(Apologies for any cross-listings!)
Business Applications of Optimisation, Stochastic Programming & Portfolio Planning:
*Introduction to Optimisation and its Applications: Linear & Integer Programming - Embedded DSS using SCRIPTING and COM Objects,
16 - 17 October, CARISMA, Brunel University, West London
*Decision Making under Uncertainty: Stochastic Programming, 18 - 19 October, CARISMA, Brunel University, West London
*Financial Planning Using Integer Quadratic Programming,
20 …
[View More]October, CARISMA, Brunel University, West London
Dear Colleague
We are pleased to announce the above workshops, which are organised by CARISMA, Brunel University, OptiRisk Systems and UNICOM Seminars.
The workshop series is specially designed to provide insight into the discipline of optimisation for a wide range of individuals such as OR professionals, quantitative analysts, risk analysts, DSS application developers, consultants, and academic researchers.
The courses will take you through all the steps of an optimisation project using powerful optimisation tools such as AMPL Modelling System, CPLEX, FortMP, FortSP and SPInE. They are most comprehensive and cover the latest developments in the field, with plenty of hands-on examples, which help you develop stochastic programming applications for your sector, be it financial planning, portfolio selection, supply chain, or energy systems planning.
Guest Presentation:
*Scenario Generation - Hidden Markov Model
Enza Messina, University of Milan, Italy
*Sloving Integer Stochastic Programming
Suvrajeet Sen, University of Arizona, USA
For further details please go to www.unicom.co.uk/optimise, either download brochure or email mapgxcs(a)brunel.ac.uk for a PDF filer.
We look forward to welcoming you to the workshops; please also make your colleagues aware of it. Thank you.
Best regards
CARISMA
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Michael(Xiaochen) Sun
CARISMA, www.carisma.brunel.ac.uk
Centre for the Analysis of Risk and Optimisation Modelling Application;
School of Computing, Information Systems and Mathematics
Brunel University
Middlesex
Uxbridge, UB8 3PH
United Kingdom
* xiaochen.sun(a)brunel.ac.uk
http://people.brunel.ac.uk/~mapgxcshttp://mam3xs.blogspot.com/
((+44) (0)1895 265625
((+44) (0)7841873292
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
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Sehr geehrte Damen und Herren,
am 17./18. 11. 2006 findet im Universitätszentrum Obergurgl ein Workshop
zum Thema Risikomanagement statt. Organisiert wird der Workshop vom
Institut für Banken und Finanzen der Universität Innsbruck. Als Keynote
Speaker konnte Frau Prof. Uhrig-Homburg von der Universität Karlsruhe
gewonnen werden.
Nähere Informationen und einen Call for Papers finden Sie unter
http://www.uibk.ac.at/congress/krm/
Wir würden uns freuen, Sie im November in Obergurgl begrüß…
[View More]en zu dürfen.
Mit besten Grüßen aus Tirol,
Matthias Bank & Michael Hanke
--
Univ.Prof. Dr. Michael Hanke
University of Innsbruck
Department of Banking and Finance
Universitaetsstrasse 15
6020 Innsbruck, Austria
Phone: +43 512 5077552, Fax: +43 512 5072846
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by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Mon, 24 Jul 2006 16:15:37 +0200 (CEST)
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Thu, 20 Jul 2006 17:22:28 -0400
From: creditrisk <creditrisk(a)finance-concepts.com>
Subject: [ccfz] Credit Risk Summit (New York , 20 Oct 2006)
FINANCE CONCEPTS and STANDARD & POORS
are pleased to announce a forthcoming
CREDIT RISK SUMMIT conference
The state of the art in credit and correlation modelling
New York, …
[View More]October 20th 2006
Download brochure:
http://www.finance-concepts.com/training/CreditRisk2006.pdf
This event will bring together world experts in the field of credit
risk modelling with the aim of presenting the state of the art in
quantitative approaches to credit risk and credit derivatives, aimed
at investors, market participants and quantitative analysts involved
with credit risk.
* Speakers:
DAMIANO BRIGO, Banca IMI
RAMA CONT, Ecole Polytechnique
SANJIV DAS, Santa Clara University
ARNAUD DE SERVIGNY, Standard & Poors
CRAIG FRIEDMAN, Standard & Poors
IBRAHIMA KOBAR, IXIS Asset Management
DAVID LI, Barclays Capital
ALEX LIPTON, Merrill Lynch
SVEN SANDOW, Standard & Poors
PHILIPP SCHÖNBUCHER, ETH Zürich
JAKOB SIDENIUS, JP Morgan
STAN URYASEV, University of Florida
NICOLAS VICTOIR, JP Morgan
Topics covered:
* Credit derivatives: pricing and risk management of credit default
swaps, single tranche CDOs
* Next generation credit products: options on CDO tranches, forward
starting tranche swaps, CMCDS
* Recent advances in modelling and measurement of default risk
* Structured credit products: structuring of synthetic CDOs, actively
managed CDOs
* Credit rating methodologies for single tranche CDOs and structured
credit derivatives
* Correlation book management
* Cash CDOs: structuring and management
* INFORMATION AND REGISTRATION:
For information on registration please download the conference
brochure on http://www.finance-concepts.com
In order to enhance the interaction between participants and speakers,
the number of participants is limited and request for registration
will be treated in the order of their arrival. We therefore kindly
request interested participants to send in their registration as soon
as possible but no later than the REGISTRATION DEADLINE: September
30th 2006.
For more information please visit our web site
http://www.finance-concepts.com or contact us by email:
creditrisk(a)finance-concepts.com
Finance Concepts Your partner in risk management
PARIS - NEW YORK http://finance-concepts.com/
Tel: +33 1 53761146 E-mail: creditrisk(a)finance-concepts.com
Fax: +33 1 45016510
_______________________________________________
ccfz mailing list
ccfz(a)math.ethz.ch
https://mailman.math.ethz.ch/mailman/listinfo/ccfz
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First Announcement
The third international conference on Economics and Management of
Networks (EMNet) will take place at the Erasmus University Rotterdam
(Rotterdam School of Management), The Netherlands, from June 28 to June
30, 2007. EMNet conferences serve to promote communication and awareness
among researchers in economics and management and provide a forum to
present current research and to discuss issues of common interest, such
as relevant developments in organizational economics …
[View More]and management. The
content of EMNet conferences include all forms of networks, such as
franchising, joint ventures, virtual organizations, strategic alliances,
cooperative networks, clusters, venture capital relations and other
forms of hybrids.
The call for papers will be sent out in September.
Conference information can be found at: http://www.univie.ac.at/EMNET.
The latest book from the EMNet-Conference in Budapest on 'ECONOMICS and
MANAGEMENT of NETWORKS: Franchising, Strategic Alliances and
Cooperatives' (ed. by G. Cliquet, G. Hendrikse, M. Tuunanen, J.
Windsperger) will be published in September 2006 (see further
information on the web page:
http://www.univie.ac.at/EMNET/2005/index2005.htm)
Best regards,
Josef Windsperger
University of Vienna
Center of Business Studies
Josef.windsperger(a)univie.ac.at
--
Josef Windsperger, PhD
Associate Professor of Organization and Management (ao. Univ.-Prof.)
University of Vienna, Center for Business Studies
Bruenner Str. 72; A-1210 Vienna, Austria
Phone: +431 4277 38180; Fax: +431 4277 38174
Email: josef.windsperger(a)univie.ac.at
URL: http://www.univie.ac.at/im
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Prof. Li Jin from the Harvard Business School is giving a VGSF research
seminar on "Managerial Career Concern and Mutual Fund Short-termism" on
FRIDAY, June 30th, from 15:30 to 17:00 at the Institute for Advanced Studies
(Institut für Höhere Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS)
2. Please find the paper's abstract below.
Coffee and snacks are going to be available in the cafeteria of IHS, which
is located next to the lecture room, before and after the seminar.
Li is going to …
[View More]be in Vienna for the entire week. If you like to meet him and
to discuss your research with him, please contact me.
Best,
Michael Halling
Abstract
Mutual fund investors reward short run performance with large inflows. Fund
managers facing strong performance-related flows are shown to focus more on
short horizon investments. Further tests of causality suggest that fund
managers short investment horizons are caused by their investors short
horizons, but not the other way around.
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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: June 29th, 2006 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Ananth MADHAVAN, Barclays Global Investors (BGI)
Title: TRANSACTION COST MODELING AS A SOURCE OF ALPHA
Abstract
The impact of realized transaction costs on portfolio performance is now
well recognized. …
[View More]Less well understood, however, is the effect of
transaction cost on performance in the pre-trade dimension. Intuitively,
transaction costs affects performance through the choice of bets the
manager undertakes (breadth), the frequency of bets (turnover), and the
size of those bets (order size). We show that transaction cost modeling
is a source of alpha, increasing skill and breadth. Specifically,
accurate transaction cost models allow managers to make better decisions
regarding which securities should or should not be traded, and the
optimal size of the trade. Further, improved forecasts of costs are
critical to determining optimal portfolio turnover. Greater turnover
allows for more active bets, increasing breadth, but magnifies the
impact of trading costs. Balancing these considerations appropriately
yields an optimal turnover level. Transaction cost models thus help
reduce not only realized costs, but also improve performance on an ex
ante basis. The analysis provides insights into the determinants of
optimal fund capacity. We show that capacity problems are manifested
gradually in the form of higher expected costs, reduced breadth, and
lower turnover. Capacity is an elastic concept that is surprisingly
responsive to even relatively modest gains in transaction cost control
or forecasting ability. This suggests that fund managers can influence
their capacity through investments in better execution research and
technology.
About Ananth Madhavan:
Ananth Madhavan is the Global Head of Trading Research at BGI. He leads
BGI's global trading research team with a focus on execution research
and trading strategies across different asset classes worldwide. Prof.
Madhavan also works closely with the global trading team and BGI’s alpha
research and product groups to design and implement trading strategies
capturing liquidity-driven market opportunities. Before joining BGI in
2003, Prof. Madhavan was Managing Director of Research of ITG, Inc. and
a member of the firm’s management and executive committees. Previously,
he was the Charles B. Thorton Professor of Finance at the Marshall
School of Business at the University of Southern California, and
Assistant Professor of Finance at the Wharton School of the University
of Pennsylvania. Ananth Madhavan is the author of numerous publications
in leading academic and practitioner journals. He received his PhD in
Economics from Cornell University and BA from the University of Delhi,
India.
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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Sehr geehrte Damen und Herren,
ich darf Sie auf folgende Veranstaltung aufmerksam machen:
21. WORKSHOP AUSTRIAN WORKING GROUP ON BANKING & FINANCE
24. / 25. November 2006
ALPEN-ADRIA-UNIVERSITÄT KLAGENFURT
First CALL for PAPERS
http://www.uni-klu.ac.at/fgk/assets/images/DP/AWG-21_CallPaper.pdf
Der Workshop findet am Freitag, dem 24. November 2006, Nachmittag, und am Samstag, dem
25. November 2006, Vormittag, an der ALPEN-ADRIA-UNIVERSITÄT KLAGENFURTstatt.
Bezüglich der Themen ist keine …
[View More]Einschränkung vorgesehen.
Papers oder Extended Abstracts (ca. 2 Seiten) können bis spätestens 29. Oktober 2006 bei
o.Univ.-Prof. Mag. Dr. Wolfgang Nadvornik
Institut für Finanzmanagement, Universitätsstraße 65-67, A 9020 Klagenfurt
Tel.: +43(0)463 2700-4002 Fax: +43(0)463 2700-4092 E-Mail: barbara.wernig(a)uni-klu.ac.at
eingereicht werden.
Um den angestrebten Workshopcharakter der Veranstaltung zu fördern, können papers auch
durch einen discussant besprochen werden. Jene Teilnehmer, die eine solche Vorgangsweise
wünschen, werden gebeten, ihr Manuskript bis 15. Oktober 2006 einzureichen.
Ziele: Schaffen eines österreichweiten Diskussionsforums für theoretische und empirische Forschungsarbeiten
auf dem Gebiet des Bankwesens und der Finanzwirtschaft. Förderung der Zusammenarbeit
innerhalb der Hochschulen und der Zusammenarbeit mit der Praxis.
Teilnehmer: Angesprochen sind sowohl der wissenschaftliche Nachwuchs an allen österreichischen Universitäten
und verwandten Institutionen der Forschung als auch Praktiker in Kreditinstituten und
Finanzabteilungen von Unternehmen.
Schwerpunkte: Arbitrage Pricing - Business Valuation - Capital Market Theory - Capital Requirements of
(Auswahl) Financial Intermediaries - Commercial Banking - Contingent Claims Analysis - Corporate Finance
- Financial Innovations - Financial Markets Research - International Banking and Finance - Investment
Banking - Options and Futures - Performance Measurement - Portfolio Management - Risk
Management - Security Analysis.
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Prof. Branco Urosevic from the Faculty of Economics, Belgrade (Serbia), and
the Department of Economics and Business, Universitat Pompeu Fabra,
Barcelona (Spain) is giving a VGSF research seminar on "Ownership Dynamics
with Multiple Insiders: The case of REITs" on FRIDAY, June 23rd, from 15:30
to 17:00 at the Institute for Advanced Studies (Institut für Höhere Studien,
Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2. Please find the paper's
abstract below.
Coffee and snacks are going to be …
[View More]available in the cafeteria of IHS, which
is located next to the lecture room, before and after the seminar.
Information regarding the further schedule of the VGSF research seminar can
be found at www.vgsf.ac.at!
Best,
Michael Halling
Abstract
We study ownership dynamics of multiple strategic risk-averse insiders
facing a moral hazard problem. We show that, when insiders cannot commit,
ex-ante, to an ownership policy, the aggregate insider stake gradually
declines towards the competitive allocation. Moreover, both the speed of
decline and the long-term equilibrium aggregate insider ownership level are
greater for companies with a higher number of insiders, ceteris paribus. We,
then, test the model on data from the U.S. Real Estate Investment Trusts
(REITs) industry and find that the predictions of the model are supported by
the data.
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Prof. Philipp Schönbucher from the ETH Zurich is giving an Extra-VGSF
research seminar on "Portfolio Losses and the Term Structure of Loss
Transition Rates: A new methodology for the pricing of portfolio credit
derivatives" on Monday, June 19th, from 18:00 to 19:30 at the Vienna
University of Business Administration and Economics (WU Wien,
Nordbergstrasse 15, 1090 Wien), SR A619, UZA 4. Please find the paper's
abstract below.
Best,
Michael Halling
Abstract
In this paper, we present a model …
[View More]for the joint stochastic evolution of the
cumulative loss process of a credit portfolio and of its probability
distribution. At any given time, the loss distribution of the portfolio is
represented using forward transition rates, i.e. the transition rates of a
hypothetical time-inhomogeneous Markov chain which reproduces the desired
transition probability distribution. This approach allows a straightforward
calibration of the model (e.g. to a full initial term- and strike structure
of synthetic CDOs including the correlation smile) and it is shown that
(except for regularity restrictions) every arbitrage-free loss distribution
admits such a representation with forward transition rates. To capture the
stochastic evolution of the loss distribution, the transition rates are then
equipped with stochastic dynamics of their own, and martingale / drift
restrictions on these dynamics are derived which ensure absence of arbitrage
in the model. Furthermore, we analyze the dynamics of spreads and
STCDO-prices that are implied by the model and show that the input
parameters can be viewed as spread move parameters and correlation move
parameters. We also show how every dynamic model for correlated individual
defaults can be cast into this framework.
[View Less]
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: June 29th, 2006 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Ananth MADHAVAN, Barclays Global Investors (BGI)
Title: TRANSACTION COST MODELING AS A SOURCE OF ALPHA
The impact of realized transaction costs on portfolio performance is now
well recognized. Less …
[View More]well understood, however, is the effect of
transaction cost on performance in the pre-trade dimension. Intuitively,
transaction costs affect performance through the choice of bets the
manager undertakes (breadth), the frequency of bets (turnover), and the
size of those bets (order size). We show that transaction cost modeling
is a source of alpha (superior performance).Specifically, accurate
transaction cost models allow managers to make better decisions
regarding which securities should or should not be traded, and the
optimal size of the trade.
About Ananth Madhavan:
Ananth Madhavan is the Global Head of Trading Research at BGI. He leads
BGI's global trading research team with a focus on execution research
and trading strategies across different asset classes worldwide. Prof.
Madhavan also works closely with the global trading team and BGI’s alpha
research and product groups to design and implement trading strategies
capturing liquidity-driven market opportunities. Before joining BGI in
2003, Prof. Madhavan was Managing Director of Research of ITG, Inc. and
a member of the firm’s management and executive committees. Previously,
he was the Charles B. Thorton Professor of Finance at the Marshall
School of Business at the University of Southern California, and
Assistant Professor of Finance at the Wharton School of the University
of Pennsylvania. Ananth Madhavan is the author of numerous publications
in leading academic and practitioner journals. He received his PhD in
Economics from Cornell University and BA from the University of Delhi,
India.
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
[View Less]