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
modeling
Organizer: Georg Ch. Pflug, georg.pflug@univie.ac.at
(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, hercules@ucy.ac.cy
(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, marida.bertocchi@unibg.it
(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.
EUMOptFin3:
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 |
| Organizers: |
|
| Venue:
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" |
|
Accommodation Place:
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 |
| FINAL SCHEDULE | ||||||
| MONDAY | TUESDAY | WEDNESDAY | THURSDAY | FRIDAY | ||
| Chairman: | M.Bertocchi | W.Ziemba | M.Bertocchi | B.Golany | M.Bertocchi | |
| 9,00-9,45 | Registration | |||||
| 9,45-10,00 | Opening Session | 9,30-10,20 | Aksin | Gamba | Spronk | Ziemba |
| 10,00-10,50 | Pflug | 10,20-11,10 | Aksin | Gamba | Spronk | Ziemba |
| coffee-break | ||||||
| 11,15-12,05 | Biffignandi | |||||
| 12,05-12,55 | Zambruno | 11,40-12,30 | Resti | Golany | Hochreiter | Vlamis |
| lunch | ||||||
| Chairman: | R.Ayadi | M.Hanek | T.Laczko | A.Dzikevicious | ||
| 15,00-15,30 | Koutroumpis | 14,00-14,30 | Ayadi | Taschini | Pederzoli | Closing session |
| 15,30-16,00 | Krzemienowski | 14,30-15,00 | Laczko | Nowak-Romaniuk | Kostica | |
| coffee-break | ||||||
| 16,30-17,00 | Dzikevicious | 15,30-16,00 | Mavri | Muzzioli | Stankeviciene | |
| coffee-break | ||||||
| 17,00-17,30 | Hanek | 16,00-16,30 | Skintzi G. | Dotsis | Akkerman | |
| 17,30-18,00 | Skintzi V. | 16,30-17,00 | Turani | Cepaitiene | Daugeliene | |
| Welcoming cocktail | ||||||