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. 

• EUMOptFin3: The drivers of performance of large financial institutions
  Organizer: Marida Bertocchi, marida@unibg.it  (University of Bergamo)
  Venue: Bergamo, Italy    Schedule: April/May, 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 in optimization models. The general topic has two aspects: operational issues in service delivery and the optimal design of the financial intermediation process. 
  Information on this event can be found on the webpage: Deadline for applications by young researchers: March 12, 2004.  http://www.unibg.it/struttura/struttura.asp?cerca=eumoptfin3 

Aims:

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.

EUMOptFin2: Asset and Liability Modeling for Financial Institutions

WORKSHOP PROGRAM & PRESENTATION ABSTRACTS

Tentative Schedule

The second workshop (EUMOptFin2) of the series is being organized by the "HERMES Center on Computational Finance and Economics" of the University of Cyprus. The Hermes Center was selected by the European Commission in 2000 as a European Center of Excellence. Information on the research projects and other activities of the Hermes Center are posted on the website: www.hermes.ucy.ac.cy. 

The workshop will take place November 10-14, 2003 at the tourist resort of Ayia Napa, on the South-East coast of Cyprus. The venue for the event is the Nestor Hotel (3-star). The organizational arrangements for the event are handled by Tamasos Tours.

Schedule:	November 10-14, 2003
Organizers:	HERMES European Center of Excellence on Computational Finance & Economics School of Economics and Management University of Cyprus 75 Kallipoleos Street, P.O.Box 20537 CY-1678 Nicosia, Cyprus Tel. +357-22-892496,  Fax. +357-22-892421 Email: hermes@ucy.ac.cy  URL: www.hermes.ucy.ac.cy
Venue:	Nestor Hotel P.O.Box 30265 Ayia Napa, CYPRUS Tel. +357-23-722880, Fax. +357-23-722881 Email: nestor@logosnet.cy.net  http://www.nestor-hotel.com.cy/general-info.html  http://www.cyprushotelsguide.net/nestor.shtml
Organizational Arrangements:	Tamasos Tours (Head Office - Nicosia) 30A,Chytron Street, P.O.Box 7444 Nicosia - Cyprus Tel.: +357- 22-762683, +357-22-768358 Fax: +357- 22-768984 Email: tamasos@tamasostours.com.cy  URL:  www.tamasostours.com.cy  Larnaca Office: 46, Makarios Avenue, Larnaka Tel.: +357-24-622700 Fax: +357-24-622704
Important Dates:	September 5, 2003:   Application deadline (for young researchers) September 15, 2003: Notification of acceptance.

CALL FOR APPLICATIONS (Young researchers)

With available funding from the European Commission we offer the possibility to cover (at least partly) the participation of up to 30 young scientists from EU member states or associated countries (Bulgaria, Cyprus, Czech Republic, Estonia, Hungary, Iceland, Israel, Latvia, Liechtenstein, Lithuania, Norway, Poland, Romania, Slovakia, Slovenia and Switzerland). Young scientists who are interested to participate and present their research at the workshop should submit an application by electronic mail. The application should be submitted by September 5, 2003 to the email address: hermes@ucy.ac.cy and should contain:
- a current cv (indicating academic credentials/degrees, list of publications, date of birth, nationality/citizenship, contact information),
- title and abstract of a proposed presentation (all participants are expected to deliver a 20-30 minute presentation of their research).

Eligibility requirements:
- citizenship of an EU member state or an associated state (see list above),
- age limit (<35 years), unless an exception applies due to military service or child care. 
Applications are invited from:
- junior faculty at academic institutions,
- young researchers and post-doctoral fellows at research institutions,
- doctoral students at an advanced stage of their doctoral program.

A selection of young scientists will be made among the applicants on the basis of the following criteria:
- scientific achievements,
- relevance of their program of study and proposed presentation to the theme of the workshop.
Of course, an effort will be made to achieve a wide diversity and balance of participants as it regards their country of origin.
If there is high demand, then priority will be given to applicants who did not have the opportunity to participate in the previous event of the series (i.e., EUMOptFin1) in Semmering last January.

Applicants who are selected for an invitation will be notified by September 15, 2003. For those selected the following expenses will be covered:
- accommodation costs for the duration of the workshop (November 9-14, 2003): half-board terms (i.e., breakfast & lunch),
- an allowance for travel expenses; the amount will depend on actual travel costs (economy airfare) and can be up to 350-450 euro depending on the number of participants and their total travel cost claims.

 

List of young scientists:
    

	Lastname	Firstname	Country	Institution	Title of Presentation
1	Hochreiter	Ronald	Austria	Univ. of Vienna (AT)	Stochastic Optimization and Asset-Liability Management: Issues in Multistage Scenario Modeling
2	Giczi	David	Austria	Univ. of Vienna (AT)	Multistage Asset-Liability Management: A Time Series Approach
3	Brandl	Bernd Josef	Austria	Univ. of Vienna (AT)	Optimization of Theoretical Exchange Rate Forecast Models with a Constraint Genetic Algorithm
4	Lambertides	Neophitos	Cyprus	Univ. of Cyprus (CY)	Indeed, is Bankruptcy Risk Not a Systematic Risk? An Option Pricing Theory Investigation
5	Kousis	Nikos	Cyprus	Univ. of Cyprus (CY)	Sequential Options to Learn and Enhance Value
6	Poyiadjis	George	Cyprus	Univ. of Cambridge (UK)	Bayesian Analysis of Stochastic Volatility Models
7	Tichy	Tomas	Czech Republic	Technical Univ. of Ostrava (CZ)	Partial Replication of Shorted Calls and its Effectiveness in the Presence of Discrete Trading and Transaction Costs
8	Smid	Martin	Czech Republic	Charles University (CZ)	Properties of Multistage Stochastic Programming Problem's Approximation
9	Polivka	Jan	Czech Republic	Charles University (CZ)	Validation of Results for the ALM Model
10	Koivu	Matti	Finland	Helsinki School of Economics (FI)	A Stochastic Programming Model for Asset-Liability Management of a Finish Pension Company
11	Collan	Mikael	Finland	Abo Academy University (FI)	Very Large Investments: Characteristics and Profitability Analysis
12	Nickel	Nils-Holger	Germany	University of Cologne (D)	Implementing a Reference Portfolio Strategy in Bond Portfolio Management
13	Grothey	Andreas	Germany	Univ. of Edinburgh (UK)	Solving Very Large Stochastic Programming Problems by a Parallel Object-Oriented Interior Point Solver
14	Menn	Christian	Germany	Univ. of Karlsruhe (D)	A Structural Approach to Credit Risk Using a Generalized ARMAX Model
15	Linowsky	Karsten	Germany	Univ. of St. Gallen (CH)	Stochastic Optimization in Fixed Income Markets
16	Trueck	Stefan	Germany	Univ of Karlsruhe (D)	A Structural Approach to Credit Risk Using a Gerneralized ARMAX Model
17	Chourdakis	Kyriakos	Greece	Queen Mary Coll., Univ. of London (UK)	Continuous Time Regime Switching Models with Applications in Estimating Processes with Stochastic Volatility and Jumps
18	Skiadopoulos	George	Greece	Univ. of Piraeus (GRC)	A New Approach to Modeling the Dynamics of Implied Distributions: Theory and Evidence from the S&P500 Options
19	Topaloglou	Nikolas	Greece	Univ. of Cyprus (CY)	A Stochastic Programming Model for International Optioned Portfolios
20	Ciraolo	Stefania	Italy	Catholic Univ. of Leuven (B)	Contagion Between Foreign Exchange and Government Debt Crises in Emerging Markets
21	Barro	Diana	Italy	Univ. of Venice (IT)	Multistage Tracking Error Models
22	Nardon	Martina	Italy	Univ. of Venice (IT)	Discrete Monitoring of American Options Exercise
23	Menoncin	Francesco	Italy	Univ. of Brescia (IT)	Mortality Risk and Real Optimal Asset Allocation of Pension Funds
24	Provenzano	Davide	Italy	Univ. of Palermo (IT)	A Geometric Programming Algorithm to Select Investment Portfolios for Insurance Policies with Guarantees
25	Darius	Plikynas	Lithuania	Vilnius State Univ. (LIT)	Research of Fluctuations in Financial Markets Using Joint Time-Frequency and Deterministic Chaos Methods
26	Gutkowska	Anna	Poland	Erasmus Univ. (NL)	Interest Rate Risk and its Hedging in the Defined-Benefit Pension Scheme
27	Krzemienowski	Adam	Poland	Warsaw Univ. of Technology (PL)	Risk Preference Modeling with CVaR and Upside CVaR
28	Kopa	Milos	Slovakia	Charles Univ. (CZ)	Stability of Optimal Portfolio

 

The program will contain longer lectures by senior researchers:

(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	Title of presentation	..held on..
Bertocchi	Marida	Italy	Pricing Eurobonds	Friday
Charalambous	Chris	Cyprus	Option Pricing Using Artificial Neural Networks and Implied Volatility	Thursday
Consiglio	Andrea	Italy	Scenario Optimization Asset-Liability Modeling for Individual Investors	Thursday
Dupacova	Jitka	Czech Republic	Scenario-based Stochastic Programs in Finance: Validation of Results	Wednesday
Guerci	Mario	Italy	VaR and ALM in BPVN Group: A Practitioner's Tale	Friday
Pflug	Georg Ch.	Austria	Stochastic Insurance Models and Valuation of ULLIG Contracts	Tuesday
Rothblum	Uriel	Israel	Inducing Stability by Linear Rewards and Penalties
Vladimirou	Hercules	Cyprus	Investigating and Accounting for Estimation Errors in Portfolio Management Problems	Wednesday
Zenios	Stavros A.	Cyprus	1. Financial Products with Guarantees: Applications, Models and Internet-based Services (Part I) 2. Financial Products with Guarantees: Applications, Models and Internet-based Services (Part II)	Monday Monday
Ziemba	William T.	Canada	1. The Innovest Austrian Pension Fund Financial Planning Model InnoALM 2. Hedge Fund Strategies, Risk Control and Disasters	Tuesday Wednesday