* REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER *
REMINDER * REMINDER
The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna
(http://www.gutmann-center.at)
is pleased to announce the following
PUBLIC LECTURE:
Date: October, 6th (Monday), 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
(http://www.gutmann.at)
Speaker: Michael J. BRENNAN
former Irwin and Goldyne Hearsh Professor of Banking and Finance
at the University of California, Los Angeles
Professor of Finance at the London Business School.
Prof. Brennan, a consultant and Director of Smith Breeden Associates, is
the former Irwin and Goldyne Hearsh Professor of Banking and Finance at
the University of California, Los Angeles, and Professor of Finance at
the London Business School.
Dr. Brennan's research interests include asset pricing, corporate
finance, the pricing and role of derivative securities, market
microstructure, and the role of information in capital markets, and he
has published extensively in all of these areas. He is currently
working on several issues, including the problem of asset allocation
when investors face time varying opportunity sets, the determinants of
international flows of portfolio investment, and the valuation of assets
under time-varying market risk aversion.
A former President of the American Finance Association, the Society for
Financial Studies, and the Western Finance Association, Dr. Brennan has
also served as Editor of the Journal of Finance and was the Founding
Editor of the Review of Financial Studies. He has consulted extensively
for corporations in Canada and the US, and in 1995 he was awarded the
INQUIRE Europe prize for his work on corporate hedging strategies
Title: "REASONABLE BELIEFS"
Abstract:
"In this talk I will be concerned with the assessment of the equity
premium the difference between the expected returns on stocks and
bonds. I will argue that traditional ways of assessing the premium are
inappropriate in world in which the premium varies over time, and
propose alternatives. Finally, I will discuss the implications of
time-variation in the equity premium for the spending policies of
endowments."
Please register - Contact:
Brigitte Juchelka, Bank Gutmann AG
mail: brigitte.juchelka(a)gutmann.at
Tel.: +43-1-50220-357
Fax: +43-1-50220-249
Further information:
Dorothea Grimm
Gutmann Center for Portfolio Management
mail: dorothea.grimm(a)univie.ac.at
Phone: +43-1-4277-38186
web: http://www.gutmann-center.at
The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna
(http://www.gutmann-center.at)
is pleased to announce the following
PUBLIC LECTURE:
Date: October, 17th, 11.00 a.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
(http://www.gutmann.at)
Speaker: Andrei SHLEIFER, Harvard University
http://post.economics.harvard.edu/faculty/shleifer/shleifer.html
The Whipple V.N. Jones Professor of Economics at Harvard University,
Andrei Shleifer holds an undergraduate degree from Harvard and a Ph.D.
from MIT. Before coming to Harvard in 1991, he has taught at Princeton
and the Chicago Business School. Shleifer has worked in the areas of
comparative corporate governance, law and finance, behavioral finance,
as well as institutional economics. He has published four books,
including The Grabbing Hand (with Robert Vishny), and Inefficient
Markets: An Introduction to Behavioral Finance, as well as over a
hundred articles. Shleifer has served as the Editor of the Quarterly
Journal of Economics between 1989 and 1999, and as an Associate Editor
of both the Journal of Finance and the Journal of Financial Economics.
He is currently the Editor of the Journal of Economic Perspectives and
an Advisory Editor of the JFE. Shleifer is a fellow of the Econometric
Society and of the American Academy of Arts and Sciences. In 1999,
Shleifer won the John Bates Clark medal of the American Economic
Association.
Title: "A Normal Country"
Russia's reforms
Abstract:
"During the 1990s, Russia underwent an extraordinary transformation from
a communist dictatorship to a multi-party democracy, from a centrally
planned economy to a market economy, and from a belligerent adversary of
the West to a cooperative partner. Yet a consensus in the US circa 2000
viewed Russia as a disastrous and threatening failure, and the 1990s as
a decade of catastrophe for its citizens. Analyzing a variety of
economic and political data, we demonstrate a large gap between this
perception and the facts. In contrast to the common image, by the late
1990s Russia had become a typical middle-income capitalist democracy."
Please register - Contact:
Brigitte Juchelka, Bank Gutmann AG
mail: brigitte.juchelka(a)gutmann.at
Tel.: +43-1-50220-357
Fax: +43-1-50220-249
Further information:
Dorothea Grimm
Gutmann Center for Portfolio Management
mail: dorothea.grimm(a)univie.ac.at
Phone: +43-1-4277-38186
web: http://www.gutmann-center.at
Our colleagues at the Department of Mathematics of Florida State
University, are inviting applications for a junior level tenure-track
position beginning in August 2004.
Details are at http://www.math.fsu.edu/Jobs/financial.html
--
-- Andreas Schamanek
+ CONFERENCE ANNOUNCEMENT +
GUTMANN SYMPOSIUM ON
CAPITAL MARKET BASED PENSION SYSTEMS
Gutmann Center for Portfolio Management (www.gutmann-center.at)
LOCATION: UNIVERSITY OF VIENNA (Austria)
DATE: DECEMBER 1st, 2003
The reform of pension systems is one of the greatest challenges for most
industrialized countries. As traditional pay-as-you-go-systems
increasingly face budgetary constraints, capital market based solutions
will become crucial. The internationally recognized speakers at our
symposium approach this hot topic from an academic as well as from a
practitioner's point of view:
· Lawrence N. Bader, American Academy of Actuaries
"Funding Corporate Pension Plans"
· David Blake, Pensions Institute, Birkbeck College, University of
London
PensionMetrics: On the stochastic design of pension plans during the
accumulation & distribution phases
· Bill Fung, London Business School
"Is there sufficient Absolute Return Capacity to meet Absolute
Liabilities of Pension Funds?"
· Jeremy Gold, Wharton School, University of Pennsylvania/ Jeremy Gold
Pensions
Accounting/Actuarial Bias Enables Equity Investment by Defined Benefit
Pension Plans
· Kristian R. Miltersen, Norwegian School of Economics and Business
Administration
International Comparison of Interest Rate Guarantees in Life Insurance
· Andrea Prat, London School of Economics
"Pension Fund Governance and the Choice between Defined Benefit and
Defined Contribution Plans"
· Christian Schlag, Goethe-Universität Frankfurt a.M.
"Money-Back Guarantees in Individual Pension Accounts: Evidence from the
German Pension Reform"
The sessions will be discussed and chaired by members of the Academic
Advisory Board:
· Michael Brennan, University of California, Los Angeles
· Elroy Dimson, London Business School
· Engelbert Dockner, University of Vienna
· Robert Korajczyk, Northwestern University
· Klaus Spremann, University St. Gallen
· Neal Stoughton, University of California, Irvine
· René M. Stulz, Ohio State University, Fisher
· Suresh Sundaresan, Columbia University
· Maria Vassalou, Columbia University
· Josef Zechner, University of Vienna, Director of the Gutmann Center
for Portfolio Management
The symposium will be followed by a panel discussion and a reception.
Participation fee: the participation is free, but all participants are
required to register. Please find further information about
registration, programme, papers etc on the homepage:
http://www.gutmann-center.at.
Contact:
gutmann.bwl(a)univie.ac.at or dorothea.grimm(a)univie.ac.at
phone: +43-1-4277-38186
fax: +43-1-4277-38074
The Gutmann Center for Portfolio Management is sponsored by Bank Gutmann
AG (www.gutmann.at).
-------- forwarded message ----------
Date: Wed, 17 Sep 2003 09:56:39 +0200
From: Yvette Fuchs <Yvette.fuchs(a)wu-wien.ac.at>
Subject: Stellenausschreibung
A u s s c h r e i b u n g
Am Institut für Betriebswirtschaftslehre des Außenhandels der
Wirtschaftsuniversität Wien ist
2 Posten für Wissenschaftliche MitarbeiterInnen
(Ausbildungverhältnis)
voraussichtlich ab 01. November 2003 zu besetzen.
Gesetzliche Aufnahmebedingungen:
Abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften
Zusätzlich erwünschte Kenntnisse:
Fundierte Kenntnisse im Bereich der Betriebswirtschaftlehre des
Außenhandels (facheinschlägige wissenschaftliche Arbeiten
(Diplomarbeit) und/oder einschlägige praktische Erfahrungen mit dem
Fokus Finanzierung des Auslandsgeschäfts), überdurchschnittlicher
Studienerfolg, Fremdsprachenkenntnisse, Fähigkeit zur Betreuung
wissenschaftlicher Forschungsprojekte, pädagogische Ausbildung,
Bereitschaft zur Mitarbeit im Lehrbetrieb und in der
Institutsadministration, Stressresistenz, Flexibilität und hohe
Selbstmotivation
Schriftliche Bewerbungen mit Lebenslauf und Angaben über den
Studienerfolg (ohne Originalzeugnisse) sind an die Personalabteilung
im Wege der
Universitätsdirektion, Augasse 2-6, 1090 Wien zu richten.
Ende der Bewerbungsfrist: 07.10.2003
Die Wirtschaftsuniversität Wien hat sich eine Erhöhung des
Frauenanteils am wissenschaftlichen Personal zum Ziel gesetzt. Deshalb
werden nachdrücklich Frauen aufgefordert, sich zu bewerben. Es wird
darauf hingewiesen, dass Frauen bei gleicher Qualifikation bevorzugt
aufgenommen werden und dass an der Wirtschaftsuniversität ein
Arbeitskreis für Gleichbehandlungsfragen eingerichtet ist.
***
Ich bitte um nochmalige Veröffentlichung der folgenden Ankündigung, da
ein Programmpunkt dazugekommen ist.
Besten Dank
R. Tichy
In the course of the FWF-project Quasi-Monte Carlo Methods in Finance
and Insurance the Graz University of Technology in cooperation with the
University of Linz organizes a
Workshop on Financial and Actuarial Mathematics
(October 2 - 3)
at the Department of Mathematics of the Graz University of Technology,
Steyrergasse 30.
Program:
October 2, 2003:
15.00: Jörn Sass (Österr. Akademie d. Wissenschaften): "Optimizing the
Terminal Wealth: An HMM for the Stock Returns"
16.00: Coffee break
16.30: Ralf Korn (Univ. Kaiserslautern): "Optimal investment and
possible crashes"
17.30: L.C.G. Rogers (Univ. Cambridge): "Pricing and optimal exercise
of credit-risky callable convertible bonds"
October 3, 2003:
10.00: Walter Schachermayer (TU Wien): "Optimizing Expected Utility of
Dividend Payments for a Brownian Risk Process and a Peculiar Nonlinear
ODE (Going Beyond Linear Barrier Strategies)"
11.00: Hansjörg Albrecher (KU Leuven): "Extensions of the
Cramer-Lundberg model in Ruin Theory"
14.00: Paul Embrechts (ETH Zürich): "Modelling dependence structures
for multivariate high frequency data in finance"
15.00: Coffee break
15.30: Uwe Schmock (TU Wien): "Modelling dependent credit risks"
16.30: Soren Asmussen (Univ. Aarhus): "Heavy tails, importance sampling
and cross entropy".
R. Tichy
The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna
(http://www.gutmann-center.at)
is pleased to announce the following
PUBLIC LECTURE:
Date: October, 6th (Monday), 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
(http://www.gutmann.at)
Speaker: Michael J. BRENNAN
former Irwin and Goldyne Hearsh Professor of Banking and Finance
at the University of California, Los Angeles
Professor of Finance at the London Business School.
Prof. Brennan, a consultant and Director of Smith Breeden Associates, is
the former Irwin and Goldyne Hearsh Professor of Banking and Finance at
the University of California, Los Angeles, and Professor of Finance at
the London Business School.
Dr. Brennan's research interests include asset pricing, corporate
finance, the pricing and role of derivative securities, market
microstructure, and the role of information in capital markets, and he
has published extensively in all of these areas. He is currently
working on several issues, including the problem of asset allocation
when investors face time varying opportunity sets, the determinants of
international flows of portfolio investment, and the valuation of assets
under time-varying market risk aversion.
A former President of the American Finance Association, the Society for
Financial Studies, and the Western Finance Association, Dr. Brennan has
also served as Editor of the Journal of Finance and was the Founding
Editor of the Review of Financial Studies. He has consulted extensively
for corporations in Canada and the US, and in 1995 he was awarded the
INQUIRE Europe prize for his work on corporate hedging strategies
Title: "REASONABLE BELIEFS"
Abstract:
"In this talk I will be concerned with the assessment of the equity
premium the difference between the expected returns on stocks and
bonds. I will argue that traditional ways of assessing the premium are
inappropriate in world in which the premium varies over time, and
propose alternatives. Finally, I will discuss the implications of
time-variation in the equity premium for the spending policies of
endowments."
Please register - Contact:
Brigitte Juchelka, Bank Gutmann AG
mail: brigitte.juchelka(a)gutmann.at
Tel.: +43-1-50220-357
Fax: +43-1-50220-249
Further information:
Dorothea Grimm
Gutmann Center for Portfolio Management
mail: dorothea.grimm(a)univie.ac.at
Phone: +43-1-4277-38186
web: http://www.gutmann-center.at
Ich bitte um Veröffentlichung der folgenden Ankündigung.
Besten Dank
R. Tichy
In the course of the FWF-project Quasi-Monte Carlo Methods in Finance
and Insurance the Graz University of Technology in cooperation with the
University of Linz organizes a
Workshop on Financial and Actuarial Mathematics
(October 2 - 3)
at the Department of Mathematics of the Graz University of Technology,
Steyrergasse 30.
Program:
October 2, 2003:
15.00: Jörn Sass (Österr. Akademie d. Wissenschaften): "Optimizing the
Terminal Wealth: An HMM for the Stock Returns"
16.00: Coffee break
16.30: Ralf Korn (Univ. Kaiserslautern): "Optimal investment and
possible crashes"
17.30: L.C.G. Rogers (Univ. Cambridge): "Pricing and optimal exercise
of credit-risky callable convertible bonds"
October 3, 2003:
11.00: Hansjörg Albrecher (KU Leuven): "Extensions of the
Cramer-Lundberg model in Ruin Theory"
14.00: Paul Embrechts (ETH Zürich): "Modelling dependence structures
for multivariate high frequency data in finance"
15.00: Coffee break
15.30: Uwe Schmock (TU Wien): "Modelling dependent credit risks"
16.30: Soren Asmussen (Univ. Aarhus): "Heavy tails, importance sampling
and cross entropy".
R. Tichy
to whom it may concern
Ich bitte um Verteilung des First Call for Papers der Austrian Working Group
on Banking & Finance.
Besten Dank im voraus
MfG - stp
First CALL for PAPERS
AUSTRIAN WORKING GROUP ON BANKING & FINANCE (AWG)
17. WORKSHOP
28. / 29. November 2003
Der Workshop findet am Freitag, dem 28. November 2003, Nachmittag, und
am Samstag, dem 29. November 2003, Vormittag, an der
KARL-FRANZENS-UNIVERSITÄT GRAZ statt. Bezüglich der Themen ist keine
Einschränkung vorgesehen.
Papers oder Extended Abstracts (ca. 2 Seiten) können bis
spätestens 31. Oktober 2003 bei
o.Univ.-Prof. Dr. Peter Steiner
Institut für Banken und Finanzierung, Universitätsstraße 15/F2,
A 8010 Graz
eingereicht werden.
Tel.: +43(0)316 380-7300
Fax: +43(0)316 380-9580
E-Mail: bafin(a)uni-graz.at
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 17. Oktober 2003 einzureichen.
Die Papers können wahlweise in deutscher oder in englischer Sprache
vorgetragen werden.
Ich bitte um Verbreitung der folgenden Stellenanzeige ueber den VFN.
Mit freundlichen Gruessen und bestem Dank,
Dirk Becherer
*****************************************************************************
DEPARTMENT OF MATHEMATICS AT IMPERIAL COLLEGE LONDON
CHAIR IN MATHEMATICAL FINANCE
Applications are invited for a Chair in Mathematical Finance, with
effect from 1st January 2004, or as soon as possible thereafter.
The post is within the Department of Mathematics, Faculty of Physical
Sciences, Imperial College London, based on the South Kensington campus.
The successful applicant will be expected to enhance and extend the
research effort of the group. We welcome applications from people working
in any area of the subject, which could include econometrics and data
analysis as well as mathematical finance rooted in probability theory,
optimization-based approaches or computational finance. The candidate
will be expected to develop her or his research programme, to secure
funding and to contribute to the activities of the section as outlined
above, including developing her/his relationships with the industry. The
candidate will also contribute to the Department's teaching programme
possibly including ancillary teaching in other departments.
Further particulars of this appointment are on
http://www.ma.ic.ac.uk
and http://www.imperial.ac.uk/hq/hr/Employment_Opportunities.htm
(underscore after Employment_Opportunities). Alternatively,
details and an application form can be obtained from Anne Rowlands on 0207
594 8481, fax 0207 594 8517 or email: a.rowlands(a)imperial.ac.uk.
CLOSING DATE: 1st September 2003
Interview Date: Provisionally, to be in the week commencing 6th October
2003.
*******************************************************************
Dirk Becherer room: 6m24
Dept. of Mathematics tel: +44+20-75948554
Imperial College fax: +44+20-75948517
London SW7 2AZ dirk.becherer@[address removed by request; contact list-owner]
United Kingdom www.ma.ic.ac.uk/~becherer
*******************************************************************