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Dipartimento di Scienze aziendali, economiche e metodi quantitativi

EUMOptFin3 workshop

Department of Mathematics, Statistics, Computing and Applications
University of Bergamo

EU-Workshop Series on
Mathematical Optimization Models for Financial Institutions

EUMOptFin is a series of Workshops sponsored by the European Commission (grant HPCF-CT-2002-00011) and dealing with  Mathematical Optimization Models for Financial Institutions.

Committee Workshops Aims Organization Speakers

Scientific committee:
  • Georg Ch. Pflug (chair, University of Vienna, Austria)
  • Marida Bertocchi (University of Bergamo, Italy)
  • Flavio Cocco (Prometeia Calcolo, Italy)
  • Andrea Consiglio (University of Palermo, Italy)
  • Jitka Dupacova (Charles University, Czech Republic)
  • Alexej Gaivoronski (Norwegian University of Science and Technology, Norway)
  • Gregory Prastacos (Athens University of Economics and Business, Greece)
  • Jaap Spronk (Erasmus University, The Netherlands)
  • Hercules Vladimirou (University of Cyprus, Cyprus)
  • Stavros A. Zenios (University of Cyprus, Cyprus) 

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.

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

Department of Mathematics, Statistics, Computing and Applications
Faculty of Economics and Business Administration
University of Bergamo
Via dei Caniana, 2
24127 Bergamo, Italy
Tel. +39-035-2052564/517
Email: eumoptfin3@unibg.it 
URL: www.unibg.it/dmsia 


>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"

click for full map
Faculty of Economics and Business Administration
Room 21
Via dei Caniana, 2
24127 Bergamo, Italy
Tel. +39-035-2052564/517
Email: eumoptfin3@unibg.it 

Accommodation Place:

stify">take bus n.1A at railway station and get off at ATB bus stop "Seminario".
In case of arrival on Saturday, Sunday and after 10 p.m., you have to get off at bus stop "Colle Aperto" and go to entrance located in VIALE DELLE MURA 80. §

click for full map
Seminario Giovanni XXIII
Via Arena,11 - 24129 Bergamo

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


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
11,15-12,05 Biffignandi

12,05-12,55 Zambruno 11,40-12,30 Resti Golany Hochreiter Vlamis
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
16,30-17,00 Dzikevicious 15,30-16,00 Mavri Muzzioli Stankeviciene
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