New Directions in Financial Modelling <http://www.unicom.co.uk/finance>
Seminar and Workshop Series,
22 May 2006 - 25 May 2006, London, UK
22 May: Pre-Seminar Workshop
Financial Innovation & New Structured Products in the Equity World
23-24 May: Two-day, multi-speaker seminar, with the following themes:
*
Day One: Recent Developments in Financial Modelling
*
Day Two: Recent Developments in Portfolio Planning
25 May: Demonstrations of specialist financial software systems
This meeting is organised by CARISMA (The Centre for the Analysis of Risk and Optimisation Modelling Applications), Brunel University in collaboration with a number of other leading research institutions:
Hermes Centre of Excellence, University of Cyprus
Department of Statistics and Decision Support Systems, University of Vienna
The Centre for Financial Research, Judge Business School, Cambridge.
The Centre for Quantitative Finance, Imperial College
The Risk Management and Financial Engineering (RMFE) Lab, University of Florida
The theme of the final day is to present specialist financial software systems. Some systems are commercial and others have been developed in academic labs and are migrating to commercial applications. Those presenting/demonstrating systems will include:
CARISMA
University of Vienna
The Centre for Financial Research, Judge Business School, Cambridge
The Centre for Quantitative Finance, Imperial College
APT
Insightful
Speakers for 23-24 May confirmed to date include:
Nicos
Christofides
The Centre for Quantitative Finance, Imperial College (confirmed)
Michael
Dempster
The Centre for Financial Research, Judge Business School, Cambridge (confirmed)
Gerd
Infanger
Stanford University (confirmed)
Dilip
Madan
Robert H Smith School of Business, University of Maryland/Consultant to Morgan Stanley (confirmed)
Gautam
Mitra
CARISMA (The Centre for the Analysis of Risk and Optimisation Modelling Applications), Brunel University (confirmed)
Georg
Pflug
Department of Statistics and Decision Support Systems, University of Vienna (confirmed)
Stan
Uryasev
The Risk Management and Financial Engineering (RMFE) Lab, University of Florida (confirmed)
Stavros
Zenios
Hermes Centre of Excellence, University of Cyprus (confirmed)
Daniel
Di Bartolomeo
Northfield Systems (confirmed)
Norbert
Jobst
Standard & Poor's (confirmed)
Zari
Rachev
FinAnalytica (confirmed)
Andrew
Robinson
APT (confirmed)
Benefits of Attending
You will learn about the latest developments in the field from acknowledged research leaders, gathered together in London. By networking and listening to the presentations, you will gain valuable knowledge and practical techniques to apply your own area of practice or research. You will gain first hand experience of the innovative thinking and best practices currently being developed in some of the world's leading educational institutions.
The target audience is
Academics
PhD Research Students
Project leaders and Quants from Financial Institutions
For further details please go to www.unicom.co.uk/finance <http://www.unicom.co.uk/finance> , either download brochure or email info(a)unicom.co.uk <mailto:info@unicom.co.uk> for a PDF filer.
We look forward to welcoming you to the workshops; please also make your colleagues aware of it. I believe this information will be of interest to you and your colleagues
With regards
Michael Sun
Michael(Xiaochen) Sun
CARISMA, www.carisma.brunel.ac.uk
Centre for the Analysis of Risk and Optimisation Modelling Application;
School of Computing, Information Systems and Mathematics
Brunel University
Middlesex
Uxbridge, UB8 3PH
United Kingdom
* xiaochen.sun(a)brunel.ac.uk <mailto:xiaochen.sun@brunel.ac.uk>
http://mam3xs.blogspot.com/
*(+44) (0)1895 265625
*(+44) (0)7841873292
Sehr verehrte Damen, sehr geehrte Herren,
am Institut für Finanzierung und Finanzmärkte der Wirtschaftsuniversität
Wien, Abteilung für Investmentbanking und Katallaktik, o.Univ.Prof. Dr.
Otto Loistl, sind voraussichtlich ab Anfang März 2006 bis 30. September
2008 zwei Stellen eines Wissenschaftlichen Mitarbeiters/einer
Wissenschaftlichen Mitarbeiterin vollbeschäftigt zu besetzen.
Nähere Informationen entnehmen Sie bitte der Ausschreibung obiger zwei
Stellen unter:
http://www.wu-wien.ac.at/home/jobs/ausschrwisspers#w48
(Bewerbungsfrist: 1. März 2006).
Mit der Bitte um wohlwollende Kenntnisnahme und gegebenenfalls
Weiterleitung an InteressentInnen verbleibe ich
mit freundlichen Grüßen
Christopher Casey
--------------------------------------------------------------------
ao.Univ.-Prof. Dr. Christopher Casey
Institut fuer Finanzierung und Finanzmaerkte
Abteilung für Investmentbanking und Katallaktik
Wirtschaftsuniversität Wien
Althanstrasse 39-45, 1090 Wien, Oesterreich
Tel.: 0043-1-31336-4167
Fax: 0043-1-31336-761
Email: Christopher.Casey(a)wu-wien.ac.at
http://ifm.wu-wien.ac.at/
--------------------------------------------------------------------
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
(Apologies for any cross-listings!):
Date: February 21st, 2006 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Vasant NAIK, Lehman Brothers in London
Title: QUANTITATIVE INVESTING IN GLOBAL INTEREST RATE AND CURRENCY MARKETS
The talk will outline our ongoing research into applications of
quantitative approaches for investment decision making in global
fixed-income and currency markets.
We will consider tactical market-timing type decisions as well as
strategies aimed at exploiting risk premia over a long horizon.
About Vasant Naik:
Vasant Naik is the head of the Quantitative Market Strategies Group of
the Fixed Income Research division of Lehman Brothers in London. He has
been with Lehman Brothers for 7 years. He is responsible for a team that
is engaged in building quantitative models useful for investment
decision-making in global fixed income markets. As such, the group
conducts research projects characterizing risk and return in global
bond, currency and volatility markets. Vasant’s group also works on
questions of optimal portfolio construction, portfolio risk modeling and
investment process design. This research is made available to clients of
Lehman Brothers which include the largest institutional investors around
the globe. Quantitative research is one of the dimensions along which
Lehman Brothers excels in the financial industry.
Prior to joining Lehman Brothers, Vasant was a faculty member at the
University of British Columbia in Canada for 10 years. In his academic
research, he has developed models of equity returns, the yield curve,
derivatives valuation and hedging and real options. Also, he taught
under-graduate, graduate and doctoral students in different areas of
Finance. Vasant graduated from Indian Institute of Management Bangalore
in 1983 and from University of California, Berkeley in 1988 with a
doctorate in finance.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
Prof. Vasant Naik from Lehman Brothers (London) is giving a VGSF research
seminar on "Global Savings - Investment Imbalances: A Look Through the
Life-Cycle Model" on MONDAY, Feb. 20th, from 15:30 to 17:00 at the BWZ,
Lecture Room (HS) 3.
There is going to be the possibility to talk to Vasant on Tuesday. If you
would like to discuss your research projects and ideas with him, please
contact michael.halling(a)univie.ac.at.
Best,
Michael Halling
The Gutmann Center for Portfolio Management
at the University of Vienna
http://www.gutmann-center.at
is pleased to announce the
GUTMANN CENTER SYMPOSIUM 2006:
"REAL ASSETS AND PORTFOLIO MANAGEMENT"
March 27th, 2006, 9.00 am – 6.00 pm
University of Vienna - "Kleiner Festsaal"
Dr. Karl-Lueger-Platz 1, 1010 Wien
Real estate, a major driver of both the overall economy and of
individual wealth, has become an increasingly important asset class for
portfolio managers. Other real assets such as private equity and venture
capital have also generated a lot of interest recently as additional
opportunities to optimize asset allocation. However, for most investors,
these alternative investment opportunities remain rather opaque.
Internationally recognized experts will present their analyses of these
asset classes at our symposium from both an academic and practitioner’s
perspective.
KEY-NOTE ADDRESS
“Homeownership as a Constraint on Asset Allocation”
Eduardo Schwartz, UCLA
SESSION I: REAL ESTATE: PORTFOLIO CHOICE AND RETURN CHARACTERISTICS
- “Efficient Portfolios when Housing is a Hedge against Rent Risk”
Loriana Pelizzon, Università Ca' Foscari di Venezia
- “Illiquidity and Pricing Biases in the Real Estate Market”
Kerry D. Vandell, University of Wisconsin-Madison
- “Hot and Cold Housing Markets: International Evidence”
Javier Suarez, CEMFI
SESSION II: REAL ASSETS AND PORTFOLIO CHOICE
- “Comovement After Joining an Index: Spillovers of Nonfundamental Effects”
Dong Wook Lee, University of Kentucky
- “Better Regulation and Underwriter Reputation have done nothing for
IPO Underpricing over the 20th Century: Empirical Evidence from IPOs on
the London Stock Exchange”
Elroy Dimson, London Business School
- “Beautiful Asset: Art as Investment”
Michael Moses, New York University
SESSION III: PERFORMANCE OF PRIVATE EQUITY AND VENTURE CAPITAL
- “Determinants of Venture Capital Performance: Europe and the United
States”
Ulrich Hege, HEC
- “Risk-Adjusted Returns of Private Equity Investments”
Alexander Groh, Technische Universität Darmstadt
- “The Performance of Private Equity Funds”
Ludovic Phalippou, University of Amsterdam,
SESSION IV: EXPECTED RETURNS IN REAL ESTATE
- “Expected Returns and the Expected Growth in Rents of Commercial Real
Estate”
Walter Torous, UCLA
- “Assessing High House Prices: Bubbles, Fundamentals and Misperceptions”
Charles P. Himmelberg, Goldmann Sachs
Sessions will be chaired and discussed by members of the Academic
Advisory Board:
- Elroy Dimson, London Business School
- Engelbert Dockner, University of Vienna
- Robert Korajczyk, Northwestern University
- Klaus Spremann, University St. Gallen
- Neal Stoughton, University of Calgary
- Josef Zechner, University of Vienna
The participation is free, but all participants are required to REGISTER:
mail: gutmann.bwl(a)univie.ac.at
Detailed program is available at www.gutmann-center.at !
Contact:
Gutmann Center for Portfolio Management
University of Vienna
Bruenner Str. 72
1210 Wien - Austria
phone: +43-1-4277-38186
fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at
web: www.gutmann-center.at