This is edition number 42 of The MathFinance Newsletter. Previous editions and this edition in html format can be found on http://www.mathfinancenews.com. In this issue:

1. International Conference on Managing Credit and Market Risk - New techniques for new sources of risk, Verona, June 7 - 8 2001
2. MathFinance Job Exchange: Universitaetsassitent/in and Research Positions in Financial and Actuarial Mathematics at the Vienna University of Technology
3. Mathematics in Finance Program at New York University's Courant Institute of Mathematical Sciences
4. Through ZanerFX, you can now trade in the largest financial forum in the world, the cash foreign exchange market.
5. MathFinance Multi-Asset Option Pricer by Bernd Engelmann
6. University of Copenhagen seeks applicants for a position of an associate professor in the area of Actuarial Mathematics for appointment from 1st of January 2002 or as soon as possible thereafter
7. Le Collège de Polytechnique vous propose un séminaire: Méthodes de Monte-Carlo pour l'évaluation et la couverture des options, les 19 et 20 juin 2001
8. MathFinance Job Exchange - Senior Fixed Income analyst/-in und Junior Fixed Income Analyst/-in
9. RiskLab Workshop on Risk Management

• place a student
• recommend your book or educational institute
• find a quant
• invite to a workshop
• contribute to our website
• pose questions about mathematical finance
• introduce your research to a wider audience

The MathFinance Newsletter: Established November 1999

Editor: Dr. Uwe Wystup

Technical Editor: Tom Heide
 
 

In detail:
 
 

1.

II International Conference on Managing Credit and Market Risk

New techniques for new sources of risk

The Department of Financial Studies of the University of Verona organises the second international conference on recent developments in managing market and credit risk.

Speakers

• Edward Altman (New York University)
• Walter Torous (University of California Los Angeles)
• Patricia Jackson (Bank of England)
• Carol Alexander (Reading University)
• Stuart Turnbull (Canadian Imperial Bank of Commerce)
• Christopher Finger (RiskMetrics, London)
• Steven Allen (JP Morgan Chase & New York University)
• Marcello Esposito (SanPaoloIMI, Milano)
• Paolo Kind (Endeavour Capital Management, London)
• Rama Cont (Ecole Polytechnique Paris)
• Hadley Taylor (AISoftw@re)
• Carlo Acerbi (Abaxbank)

The complete program of the conference is now available at the website:
http://www.univr.it/giardinogiusti/workshops/conf_2001/conf_2001.htm
Deadline for registration: 27 May 2001.

The Conference is in English. Simultaneous translation will be provided.

Conference Secretariat
Dr. Ombretta Terazzan e Dr. Stefania Ciraolo
Tel.: +39 045 8054 913 / 926
Fax: +39 045 8054 935
Email: giardino.giusti@univr.it

2.

Am Institut fuer Finanz- und Versicherungsmathematik der Technischen Universitaet Wien ist ehemoeglichst die

zu besetzen. Aufnahmebedingungen: Abgeschlossenes Mathematik- Studium. Sonstige Kenntnisse: Versicherungsmathematik und stochastische Finanzmathematik.

Die Universitaet strebt eine Erhoehung des Frauenanteils insbesondere beim wissenschaftlichen bzw. kuenstlerischen Personal an und fordert deshalb qualifizierte Frauen ausdruecklich zur Bewerbung auf. Frauen werden bei gleicher Qualifikation vorrangig aufgenommen.

Bewerbungsfrist: 3 Wochen (17. Mai bis 6. Juni 2001). Bewerbungen sind an die Personalabteilung I der TU Wien, Karlsplatz 13, 1040 Wien, zu richten.

Siehe auch http://www.fam.tuwien.ac.at/~sandra/jobs/

Research Positions in Financial and Actuarial Mathematics at the Vienna University of Technology

2 Post-Doc-ships:

The successful applicants will have a PhD in Mathematics specialising in Mathematical Finance or Actuarial Mathematics, or in a field related to these topics, e.g., stochastic processes or, more generally, probability theory, functional analysis, control theory, numerical aspects of PDE's etc. Some background in finance also will be highly appreciated. He/she will have a high potential and a strong will to do research and will name 3 peers who are willing to write a letter evaluating the applicant's academic qualifications. The yearly salary will be ATS 451360.00 (before tax and social security contribution).

The Research Group:

The Research group on Financial and Actuarial Mathematics is directed by W. Schachermayer (http://www.fam.tuwien.ac.at/~wschach/) and attached to his chair of financial and actuarial mathematics at the Vienna University of Techology. W. Schachermayer has received the Wittgenstein-Prize in 1998 (which the Austrian Science Foundation has created following the pattern of the McArthur prize in the US and the Leibniz prize in Germany), which constitutes a grant of ATS 15 Mill. (appr. US$ 1 Mill.) to be spent on research activities in the subsequent five years. This grant will finance (among other activities) the 2 positions announced. The research group presently consists of 11 academic researchers. The research is focused on stochastic processes and their applications in finance.

Duration of Contracts:

The anticipated starting date is 1. October 2001, but an alternative date may be possible. The contract will be for two years.

Candidates should mail their applications, including a Curriculum Vitae, to Professor Walter Schachermayer, Vienna University of Technology, Dept. of Financial and Actuarial Mathematics, Wiedner Hauptstraße 8-10/105, A-1040 Wien, Austria or e-mail it to fam@fam.tuwien.ac.at.

The application deadline is 31. July 2001.

More information on the research group financial and actuarial mathematics and the specifics of the above positions can be obtained from Professor Walter Schachermayer, Tel. +43-1-58801-10511, email: fam@fam.tuwien.ac.at

See also http://www.fam.tuwien.ac.at/~sandra/jobs/

3.

Mathematics in Finance Program at New York University's Courant Institute of Mathematical Sciences

Financial mathematics is the application of mathematical methods to the solution of problems in finance. It draws on tools from applied mathematics, computer science, statistics, and economic theory. Investment banks, hedge funds, insurance companies, corporate treasuries, and regulatory agencies apply the methods of financial mathematics to such problems as derivative securities valuation, portfolio structuring, risk management, and scenario simulation. Quantitative analysis has brought efficiency and rigor to financial markets and to the investment process, and is becoming increasingly important in regulatory concerns. As the pace of financial innovation increases, the need for highly qualified people with specific training in financial mathematics intensifies.

Financial Mathematics at the Courant Institute

Since 1985, the Courant Institute has been active in financial mathematics through research, education, and consulting. In 1995 Professor Marco Avellaneda launched a seminar in financial mathematics, inviting key academic and industry participants to share their theoretical ideas and practical experience. Concurrently, the Institute developed and ran several courses in financial mathematics, drawing students from top undergraduate programs and from the New York financial community.

The overwhelming response to the seminar and courses indicated the need for a formal master's program. In the spring of 1997, the proposed master's program at the Institute received final approval and accreditation from New York State. In the same year, the Division of Financial Mathematics was founded within the Courant Institute under the leadership of Professor Avellaneda. The division's activities include the mathematics in finance master's program, the research seminar, and advanced Ph.D. research in financial mathematics.

Financial Mathematics at the Courant Institute and on Wall Street

Close cooperation between the Courant Institute and the finance community is an essential part of the program and gives it a unique character. These ties ensure that the program is up to date and relevant, that the students experience Wall Street finance from the inside, and that potential employers can get a close look at the students in action. We have established this link on many levels.

More information on the

• Advisory Board
• Financial Mathematics Fellows
• Master's Project
• Research
• The Program
• Financial Theory and Modeling
• Mathematical Foundations
• Computational Skills
• Master's Project
• Prerequisites and Admission
• Environment
• Facilities

4.

ZanerFX is a firm dedicated to providing customers access to the global cash foreign exchange market

Formed in response to the continual change in the interests of the international investor, ZanerFX seeks to provide the sophisticated trader with the tools necessary to maximize that trader’s ability to compete in the largest financial market in the world.

The President of ZanerFX, Matthew D. Zaner, is also a founder of the very successful commodity firm, NetFutures. Matt, along with Jim Pugh, the Director of Foreign Exchange at the company, looked at the number of new companies offering foreign exchange services to the investing public and quickly realized most had two things in common: 1) The lack of financial assets at most of the new firms was very apparent and 2) because of that, customer account security was almost non-existent. What every customer of these firms has to realize is that the “other side” of his trade is the company holding their money. In addition, promises of accounts available from as low as $1000, coupled with enormous leverage, seem to be designed to lure the small investor into sending his money to a firm he doesn't know to trade a market he doesn't understand. ZanerFX does not believe that is in the best interest of the professional investor.

contact:

150 South Wacker Drive, Suite 2350Chicago, IL 60606 USA
http://www.zanerfx.com

For further information, please feel free to contact Lee Snyder, Head of Sales, directly at:
phone: 1.800.750.5978 or 312.277.0113
email: lsnyder@zanerfx.com

5.

MathFinance Multi-Asset Option Pricer by Bernd Engelmann

We are pleased to announce Bernd Engelmann's contribution which is available at

http://www.mathfinance.de/BerndEngelmann/

or in the publications section as one of the articles accompanied by an execuble application that allows pricing and calculation of Greeks for Basket, Multi-Strike and Spread options.

6.

Associate Professor in Actuarial Mathematics

The Laboratory of Actuarial Mathematics at the University of Copenhagen seeks applicants for a position (marked 221-83) of associate professor in the area of Actuarial Mathematics for appointment from 1st of January 2002 or as soon as possible thereafter.

The Laboratory of Actuarial Mathematics is a Department of the Institute for Mathematical Sciences. There are five academic positions: two full professorships and three associate or assistant professorships. The Laboratory conducts a full programme in actuarial science with degrees at the bachelor, masters and PhD level. Annually some 25 students are admitted to the bachelor program, some 15 graduate with the degree cand.act (including a masters thesis) and there are currently three PhD students.

The Laboratory has a long tradition for research and higher education in actuarial mathematics, still with the broad orientation required to offer actuarial instruction complying with internationally approved core syllabi. Being a small unit, and the only one of its kind in Denmark, the Laboratory is dependent on close contacts to similar units in other countries, materialising in frequent exchange of specialists and of students. The plan for development of the Laboratory aims at integrating into the mathematics of insurance topics like dynamical risk theory, relevant parts of financial economics, extreme value theory, and their foundation in statistics, control theory, and stochastic analysis. This reflects the strong progress currently made in the borderlands between these fields, and their steadily growing importance in insurance and banking.

The successful candidate should have a strong research record. She/He is expected to contribute to the Laboratory's teaching and research activities in Actuarial Mathematics and to its administrative duties.

Further information can be obtained from
Head of the Laboratory of Actuarial Mathematics
Prof. Hanspeter Schmidli
University of Copenhagen
Universitetsparken 5
DK-2100 Copenhagen
tel. +45 35 32 07 88
e-mail address schmidli@act.ku.dk

Terms of appointment and payment according to agreement between the Ministry of Finance and the Danish Confederation of Professional Associations.

Deadline for applications 17th of August, 2001 at 12.00 a.m.

This call for applications is an extract on which the application cannot be based. If you consider applying for the position, read the full text of the advertisement on the Internet address

http://www.act.ku.dk/~schmidli/vacancy.html
or
http://www.ku.dk/led/generel/ - press `ledige stillinger'
or ask for it at the Personnel Office (Phone +45 35322645).

7.

Le Collège de Polytechnique, qui représente la formation continue de l'Ecole polytechnique vous propose un séminaire:

Méthodes de Monte-Carlo pour l'évaluation et la couverture des options

les 19 et 20 juin 2001.

Resume

A la pointe de la recherche en mathématiques financières, les intervenants vous proposent une présentation très complète et actuelle des techniques de simulation utiles pour l'évaluation et la couverture des options.

Après le rappel des méthodes classiques de Monte-Carlo, ils traitent des techniques d'accélération de convergence : réduction de variance et suites à discrépances faibles. Puis ils abordent les problèmes liés à la discrétisation des diffusions, en les illustrant d'exemples financiers : calculs d'options exotiques, modèles à volatilité aléatoire, ...

Intervenants

• Bernard LAPEYRE, professeur à l'ENPC, maître de conférence à l'École polytechnique
• Claude MARTINI, chargé de recherche à l'INRIA
• Benjamin JOURDAIN, directeur de recherche

Les objectifs de ce séminaire sont de:

1. présenter les modèles à volatilité aléatoire, les options et produits dérivés et l’évaluation des risques
2. illustrer par leurs applications en finance

Professionnels de la finance souhaitant maîtriser les techniques récentes de simulation.

Il est préférable de connaître le modèle de Black et Scholes, pour suivre cette journée.

Programme

• Présentation de la méthode.
• Vitesse de convergence, implémentation.
• Simulation des variables aléatoires classiques.
• Illustration sur le modèle de Black et Scholes.

• Techniques de réduction de variance.
• Suites à discrépance faible.
• Spécificités des problèmes de calcul d'option, exemples.

• Simulation du modèle de Black et Scholes et de ses variantes.
• Simulation des processus de diffusion.
• Formule de Feynman-Kac : les équations de la finance et les méthodes de Monte-Carlo.
• Méthodes de réduction de variance pour les diffusions.

• Modèles à volatilité aléatoire.
• Les options sur moyenne, sur maximum, sur barrières : difficultés, remèdes.
• Le cas des options américaines : intérêt et limites de techniques de Monte-Carlo.
• Options et produits dérivés.
• Évaluation des risques.

Modalites pratiques

Tarif : 2 jours – 1 220 Euros / 8 000 Francs HT

Ce prix comprend les déjeuners, pauses-café et documentation.

Lieu du séminaire : Collège de Polytechnique, Paris 2ème

Dates : 19 et 20 JUIN 2001-

Inscriptions :

1. Par téléphone : 01 42 60 37 12
2. Par télécopie : 01 42 60 37 76
3. Par courrier : Collège de Polytechnique, 17 rue du 4 Septembre, 75002 Paris
4. Par internet : inscriptions en ligne sur http://www.collegepolytechnique.com

Merci de rerouter ce mail pour diffuser cette information aux personnes susceptibles d'être intéressées.

Daniel Fournier
Collège de Polytechnique
01 42 60 37 12
d-fournier@collegepolytechnique.com

8.

MathFinance Job Exchange - Senior Fixed Income analyst/-in und Junior Fixed Income Analyst/-in

• Ort: Berlin
• Bank: Bankgesellschaft
• Bereich: Research Zins und Währungsstrategie
• Profil:
  • Analyse und Prognose der Euro Geld und Bondmärkte (Non-Corporate)
  • Entwicklung von Handels- und Portfoliostrategien + derivater Instrumente für interne und externe Zielgruppen
  • Erstellung von Beiträgen für Publikationen
  • Renten und Devisenmärkte sowie German Bund -daily- in englischer Sprache
  • Unterstützung Trading und Sales sowie Asset
  • Management des Konzerns mit Einbindung in die Kundenakquisition
  • Mitarbeit bei der Entwicklung und Implementierung neuer Analyse- und Prognosemethoden
  • Präsentation der Analyseergebnisse im Konzern, bei Kunden und Presse

  Anforderung

  Senior Anayst

  • mind 3 Jahre Berufserfahrung
  • fundierte volkswirtschaftliche, finanzmathematische und kapitalmarkttheoretische
  • Hochschulausbildung mit Prädikatsexamen
  • sehr gute Englischkenntnisse
  • möglichst spezielle Kenntnisse von
    • Handel-Portfoliostrategien-Sales-technischer
    • Marktanalyse, Ökonometrie
  • Kommunikativ-Teamfähigkeit-Einsatzbereitschaft

  Junior Analyst

  • fundierte volkswirtschaftliche, finanzmathematische und kapitalmarkttheoretische Hochschulausbildung mit Prädikatsexamen
  • sehr gute Englischkenntnisse
  • erste Berufserfahrung (oderStudienschwerpunkte) auf den Gebieten
  • fundamental oder quantitativer Analyse intern.
  • Renten und Devisenmärkte
  • Kommunikativ-Teamfähigkeit-Einsatzbereitschaft

Für weitere Information wenden Sie sich bitte direkt an Jürgen Merkel, MB Consulting GmbH, Tel. + 49-6031-718686.

9.

RiskLab Workshop on Risk Management

(in cooperation with the Seminar for Statistics at ETHZ)

Workshop secretary: Eveline Fritsch (fritsch@math.ethz.ch)

Participation is free, and there is no official registration. Everyone is welcome, practitioners are especially encouraged to attend.

Program:

15.10 - 15.40 (lecture hall HG D1.1)
Aydin Akgün (RiskLab, ETH Zürich and Swiss Banking Institute)
"Capital budgeting under regulatory constraints"

Abstract:

Using a stylised model similar to that of Kenneth A. Froot and Jeremy C. Stein (Journal of Financial Economics, 47, January 1998, 55-82), the talk focuses on the capital budgeting, capital structure, and risk management decisions of financial firms under regulatory constraints. The questions and issues that are addressed in this framework are the following:
- The introduction of the regulatory constraints as an additional rationale for risk management, as well as the analysis of how the investment, hedging, and capital budgeting decisions of financial firms are influenced by such an introduction.
- A comparison of the influence of different forms of regulatory constraints such as the internal models, and pre-commitment approach. In the pre-commitment approach the effectiveness of various penalty schemes could also be analysed.
- A comparison of the influence of firm-wide regulatory constraints, and separate constraints applied to trading and banking books individually.
- The explicit introduction of a shareholder-utility maximization concept to formally study capital budgeting as opposed to custom-designed methods such as RAROC or EVA. (Joint work with Prof. Dr. Rajna Gibson.)

15.40 - 16.10 (lecture hall HG D1.1)
Filip Lindskog (RiskLab, ETH Zürich)
"Multivariate extremes and dependence in elliptical distributions"

Abstract:

The purpose of this talk is to clarify dependence properties of elliptical distributions. I will focus on clarifying multivariate extremes by studying spectral measures with respect to different norms and tail dependence coefficients for regularly varying elliptical distributions.

16.10 - 17.00 (lecture hall HG D1.1)
Prof. Dr. Fabio Trojani (University of Southern Switzerland, Lugano)
"Exploring the trade-off between robustness and diagnostics when selecting single factor models for the short term rate"

Abstract:

We explore the trade-off between robustness and diagnostics in applications to the model choice of single-factor interest rate models. The analysis is carried out using a robust version of the Generalized Method of Moments (the R-GMM) that has been recently developed in Ronchetti and Trojani (2001). The GMM is a broadly used econometric procedure in finance that permits estimation and testing of highly non-linear models with quite rich time series dependence structures. However, as for many inference procedures based on M-type estimators, GMM suffers from a lack of robustness when the orthogonality functions defining the corresponding estimating equations are unbounded (a feature that is inherited by virtually all GMM applications in finance). Therefore, RGMM is a useful tool in these applications which can help to obtain more robust point estimates and model choices and to identify outliers or more general deviating structures to eventually (if this is necessary) respecify a model. As an illustration of this methodology we re-examine the empirical evidence concerning a well-known class of linear and non-linear drift single factor models for the short rate process (cf. Chan et al. (1992) (CKLS) and Ahn and Gao (1999), AG). Standard GMM model selection procedures are highly unstable in these applications. Specifically, when testing the models with RGMM we find that they are all clearly misspecified and we identify a clustering of influential observations in the 1979-1982 subperiod. Further, even a model with a temporary parameter shift is unable to take into account the particular 1979-1982 subperiod which exhibits a cluster of influential points similar to that obtained for the constant parameter models. On the other hand, a Cox-Ingersoll-Ross model could offer a satisfactory data description for the period after 1982 since there only a few isolated outliers are found. Comparable results are obtained for the Euro-mark case.

(This is a joint talk with the Zurich Seminar on Applied Statistics)

17.00 - 17.30
Discussion, coffee break, change to lecture hall HG E1.2

17.30 - 18.00 (lecture hall HG E1.2)
Roger Kaufmann (RiskLab, ETH Zürich)
"Long-term financial risks: the one-dimensional case"

Abstract:

In this talk we discuss several methods for modelling long-term financial risks. We compare the efficiency of some selected models for predicting asset returns on a one-year horizon. In particular we present backtesting results showing the accuracy of estimated one-year expected shortfall for stock indices, 10-year-bonds and exchange rates.

18.00 - 18.30 (lecture hall HG E1.2)
Enrico De Giorgi (RiskLab, ETH Zürich)
Vlatka Komaric (Credit Suisse)
"An intensity based approach for mortgage portfolios"

Abstract:

In 1999 Swiss banks held about 498 billion CHF debts in the form of mortgages. Nevertheless, currently used models for credit risk are not designed to capture the specific dependence characteristics of a large mortgage portfolio. Given the huge size of the mortgage market, it is surprising that the issue is largely ignored by academic research. Our attention lies on a proper way for modeling default risk for individual residential mortgages, which is affected by macro-economical factors such as unemployment. We consider time to default and we use a non-parametric proportional hazard model for the intensity process, which is assumed to depend on a set of macro-economical factors.