The MathFinance Newsletter, Edition 129, December 05 2005.
Previous editions and this edition in html format can be found on
http://www.mathfinancenews.com/.
In this issue:
- MathFinance Job Exchange
- Quantitative/r Analyst/in at Quanteam, Germany
- Mathematiker, Physiker oder Wirtschaftsinformatiker: d-fine GmbH, Frankfurt
- New Position in Mathematical Finance, Bilkent University, Ankara, Turkey
- Wissenschaftliche/r Mitarbeiter/in, Lehrstuhl für Finanzierung der Universität Mannheim
- Tenure-Track Position in Financical Mathematics/Quantitative Finance, Department of Mathematics, National University of Singapore
- MathFinance Events
- MathFinance Resources
- 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: Uwe Wystup, MathFinance
Assistant Editors: Susanne Griebsch, HfB, Frankfurt
Database Solutions: Dr. Thorsten Schmidt, Leipzig University
In detail:
- MathFinance Job Exchange
-
Quantitative/r Analyst/in
Quanteam
Quanteam ist eine kleine Beratungsfirma, die sich auf die Entwicklung von quantitativen Modellen im Finanzwesen, sowie deren Integration in die IT-Systeme eines Finanzinstituts spezialisiert hat. Die Stärke von Quanteam liegt in der Vereinigung von Kompetenzen aus den Bereichen angewandte Finanzmathematik und Informationstechnologie. Unsere Kunden erwarten von uns hochwertige Lösungen aus einer Hand. Wir setzen dies um, von der ersten Idee über die Konzeptionierung bis hin zur professionellen Implementierung, Live-Stellung und anschliessenden Betreuung.
Nach unserer Gründung 2003 haben sich schnell erste Erfolge eingestellt, so dass wir uns nun personell verstärken wollen, um diese auszubauen. Hierfür suchen wir einen Mitarbeiter mit folgendem Profil:
Quantitative/r Analyst/in
- Sie haben Ihr Studium in einem mathematisch/wirtschaftswissenschaftlich orientierten Fach mit sehr gutem Erfolg abgeschlossen und können eventuell sogar eine Promotion vorweisen.
- Sie besitzen vertiefte Kenntnisse in stochastischer Analysis und Optionspreistheorie. Zudem haben Sie gute Grundkenntnisse in numerischen Methoden der Finanzmathematik, wie Monte-Carlo Simulation oder Finite Differenzen Verfahren.
- Sie haben bereits erste Erfahrung in der Implementierung fortgeschrittener finanzmathematischer Modelle wie beispielsweise dem Heston-Modell oder dem LIBOR Marktmodell in der Programmiersprache C++ gesammelt.
- Neben Ihren vorhandenen Fähigkeiten im Bereich Finanzderivate besitzen Sie die Bereitschaft, sich in quantitative Problemstellungen außerhalb dieses Gebiets einzuarbeiten.
- Sie schätzen die selbständige, eigenverantwortliche Arbeit in interessanten Projekten, in denen Sie Ihre bereits vorhandenen Kenntnisse weiterentwicklen können und müssen.
Wir bieten
- Vom ersten Tag an arbeiten Sie selbständig in langfristigen Beratungsprojekten im Bereich Entwicklung von Bewertungsmodellen für exotische Finanzderivate mit.
- In der täglichen Zusammenarbeit mit einem hochqualifizierten Team werden Sie Ihre vorhandenen Fähigkeiten zügig ausbauen.
- Zusätzlich unterstützen wir Ihre Weiterqualifikation mit einem auf Ihr Profil zugeschnittenen Fortbildungsprogramm.
Wenn Sie sich für diese Position interessieren, senden Sie Ihre Bewerbungsunterlagen bitte an Quanteam, Herrn Sören Gerlach, Basaltstrasse 28, 60487 Frankfurt oder elektronisch an
![[spam save email]](http://mathfinance.de/email.png.php?addr=recruiting_xx_quanteam__de)
. Telefonische Anfragen beantworten Ihnen Herr Dr. Engelmann unter 0172 6944776. -
Mathematiker, Physiker oder Wirtschaftsinformatiker: d-fine GmbH, Frankfurt
Sie haben in der Wissenschaft viel bewegt? Dann können Sie auch in der Wirtschaft viel bewegen! Davon sind wir bei d-fine fest überzeugt.
d-fine ist mit über einhundert Beratern eines der größten auf die Finanzwelt spezialisierten Beratungsunternehmen in Europa. Wir fokussieren höchste naturwissenschaftlich- technische Kompetenz auf die anspruchsvollen Herausforderungen unserer Kunden.
Wir beraten Banken, Versicherungen und Industrieunternehmen beim Aufbau ihrer Handels- und Risikomanagementsysteme von der ersten Idee bis zur professionellen Implementierung der Lösung, vom finanzmathematischen Modell bis zur real-time Schnittstelle, vom einfachen Kredit bis zum exotischen Derivat, vom Ratingsystem bis zur Portfoliosteuerung, von IAS 39 bis Basel II.
Unsere Kunden schätzen unseren kompromisslos hohen Qualitätsanspruch und vor allem, dass wir diesen Anspruch auch realisieren. Das beginnt schon bei der Auswahl unserer Mitarbeiter: Wir suchen Sie als Naturwisssenschaftler, Mathematiker oder Informatiker. Sie besitzen einen exzellenten Hochschulabschluss, sprechen fließend Englisch und haben überdurchschnittliche IT- sowie Programmierkenntnisse. Idealerweise sind Sie darüber hinaus mit Statistik, Numerik und Finanzmathematik vertraut und beherrschen Simulationsmethoden wie beispielsweise Monte Carlo.
Unbedingt erwarten wir von Ihnen analytisches Denken, ergebnisorientiertes Vorgehen und exzellente Kommunikationsfähigkeiten. Sie sind teamfähig, erfassen auch sehr komplexe Aufgaben schnell und können sich rasch in neue IT-Umgebungen einarbeiten. Sie haben Beratungstalent, hohe Einsatzfreude und sind flexibel und belastbar.
Selbstverständlich geben wir Ihnen eine intensive Einführung in Ihr zukünftiges Aufgabenfeld sowie ein anspruchsvolles finanzmathematisches Training auf höchstem Niveau in Zusammenarbeit mit führenden internationalen Universitäten.
Wenn Sie in einem Team hoch begabter und hoch motivierter Kollegen mitarbeiten wollen, große individuelle Freiräume, viel Eigenverantwortung sowie hervorragende Entwicklungsperspektiven suchen, freut sich Frau Peggy Schäl auf Ihre Bewerbung.
Willkommen im d-fine Team!
Starten Sie durch!
d-fine GmbH
Opernplatz 2
60313 Frankfurt am Main
Telefon: +49-69-90737-0
E-mail:![[spam save email]](http://mathfinance.de/email.png.php?id=5)
Homepage:http://www.d-fine.de -
New Position in Mathematical Finance, Bilkent University, Ankara, Turkey
The Faculty of Business Administration at Bilkent University seeks applications from qualified candidates to fill a new position in Mathematical Finance. Expertise in stochastic calculus, continuous-time finance, and/or financial optimization, demonstrated by a suitable publication record, is required. Rank is open and salary will be commensurate with experience and publication record.
Bilkent University is a private, not-for-profit, research-intensive university in Ankara, Turkey. The language of instruction is English. Bilkent attracts students of the highest caliber. It has 10,000 undergraduate and 1,000 graduate students, and a teaching staff of 1,000. Faculty members come from 40 different countries and most are trained in leading North-American schools.
The Faculty of Business Administration has over 30 faculty members, and is a full-service faculty offering Bachelor, MBA, MSc, and PhD programs, as well as Executive Education. The regular teaching load is 4 courses per year, with a maximum class size of 50 in the undergraduate program and 35 in the MBA program Bilkent offers excellent research, teaching, and computing facilities. Faculty members are provided with research and teaching assistants, provision for international travel, health and other benefits, and rent-free furnished housing on campus, where the suburban location offers a pleasant living environment. There is also an excellent international school (with grades pre-K to 12) for those faculty members with families. For more information on Bilkent's programs and facilities, visit http://www.bilkent.edu.tr/.
The closing date for applications is January 31, 2006.
Resumes should be mailed to
Prof. Erhan Erkut, Dean,
Faculty of Business Administration,
Bilkent University,
Ankara 06800, Turkey,
or e-mailed to![[spam save email]](http://mathfinance.de/email.png.php?addr=erkut_xx_bilkent__edu__tr)
.
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Wissenschaftliche/r Mitarbeiter/in, Lehrstuhl für Finanzierung der Universität Mannheim
Lehrstuhl für Finanzierung
Prof. Dr. Dr. h.c. Wolfgang Bühler
Tel. 06 21/1 81-15 17
Am Lehrstuhl für Finanzierung der Universität Mannheim ist ab 1. April 2006 oder nach Absprache die Stelle eines/r
Wissenschaftlichen Mitarbeiters/in
(BAT II a)
zu besetzen. Gesucht wird ein/e Wirtschaftswissenschaftler/in mit ausgeprägtem quantitativem Hintergrund (Dipl.-Kaufmann/-frau, Dipl.-Volkswirt/in, oder Dipl.-Wirtschaftsingenieur/in) mit Prädikatsexamen. Der Forschungsschwerpunkt des Lehrstuhls liegt im Bereich der Bewertung und Steuerung von Zins-, Kredit-, Liquiditäts- und Energierisiken. Von einem Bewerber wird ein ausgeprägtes Interesse an theoretischen und empiri-schen Problemen des Kapitalmarktes oder der Unternehmensfinanzierung erwartet.
Der Tätigkeitsbereich umfasst die üblichen Aufgaben eines/r Wissenschaftlichen Mitarbeiters/in innerhalb eines netten Teams engagierter Mitarbeiter. Die Möglichkeit zur Promotion wird geboten.
Für telefonische Voranfragen steht Ihnen Herr Prof. Dr. Wolfgang Bühler (Tel. 06 21/1 81-15 17) oder Herr Dr. Christian Koziol (Tel. 06 21/1 81-15 21) gerne zur Verfügung.
Ihre schriftliche Bewerbung richten Sie bitte an:
Prof. Dr. Dr. h.c. Wolfgang Bühler,
Lehrstuhl für Finanzierung,
Universität Mannheim,
68131 Mannheim.
http://fin.bwl.uni-mannheim.de/Aktuell/ ->Stellenangebote -
Tenure-Track Position in Financical Mathematics/Quantitative Finance, Department of Mathematics, National University of Singapore
The Department of Mathematics at the National University of Singapore (NUS) invites applications for tenure-track and visiting positions beginning from July 2006.
NUS is a research intensive university that provides quality undergraduate and graduate education. The Department of Mathematics, which is one of the largest in the University, will continue to build upon its strength in pure and applied mathematics and to develop mathematical expertise in emerging areas of applications. We seek promising young scholars or candidates with outstanding track records in any field of pure and applied Mathematics. The Department offers competitive salaries with start-up grants for research, attractive teaching load for young scholars, a conducive research environment and opportunities for development.
Research areas which the Department plans to expand in the near future include (but are not limited to)
- Nonlinear Analysis/Applied Analysis
- Probability
- Financial Mathematics/Quantitative Finance
Application materials should be sent to
Search Committee
Department of Mathematics
National University of Singapore
2 Science Drive 2, Singapore 117543
Republic of Singapore
Fax: +65 6779 5452
and should include:
- an American Mathematical Society Standard Cover Sheet;
- a detailed CV including publications list;
- a statement of research accomplishments and plan;
- a statement (max. of 2 pages) of teaching philosophy and methodology. Please attach evaluation on teaching from faculty members or students of your current institution, where applicable;
- at least three letters of recommendation including one which indicates the candidate’s effectiveness and commitment in teaching.
Inquiries may be sent via email to![[spam save email]](http://mathfinance.de/email.png.php?addr=search_xx_math__nus__edu__sg )
Review of applications will begin December 15, and will continue until positions are filled.
For further information about the terms of service for new faculty appointments, please visit
http://www.nus.edu.sg/ohr/jobs/faculty/terms_service_acad.htm
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- MathFinance Events
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Call for Papers: 4th Finance Conference, 6th - 8th July, 2006, Universidade do Porto, Portugal
The Portuguese Finance Network (PFN) is proud to announce its 4th Finance Conference in Porto, Portugal from 6th to 8th July 2006. The conference is organized by Faculdade de Economia da Universidade do Porto.
Prof. Clifford Smith of Rochester University will be the Keynote Speaker of the conference and will give a talk on "Corporate Governance and Organizational Architecture". We will also have the pleasure of welcoming Prof. Werner de Bondt of DePaul University as Guest Speaker with a special address on the topic of "Asset Pricing: Insights from Behavioural Finance".
Research Papers: Authors are invited to participate in the PFN 2006 Finance Conference and submit papers in all areas of finance. These areas include: asset pricing, behavioural finance, corporate finance, corporate restructuring, mergers and acquisitions, corporate governance, derivatives, emerging markets, financial institutions, finance theory, market microstructure, mathematical finance, capital-markets based accounting research and other papers of general interest.
Special Sessions: Authors may submit their papers to a special session on Credit Risk Modelling. In addition the program will include panel forums to promote the discussion of special topics with interest to academics and practitioners.
Publication: Authors are warmly invited to submit their papers to The European Journal of Finance, which will publish in 2007 a selection of articles presented at the conference. All papers will be double blind refereed and the usual submission fee of €50.00 will apply.
Electronic Submission: Authors should submit completed papers in English. All submitted papers will be blind refereed by at least two members of the program committee. Only electronic submissions will be considered. There is no charge to submit to the conference. Please submit three files in PDF format: complete paper; complete paper without the name(s) of author(s); and title and abstract. Please include the following information: i. the title, name(s) and affiliation(s) of the author(s), complete address(es), telephone and fax numbers, and email addresses for each author; ii. which author(s) will attend and which author will present the paper; iii. research area you are willing to serve as chair or discussant.
Deadline: The deadline for papers is March 5th. Authors will be notified of the decision by May 8th.
Scientific Committee: Please refer to the conference website http://www.pfn2006.org.
Conference Organizers: Ana Paula Serra (FEP) and Jorge Farinha (FEP), Co-Chairs Organizing Committee, PFN 2006 Finance Conference.
Conference Location: Faculdade de Economia da Universidade do Porto (FEP), Rua Dr. Roberto Frias, 4200-464 Porto, Portugal.
Social Program: The conference will provide an organised opportunity to visit Porto. This is a beautiful city classified as World Heritage by UNESCO. The conference secretariat will also assist with travel arrangements for trips to Douro Valley and Minho.
Other Relevant Information: Relevant information about Registration, Travel Arrangements and Hotels is on the conference website http://www.pfn2006.org.
Contacts: Please address any questions by e-mail to
![[spam save email]](http://mathfinance.de/email.png.php?addr=pfn2006_xx_fep__up__pt)
or contact the conference organizers at TEL: (+351) 22 5571100; FAX: (+351) 22 5571155. Sponsors: The conference is sponsored by CEMPRE (Centro de Estudos Macroeconómicos e de Previsão / Research Centre in Macroeconomic and Forecasting Studies) and CETE (Centro de Estudos de Economia Industrial, do Trabalho e da Empresa / Research Centre in Industrial,Labour and Managerial Economics). The two research centres are supported by Fundação para a Ciência e a Tecnologia, Programa de Financiamento Plurianual through the Programa Operacional Ciência, Tecnologia e Inovação (POCTI) / Programa Operacional Ciência e Inovação 2010 (POCI) of the III Quadro Comunitário de Apoio, which is financed by FEDER and Portuguese funds.
José da Silva Costa
Conference Chair, PFN 2006 Finance Conference
Faculdade de Economia da Universidade do Porto -
Winter School on Financial Mathematics 2006, January 23-25, Netherlands
Special Topics: Risk management and Risk measures
This three day course has been made available due to the financial support of the Thomas Stieltjes Institute, the Mathematics Research Institute, CentER, AMaMeF (research programme of the European Science Foundation) and NWO (the Netherlands organization for Scientific Research).
Training will be provided by a number of renowned international lecturers at the conference center "De Werelt" in the hart of the beautiful forest of the Veluwe.
Minicourses (5 hours each)
- Paul Embrechts, (ETH Zürich)
Quantitative Risk Management: Concepts, Techniques and Tools - Hans Föllmer, (Humboldt Universität zu Berlin)
Probabilistic Aspects of Financial Uncertainty
Special Invited Lectures
- Lane Hughston, (King's College, London)
Information-based approach to credit risk modelling - Monique Jeanblanc (Université d'Évry)
Pricing And Trading Credit Default Swaps - Fabio Mercurio (Banca IMI, Milano)
Pricing Inflation-Indexed Options with Stochastic Volatility
Short Lectures
- Otto van Hemert (Universiteit van Amsterdam)
Dynamic portfolio and mortgage choice for homeowners - Ralph Koijen (Tilburg University)
Labor Income and the Demand for Long-Term Bonds - Roger Laeven (Universiteit van Amsterdam)
On the tail probability for discounted sums of heavy-tailed losses - Roger Lord (Erasmus University Rotterdam and Rabobank International)
Pricing baskets, Asians and swaptions within general models
More information and Abstracts of the mini courses and the lectures you can find at:
http://www.can.nl/english/cursussen/cursussendetail.asp?id=77
Special CANdiensten price - EURO 1.550 VAT included if registration is before the 1st of December. The registration fee includes accommodation (single room) for the nights of January 23 and 24, all meals starting with lunch on Monday up to and including lunch on Wednesday, and tea and coffee during breaks.
You can register at: http://www.can.nl/english/cursussen/inschrijving.asp?id=340 - Paul Embrechts, (ETH Zürich)
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International Conference on Financial Engineering, March 22-24, 2006, University of Florida, Gainesville
Date: March 22-24, 2006
Location: Hilton Hotel - Conference Center, University of Florida, Gainesville, FL
Organizers: Prof. Farid AitSahlia and Prof. Stan Uryasev, Risk Management and Financial Engineering Lab, University of Florida.
The conference will provide a forum for state-of-the-art results and the latest advances in financial engineering, including market, credit, and operational risk; algorithms and techniques for portfolio optimization, pricing and hedging of various financial instruments, derivatives on traded as well as non-traded securities, trading algorithms, and others. Conference website: http://www.ise.ufl.edu/rmfe/events/qf2006/index.htm.
The conference will be preceded by the International Workshop: “Tutorials on Financial Engineering” on March 20-21, 2006.
The workshop will consist of tutorials on selected topics of risk management and financial engineering given by prominent researchers:- Prof. R Tyrrell Rockafellar (University of Washington, USA),
- Prof. John Birge (University of Chicago, USA),
- Dr. Craig Friedman (Standard and Poor's, USA),
- Prof. Jay R. Ritter (University of Florida, USA) ,
- Prof. Stan Uryasev (University of Florida, USA),
- Dr. Ursula Theiler (Risk Training, Germany),
- Prof. Valery Kholodnyi (Middle Tennessee State University, USA),
- Dr. Alex Kreinin (Algorithmics Inc., Canada).
Workshop website: http://www.ise.ufl.edu/rmfe/events/ws2006/index.htm.
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- MathFinance Resources
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Random.org — True Random Number Service
http://www.random.org
What?
Random.org offers true random numbers to anyone on the internet. If you want to know how the numbers are made and what it is that makes them true, read the introduction to randomness and random numbers.
All numbers are tested statistically and the results available in real-time. A comprehensive analysis was conducted in 2001. People have asked if there were anomalies on 9/11. The FAQ answers other common questions.
How?
The easiest way is to use a web form to generate random integers (with duplicates, like dice rolls), randomized sequences (without duplicates, like lottery tickets) or raw random bytes. You can also flip virtual coins and generate random bitmaps.
If you need many numbers, download the pregenerated files or write your own client to access the server via HTTP, SOAP or CORBA. Source code for a number of clients is available from the client archive. If you do this, please read the guidelines for automated clients.
Who?
Random.org was built and is being maintained by Mads Haahr who works as a lecturer in the Distributed Systems Group, Department of Computer Science, University of Dublin, Trinity College in Ireland.
People are using the numbers for all sorts of things. Random.org has also been in Science News, the New York Times, Focus, Wired Magazine and on Danish National Radio. To stay informed about Random.org, subscribe to the low-traffic newsletter.
71442 million random bits served since October 1998 -
Mindview.net
http://mindview.net/
Bruce Eckel's Free Online C++ Programming Book "Thinking in C++ 2nd Edition" is available from http://mindview.net/Books/TICPP/ThinkingInCPP2e.html
Download the accompanying source code http://mindview.net/Books/TICPP/ThinkingInCPP2e.html#DownloadSourceCode -
Sourceforge.net
http://www.sourceforge.net
Have you ever programmed an algorithm in C or C++ you needed to test on a large number of values? Did you ever want to quickly calibrate the arguments of your estimation? Did you ever wish you could graph your output in no time and integrate your work in a word document with even less effort? If you do (or did), you might be interested in the XLW package.
The XLW package wraps the C API described in Microsoft Excel 97 Developer's Kit in a few classes that make API programming with Excel much, much simpler. This simple (a few lines of code as demonstrated in the Getting started section), yet powerfull interface will empower your C or C++ numerics by embeding them in Excel (just like the built in functions); and let you benefit from its powerfull functionalities, including graphs, solver, or integration with the rest of the Microsoft office suite. These classes are thoroughly documented and downloadable free of charge as long as you retain the copyright notice.
The XLW development is hosted on SourceForge at http://xlw.sf.net. Early versions of this package have been used for years and tested under Windows 9X/NT with Visual C++ 6.0 and Excel 97 SR-1 & SR-2 with minor problems (see Known bugs and limitations.) The package is not perfect but certainly has reached a stage where it can be usefull.
Author: Jérôme Lecomte
http://xlw.sourceforge.net/html/main.html
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