This is edition number 47 of The MathFinance Newsletter. Previous editions and this edition in html format can be found on http://www.mathfinancenews.com. In this issue:

1. Quantitative Methods in Finance 2001 Conference, 12 - 15 December, Manly, Sydney, Australia
2. Essays on lookback and barrier options - a Malliavin calculus approach by Hans-Peter Bermin
3. Dr David Hobson's research papers
4. Research articles of J.P. Morgan's Derivatives Research group
5. A list of recommended VBA pages - by Holger Schilling
6. The European Investment Review - ESCP-EAP - Annual Conference - 20-21 September 2001, Paris
7. The latest issue of Quantitative Finance is now out in hardcopy and available. See below for contents
8. New on www.mathfinance.de: Visualize sample paths in the Black-Scholes-, Heston- and Jump-Diffusion model
9. PHP manual

• 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.

Quantitative Methods in Finance 2001 Conference
12 - 15 December, 2001
Manly, Sydney, Australia

The Quantitative Methods in Finance 2001 Conference will bring together leading experts in Quantitative Finance from industry and academia for a four day conference from 12 - 15 December 2001. There will also be additional practitioner workshops on 10 and 11 December.

Call for Papers

The focus of QMF2001 will be: Credit Risk, Value at Risk and Integrated Risk Measurement and Management

QMF2001 will be held at the Manly Pacific Parkroyal Hotel, Manly Beach, Sydney

QMF2001 is organised by: Prof. Carl Chiarella, School of Finance and Economics, and Prof. Eckhard Platen, Department of Mathematical Sciences, and School of Finance and Economics, University of Technology, Sydney

For more information please visit
http://www.business.uts.edu.au/finance/resources/qmf2001/

2.

Essays on lookback and barrier options - a Malliavin calculus approach
by Hans-Peter Bermin

Nationalekonomiska institutionen
Department of Economics
School of Economics and Management, Lund University

This Ph.D. thesis can be downloaded from
http://www.nek.lu.se/nekhpb/research/thesis.ps

There's more about the author's research on his homepage
http://www.nek.lu.se/nekhpb/research.htm

3.

Dr David Hobson's research papers
The Financial Studies Group, at the University of Bath

Some of the recent work include

• Robust hedging of barrier options, Co-authors: H.M. Brown and L.C.G. Rogers. Mathematical Finance. 11, pp285-314, 2001.
• The maximum maximum of a martingale constrained by an intermediate law, Co-authors: H.M. Brown and L.C.G. Rogers. Probability Theory and Related Fields. 119, pp558-578, 2001.
• Some consequences of the cyclic exchangeabiltity property for exponential functionals of Levy processes, Co-authors, L. Chaumont and M. Yor. Seminaire de Probabilites. XXXV, pp334-347, 2001.
• Passport options with stochastic volatility, Co-author: V. Henderson. Applied Mathematical Finance 8, pp213-234, 2001.

For more information and download please visit

http://www.bath.ac.uk/~masdgh/

4.

Research articles of J.P. Morgan's Derivatives Research group

J.P. Morgan's Derivatives Research group is responsible for developing pricing and risk management algorithms and analytics to support the firm's various trading and structuring businesses. From time to time Morgan makes available to the public articles, reports, and papers that demonstrate the thinking of members of its Derivatives Research team.

Some publications can be found on

http://www.jpmorgan.com/businesses/deres/index.html

5.

A list of recommended VBA pages
contributed by Holger Schilling, Commerzbank Treasury and Financial Products

6.

The European Investment Review - ESCP-EAP - Annual Conference - 20-21 September 2001, Paris

EIR has been created along with researchers, financial institutions and fund management associations and provides free access to research in the field of investment and asset management. EIR will hold its Annual Conference on the 20-21 Sept. 2001 (see link or write to claire.degourcuff@theeir.com).

To access working papers, you have to be a member of the EIR community (registration and access are free).

The main topics of the conference are

• Alternative Investment
• Benchmarking and Performance
• Central Bank
• Risk

More than 50 working papers have been selected by EIR's scientific committee composed of:

Jean-Francois Boulier (SINOPIA), Eric Briys, Mark Britten Jones (BGI), Paolo Cucurachi (Bocconi University), Bernard Dumas (INSEAD), Nicole El Karoui (Polytechnique-University of Paris VI), Olivier Garnier (SGAM), Helyette Geman (Dauphine-ESSEC), Bertrand Maillet (University of Paris I / ESCP-EAP), Raimond Maurer (Goethe University, Frankfurt am Main), Pierre Mella-Barral (LBS), William Perraudin (Birkbeck College - University of London), Olivier Renault (LSE), David Reynard (Deutsche Asset Management), Manuel J. Rocha Armada (University of Minho, Portugal), Michael Rockinger (HEC), Christian Schlag (Goethe University, Frankfurt am Main), Enrique Sentana (CEMFI), Philippe Spieser (ESCP-EAP).

Our guest speakers for the conference are:

1. Giovanni Barone-Adesi, Universita della Svizzera Italiana
2. Christian de Boissieu, Universite Paris I Pantheon-Sorbonne
3. Bernard Dumas, Insead
4. Charles Goodhart, London School of Economics
5. William Perraudin, Birkbeck College - University of London
6. Ton Vorst, Erasmus University

For more information:

- On the Conference: http://perso.wanadoo.fr/eir.conference/

- EIR: http://www.theeir.com

7.

Quantitative Finance - Issue 4

The latest issue of Quantitative Finance is now out in hardcopy and available at http://quant.iop.org. It contains the following:

Features

• A little learning is a dangerous thing … - J James
• Infectious defaults - M Davis and V Lo
• Triangular arbitrage in the spot and forward foreign exchange markets - I Moosa
Reviews
• An introduction to econophysics: Correlations and complexity in finance - C Shalizi
• The new interest rate models: Recent developments in the theory and application of yield curve dynamics - D Long
• Physics of finance: Gauge modelling in non-equilibrium pricing - C Shalizi

Research papers

• A real-time adaptive trading system using genetic programming - Dempster & Jones
• Conditional entropy and randomness in financial time series - London, Evans, Turner
• Scaling in financial prices: III. Cartoon Brownian motions in multifractal time - Mandlebrot
• Financial networks with intermediation - Nagurney & Ke
• Significance of log-periodic precursors to financial crashes - Sornette & Johansen

8.

New on http://www.mathfinance.de: Visualize sample paths in the Black-Scholes-, Heston- and Jump-Diffusion model

contributed by Tino Kluge
Chemnitz University of Technology

The share simulator creates realizations of stochastic processes which are believed to approximate the share price development. The classical model was examined by Black and Scholes in order to evaluate derivatives. There exists a diversity of tailored models of the Black Scholes model. The Heston- and the Jump-Diffusion model are two of them.

Black Scholes Model

In this model the stochastic process driving the underlying is a geometric Brownian motion.

Heston Model

This model is based on the Black Scholes Model but with the assumption that the volatility is a stochastic process itself. The square of volatility is assumed to be a so called mean reversion process, i.e. a process which is fluctuating about a mean value. More details about this process and ways to price derivatives with that model can be found in the formula catalogue of http://www.mathfinance.de.

Jump-Diffusion Model

This model is based on the Black Scholes Model with an additional jump component. The time gap between two jumps are exponentially distributed and the hight of each jump is proportional to the current share price and to a lognormally distributed random variable.

For more information see the share simlator on

http://www.mathfinance.de/TinoKluge/

or on Tino Kluge's homepage
http://www-user.tu-chemnitz.de/~tkluge/

9.

PHP Manual

Edited by
Stig Sæther Bakken
Egon Schmid

http://www.tu-chemnitz.de/docs/php.en/