by Wissenschaftlicher Verein Modernes Risk Management
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik in der Praxis"
spricht Frau DI Ulrike Freisleben (P.S.K.) ueber
"Handel mit Zinsen und Zinsderivaten "
Zeit: Mittwoch, 06.05.1998, 18 Uhr (puenktlich)
Ort: Hoersaal I, Institut fuer Mathematik
Strudlhofgasse 4
1090 Wien
Mit besten Gruessen,
Markus Fulmek
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
VSX-WORKSHOP
Am Fr., 8.5.1998 von 15.30-17.00
haelt im Hoersaal 8 des Betriebswirtschaftlichen Zentrums,
Universitaet Wien, Bruennerstrasze 72, 1210 Wien,
Prof. Darrel Duffie (Stanford)
einen Vortrag ueber seine gemeinsame Arbeit mit Prof. David Lando
(Copenhagen University),
''Term Structures of Credit Spreads with Incomplete Accounting
Information''.
Eine Kopiervorlage des Papers liegt - soweit vorhanden - im
Sekretariat von Prof. Zechner am Betriebswirtschaftszentrum auf.
=========================================================================
VSX-WORKSHOP
Am Do., 23.4.1998 von 15.00-16.30
haelt im Seminarraum 1 des Betriebswirtschaftlichen Zentrums,
Universitaet Wien, Bruennerstrasze 72, 1210 Wien,
Prof. Bruno Biais (Toulouse)
einen Vortrag ueber seine gemeinsame Arbeit mit Catherine Casamatta
(Toulouse),
''Optimal leverage and aggregate investment''.
Eine Kopiervorlage des Papers liegt - soweit vorhanden - im
Sekretariat von Prof. Zechner am Betriebswirtschaftszentrum auf.
------------
Abstract:
Relying on optimal contracts we analyze the financing of investment
projects when entrepreneurs must exert unobservable effort and can
switch to less profitable and riskier projects. When the effort
problem is more severe than the risk shifting problem, optimal
financing amounts to a combination of debt and equity. In the
alternative case stock options must also be used. We then analyze
the aggregate investment and equilibrium cost of capital arising
when a continuum of such entrepreneurs, differing in terms of
initial wealth, face a continuum of households. We examine the
consequences of shocks on the magnitude of the risk-shifting and
effort problems for aggregate investment, credit rationing, leverage
and the cost of capital.
=========================================================================
Call for Email comments and announcement:
Roundtable discussion on:
ACE (Agent based Computational Economics), EXPERIMENTAL DESIGN AND DATA
ANALYSIS
Co-Organizers: Blake LeBaron (U of Wisconsin, blebaron(a)ssc.wisc.edu) and
Chris
Preist (Hewlett Packard, cwp(a)hplb.hpl.hp.com
This session will be part of:
Computation in Economics, Finance, and Engineering Economic Systems
Cambridge, UK, June 29--July 1, 1998
Several invited speakers will lead this discussion. However, in
recognition of
the fact that many people may not be able to attend the meeting, I would like
to summarize some comments submitted over email. I will present various
emailed comments (keep them less than 2 pages) on the following topics:
QUESTIONS AND DATA REPORTING:
Critical examination of the types of questions currently posed in ACE
frameworks, the experimental designs constructed for examining these
questions,
the types of data collected, and the possible use of
multi-media (sound, color, geometric shape) to report and interpret this data.
HYPOTHESIS TESTING AND GOODNESS OF FIT:
Critical examination of the extent to which current ACE frameworks exploit
standard statistical techniques for the testing and validation of hypotheses
and the measurement of goodness of fit. Are new types of statistical
techniques
needed?
PARAMETER SPECIFICATION AND SENSITIVITY:
Critical examination of the extent to which ACE applications undertake and
report parameter sensitivity tests, and the extent to which stylized facts,
natural data, and human-subject experimental data have been or could be
used to
pin down parameter values.
REPLICABILITY: Critical examination of the extent to which ACE applications
have been able to establish replicable interpretable relations between
structural specifications and evolutionary outcomes. Also, to what extent has
the results of ACE applications have been replicated across alternative
software and hardware platforms.
An emailed transcript of the meeting will be sent back to all email
contributors.
Send comments for discussion to:
Blake LeBaron at blebaron(a)ssc.wisc.edu
Dept. of Economics, University of Wisconsin
=========================================================================
by Wissenschaftlicher Verein Modernes Risk Management
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik in der Praxis"
spricht Herr DI Walter Mussil (Bank Austria) ueber
"Numerische Verfahren: Optionen, strukturierte Produkte"
Zeit: Mittwoch, 29.04.1998, 18 Uhr (puenktlich)
Ort: Hoersaal I, Institut fuer Mathematik
Strudlhofgasse 4
1090 Wien
Mit besten Gruessen,
Markus Fulmek
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
=========================================================================
BETRIEBSWIRTSCHAFTLICHES
FORSCHUNGS-SEMINAR:
Am Do., 23.4.1998 von 15.00-16.30
haelt im Seminarraum 1 des Betriebswirtschaftlichen Zentrums,
Universitaet Wien, Bruennerstrasze 72, 1210 Wien,
Prof. Bruno Biais (Toulouse)
einen Vortrag ueber seine gemeinsame Arbeit mit Catherine Casamatta
(Toulouse),
''Optimal leverage and aggregate investment''.
Eine Kopiervorlage des Papers liegt - soweit vorhanden - im
Sekretariat von Prof. Zechner am Betriebswirtschaftszentrum auf.
------------
Abstract:
Relying on optimal contracts we analyze the financing of investment
projects when entrepreneurs must exert unobservable effort and can
switch to less profitable and riskier projects. When the effort
problem is more severe than the risk shifting problem, optimal
financing amounts to a combination of debt and equity. In the
alternative case stock options must also be used. We then analyze
the aggregate investment and equilibrium cost of capital arising
when a continuum of such entrepreneurs, differing in terms of
initial wealth, face a continuum of households. We examine the
consequences of shocks on the magnitude of the risk-shifting and
effort problems for aggregate investment, credit rationing, leverage
and the cost of capital.
=========================================================================
BETRIEBSWIRTSCHAFTLICHES
FORSCHUNGS-SEMINAR:
Am Fr., 24.4.1998 von 15.30-17.00
haelt im HS 8 des Betriebswirtschaftlichen Zentrums,
Universitaet Wien, Bruennerstrasze 72, 1210 Wien,
Prof. Bruno Biais (Toulouse)
einen Vortrag ueber seine gemeinsame Arbeit mit Catherine Casamatta
(Toulouse),
''Optimal leverage and aggregate investment''.
Eine Kopiervorlage des Papers liegt - soweit vorhanden - im
Sekretariat von Prof. Zechner am Betriebswirtschaftszentrum auf.
------------
Abstract:
Relying on optimal contracts we analyze the financing of investment
projects when entrepreneurs must exert unobservable effort and can
switch to less profitable and riskier projects. When the effort
problem is more severe than the risk shifting problem, optimal
financing amounts to a combination of debt and equity. In the
alternative case stock options must also be used. We then analyze
the aggregate investment and equilibrium cost of capital arising
when a continuum of such entrepreneurs, differing in terms of
initial wealth, face a continuum of households. We examine the
consequences of shocks on the magnitude of the risk-shifting and
effort problems for aggregate investment, credit rationing, leverage
and the cost of capital.
=========================================================================
Einladung zum Gastvortrag von
Prof. Don Chance
First Union Professor of Financial Risk Management
Department of Finance
Pamplin College of Business, Virginia Tech
"The Repricing of Executive Stock Options"
Fr. 24.4.1998, 11:00 - 12:00 Uhr,
S 3001, UZA III, Stiege 1, 4. Stock
Wirtschaftsuniversitat Wien
Althanstra?e 39-45
A-1090 Wien
---------------------------------------------------------------
Institut fur Finanzierung und Finanzmarkte
Univ. Prof. Dr. Otto Loistl
Wirtschaftsuniversitat Wien
Althanstra?e 39-45
A-1090 Wien
=========================================================================
>X-Sender: alt(a)pop.ihs.ac.at
>X-Mailer: QUALCOMM Windows Eudora Light Version 3.0.3 (32)
>Date: Thu, 16 Apr 1998 17:38:17 +0200
>To: alt(a)ihs.ac.at
>From: Raimund Alt <alt(a)ihs.ac.at>
>Subject: quant.finance
>X-MIME-Autoconverted: from quoted-printable to 8bit by arthur.ihs.ac.at id
RAA06458
>
>>X-Sender: gerti(a)pop.ihs.ac.at
>>X-Mailer: QUALCOMM Windows Eudora Light Version 3.0.3 (32)
>>Date: Thu, 16 Apr 1998 09:38:57 +0200
>>To: alt(a)ihs.ac.at, gerti(a)ihs.ac.at
>>From: Gerti Scheiner <gerti(a)ihs.ac.at>
>>Subject: quant.finance
>>X-MIME-Autoconverted: from quoted-printable to 8bit by arthur.ihs.ac.at id
>JAA26685
>>
>>=20
>> INSTITUTE FOR ADVANCED STUDIES,VIENNA
>> DEPARTMENT OF FINANCE
>
>>
>> Postgraduate Program 1998/2000
>
>> QUANTITATIVE FINANCE
>>
>>In October 1998 the Department of Finance at the Institute for Advanced
>Studies, Vienna, starts the next two-year Program in Quantitative Finance.
>>The core topics of the program are:
>>
>>General
>>=B7 Mathematics and Statistics
>>=B7 Econometrics and Time Series Analysis
>>=B7 Microeconomics
>>=B7 Macroeconomics
>>
>>Finance
>>=B7 Asset Pricing
>>=B7 Derivative Securities
>>=B7 Discrete-Time and Continuous-Time Finance
>>=B7 Term Structure Models
>>=B7 Financial Econometrics
>>=B7 Empirical Corporate Finance
>>=B7 Risk Management
>>=B7 Computational Finance=20
>>=B7 Financial Engineering
>>
>>The Program in Quantitative Finance is rigorous and selective. Class size
>is small (about 10 students). Students will have access to excellent
>working and research facilities (PCs, information services, library,
>office). The courses will be presented by internationally renowned visiting
>professors as well as by faculty members. All the courses are given in
>>English.
>>
>>Admission to the Program in Quantitative Finance requires the submission
>of an entrance paper and an exam in statistics and mathematics. A limited
>>number of scholarships is available. Knowledge in statistics, mathematics
>and computing is essential for the program. The department welcomes
>students with a degree in mathematics, physics or engineering. Students
>with a degree in economics or business administration and appropriate
>analytical skills are also invited to apply until June 30, 1998 (closing
>>date).
>>
>>For further information please contact the Department Secretary, Mrs.
>Gerti Scheiner,=20
>>Tel.: +43 (01) 59991-157, Fax: +43 (01) 597 06 35. Mailing address: IHS,
>Department of Finance, Stumpergasse 56, A-1060 Vienna, Austria.=09
>>Course program: http://www.ihs.ac.at/fin/quantfin2000.html
>>
>>gerti(a)ihs.ac.at
>>
>>
>-----------------------------------------------------------
>
>Raimund Alt =09
>Department of Finance=20
>Institute for Advanced Studies
>Stumpergasse 56
>A-1060 Vienna
>AUSTRIA
> Tel.: 43-1-59991-159
> E-mail: Raimund.Alt(a)ihs.ac.at
> Fax: 43-1-59991-199
>
>
-----------------------------------------------------------
Raimund Alt =09
Department of Finance=20
Institute for Advanced Studies
Stumpergasse 56
A-1060 Vienna
AUSTRIA
Tel.: 43-1-59991-159
E-mail: Raimund.Alt(a)ihs.ac.at
Fax: 43-1-59991-199
=========================================================================