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1159 discussions

[VFN] Austrian Working Group
by Peter Steiner 30 Jul '03

30 Jul '03

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.

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[VFN] job-posting: Chair in Mathematical Finance, Imperial College London
by Becherer 25 Jul '03

25 Jul '03

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 *******************************************************************

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[VFN] Autumn School on Risk Management, second announcement (fwd)
by VFN-L admin * Andreas Schamanek 13 Jul '03

13 Jul '03

---------- Forwarded message ---------- Date: Fri, 11 Jul 2003 12:50:11 +0200 (MEST) From: Claudia Klueppelberg <cklu(a)mathematik.tu-muenchen.de> Subject: Autumn School on Risk Management, second announcement Autumn School on Risk Management September 29 - October 2, 2003 in Herrsching am Ammersee The Graduiertenkolleg GKAAM and the Chair of Mathematical Statistics of the Munich University of Technology organizes an Autumn School on Risk Management with emphasis on multivariate problems. The Autumn School is designed for PhD students, postdocs and practitioners with some knowledge of probability and statistics. The aim of the lectures is to lead the participants from their current level to the forefront of research. INVITED LECTURES: - Soren Asmussen (Aarhus University, Denmark): "Simulation Methods" - Stuart Coles (University of Bristol, United Kingdom) "Multivariate Extreme Value Models and Estimation" - Paul Embrechts (ETH Zürich, Switzerland and London School of Economics, United Kingdom): "Extremes: Dependence and Integrated Risk Management" - Gennady Samorodnitsky (Cornell University, USA): "Levy Processes and Modelling Issues" CLOSING TALK: - Christian Bluhm (HypoVereinsbank, Structured Finance Analytics, Germany): "Modeling and Evaluation of Collateralized Debt Obligations" PROGRAM: MONDAY, SEPTEMBER 29 08:00-08:30 Registration 08:30-08:40 Opening Address 08:40-10:10 Lecture: Embrechts I 10:10-10:30 Coffee Break 10:30-12:00 Lecture: Samorodnitsky I 12:00-14:00 Lunch 14:00-15:30 Exercises: Embrechts/Samorodnitsky 15:30-16:30 Coffee Break/Poster Session 16:30-17:30 Contributed Talks TUESDAY, SEPTEMBER 30 08:30-10:00 Lecture: Coles I 10:00-10:30 Coffee Break 10:30-12:00 Lecture: Embrechts II 12:00-14:00 Lunch 14:00-15:30 Exercises: Embrechts/Coles 15:30-16:30 Coffee Break/Poster Session 16:30-17:30 Contributed Talks WEDNESDAY, OCTOBER 1 07:30-08:30 Breakfast 08:30-10:00 Lecture: Asmussen I 10:00-10:30 Coffee Break 10:30-12:00 Lecture: Coles II 12:00-14:00 Lunch 14:00-15:30 Exercises: Coles/Asmussen 15:30-16:00 Coffee Break 16:30-22:00 Excursion THURSDAY, OCTOBER 2 08:30-10:00 Lecture: Samorodnitsky II 10:00-10:30 Coffee Break 10:30-12:00 Lecture: Asmussen II 12:00-14:00 Lunch 14:00-15:30 Exercises: Asmussen/Samorodnitsky 15:30-15:45 Coffee Break 15:45-16:30 Closing Talk: Bluhm For further information please check http://www.mathematik.tu-muenchen.de/gkaam/AutumnSchool/ The number of participants is limited. Organizers: Vicky Fasen, Ingeborg Gottschlich, Claudia Klüppelberg, Krassimir Kostadinov, Radostina Kostadinova. For further questions please write an email to school(a)ma.tum.de . -------------------------------------------------------------------- Prof. Dr. Claudia Kl"uppelberg Phone: +49 89 289 17432 Lehrstuhl f"ur Mathematische Statistik Secretary: +49 89 289 17434 Zentrum Mathematik Fax: +49 89 289 17435 TU M"unchen Boltzmannstrasse 3 email: cklu(a)ma.tum.de 85747 Garching bei M"unchen http://www.ma.tum.de/stat/ --------------------------------------------------------------------

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[VFN] Ausschreibung
by neumeyer＠fio.fin.univie.ac.at 04 Jul '03

04 Jul '03

Sehr geehrte Redaktion, wir ersuchen um Veröffentlichung der unten angeführten zu besetzenden Position an unserem Lehrstuhl. Vielen Dank und mit freundlichen Grüßen Am Lehrstuhl für Finanzdienstleistungen und Öffentliche Wirtschaft, Berggasse 17/2/17, 1090 Wien wird DRINGEND ein/e Student/in für ein Forschungsprojekt (evtl. im Rahmen einer Diplomarbeit) gesucht: Voraussetzung: sehr gute Programmierkenntnisse Bezahlung: nach Vereinbarung Kontaktperson: Mag. Franz Diboky (Tel: 4277-382699) oder email: franz.diboky(a)univie.ac.at Christine Neumeyer Sekretariat Prof. Dr. Jörg Finsinger Institut für Betriebswirtschaftslehre Lehrstuhl für Finanzdienstleistungen Lehrstuhl für Öffentliche Wirtschaft und Verwaltung Berggasse 17/2/17, 1090 Wien Tel: ++43-1-4277-38262 Fax: ++43-1-4277-38264

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[VFN] Reminder - Public Lecture June 17th Gutmann Center
by Gutmann Center-D.Grimm 13 Jun '03

13 Jun '03

* 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: June 17th, 2003 (Tuesday), 4.30 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: Robert A. Korajczyk Harry G. Guthmann Distinguished Professor of Finance Kellogg School of Management Northwestern University http://www.kellogg.nwu.edu/faculty/korajczy/htm/ Title: "Liquidity and Portfolio Management" Abstract: "Liquidity, or lack of it, has played an important part in a number of recent financial crises. Of even more relevance to most portfolio managers if the fact that simulated portfolios almost universally outperform actual portfolios based on the same trading rules. This discrepancy is due, in large part, to imperfect liquidity in asset markets. This lecture will discuss the estimation and use of liquidity measures in portfolio management, the evidence for or against the existence of liquidity premiums in equity markets, and the implications for investors and listed firms." Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +42-1-50220-249 -- ------------------------------------------------------ The Vienna Finance Newsletter <VFN-L(a)fam.tuwien.ac.at> http://www.fam.tuwien.ac.at/mailman/listinfo/vfn-l

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[VFN] Research Workshop June 18th - starts at 12.00
by Gutmann Center-D.Grimm 12 Jun '03

12 Jun '03

PLEASE NOTE THAT THE FOLLOWING RESEARCH SEMINAR WILL BEGIN AT 12.00 and not 11.00 a.m. AS ANNOUNED IN A PREVIOUS ANNOUNCEMENT!!! The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (www.gutmann-center.at) and the CENTER FOR CENTRAL EUROPEAN FINANCIAL MARKETS (www.ccefm.at) announce the following RESEARCH SEMINAR Date: June 18th (Wednesday), 12.00-1.30 p.m. Location: Universität Wien, Institut für BWL (BWZ) Brünner Str. 72 1210 Wien SEMINARRAUM 1 Speaker: Robert A. Korajczyk Harry G. Guthmann Distinguished Professor of Finance Kellogg School of Management Northwestern University http://www.kellogg.nwu.edu/faculty/korajczy/htm/ Paper: "Sunspots, Iterative Two-Pass Cross-Sectional Regressions, and Asymptotic Principal Components." It can be downloaded from the following URL: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=386621 Please find further information at: www.gutmann-center.at! Contact: Dorothea Grimm Administrative Director Gutmann Center for Portfolio Management Department of Business Studies University of Vienna Bruenner Str. 72 A-1210 Wien Austria phone: +43-1-4277-38186 fax: +43-1-4277-38074 mail: dorothea.grimm(a)univie.ac.at web: www.gutmann-center.at

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[VFN] Mathematical Finance for Young Researchers (fwd)
by VFN-L admin * Andreas Schamanek 10 Jun '03

10 Jun '03

---------- Forwarded message ---------- Date: Tue, 10 Jun 2003 17:48:39 +0200 From: Berlin Workshop 2003 <finance(a)math.hu-berlin.de> Subject: Mathematical Finance for Young Researchers Dear colleagues, we would be grateful if you could inform young members of your research group about the upcoming Workshop on Mathematical Finance for Young Researchers: Modelling, Measuring, and Managing Financial Risk. The workshop will be held on January 8 - January 10, 2004 at Humboldt University of Berlin. The aim of the workshop is to bring together promising Ph.D. students and postdocs, and to give them the opportunity to discuss their research in an informal atmosphere. Keynote lectures will be given by David Hobson, University of Bath, Wolfgang Schmidt, Hochschule fuer Bankwirtschaft, Martin Schweizer, Ludwig-Maximilian-Universitaet Muenchen, Thaleia Zariphopoulou, University of Texas at Austin. We also invite applications for up to 15 contributed papers from young researchers, in particular from recent PhDs. Accomodation expenses for speakers will be covered. Very limited support for travel expenses may also be available. Closing date for submissions to finance(a)math.hu-berlin.de is September 30th, 2003. The workshop is supported by the DFG Research Center "Mathematics for Key Technologies" ( http://www.fzt86.de ) and the Graduiertenkolleg "Stochastic Processes and Probabilistic Analysis". Thank you very much for your cooperation, the organizing committee Peter Bank, Hans Foellmer, Ulrich Horst, Peter Imkeller, Alexander Schied

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[VFN] Research Seminar Prof. Korajczyk June 18th
by Gutmann Center-D.Grimm 10 Jun '03

10 Jun '03

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (www.gutmann-center.at) and the CENTER FOR CENTRAL EUROPEAN FINANCIAL MARKETS (www.ccefm.at) are pleased to announce the following RESEARCH SEMINAR Date: June 18th (Wednesday), 11.00 a.m. Location: Universität Wien, Institut für BWL (BWZ) Brünner Str. 72 1210 Wien SEMINARRAUM 1 Speaker: Robert A. Korajczyk Harry G. Guthmann Distinguished Professor of Finance Kellogg School of Management Northwestern University http://www.kellogg.nwu.edu/faculty/korajczy/htm/ Paper: "Sunspots, Iterative Two-Pass Cross-Sectional Regressions, and Asymptotic Principal Components." It can be downloaded from the following URL: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=386621 Please find further information at: www.gutmann-center.at! Contact: Dorothea Grimm Administrative Director Gutmann Center for Portfolio Management Department of Business Studies University of Vienna Bruenner Str. 72 A-1210 Wien Austria phone: +43-1-4277-38186 fax: +43-1-4277-38074 mail: dorothea.grimm(a)univie.ac.at web: www.gutmann-center.at

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[VFN] Public Lecture Robert Korajczyk June 17th
by Gutmann Center-D.Grimm 05 Jun '03

05 Jun '03

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: June 17th, 2003 (Tuesday), 4.30 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: Robert A. Korajczyk Harry G. Guthmann Distinguished Professor of Finance Kellogg School of Management Northwestern University http://www.kellogg.nwu.edu/faculty/korajczy/htm/ Robert A. Korajczyk is the Harry G. Guthmann Distinguished Professor of Finance. He is past Chair of the Finance Department and has been a member of the Kellogg School faculty since 1982. Professor Korajczyk has also held visiting faculty appointments at the University of Chicago and the Hong Kong University of Science and Technology. Professor Korajczyks research interests are in the areas of investments, corporate finance, and international finance. He is a recipient of the New York Stock Exchange Award for Best Paper on Equity Trading presented at the 1993 Western Finance Association annual meetings, and the Review of Financial Studies Best Paper Award, 1991. He is a past or current editor of several leading journals. He has served as a consultant to the World Bank and a number of other organizations. He received his B.A. (1976); M.B.A. (1977); and Ph.D. (1983) from the University of Chicago." Title: "Liquidity and Portfolio Management" Abstract: "Liquidity, or lack of it, has played an important part in a number of recent financial crises. Of even more relevance to most portfolio managers if the fact that simulated portfolios almost universally outperform actual portfolios based on the same trading rules. This discrepancy is due, in large part, to imperfect liquidity in asset markets. This lecture will discuss the estimation and use of liquidity measures in portfolio management, the evidence for or against the existence of liquidity premiums in equity markets, and the implications for investors and listed firms." Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +42-1-50220-249

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[VFN] Reminder - Public Lecture Gutmann Center June 4th
by Gutmann Center-D.Grimm 02 Jun '03

02 Jun '03

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: June 4th, 2003 (Wednesday), 4.30 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: Russel R. Wermers, Professor of Finance, University of Maryland http://www.rhsmith.umd.edu/Finance/rwermers/ Russel R. Wermers is Professor of Finance at the Robert H. Smith School of Business,University of Maryland at College Park. Numerous publications in top-class journals such as American Economic Review, Journal of Finance, Journal of Financial and Quantitative Analysis. Current research interests: mutual fund performance measurement, the impact of mutual funds on stock markets, and empirical tests of the efficiency of stock markets. Title: "Games Asset Managers Play" Abstract: What types of games do asset managers play, knowing that they are being judged by their performance records each year? Prior research indicates that mutual fund managers play a yearly tournament. Specifically, mid-year losing funds increase their risk during the second half of the year in an attempt to overtake mid-year winning funds, while mid-year winners decrease their risk to lock in their relative position. This talk will describe the results of a new study of mutual fund tournaments that digs deeper into the determinants of risk-taking behavior by managers. We show that fund managers pay attention not only to their mid-year performance records, relative to their peers, but also to the amount of risk that they have taken in the past. That is, fund managers behave as if they have a risk budget, which sometimes leads to behavior that runs counter to that predicted by prior studies. For example, a fund manager who has taken a substantial amount of risk during the first half of a year, and loses, tends to reduce risk during the second half of the year. Our results provide new insights into the sponsor-manager agency problem, which, in turn, provides sponsors with new insights into the risks of delegated portfolio management. Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +42-1-50220-249

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