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
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
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
---------- 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/
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.
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
---------- 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.
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
Sehr geehrte Damen und Herren,
das Gutmann Center of Competence freut sich, Ihnen das Erscheinen des neuen
Gutmann Journals ankündigen zu dürfen. Das Gutmann Journal wird einerseits
Beiträge von hochkarätigen Wissenschaftern beinhalten, wie zum Beispiel in
der ersten Ausgabe ein Interview mit Nobelpreisträger William F. Sharpe.
Andererseits wird das Gutmann Journal über die Aktivitäten des Gutmann
Center of Competence berichten. Im Rahmen von public lectures konnten in
diesem Herbst anerkannte Professoren wie Elroy Dimson (London Business
School), Maurice Levi (University of British Columbia) oder Duane Seppi
(Carnegie Mellon University) für Vorträge gewonnen werden.
Sollten Sie Interesse an der Zusendung des Gutmann Journals haben, ersuchen
wir Sie um Bekanntgabe Ihres Namens und Ihrer Adresse per mail.
Mit freundlichen Grüßen
Sonja Zeiner
Tel.: +43/1/502 20-357
Fax: +43/1/502 20-249
*****************************************************************
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Announcement: Talk with Duane Seppi, Carnegie Mellon University
Date: 12.12.2001
Time: 04:00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin
Title of the talk: Pricing of Energy Derivates
Abstract: Pricing of Energy Derivates by using the two-factor term-structure
model of Longstaff and Schwartz
registration: until 6.12.2001 under sonja.zeiner(a)gutmann.at or phone: 502
20-357
------------------------------------------------------
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