CCEFM (Center for Central European Markets)
eine Initiative der Universitaet Wien, Wirtschaftsuniversitaet Wien,
Technischen Universitaet Wien und der Wiener Boerse AG,
laedt zum 4. Workshop von
Arnoud W. A. Boot (University of Amsterdam)
"Expansion of Banking Scale and Scope:
Don't Banks Know the Value of Focus?"
am Feitag, 15. Jaenner 1999, 15.30 - 17.00 in der Wiener Borse,
1010 Wien, Wallnerstrase 8 ein.
Sollten Sie weitere Einladungen erhalten wollen, ersuchen wir Sie
sich beim Vienna Finance Newsletter anzumelden:
Vienna Finance Letters
Um den Informationsfluss ueber Vortraege und Seminare aus dem
Bereich Finanzwirtschaft zu vereinfachen gibt es jetzt eine mailing
Liste am listserver des Rechenzentrums der Uni-Wien.
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=========================================================================
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Die Abteilung für Industriefinanzierung und Investment Banking an der TU
Wien lädt alle interessierten WissenschafterInnen und "PraktikerInnen"
recht herzlich zur
Visiting Professorship Lecture
A COMPARISON OF THE STOCHASTIC
PROCESSES DRIVING ASSET RETURNS
AND THE IMPLICATIONS OF MODEL MIS-SPECIFICATION
ON THE VALUATION OF CONTINGENT CLAIMS
Professor Dr. ROBERT G. TOMPKINS, PhD.
Zeit: Di, 19. 1. 1999, 14.00-17.00
Mo, 25. 1. 1999, 14.00-17.00
Ort: Seminarraum, Floragasse, Parterre.
ein. Prof. Tompkins wird seine neuesten Forschungsergebnisse im Bereich
der Optionsbewertung in einem ausreichendem zeitlichen Rahmen
detailliert präsentieren. Dadurch soll eine intensivere Diskussion der
verwendeten Methoden und Ergebnisse möglich sein.
ABSTRACT
Substantial evidence exists in the Literature that the stochastic
process driving most asset returns does not conform to i.i.d. Geometric
Brownian motion. In the examination of asset returns two general
approaches have been examined to better understand these divergences:
using non-normal distributions for the underlying price processes and
ARCH/GARCH models to capture volatility clustering. This research will
combine both approaches to capture a wider spectrum of the empirical
anomalies.
In this paper, we will examine the stochastic processes for Bond
futures/forwards, Stock Index futures and sixteen Austrian stocks. For
the Bond and Stock Index markets, we compare established Western markets
to emerging markets. We will employ a Mean Square Errors approach to fit
various models to six critical attributes that capture the aspects of
non-normality that have been identified in the literature. Our results
confirm the findings of Bates (1996) for currencies and Scott (1994) for
American stocks that the stochastic processes for almost all assets
examined are best described by a Jump-Diffusion model with Stochastic
Volatility.
To capture an asymmetrical jump process, we use a Normal Inverse
Gaussian (NIG) distribution which has recently been introduced by
Barndorff-Nielsen (1994) and Rydberg (1996). We present a simple method
for the simulation of NIG processes and provide an equivalent martingale
adjustment to the drift of the process.
Using these best fitting models for each market, we compare the errors
in pricing European call options using pricing models assuming Geometric
Brownian motion and using the skewed Jump-Diffusion model with
Stochastic Volatility. Substantial errors in the pricing of options are
observed and these errors are examined across strike prices and time.
Our results are consistent with existence of implied volatility smiles
and term structure effects observed for traded options.
--------------2FA823E9CA0CC03493069860
CCEFM (Center for Central European Markets)
eine Initiative der Universitaet Wien, Wirtschaftsuniversitaet Wien,
Technischen Universitaet Wien und der Wiener Boerse AG,
laedt zum 3. Workshop von
Tomas Bjoerk (Stockholm School of Economics):
"Diversified Portfolios in Continuous Time"
am Feitag, 11. Dezember 1998, 15.30 - 17.00 in der Wiener Borse,
1010 Wien, Wallnerstrase 8 ein.
Sollten Sie weitere Einladungen erhalten wollen, ersuchen wir Sie
sich beim Vienna Finance Newsletter anzumelden:
Vienna Finance Letters
Um den Informationsfluss ueber Vortraege und Seminare aus dem
Bereich Finanzwirtschaft zu vereinfachen gibt es jetzt eine mailing
Liste am listserver des Rechenzentrums der Uni-Wien.
* Wie funktionert eine Mailing-Liste?
Um an einer Mailing-Liste teilzunehmen, muss man sich einmal
eintragen, danach erhaelt man alle Informationen, die Teilnehmer an
die Liste schicken per email zugesandt. Natuerlich kann man sich
jederzeit abmelden und wird sofort von der Liste gestrichen.
* Wie traegt man sich in die Liste ein?
Sie schicken einfach ein email an listserv(a)ls.univie.ac.at, wobei
in der ersten Zeile des Textes SUBSCRIBE vfn-l gefolgt von Ihrem
vollen Namen stehen muss (z.B. SUBSCRIBE vfn-l Thomas Tester).
* Wie melde ich mich ab?
Sie schicken ein email an listserv(a)ls.univie.ac.at, wobei sie in
die erste Zeile des Textes SIGNOFF vfn-l schreiben.
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Die Informationen muessen von den Teilnehmern kommen. Wenn Sie eine
Ankuendigung machen wollen, dann schicken Sie diese bitte als email
an vfn-l(a)ls.univie.ac.at. Der Listserver verteilt Ihre Nachricht an
alle Mitglieder. Tip: Achten Sie darauf, dass Sie keine
Lese-Bestaetigung zurueckerhalten wollen.
* Wie stelle ich die Abonnenten der Liste fest?
Schicken sie ein email an listserv(a)ls.univie.ac.at, in der ersten
Zeile schreiben Sie nur REV vfn-l. Sie erhalten automatisch eine
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* Wo bekomme ich weitere Informationen zum Umgang mit dem Listserver?
Schicken sie ein email an den Listserver listserv(a)ls.univie.ac.at
mit der ersten Textzeile HELP.
=========================================================================
Computational Finance http://www.stern.nyu.edu/CF99
--- CF99 --- Leonard N. Stern School of Business
January 6 - 8, 1999 New York University
This message contains the program and registration form for CF99.
Please note that the deadline for early registration is December 1.
The sixth international conference Computational Finance 99 will be held
at NYU's Leonard N. Stern School of Business. CF99 is sponsored by the
New York University Salomon Center, the Center for Research on Informa-
tion Systems and the Department of Statistics and Operations Research.
Computational Finance has emerged as a genuinely cross-disciplinary
research meeting. CF99 is the sixth in a series of conferences that have
been sponsored by the California Institute of Technology and the London
Business School. In the past, this conference was called Neural Networks
in the Capital Markets (NNCM). The expanding set of computational tools
has moved this meeting from its original emphasis on neural network
techniques to a broad spectrum of different methodologies.
With several hundred attendees, this fully refereed conference has
become an international forum where original research in advanced
computational applications in finance is presented and discussed.
CF99 brings together decision makers and strategists from the
financial industries, with academics from finance, statistics,
economics, information systems and other disciplines.
>> The website of the conference is http://www.stern.nyu.edu/CF99 <<
The site should contain all the information you need to know about the
conference. The rest of this e-mail includes for your convenience
some highlights of the program and the registration form. For
questions, please see the FAQ part at the website.
Please register by December 1st, 1998, to avoid late charges.
Yaser S. Abu-Mostafa (Caltech) Blake LeBaron (Brandeis)
Andreas S. Weigend (NYU/Stern) Andrew W. Lo (MIT/Sloan)
[General and Organizational Chairs] [Program Co-Chairs]
________________________________________________________________________
CF99 TUTORIALS (January 6)
The four 2-hour tutorials are designed to inform the diverse group of
participants on a selection of the latest tools and research results:
o Forecasting Volatility
Prof. Stephen Figlewski (Stern School of Business, New York University)
o Hedge Fund Styles
Prof. David A. Hsieh (Fuqua School of Business, Duke University)
o Neuro-Dynamic Programming and Reinforcement Learning for Finance
Prof. Benjamin Van Roy (Stanford University)
o Data Snooping
Prof. Halbert White (University of California, San Diego)
________________________________________________________________________
CF99 PROGRAM (January 7 and 8)
KEYNOTE SPEAKERS:
o H. Gifford Fong (President of Gifford Fong Associates), and
o David E. Shaw (Chairman and CEO of D. E. Shaw & Co., Inc.).
INVITED TALKS:
Mutual Fund Styles Prof. Stephen Brown, New York
University
Asymptotically optimal importance sampling Prof. Paul Glasserman
and stratification for pricing path-dependent Columbia University
options
Safe and Effective Importance Sampling Prof. Art Owen, Statistics
Department, Stanford University
SELECTION OF CONTRIBUTED TALKS (full program at www.stern.nyu.edu/CF99)
What data should be used to price Mikhail Chernov, Pennsylvania
options? State Univ.
Eric Ghysels, Penn. St. Univ.
Nonparametric testing of ARCH for Peter Christoffersen, McGill
University
option pricing Jinyon Hahn, University of
Pennsylvania
Does volatility timing matter? Jeff Flemming, Rice University
Chris Kirby, Rice University
Barbara Ostdiek, Rice University
Real-time trading models with Ramazan Gencay, University of
heterogeneous expectations and the Windsor, visiting Olsen and
statistical properties of foreign Associates, et al.
exchange rates
Pricing stock options under stochastic George J. Jiang, University
volatility and interest rates with of Groningen
efficient methods of moments Pieter J. van der Sluis,
estimation University of Amsterdam
Option valuation with the genetic Christian Keber, University
programming approach of Vienna
Valuing American options by simulation: Francis A. Longstaff, UCLA
A simple least-squares approach
Volatility clustering in financial Thomas Lux, University of Bonn
markets: A Micro-simulation of Michele Marchesi, University
interacting agents of Cagliari
Dangers of data-driven inference: The Ryan Sullivan, UCSD
case of calendar effects in stock Allan Timmermann, UCSD
returns Halbert White, UCSD
Implementing trading strategies for N. Towers, London Business School
forecasting models A. N. Burgess, London Business
School
IN ADDITION, ABOUT 60 POSTERS PRESENTATION OF PAPERS WILL BE PART OF
THE CONFERENCE.
For the full program and other details, please see the web site
http://www.stern.nyu.edu/CF99
____________________________________________________________________________
=========================================================================
IHS Finance Workshop.
Stumpergasse 56, 1060, Vienna
http://www.ihs.ac.at/fin/finsem.html
1. Nov. 30 Monday, 3:30 p.m. HS II, Gabriela Raaij and Burkhard Raunig (OeNB)
"A Comparison of Value at Risk Approaches and their Implications for
Regulators"
2. Dec. 2 Wednesday, 4 p.m. HS II, Jamsheed Shorish (Univ. Aarhus,
with Goran Peskir, Department of Theoretical Statistics, Univ. of
Aarhus)
"Market Forces and Dynamic Asset Pricing"
We introduce a model of asset pricing which is driven by two characteristic
market features--the law of investor demand (e.g. 'buy low, sell high') and
the law of the market institution, which codifies the trading rules
(explicitly or implicitly defined) that the market operates under. Motivated
by Ait-Sahalia (1998) we demonstrate in a simple investor-specialist trading
model that these features are sufficient to guarantee an equilibrium where
the log-price of the asset follows an Ornstein-Uhlenbeck process, i.e. a
stochastic process with time-varying drift. Recent empirical results
indicate that such a process may provide a more natural characterization of
observed asset prices. We show that a straightforward extension to the Black
and Scholes (1972) options pricing model follows from this stochastic
process.
______________________________________________________________
Gabriel Lee
Institute for Advanced Studies
Department of Finance
Stumpergasse 56
A-1060 Vienna, AUSTRIA
Email: gabriel.lee(a)ihs.ac.at
Tel: +43-1-59991 141
Fax: +43-1-597 0635
Homepage: <http://w3.ihs.ac.at/~lee/>
IHS Finance Workshop.
Stumpergasse 56, 1060, Vienna
http://www.ihs.ac.at/fin/finsem.html
1. Nov. 30 Monday, 3 p.m. HS II, Gabriela Raaij and Burkhard Raunig (OeNB)
"A Comparison of Value at Risk Approaches and their Implications for
Regulators"
2. Dec. 2 Wednesday, 4 p.m. HS II, Jamsheed Shorish (Univ. Aarhus,
with Goran Peskir, Department of Theoretical Statistics, Univ. of
Aarhus)
"Market Forces and Dynamic Asset Pricing"
We introduce a model of asset pricing which is driven by two characteristic
market features--the law of investor demand (e.g. 'buy low, sell high') and
the law of the market institution, which codifies the trading rules
(explicitly or implicitly defined) that the market operates under. Motivated
by Ait-Sahalia (1998) we demonstrate in a simple investor-specialist trading
model that these features are sufficient to guarantee an equilibrium where
the log-price of the asset follows an Ornstein-Uhlenbeck process, i.e. a
stochastic process with time-varying drift. Recent empirical results
indicate that such a process may provide a more natural characterization of
observed asset prices. We show that a straightforward extension to the Black
and Scholes (1972) options pricing model follows from this stochastic
process.
______________________________________________________________
Gabriel Lee
Institute for Advanced Studies
Department of Finance
Stumpergasse 56
A-1060 Vienna, AUSTRIA
Email: gabriel.lee(a)ihs.ac.at
Tel: +43-1-59991 141
Fax: +43-1-597 0635
Homepage: <http://w3.ihs.ac.at/~lee/>
=========================================================================
** Applications of Physics in Financial Analysis **
How do financial markets behave? Can we model them effectively? Fresh ideas
on the behaviour of markets and other phenomena in economics are currently
being drawn from the emerging subject of econophysics, based on the
techniques and concepts of statistical physics.
A landmark conference on this subject will take place in Dublin next
summer, 15-17 July 1999.
Confirmed speakers are renowned econophysicists from around the world
(professors Aurell, Dacorogna, Stanley, Zhang) and include Per Bak, who
formulated the theory of self-organized criticality.
The aim of the conference will be to provide an active forum for
cross-disciplinary interaction between economists, financial experts,
physicists, and mathematicians. The conference will focus on analyses
and models of financial markets by discussing topics such as market
fluctuations, option pricing, risk assessment, and other phenomena of
current interest in econophysics, finance, and mathematical and
statistical finance.
The venue will be Trinity College, in the heart of Dublin. The cost of this
innovative conference will be 277 euros (with discounts for students and
members of the European Physical Society). Reserve your place today by
replying to this email. We will send you further details by return.
Alternatively, see the conference Website www.nbi.dk/APFA/ .
Perhaps you would like to take part in the conference. You might be
interested in giving a talk, putting up a poster on your research, or
setting up an exhibit of your company's services.
Need to register?
Need to reserve exhibition space?
Simply want to know more?
Reply to this email (send your address), or contact us at the following
address:
Christine Bastian
EPS Conferences
34 rue Marc Seguin
BP 2136, F-68060 Mulhouse Cedex, France
tel +33 389 32 94 40
fax +33 389 32 94 49
email: eps.conf(a)univ-mulhouse.fr
The above conference is organized by the European Physical Society together
with its new Division of Statistical and Non-Linear Physics. The
international scientific committee is comprised of Preben Alstrom
(Denmark), Marcel Ausloos (Belgium), Jean-Philippe Bouchaud (France),
Janos Kertesz (Hungary), Kent Baekgaard Lauritsen (Denmark) and Rosario
Mantegna (Italy).
Conference Website: www.nbi.dk/APFA/
=========================================================================
Request to post
Colleagues:
As a member of the conference committee, I am scheduling articles,
panels, workshops and other relative submissions to be presented and/or
discussed at the Association of Management and the International
Association of Management's (AoM/IAoM) 17th Annual International
Conference being held August 6-8, 1999 in San Diego, California, USA.
Your tendered submissions are refereed and scheduled for
presentation/discussion on site at the Watergate Hotel, in addition to
being published in the many divisions' proceedings, and often in the
AoM/IAoM annual journals.
Papers, panels, discussions and etc. have opened doors for faculty and
practitioners of management, education, cybertechnology and leadership
over the many years. Previous conferences resulted in valuable input,
new friends, and extended collaboration for the attendees.
I am seeking your participation for the 1999 conference for presentation
and publication. Your discipline and work is of great importance to the
business and finance community. Specifically, we seek to have your work
exposed to our business and accounting listservs, divisions, special
interest groups,and conference participants. I am seeking a full range
of business and accounting methods, theory, pratice and application
studies in multi settings which enlighten and instruct others in both
academic and practitioner environments. New metnods are especially
welcome.
By submitting your proposal, practitioner interest, and/or camera-ready
material formatted in MSWord 7.0 or WordPerfect 7.0 directly to me at
AoMgt(a)Infi.Net (electronic mail), I can process it. Or, if you wish to
speak to me with questions, you can call at 757-482-2273, in addition to
using email above. For information and guidelines, you can also visit
http://www.aom-iaom.com. Just click the address.
Your participation is eagerly awaited. Please contact me with your
questions and submission.
Willem A. Hamel, Ph.D.
AoM/IAoM Conference Committee
AoMgt(a)Infi.Net
**************************************************************************
The Association of Management and the International Association of
Management (AoM/IAoM) is a bona fide academic and practitioner of
management, education, cybertechnology, and leadership professional
association having its approved Federal ID Number and constitution
(1983).
**************************************************************************
=========================================================================
Stellenausschreibung
Im Rahmen des Spezialforschungsbereichs SFB 010 ueber 'Adaptive Systems and
Modelling in Economics and Management Science' werden zum sofortigen
Eintritt wissenschaftliche Mitarbeiter/innen f=FCr interdisziplinaere
Forschungsprojekte gesucht. Die Mitarbeit kann als Post-Doc oder
Doktorand/in erfolgen.=20
Folgende Qualifikationsprofile sind erwuenscht:
1. Studienabschluss aus Wirtschaftswissenschaften oder Informatik;
Interesse an Management und Marketing Science-Applikationen;
(Projektleiter: Prof. J. Mazanec, Institut f=FCr Tourismus und
Freizeitwirtschaft
der WU Wien)
=20
2. Studienabschluss Mathematik, Statistik oder Informatik;
Interesse an Statistik in Theorie und Anwendung;
(Projektleiter: Prof. H. Strasser, Abteilung f=FCr experimentelle Mathemati=
k
und Statistik, Institut f=FCr Statistik der WU Wien)
f=FCr 1. und 2.:
=B7 Bereitschaft zur Mitarbeit an der Erstellung von EDV-Loesungen;
=B7 Kenntnisse von Programmiersprachen und mathematisch-statistischen
Programmierumgebungen (Matlab, "R", S-Plus);
=B7 Bereitschaft zur interdisziplinaeren Zusammenarbeit.
Ueber die Taetigkeit des SFB informieren Sie sich via:
http://www.wu-wien.ac.at/am
Anfragen und Bewerbungen richten Sie elektronisch an:
josef.mazanec(a)wu-wien.ac.at bzw.
helmut.strasser(a)wu-wien.ac.at
**************************************************************
* Special Research Programme *
* "Adaptive Modelling and Information Systems *
* in Economics and Management Science" *
* *=20
* a joint endeavour of three universities: *
* Vienna University of Economics & Business Administration *=20
* University of Vienna *
* Vienna University of Technology *
* sponsored by the Austrian Research Foundation *
* (FWF: http://www.fwf.ac.at/) *
* *
* for more information consult: *
* http://www.wu-wien.ac.at/am/am.html *
**************************************************************
=========================================================================
CCEFM (Center for Central European Markets)
eine Initiative der Universitaet Wien, Wirtschaftsuniversitaet Wien,
Technischen Universitaet Wien und der Wiener Boerse AG,
laedt zum 2. Workshop von
Pierre Mella-Barral (London School of Economics):
"Collateral, Renegotiation and the Valuation of Widely Held Debt"
am Feitag, 27. November 1998, 15.30 - 17.00 in der Wiener Borse,
1010 Wien, Wallnerstrase 8 ein.
Sollten Sie weitere Einladungen erhalten wollen, ersuchen wir Sie
sich beim Vienna Finance Newsletter anzumelden:
Vienna Finance Letters
Um den Informationsfluss ueber Vortraege und Seminare aus dem
Bereich Finanzwirtschaft zu vereinfachen gibt es jetzt eine mailing
Liste am listserver des Rechenzentrums der Uni-Wien.
* Wie funktionert eine Mailing-Liste?
Um an einer Mailing-Liste teilzunehmen, muss man sich einmal
eintragen, danach erhaelt man alle Informationen, die Teilnehmer an
die Liste schicken per email zugesandt. Natuerlich kann man sich
jederzeit abmelden und wird sofort von der Liste gestrichen.
* Wie traegt man sich in die Liste ein?
Sie schicken einfach ein email an listserv(a)ls.univie.ac.at, wobei
in der ersten Zeile des Textes SUBSCRIBE vfn-l gefolgt von Ihrem
vollen Namen stehen muss (z.B. SUBSCRIBE vfn-l Thomas Tester).
* Wie melde ich mich ab?
Sie schicken ein email an listserv(a)ls.univie.ac.at, wobei sie in
die erste Zeile des Textes SIGNOFF vfn-l schreiben.
* Wie kommen die Informationen in die Liste?
Die Informationen muessen von den Teilnehmern kommen. Wenn Sie eine
Ankuendigung machen wollen, dann schicken Sie diese bitte als email
an vfn-l(a)ls.univie.ac.at. Der Listserver verteilt Ihre Nachricht an
alle Mitglieder. Tip: Achten Sie darauf, dass Sie keine
Lese-Bestaetigung zurueckerhalten wollen.
* Wie stelle ich die Abonnenten der Liste fest?
Schicken sie ein email an listserv(a)ls.univie.ac.at, in der ersten
Zeile schreiben Sie nur REV vfn-l. Sie erhalten automatisch eine
Liste der Teilnehmer zugesandt (ca. 1-2 Minuten).
* Wo bekomme ich weitere Informationen zum Umgang mit dem Listserver?
Schicken sie ein email an den Listserver listserv(a)ls.univie.ac.at
mit der ersten Textzeile HELP.
=========================================================================