---------- Forwarded message ----------
Date: Fri, 31 Jan 2003 19:17:47 +0100
From: dgf(a)cofar.uni-mainz.de
To: Andreas.Schamanek(a)univie.ac.at
Subject: DGF-Jahrestagung 2003 - Call for papers
ANKÜNDIGUNG UND CALL FOR PAPERS
10. Jahrestagung der Deutschen Gesellschaft für Finanzwirtschaft e.V.
(DGF) vom 10. -11. Oktober 2003, Mainz
http://www.cofar.uni-mainz.de/dgf2003
Sehr geehrte Damen und Herren,
im Namen des Vorstandes der Deutschen Gesellschaft für Finanzwirt-
schaft (DGF) lade ich Sie sehr herzlich zu unserer 10. Jahrestagung am
10.-11. Oktober 2003 an die Johannes Gutenberg-Universität Mainz ein.
Während der Tagung werden Arbeitspapiere zu aktuellen Themen und
Bereichen der Finanzmarktforschung präsentiert und diskutiert. Ihre
Arbeitspapiere können Sie elektronisch via Webformular auf unserer
Homepage http://www.cofar.uni-mainz.de/dgf2003 bis zum 1. April 2003
einreichen.
(...)
---------- Forwarded message ----------
Date: Wed, 22 Jan 2003 12:53:01 +0100
From: Gabriel Lee <lee(a)ihs.ac.at>
To: vfn-admin(a)fam.tuwien.ac.at
Subject: Finance Research Seminar: IHS
We are pleased to announce a seminar talk by
Dominique Y. Dupont
University of Twente
on
Monday, January 27, 2003, 16:00, HS II: Finance Research Seminar
"Hedging Barrier Options: Current Methods and Alternatives"
Abstract
This paper applies to the static hedge of barrier options a technique,
mean-square hedging, designed to minimize the size of the hedging error
when perfect replication is not possible. It introduces an extension of
this technique which preserves the computational e±ciency of meansquare
hedging while being consistent with any prior pricing model
or with any linear constraint on the hedging residual. This improves
on current static hedging methods, which aim at exactly replicating
barrier options and rely on strong assumptions on the availability of
traded options with certain strikes or maturities, or on the distribution
of the underlying asset.
Paper to download
http://www.sms.utwente.nl/download.asp?link='/files/2906/hedging.pdf'&linkID=11887
gabe lee
--------- Forwarded Message ---------
Date: Wed, 22 Jan 2003 11:53:27 +0100
From: Eugen Puschkarski <puschkarski(a)hotmail.com>
To: vfn-l(a)fam.tuwien.ac.at
Subject: PRMIA SUMMIT AWARDS COMPETITION: ESSAYS ON RISK
PRMIA ANNOUNCES THE US$35,000
PRMIA SUMMIT AWARDS COMPETITION:
ESSAYS ON RISK
January 16, 2002 - To celebrate our first anniversary and in association
with the 2003 Summits in Paris and Boston, we are very excited to announce
the PRMIA Summit Awards: Essays on Risk. This is a new competition for
original thought and the expression of ideas about risk management practice
and theory.
In keeping with PRMIA's focus on standards setting and education, we are
soliciting papers from members on specific and contemporary subjects of
interest to the risk profession. These papers will then be published in a
library for members and visitors to freely access on the PRMIA web site.
To encourage participation, monetary awards and scholarships will be granted
for original essays written by members in four distinct areas, two for each
Summit. Entrants will compete in the Open Class, where all submissions are
welcome, and the Student Class, which is restricted to bone fide students.
Associated with each respective Summit, PRMIA will grant up to four awards
in the Open Class and one award in the Student Class. In addition, one
single paper will be selected as the overall PRMIA Summit Award winner,
recognizing its author or authors for their contribution to the free
exchange of ideas about risk management.
The PRMIA Summit Awards will consist of full scholarships to the respective
PRMIA Summit and ensuing Risk Congress, having value of approximately
US$3,500 per award. In addition to the conference scholarship, the top
student paper will be awarded US$500 to help with travel expenses to the
Summit, while the top Open Class paper will be awarded US$750 for same. The
best overall paper will be given the PRMIA Summit Award for Excellence and a
US$1,000 additional prize.
The author or authors of the winning paper will be invited present their
work in a featured session at the respective PRMIA Summit. The total value
of potential scholarships and prizes is in excess of US$35,000 and is being
made possible by the sponsors of the PRMIA Summit, Risk Conferences and
PRMIA.
"PRMIA is intent upon being innovative in the fulfillment of its Mission to
facilitate the free exchange of ideas," said David R. Koenig, PRMIAs Chair.
"We believe that all submissions, whether selected as prize winners or not,
will serve as tremendous resources for those in the risk management field.
We are very grateful for the support we are receiving in this endeavor."
We hope you agree that this is a very exciting opportunity to celebrate good
work in writing and research, to celebrate our first year as a professional
association and to bring resources to members throughout the world via our
web site.
To learn more about the PRMIA Summit Awards: Essays on Risk, click the links
below:
view the details of the European Summit Awards:
http://www.prmia.org/summits2003/europe.html
view the rules of the competition:
http://www.prmia.org/summits2003/rules.html
REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER *
REMINDER * REMINDER
Das GUTMANN CENTER FOR PORTFOLIO MANAGEMENT an der Universität Wien
lädt alle Interessierten herzlich zu dem folgenden Vortrag ein:
Vortragender: Prof. Dr. Alexander KEMPF, Universität Köln
(http://www.wiso.uni-koeln.de/finanzierung/)
Thema: "TOURNAMENTS IN MUTUAL FUND FAMILIES"
Datum: Montag, 27. Januar 2003, 16.00 Uhr
Ort: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin
Abstract: This lecture deals with the optimal risk taking strategy of mutual
fund managers in rank-order tournaments. The empirical study provides three
major results: First, in addition to the well documented segment
tournamentfund managers also play a tournament within their fund family.
Second, the behaviour of fund managers in both tournaments depends crucially
on the number of competitors of the fund manager. Third, the risk taking
behaviour of fund managers in the segment tournament has changed
dramatically over time.
Paper zum download:
http://www.gutmann-center.at/z_activities/z_public_lectures/paper_kempf.pdf
Der Vortrag wird in deutscher Sprache stattfinden.
Weitere Informationen zum Vortrag und zum Gutmann Center:
www.gutmann-center.at.
oder: Mag. Dorothea Grimm - e-mail: dorothea.grimm(a)univie.ac.at, Tel:
01/4277-38186
Anmeldung: Die Teilnahme ist kostenlos, es wird jedoch um Anmeldung
gebeten:
Frau Alexandra Laugofsky, Bank Gutmann AG
alexandra.laugofsky(a)gutmann.at oder Tel.: 01/50220-381
-------- forwarded message ---------
Date: Wed, 8 Jan 2003 15:58:00 +0100
From: Zeiner Sonja <Sonja.Zeiner(a)gutmann.at>
To: "'vfn-l(a)fam.tuwien.ac.at'" <vfn-l(a)fam.tuwien.ac.at>
Subject: Announcement - Gutmann Center for Portfolio Management -
Public lecture with Prof. Alexander Kempf
Talk with Prof. Alexander Kempf, University of Cologne
Date: 27.1.2003
Time: 04:00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin
Title of the talk: Tournaments in Mutual Fund Families
Abstract: This lecture deals with the optimal risk taking strategy of mutual
fund managers in rank-order tournaments. The empirical study provides three
major results: First, in addition to the well documented segment tournament
fund managers also play a tournament within their fund family. Second, the
behaviour of fund managers in both tournaments depends crucially on the
number of competitors of the fund manager. Third, the risk taking behaviour
of fund managers in the segment tournament has changed dramatically over
time.
The lecture will be held in German!
Registration: until 22.1.2003
Frau Sonja Zeiner (Tel.: 01/502 20-357 or sonja.zeiner(a)gutmann.at)