VFN-L

vfn-l@fam.tuwien.ac.at

1159 discussions

None
by Elke PENDL 08 Jan '99

08 Jan '99

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. * 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. =========================================================================

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(no subject)
by Stefan Pichler 08 Jan '99

08 Jan '99

This is a multi-part message in MIME format. --------------2FA823E9CA0CC03493069860 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: 8bit Status: RO X-Status: X-Keywords: X-UID: 427 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

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None
by Elke PENDL 01 Dec '98

01 Dec '98

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. * 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. =========================================================================

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Computational Finance 99
by Andrea Gaunersdorfer 30 Nov '98

30 Nov '98

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 ____________________________________________________________________________ =========================================================================

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Upcoming IHS Finance workshop
by Gabriel Lee 30 Nov '98

30 Nov '98

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/>

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Upcoming IHS Finance workshop
by Gabriel Lee 27 Nov '98

27 Nov '98

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/> =========================================================================

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Dublin Finance Conference
by Andrea Gaunersdorfer 25 Nov '98

25 Nov '98

** 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/ =========================================================================

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Re: conference participation
by aomgt 20 Nov '98

20 Nov '98

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). ************************************************************************** =========================================================================

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Stellenausschreibung
by Doris Prato 18 Nov '98

18 Nov '98

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 * ************************************************************** =========================================================================

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None
by Elke PENDL 17 Nov '98

17 Nov '98

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. =========================================================================

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