is mean-variance optimal. Relative to the market portfolio, RAWE overweighs securities that are held disproportionally by more risk averse agents; RAWE puts less weight on securities that are held primarily by more risk tolerant agents. Throughout equilibration, portfolio separation is violated generically, and violations are more extreme when payoff covariances are positive. For a variety of patterns of initial allocations (including identical initial holdings), the equity premium is larger at the outset than at (CAPM) equilibrium. All these implications are confirmed in experiments.

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