Mathematical Optimization Models for Financial Institutions
|Committee||Workshops||Aims||Organization||Call for applications||Speakers|
The series covers the following three workshops:
EUMOptFin1: The technology of asset and liability
Organizer: Georg Ch. Pflug, email@example.com (University of Vienna) Venue: Semmering, Austria Schedule: January 13-17, 2003.
The focus of this workshop is on the methodological and algorithmic aspects of asset and liability modeling (i.e., interest rate modeling, simulation and optimization procedures for financial planning problems and associated solution methods - including parallel computing - for large-scale structured mathematical programs, etc.)
Information on this event can be found on the webpage: http://mailbox.univie.ac.at/~pflugg2/eumoptfin.htm
EUMOptFin2: Asset and liability
modeling for financial institutions
Organizer: Hercules Vladimirou, firstname.lastname@example.org (University of Cyprus) Venue: Ayia Napa, Cyprus Schedule: November 10-14, 2003
This workshop concentrates on state-of-the-art developments in financial modeling applications (including simulation and optimization methods) for financial institutions: banks, insurance and investment firms, pension funds, etc. Emphasis is given on methods for effective risk management.
Information on this event can be found on the webpage: http://www.hermes.ucy.ac.cy/conferences/EUMOptFin/index.htm
EUMOptFin3: The drivers of
performance of large financial institutions
Organizer: Marida Bertocchi, email@example.com (University of Bergamo) Venue: Bergamo, Italy Schedule: May 17-21, 2004
This workshop will examine the performance of financial institutions and current efforts to develop a general framework that links operations, profitability, quality of services and financial intermediation by optimization models. Topics of interest are: operational issues in service delivery, optimal design and management of the financial intermediation process, benckmarking, e-commerce in financial services, multi-objective strategies and techniques, DEA in financial services, security aspects.
The workshop series aims to provide a forum for the exchange of ideas between senior researchers, young researchers and doctoral students on cutting edge developments concerning applications of advanced Operations Research methods to complex problems in finance, insurance, banking, etc. Each workshop contains hour-long lectures by a selected group of researchers, aimed towards the training of young scientists. Young scientists also participate actively by presenting their own research. The training aspect targets also technology transfer from academic researchers to practitioners from financial institutions.
Each workshop is a week-long (Mon.-Frid.) event and takes place at a single location, giving all the participants the opportunity for close interaction not only during the seminars/presentations but also informally during the breaks and free time. Participation in the workshops is by invitation.
Uncertainty modeling, stochastic optimization tools and the focus on practical applications for financial institutions constitute the unifying themes for the series of the three workshops.
The drivers of performance of large financial institutions
The third workshop (EUMOptFin3) of the series is being organized by the "Department of Mathematics, Statistics, Computer Science and Applications" of the University of Bergamo. Information on the research projects and other activities of the Department are posted on the website: www.unibg.it/dmsia.
The workshop will take place May 17-21, 2004 at University of Bergamo, on the North of Italy. The venue for the event is the the Faculty of Economics and Business Administration. The organizational arrangements for the event are handled by the personell of the department. The organaizer greatly aknowledges the support from the DMSIA, from CNR-MIUR Legge 95/95 and MIUR 40% 2002 grants.
|Schedule:||May 17-21, 2004|
take bus n.1/A at ATB bus stop "Seminario" and get off at Porta Nuova, then take bus n.15 and get off at bus stop "Caniana"
take bus n.1A at railway station and get off at
ATB bus stop "Seminario".
|Important Dates:|| April 9, 2004: Application
deadline (for young researchers)
April 17, 2004: Notification of acceptance.
The following is a tentative list of speakers who have already committed to participate in the workshop. This list will be appropriately updated.
|SENIOR SPEAKERS||COUNTRY||Preliminary titles of presentation|
|Aksin||Zeynep||Turkey||Cross-selling practices in retail banking call centers|
|Biffignandi||Silvia||Italy||An analysis of web sites as communication tool: an application to the banking sector|
|Gamba||Andrea||Italy||Bank's valuation drivers and models: a practical application to BPVN Group|
|Golany||Boaz||Israel||Efficiency studies in banking: past, present and future|
|Resti||Andrea||Italy||The performance of newly-merged banks: an insight through the behaviour of share prices|
|Pflug||George Ch.||Austria||An overview of linear and non linear techniques for DEA|
|Prastacos||Gregory||Greece||Competency management for a banking institution|
|Spronk||Jaap||The Netherlands||The relevance of MCDM for financial decisions and performance evaluation part.2|
|Zambruno||Giovanni||Italy||Risk-Adjusted funds performance attribution|
|Ziemba||William||Canada||The effect of incentives in the performance of Hedge Funds part.2|
|JUNIOR SPEAKERS||COUNTRY||Preliminary titles of presentation|
|Akkerman||Ella||Israel||The use of the new MATLAB financial kit for development of economic and financial models|
|Ayadi||Rym||Belgium||Banking consolidation in the EU:overview, assessment and prospects|
|Cepaitiene||Neringa||Lithuania||Regional Impact Models: Problem of Applicability for Lithuania|
|Dotsis||George||Greece||The impact of variance estimates in hedging effectiviness|
|Daugeliene||Rasa||Lithuania||Peculiarities of knowledge-based economy assessment: theoretical approach|
|Dzikevicius||Audrius||Lithuania||The comparatve analysis of some risk adjustment rules|
|Hanek||Martin||Czech Republic||Analyzing Eurobonds using multivariate interactive non parametric regression|
|Hirschenberger||Markus||Germany||Tricriterion models for suitable portfolio investors|
|Hochreiter||Ronald||Austria||Large computational financial modelling and optimization systems as the driver of performance for managing market risk|
|Kostica||Eleftheria||Greece||Modelling the stochastic behaviuour of FX options based on ACDE:VAR measurement & forecasting|
|Koutroumpis||Sokratis||Greece||Real estate performance attribution: a productivity analysis approach|
|Krzemienowski||Adam||Poland||Mean-risk analysis in business portfolio selection with capital constraints|
|Laczko||Tihamer||Hungary||Interest pass trough in the hungarian economy|
|Mavri||Mania||Greece||Analyzing and predicting the growth of credit cards industry, using multivariate categorical data|
|Muzzioli||Silvia||Italy||Option implied trees in the presence of different implied volatilities|
|Nowak||Piotr||Poland||Application of Levy process with jump components for option pricing|
|Pederzoli||Chiara||Italy||A forward looking model for time-varying capital requirements and the New Basel Capital Accord|
|Portela||Maria||England||New insights on measuring bank branches efficiency trough DEA. Transational, operational and profit assessments|
|Psychoyios||Dimitris||Greece||How useful are volatility options for hedging Vega risk?|
|Romaniuk||Maciej||Poland||coauthor with Nowak|
|Stankeviciene||Elena||Lithuania||Adequate portfolio as instrument of integrated asset and liability management in the commercial bank|
|Skintzi||Georgia||Greece||Inventory positioning in supply chain|
|Skintzi||Vasiliki||Greece||Implied correlation index: a new measure of diversification|
|Taschini||Luca||Italy||Utilising basket products to hedge credit risk|
|Turati||Gilberto||Italy||Cost efficiency and profitability in European commercial banking: implication for antitrust analysis|
|Vlamis||Panayiotis||Cyprus||Searching for the Value of Sustainability in Financial Services|