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Deal-FX has committed itself to organizing an international
conference "Fees 2001" on a yearly basis and in approximately
one year, the company will establish a 20 month post-graduate
program in engineering management with the University of Florida
and its faculty for executives and businessman from both technical
and business fields.
"Our purpose is to bring Greece in contact with the academic
community as well as businessmen of technology management",
emphasized Dr. Panos Pardalos, President of Deal-FX, Professor
of Industrial and Systems Engineering, affiliated faculty
member of the Computer Science Department and Biomedical Engineering
Program, University of Florida, Director of the Center for
Applied Optimization. "In the last year, the e-commerce market
reached $20 trillion and it is expected to reach approximately
$200 trillion within the next three years", stressed Dr. Pardalos,
adding that "it is important for the market to come into contact
with the academic community in order for new scientists and
students to provide the market with innovative ideas without
any delay".
"Fees 2001 will help present scientific subjects which
are not widely known in our country. Besides, we believe that
every new economy, such as the Greek economy, will have difficulty
maintaining a competitive position and edge internationally",
added Mr. Dimitris Tsitsiringos, CEO of Deal-FX.
The Company's Representative mentioned that Deal-FX is a
Greek Company with a significant international presence, a
presence which is much more prominent than its local one.
He noted that Deal-FX is specializes in providing financial
information since the company is a direct vendor of 20 European
Stock Exchanges and a sub-vendor of over 60 Stock Exchanges
worldwide. Mr. Tsitsiringos mentioned that the company has
recently created a data center that enables the company to
concurrently accommodate up to 75,000 users worldwide.
Mr. Dimitris Kapourelakos, a member of the Board of
Directors, and Ms. Elli Grapsas, one of the company's executives,
discussed the future plans of the company and noted, that
so far, Deal-FX has has focused most of its efforts abroad
(98%) in the following countries: South Africa, Australia,
Scandinavian Countries, Estonia, Lithuania, Italy, Asia, and
Russia.
Mr. Kapourelakos emphasized that the Company's flagship
product the Deal-FX Trader Pro, a complete financial software
application, will officially be presented during the conference.
The Deal-FX Trader Pro currently has a client base of 5,500
users, a number which is expected to rise to 30,000 within
the next year.
John Taloumis, the conference co-coordinator and Vice President
of Acropolis Technological Park, Vice President of the Telecom
Committee of SEPE, and Chairman of 3Net, stressed that Deal-FX's
initiative provides Greece with the opportunity of becoming
an international financial center.
FEES 2001- The Conference
The first international conference, FEES 2001, will take
place at the Intercontinental Hotel, between the 24th-27th
of May, whose subject is "Financial Engineering, e- Commerce,
and Supply Chain".
It is a unique initiative on behalf of Deal-FX in cooperation
with the center for Applied Optimization, University of Florida,
with the organizational support of iForce Communications.
Speakers at the conference include over 30 leading international
specialists in the above fields. This meeting will provide
a foundation for joint research cooperation, exchange of ideas
among theoreticians and practitioners, and stimulation for
future research.
The event organizers, taking into account the rapid development
of telecommunications and communication technology, will try
to shed some light on the rationale of financial engineering,
e-commerce, and supply chain, both in today's and future markets.
Financial engineering manipulates the modeling of problems
with innovative methods(combination of mathematical, scientific,
and financial problems), providing innovative and efficient
solutions. Financial Engineering focuses upon the fundamental
principles of corporate finance and investment science such
as cash flow streams, arbitrage, risk aversion, pricing of
firms and finance instruments, interest rate term structure,
fixed income instruments duration, bond portfolio immunization,
and the Markowitz mean-variance portfolio theory.
The conference delegates will also be immersed in the discussion
of the e-Commerce's influence on the efficiency of the infrastructure
of the market and the economy, and its social consequences.
Supply Chain consists of a complete optimization approach,
which includes the entire business spectrum, such as the flow
and supply of goods and the management of network supplies,
and consumers.
Keynote Speech Synopsis
Dr. Panos Pardalos, Optimization Model's and Algorithms
in Supply Chain and e-Commerce will focus on optimization
in supply Chain and e-Commerce. More specifically in distribution
and transfer systems on supply chain. Problem solving methods
that involve minimum flow in distribution networks, which
are characterized by linear cost functions.
Computing results in large-scale problems exhibit that the
suggested techniques have as a result the discovery of high
quality solutions.
Dr. Nikos Christofidis, Director of the Center for
Quantitative Finance, Imperial College, UK School of Management,
London, UK, will speak on Pricing and hedging in incomplete
markets. The classical approach to the pricing and hedging
of derivative instruments involves the construction and trading
of a portfolio of basic assets so as to replicate the possible
derivative payoffs. The whole approach is based on the no-arbitrage
principle. In many markets, however, such replication is not
always possible (the market is incomplete) either because
of jumps in the underlying price process, (as is the case
with pricing credit derivatives) or because the underlying
cannot be traded in the quantities needed (because of liquidity
restrictions), or for a variety of other reasons. In such
cases, the arbitrage considerations alone can only provide
upper and lower bounds on the option price - not an exact
value. The talk will develop the "pseudo-arbitrage" and "near-arbitrage"
arguments which can form a sufficient basis for an exact pricing
methodology. Computational pricing comparisons for some credit
derivatives will be given.
Dr. Ziemba, Alumni Professor of Management Science,
Faculty of Commerce, University of British Columbia, will
attempt to analyze the world stock markets from 1996-2001
in a historical back track of the last one hundred years.
Meanwhile, he will give a bird's eye view of the Japanese
stock market rise during 1949-1989 and its fall in 1990-2001.
In his analysis of the American stock market, focusing on
the period of the great rise of prices in 1996-200, the professor
will emphasize the two predominant factors: its size and momentum.
Bubble versus changing fundamentals will be discussed in
Japan and in the US NASDAQ. Dr. Ziemba will take into account
the different signals of the stock market, and the anomalies
that the market displays. In his second speech, Dr. Ziemba
will analyze the financial planning model of the Austrian
Pension Fund, InnoALM.
Dr. Kono will give a speech on "Estimation of Failure
Probability by Semi-Definite Logit Model". Linear logit model
is often used for estimating the failure probability of enterprises.
This model is based upon the assumptions that the failure
probability is a monotonic function of the financial factors,
which is not universally valid. To handle non-monotonic situation,
Dr. Konno will introduce a semi-definite logit model where
the exponential term of the logit function is replaced by
a semi-definite quadratic function. The resulting likelihood
maximization problem becomes a concave maximization problem
under semi-definite constraints, which can be solved efficiently
by using cutting plane algorithm in an efficient way. Dr.
Konno will demonstrate that this model outperforms linear
and general quadratic logit models.
Dr. Zenios, Professor of Management Science, University
of Cyprus, Hermes Center on Computational Finance and Economics
Senior Fellow, The Wharton Financial Institutions Center,
The Wharton School, University of Pennsylvania, will present
his work named "Scenario optimization asset liability modeling
for endowments with minimum guarantees". Endowments with a
minimum guaranteed rate of return appear in insurance policies,
pension plans and social security plans. In several cases,
especially in the insurance industry, such endowments also
participate in the business and receive bonuses from the firm's
asset portfolio. In his discussion Dr. Zenios will develop
a scenario based optimization model for asset and liability
management of participating insurance policies with minimum
guarantees. The model allows the analysis of the tradeoffs
facing an insurance firm in structuring its policies as well
as the choices in covering their cost. The model is applied
to the analysis of policies offered by Italian insurance firms.
While the optimized model results are in general agreement
with current industry practices, inefficiencies are still
identified and potential improvements are suggested.
Dr. Uryasev, Associate professor, Department of Industrial
and Systems Engineering, University of Florida, will present
his work entitled, "Risk Management Using Conditional Value-at-Risk".
Value-at-Risk (VaR), a widely used performance measure, answers
the question: what is the maximum loss with a specified confidence
level? Although VaR is a very popular measure of risk, it
has undesirable properties such as lack of sub-additivity,
i.e., VaR of a portfolio with two instruments may be greater
than the sum of individual VaRs of these two instruments.
Also, VaR is difficult to optimize when calculated using scenarios.
In this case, VaR is non-convex, non-smooth as a function
of positions, and it has multiple local extrema.
An alternative measure of losses, with more attractive properties,
is Conditional Value-at-Risk (CVaR), which coincides in some
special cases with Mean Excess Loss, (Mean Shortfall). CVaR,
is a coherent measure of risk (sub-additive, convex, and other
nice mathematical properties). Moreover, as it was shown recently
it can be optimized using linear programming (LP), which allow
handling portfolios with very large numbers of instruments
and scenarios. Numerical experiments indicate that the minimization
of CVaR also leads to near optimal solutions in VaR terms
because CVaR is always greater than or equal to VaR. Moreover,
when the return-loss distribution is normal, these two measures
are equivalent i.e., they provide the same optimal portfolio.
CVaR can be used in conjunction with VaR and is applicable
to the estimation of risks with non-symmetric return-loss
distributions. Although CVaR has not become a standard in
the finance industry, it is likely to play a major role as
it currently does in the insurance industry. Similar to the
Markowitz mean-variance approach, CVaR can be used in return-risk
analyses. For instance, we can calculate a portfolio with
a specified return and minimal CVaR. Alternatively, we can
constrain CVaR and find a portfolio with maximal return. Also,
rather than constraining the variance, we can specify several
CVaR constraints simultaneously with various confidence levels
(thereby shaping the loss distribution), which provides a
flexible and powerful risk management tool.
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