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[VFN] [Econ-snde] Post-doc and PhD positions (fwd)
by VFN-L admin * Andreas Schamanek 25 Feb '02

25 Feb '02

---------- Forwarded message ---------- Date: Mon, 25 Feb 2002 10:44:07 +0100 From: Andrea Gaunersdorfer <andrea.gaunersdorfer(a)univie.ac.at> To: Vienna Finance Letters <vfn-l(a)fam.tuwien.ac.at> Subject: [Fwd: [Econ-snde] Post-doc and PhD positions] >From diks(a)fee.uva.nl Mon Feb 25 14:35:19 2002 Date: Fri, 22 Feb 2002 12:16:04 +0100 (CET) From: C.G.H. Diks <diks(a)fee.uva.nl> To: econ-snde(a)lists.fas.rutgers.edu Subject: [Econ-snde] Post-doc and PhD positions Dear all, A post-doctoral as well as a PhD position are available within the project `Information Flows in Financial Markets'. The project combines recent results from physics and nonparametric statistics to develop new methods for nonlinear analysis of multivariate financial time series. The research is multi-disciplinary of nature and potential candidates for the positions should have strong maths/stats qualifications. Details on the application procedure can be found below. For a description of the project, please follow the `Job Opportunities' link at http://www.fee.uva.nl/cendef/ With best regards, Cees Diks CeNDEF Department of Economics URL : http://www.fee.uva.nl/cendef University of Amsterdam email: diks(a)fee.uva.nl Roetersstraat 11 phone: +31 20 525 5329 1018 WB Amsterdam, The Netherlands fax : +31 20 525 4349 --- Post-doctoral position and PhD position Within the project Information Flows in Financial Markets. Project Asset prices are driven by expectations of market participants regarding future price developments. These expectations in turn are driven by the inflow of new information. Through the costs involved in information acquisition and the time required for processing this information and converting it into market orders, an interesting dynamics of the response to news arises, which can be described well in terms of information flows. In this project, recently developed information theoretical methods from physics and statistics will be used to investigate these information flows, and new methods will be developed which are tailored for financial time series. The project is embedded in the Center for Nonlinear Dynamics in Economics and Finance (CeNDEF) research group of the Faculty of Economics and Econometrics at the University of Amsterdam. This young multidisciplinary research group provides an excellent and stimulating research environment. Post-doc position Description: Development of nonparametric information theoretic methods for quantifying nonlinear dependence in multivariate financial time series. Derivation of finite sample and asymptotic properties of statistics. Requirements: The succesful candidate for the Post-doc position has a strong background in mathematics/statistics, and a PhD degree in econometrics, statistics or a related field. Conditions: Initial appointment will be for two years, with possible extensions to a maximum of the project duration (5 years). Salary conform the UvA standard, is expected to be in scale 10 or 11 depending on the candidate's work experience. PhD position Description: Development and implementation of information theoretical time series analysis methods for multivariate financial time series. Data selection, data analysis and interpretation of results. Requirements: We seek a motivated individual with a Masters degree in econometrics, statistics or mathematics (or comparable qualifications). Also students who expect to obtain their Masters degree soon are invited to apply. Conditions: The PhD student will receive a position for a maximum period of 4 years. Monthly salary: 1445 EUR in the first year, increasing to 2063 EUR in the fourth year. Applications Applications for both positions should be directed to Personnel Department Faculty of Economics and Econometrics University of Amsterdam Roetersstraat 11 1018 WB Amsterdam The Netherlands and arrive no later than March 31, 2002. All applications should contain a cover letter and a CV. Applicants for the post-doc position should include a list of publications, a copy of one published paper, and two letters of recommendation. Applicants for the PhD position should include one letter of recommendation. Information Information can be obtained from Dr C. Diks (phone: +31 20 525 5329, e-mail: diks(a)fee.uva.nl) and from the CeNDEF homepage http://www.fee.uva.nl/cendef/ _______________________________________________ Econ-snde mailing list Econ-snde(a)lists.fas.rutgers.edu http://lists.fas.rutgers.edu/listserv-admin/listinfo/econ-snde

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[VFN] Tagung Kreditrisikomanagement
by lucius＠bwg.at 23 Feb '02

23 Feb '02

Das Forum für Bankmanagement der BWG unter Leitung von Prof. Dr. Peter Steiner veranstaltet am 28.2.2002 eine Konferenz zum Thema "Kreditrisikomanagement". Die Veranstaltung findet im Reitersaal der OeKB, Wien 1, Strauchgasse 3 statt und wird um 8.45 von Dir. Ittner, OeNB eröffnet. Die Teilnahme ist kostenlos. Programm 8.45 ? 9.00 Begrüßung und Eröffnung Direktor Mag. Andreas Ittner, OeNB 9.00 ? 10.00 "Risikomaße und Risk-Value-Modelle" Prof. Dr. Peter Steiner / Dr. Roland Mestel, Universität Graz 10.00 ? 10.30 Kaffepause 10.30 ? 11.00 "Dynamic Capital Structure Choice" Dr. Thomas Dangl, TU Wien / Prof. Dr. Josef Zechner, Universität Wien 11.30 ? 12.30 "Credit Risk Mitigation in Derivatives Business - Practical Implications" Dirk Erdmann / WestLB 12.30 ? 14.00 Mittagspause 14.00 ? 15.00 "Auswirkungen von Basel II auf die Kreditwirtschaft" Prof. Dr. Walter S.A. Schwaiger, Technische Universität Wien 15.00 ? 15.30 Kaffeepause 15.30 ? 16.30 "Kreditrisikomanagement mit Hilfe von Margensimulationen" Mag. Thomas Jerolitsch / ecofinance Graz Anmeldungen elektronisch über die homepage der BWG, www.bwg.at, Serviceleistungen / wissenschaftliche Abteilungen / Forum für Bankmanagement / Veranstaltungen. Rückfragen an Fr. Elisabeth Zivota, E: office(a)bwg.at, T: (01) 533 50 50. ______________________ Prof.(FH) Mag. Otto Lucius Österreichische Bankwissenschaftliche Gesellschaft Wallnerstraße 3, 1010 Wien T +431 533 50 50 F +431 531 27 247 E office(a)bwg.at

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[VFN] Gutmann Center of Competence - Announcement: Public Lecture with Klaus Spremann
by Zeiner Sonja 12 Feb '02

12 Feb '02

Announcement: Talk with Prof. Klaus Spremann, Universität St. Gallen Date: 07.03.2002 Time: 04:00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin Title of the talk: Strategische und taktische Geldanlage für den langen Horizont - worauf muss der Privatanleger achten? Abstract: Grundlegende Fragen der Asset Allocation, des Einsatzes von Optionen und der Art und Intensität von Aktivität beim Portfolio Management für Privatanleger registration: until 04.03.2002 under sonja.zeiner(a)gutmann.at or phone: 502 20-357

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[VFN] Conference in South Africa
by Christopher Summer 08 Feb '02

08 Feb '02

INTERNATIONAL CONFERENCE ON MATHEMATICS IN FINANCE TO BE HELD IN SOUTH AFRICA, AUGUST 2002. Date: 4 - 9 August, 2002. Venue: Berg-en-Dal, Kruger National Park, South Africa. Scope: The main objective of the conference is to bring together academics, practitioners and graduate students who are working in the broad field of financial mathematics. It is envisaged that participants who are at the forefront of the area will reflect on current open problems and relevant challenges and that they will indicate directions for future research. It is hoped that the interplay between theory and practice, as well as issues relating to the dissemination of knowledge and the teaching in this field, will be discussed. The conference will focus on various aspects within the field, with special attention given to the interaction between the different areas, and in particular emphasizing the role of mathematics and statistics. Topics that would be covered include among others: * Stochastic models * Modern methods of risk analysis * Quantitative and computational models and methods * Methods of financial mathematics; in particular the role of measure theory, functional analysis and modern stochastics in Finance Key note speakers: The following is a list of key note speakers who have indicated that they will attend: * Tomas Bjork (Department of Finance, Stockholm School of Economics) * Freddy Delbaen (Department of Mathematics, ETH, Zurich) * Paul Embrechts (Department of Mathematics, ETH, Zurich) * David Heath (Department of Mathematical Sciences, CMU) * Alexander McNiel (Department of Mathematics, ETH, Zurich) * Gennady Samorodnitsky (School of Operations Research and Industrial Engineering, Cornell University) Hosts: Potchefstroom University for CHE The University of Pretoria The University of the Witwatersrand, Johannesburg. Organising Committee: Riaan de Jongh (Potchefstroom University for CHE) Koos Grobler (Potchefstroom University for CHE) Hardy Hulley (University of the Witwatersrand) Keith Mitchell (University of the Witwatersrand) Barbara Swart (University of Pretoria) Johan Swart (University of Pretoria) David Taylor (University of the Witwatersrand) Information: http://www.mif.up.ac.za E-mail: mif(a)math.up.ac.za

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[VFN] Lectureship at LSE
by Christopher Summer 05 Feb '02

05 Feb '02

Vacancy at London School of Economics Department of Statistics Lecturer Salary range: £22,401 to £26,327 pa inc. We are looking for someone with a background in applied probability, stochastics or statistics who would like to pursue the use and development of these skills in insurance, finance or actuarial science. Applications are invited for a career-track appointment as a lecturer in the Department of Statistics. The Department runs a large actuarial science degree and the successful candidate would be expected to be involved in the teaching of actuarial subjects as well as contributing to the research of the Department. Applications are invited for this post for appointment from September 2002. For an application pack please contact 020 7955 6183, or e-mail: recruitment(a)lse.ac.uk <mailto:recruitment@lse.ac.uk>quoting reference 17/01/AC The closing date for applications is 22 February 2002. http://www.lse.ac.uk/depts/statistics

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[VFN] Master of Science in Finance (in Zurich/Switzerland) (fwd)
by VFN-L admin * Andreas Schamanek 04 Feb '02

04 Feb '02

---------- Forwarded message ---------- Date: Mon, 4 Feb 2002 16:42:26 +0100 From: Uwe Schmock <schmock(a)math.ethz.ch> Subject: Master of Science in Finance (in Zurich/Switzerland) Announcement ------------ The ETHZ (Swiss Federal Institute of Technology Zurich) and the University of Zurich are jointly launching the new degree program *** Master of Science in Finance *** It is an intense two-semester program of courses followed by a master's thesis. Mandatory courses: - Mathematical Foundations in Discrete and Continuous Time - Financial Economics (incl. Corporate Finance) - Empirical Methods for Finance - Financial Institutions and Financial Markets - Financial Theory and Asset Pricing - Derivatives and Financial Engineering - Insurance Analytics Specializations (choose A or B): (A) Quantitative Finance and Risk Management - Risk Management - Term Structures and Credit Risk Models - Quantitative Methods for Risk Management (B) Asset Management - Asset Allocations and Performance Measurement - Theory of Banking and Financial Intermediation - Behavioral Finance or Empirical Methods Optional Courses: - Computational Methods for Quantitative Finance - Real Options and Commodities - International Finance - Incomplete Markets: Further Developments - Economics of Insurance (Other courses may be taken upon request.) Language: The entire program will be taught in English so that international as well as Swiss graduate students can attend. Target students: Undergraduates with an economics and/or a science background (mathematics, physics, engineering) and practitioners who feel that they need additional and more specialized training in financial economics and in quantitative methods for finance. Please visit http://www.msfinance.ch/ for a list of the teaching faculty members, a more detailed description of the curriculum, the application procedure and further details. Please tell your colleagues and students about the new program; feel free to forward this email. You can use the two slides at http://www.msfinance.ch/misc/MSc_Finance_Slides.pdf in your class. With best regards, Uwe Schmock (Director MSc Finance Program) Financial and Insurance Mathematics: http://www.math.ethz.ch/finance/ Master of Science in Finance: http://www.msfinance.ch/ RiskLab: http://www.risklab.ch/ Home page: http://www.math.ethz.ch/~schmock/

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[VFN] Vortragsreihe aus Finanz- und Versicherungsmathematik, Prof. Bühlmann
by Christopher Summer 18 Jan '02

18 Jan '02

Am Dienstag, 22. Jänner 2002, spricht Prof. Hans Bühlmann (ETH-Zürich) im Rahmen der Vortragsreihe aus Finanz- und Versicherungsmathematik über "Die Vorsicht des Aktuars und den Mut des Spielers". Termin: Dienstag, 22. Januar 2002, 16:30 Uhr s.t. Ort: Technische Universität Wien 1040 Wien, Wiedner Hauptstraße 8-10 Freihaus, Turm B (gelber Bereich), 2. Stock, FH HS 8 (Nöbauer Hörsaal) WWW: http://www.fam.tuwien.ac.at/~sandra/events/vr/20020122.htm Abstract: Der finanzielle Verlauf eines Versicherungsgeschäfts kann als stochastischer Prozess modelliert werden. Die Frage der Bewertung dieses stochastischen Prozesses wird je nach zugrunde liegender Risikohaltung anders beantwortet. Die vorsichtige Haltung (Prudent Approach) wird traditionellerweise durch die Aktuare eingenommen. Dem gegenüber steht die ökonomische Haltung, welche im Versicherungs-geschäft (ähnlich dem Glücksspieler) vor allem Gewinnchancen sieht. Beide Haltungen lassen sich mathematisch darstellen. Es soll der Frage nachgegangen werden, was die praktischen Konsequenzen der zwei verschiedenen Grundhaltungen sind.

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[VFN] Reminder -- CCEFM Workshop with Avi Wohl
by Alex Stomper 16 Jan '02

16 Jan '02

CCEFM Workshop with Avi Wohl, Tel Aviv University Topic: The Information Content of the Demand and Supply Schedules of Stocks Date: Friday, 18th of January Time: 3.30 p.m.-5.00 p.m. Location: Wiener Börse, Wallnerstrasse 8, 1010 Wien The paper is downloadable from http://info.tuwien.ac.at/workshop/work.htm

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[VFN] EFA 2002, Berlin - Call for Paper (fwd)
by Christopher Summer 07 Jan '02

07 Jan '02

---------- Forwarded message ---------- Date: Fri, 21 Dec 2001 16:51:01 +0100 (MET) From: Guenter Lau <h0054syg(a)rz.hu-berlin.de> Reply-To: info(a)efa2002.org Subject: EFA 2002, Berlin - Call for Paper EUROPEAN FINANCE ASSOCIATION 29th Annual Meeting 21-24 August, 2002 Berlin, Germany http://www.efa2002.org The European Finance Association will hold its 29th annual meeting at Humboldt University of Berlin, 21-24 August, 2002. RESEARCH PAPERS Contributions are welcome in all fields of Finance. All submitted papers will be evaluated by two referees in a double-blind process. To enable this process, the cover page of the submitted paper should contain the title of the manuscript, the name and the affiliation of all the authors. The first page of text should contain the title, an abstract of about 100 words, and the appropriate JEL classification code, but not the author's name. (The JEL codes may be accessed at http://papers.ssrn.com/sol3/DisplayJel.cfm) SYMPOSIUM As part of the EFA 2002 meeting there will be a special Symposium on Taxation and Financial Markets, which will be organized by Professor Bjarne Astrup Jensen, Copenhagen Business School, und Kristian Rydkvist, Norwegian School of Management Oslo, in collaboration with the Program Chair. Topics include but are not limited to: - Taxation and valuation - Taxation and asset allocation - Taxation and pension saving - International tax arbitrage - Tax arbitrage with derivatives - Case studies Papers for the Symposium will be selected from those accepted by the EFA 2002 program committee. A future issue of the European Finance Review will publish selected papers from the symposium if resubmitted by the authors and after a second refereeing procedure. Authors wishing to submit papers for the symposium should also use the regular submission procedure as detailed below. PRIZES FOR BEST PAPERS We are delighted to announce that Barclays Global investors, one of the world's largest investment managers, will be awarding the following prizes for three outstanding papers: - 5.000 Euros for the best paper presented at the Symposium - 5.000 Euros for the best finance paper presented at the conference - 5.000 Euros for the best paper by a current or recent Ph.D. candidate SUBMISSION PROCEDURE To make the submission and refereeing process faster and more efficient, we plan to do everything electronically. Thus we will only accept electronic submissions (in form of pdf-files). If you have problems in submitting your paper electronically, please let us know. Authors wishing to present a paper should use the following 2-step procedure: S t e p 1: Register at our website as soon as possible - this will help us to prepare the refereeing process efficiently. Use the registration form at our website www.efa2002.org S t e p 2: Upload your paper into the SSRN system. In the SSRN-form to be filled out please select "EFA 2002 Submission" as Recommended Abstract Appearance. If you do not select other SSRN Subject Matter Journals, your submission will not be shown to and will not be accessible by the public, but only by the program chair. Note that if you choose to submit the paper to other SSRN Subject Journals at the same time, either on the same form or separately, SSRN will publish the paper in the regular way without mentioning that it is also an EFA submission. If a paper is accepted for conference presentation it will be included in the "EFA 2002 Presentations Journal". The first issues of this electronic journal will be published by SSRN in June. Because of the large number of submissions many high quality papers had to be rejected during the past years. To promote academic discussions during the meeting a second journal will be published. If a paper is not accepted for presentation but is judged "above average" by the referees it may be included in the "EFA 2002 Discussion Journal" if the submitting author wishes to do so and at least one of the authors attends the conference. The first issue of this electronic journal will be published by SSRN in July. Both journals will remain publically accessible in the SSRN system for the near future. If a submitted paper is not included in either journal it will be included in the SSRN e-Library or deleted, at the discretion of the submitting author and the SSRN editors. For further information please contact paper(a)efa2002.org DEADLINE Deadline for registration and uploading papers is March 1, 2002. DOCTORAL TUTORIAL As part of the 29th annual meeting, the European Finance Association (EFA) and the European Institute for Advanced Studies in Management (EIASM) will jointly organize a Doctoral Tutorial, as is now customary. It will take place on the 21 of August 2002, starting at 10:00 a.m. Selected proposals by Ph.D. students will be presented during the day. We encourage Ph.D. students to submit well defined and detailed research proposals for one of their Ph.D. essays or completed papers. In their research proposals, students are welcome to add an additional page raising the conceptual and methodological problems they face with the current status of their dissertations and that they would like to discuss during the tutorial. Attendants will benefit from the comments of prestigious academics as well from the overall discussion. The tutorial will be co-organized by Professors Wolfgang Bühler (University of Mannheim) and Rajna Gibson (University of Zurich) in collaboration with the EFA 2002 Chairman and the organizing committee. This year we are pleased to be able to make participation to the Tutorial free for students attending the EFA 29th annual meeting. (Students have to pay the hotel, travel, and personal expenses as well as the reduced fee for the confere! nc! e.) Doctoral students interested in participating at the tutorial should print and fill out the PDF format form (you will need Acrobat reader) and return it together with their research proposal or completed paper before March 1, 2002, to: Marion Hebbelynck EIASM Rue d'Egmont 13 1000 Bruxelles BELGIUM E-mail: hebbelynck(a)eiasm.be Presentation: The cover page of the submitted research proposal or paper should contain the title of the manuscript, the name and affiliation of all the authors, and should be marked "TUTORIAL". The first page of text should contain the title, the abstract, and the appropriate JEL classification code. Deadline for submission of papers for the Tutorial is also March 1, 2002.

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[VFN] Gutmann Center of COmpetence: Announcement: Public Lecture with P helim Boyle
by Zeiner Sonja 28 Dec '01

28 Dec '01

Announcement: Talk with Phelim Boyle, University of Waterloo Date: 14.01.2002 Time: 04:00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin Title of the talk: Asset Allocation Abstract: The asset allocation decision is an important one for the investment managers of pension plans, mutual funds and other financial institutions. The optimal decision will depend on the nature of the assets and liabilities as well as the investment objectives. In recent years this important decision has become increasingly passed down to the individual investor. We will examine some traditional and modern tools for solving this problem. In particular we will discuss a promising new approach that can provide numerical solutions under increasingly realistic assumptions. We will try to give the intuition but some math is alas inevitable. registration: until 10.01.2002 under sonja.zeiner(a)gutmann.at or phone: 502 20-357

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