PRESS RELEASE: Athens, July 5th 2001

Subject : "FEES 2001 - International conference on financial engineering,
e-commerce and supply chain."

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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