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
*******************************************************************
---------- 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/
--------------------------------------------------------------------
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
* 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
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
---------- 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
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
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
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
---------- Forwarded message ----------
Date: Tue, 27 May 2003 15:33:56 +0200
From: Michael Jeckle <michael.jeckle(a)fh-vie.ac.at>
To: vfn-l-moderators(a)fam.tuwien.ac.at
Die Fachhochschule BFI bietet ab Herbst 2003 einen postgraduierten MBA
Risk Management mit quantitativer Ausrichtung an (vorbehaltlich der
Genehmigung des BMWF).
Inhaltlicher Schwerpunkt des ersten Jahres sind die Methoden der
Quantifizierung und Steuerung von Markt-, Kredit-, Schadens- und
biometrischen Risiken.
Im zweiten Jahr stehen die Probleme der Umsetzung in Banken,
Versicherungen und Corporates unter besonderer Berücksichtigung der
aufsichtsrechtlichen, organisatorischen und informations-
technologischen Aspekte des Risikomanagements im Mittelpunkt der
Ausbildung:
Dauer: 2 Jahre
Beginn: Oktober 2003
Kosten: 20.000 Euro
Aufnahmebedingugen: Abgeschlossenes Studium oder einschlägige
Berufserfahrung
Abschluss: MBA Risk Management
Zeiten: Donnerstag 17:30-21:00, Freitag 13:30-20:30 und
Samstag 9:00-17:00 durchschnittlich im zweiwöchigen Rhythmus
Weitere Informationen erhalten Sie von:
Dipl. Vw. Michael Jeckle Mag. Barbara Lischka
Inhaltiche Betreuung des MBA Organisatorische Betreuung des MBA
****************************************************************************
Tel (++43-1) 720/1286/46 Tel (++43-1) 720/1286/47
E-Mail: michael.jeckle(a)fh-vie.ac.at E-Mail:barbara.lischka@fh-vie.ac.at
http://www.fh-vie.ac.at