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The MathFinance Newsletter #133

The MathFinance Newsletter, Edition 133, February 13 2006.

Previous editions and this edition in html format can be found on http://www.mathfinancenews.com/.

In this issue:

  1. MathFinance Job Exchange
    1. Mathematiker, Physiker oder Wirtschaftsinformatiker: d-fine GmbH, Frankfurt
    2. Spezialist Risikocontrolling (m/w), Schwerpunkt Neue Produkte / Neue Märkte
    3. (Senior) Quantitative Analysts (f/m) at Atradius Credit Insurance N.V. in Cologne
  2. MathFinance Events
    1. Numerical Methods for Pricing Financial Derivatives, February 23-25, Amsterdam
    2. FORC - Implementing Derivative Valuation Models Conference, 24 Feb 2006, University of Warwick
    3. Vinod Kothari Workshop: Securitisation Structuring & Modelling, 27 - 28 Feb 2006, Central London
    4. The Latest Developments: Interest Rate Derivatives & Hybrids Workshop, 20 - 22 Mar 2006, Central London
    5. International Conference on Financial Engineering, March 22-24, 2006, University of Florida, Gainesville
    6. Frankfurt MathFinance Workshop 27-28 March 2006
    7. Latest Developments: Credit Derivatives / Credit CPPI & Credit Hybrids, 27 - 29 Mar 2006, Central London
    8. Latest Developments: Equity Derivatives / Stochastic Volatility / Option Variance & Equity Hybrids, 5 - 7 April 2006, Central London
    9. Inflation Linked Derivatives Workshop, 10 - 12 April 2006, Central London
    10. The First Conference of Advanced Mathematical Methods for Finance (AMaMeF) April 26-29, 2006, Side, Antalya, Turkey
    11. WBS Training USA Fixed Income Derivatives Week: Inflation Linked Derivatives, Interest Rate/Hybrid Derivatives, Credit Derivatives, CDOs & CDO^2 Workshop Week, 15 - 19 May 2006, New York
    12. The Latest Developments: Interest Rate Modelling, 12 - 13 June 2006, Venice
    13. Bachelier Finance Society 2006 Fourth World Congress, August 17-20 2006, Tokyo
  3. MathFinance Resources
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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:
 
 

  1. MathFinance Job Exchange

    1. 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]
      Homepage:http://www.d-fine.de

    2. Spezialist Risikocontrolling (m/w), Schwerpunkt Neue Produkte / Neue Märkte

      Das Unternehmen:

      • National und international agierende Geschäftsbank mit starker Verankerung in ihren Stammregionen
      • weltweite Aktivitäten als Spezialfinanzierer und anerkannter Partner an den internationalen Kapitalmärkten
      • Sitz in Norddeutschland


      Die Aufgabe:

      • Bewertung und Analyse von innovativen, strukturierten Kapitalmarktprodukten
      • konzeptionelle Weiterentwicklung und Implementierung von Methoden und Verfahren zur Identifizierung, Messung und Steuerung von Marktrisiken
      • Mitarbeit in abteilungsübergreifenden Innovationsprojekten
      • Beratung und Betreuung unserer internen Kunden
      • Aufbereitung von Management Informationen


      Ihr Profil:

      • ein erfolgreich abgeschlossenes quantitativ ausgerichtetes natur-wissenschaftliches Studium (idealerweise Physik, Mathematik) oder ein wirtschaftswissenschaftliches Studium mit finanzwirtschaftlichem/kapitalmarkttheoretischem Schwerpunkt und ausgeprägten quantitativen Fähigkeiten
      • mehrjährige Berufserfahrung im Kapitalmarktgeschäft
      • fundiertes Wissen über strukturierte Finanzmarktprodukte und Risikomessverfahren
      • gute englische Sprachkenntnisse
      • ausgeprägte Kommunikationsfähigkeiten, ein hohes Engagement und die Bereitschaft Verantwortung zu übernehmen


      Kontakt:

      Marcus Michel, Michel Consult GmbH
      Postfach 11 66, D-61401 Oberursel
      Fon/Fax: +49 (0)700 / 32 87 24 64
      Mobil: +49 (0)151 / 17 32 79 79
      eMail: [spam save email]
      Web: http://www.michelconsult.com


    3. (Senior) Quantitative Analysts (f/m) at Atradius Credit Insurance N.V. in Cologne

      Atradius one of the world's leading trade credit insurers. In addition to credit insurance we offer a range of other products related to credit management. We service 30,000 companies world wide, ranging from small and medium size enterprises to multinationals. We employ some 3,500 people.

      Group Risk Management (GRM) is a staff unit that is responsible for various tasks that naturally fit within a modern risk management function in a financial institution. GRM's responsibilities include developing and maintaining tools and models for pricing, economics, capital allocation, reserving, automatic underwriting, and credit scoring. The uniqueness of our product, combined with the size and heterogeneity of our portfolio, leads to very interesting analytic and modelling challenges, the answer to which can typically not be found in a book. In order to meet these challenges and help Atradius achieve its goals GRM is seeking to recruit

      (Senior) Quantitative Analysts (f/m)


      Your profile

      We are looking for outstanding people with a solid quantitative background, e.g. in physics or the mathematical sciences, at university level. The successful candidate will likely have a few years of experience, which may be a recent PhD. You will have good programming skills. You enjoy applying your modelling skills in a business environment. Knowledge of probability theory and experience with credit risk modelling would be advantages. Important personal characteristics are enthusiasm, the ability to work in a team, and the ability to foster and maintain relationships. You are fluent in English. Knowledge of Dutch or a major European language would be an advantage.


      What do we offer

      You will work in an enthusiastic, committed, non-hierarchical, and international team, which already employs several people with a quantitative background. You will be uniquely placed to get to know Atradius' business from all sides and this will allow you to support the business where it relies on expert judgement. You will be given ample opportunity to develop you skills and use them to make major, tangible contributions to the development of models and business processes. You will be based in Cologne, with frequent international travel. We offer a competitive salary package.


      Please send your application to

      Atradius Kreditversicherung
      Niederlassung der Atradius Credit Insurance N.V.
      Human Resources
      Heike Eich
      Hohenzollernring 72
      50585 Köln

      Tel.: +49 (0) 221 2044 2558
      Fax: +49 (0) 221 2044 60 2558

      [spam save email]
      www.atradius.de




  2. MathFinance Events



    1. Numerical Methods for Pricing Financial Derivatives, February 23-25, Amsterdam

      Within the two day hands-on training course, participants learn how to apply and implement numerical methods to price financial derivatives. The rich functionality available within Mathematica allows to discuss different implementation approaches during the course and to analyze numerical issues arising from the presented methods. This makes the course also attractive for someone who is only interested in the implementation of numerical methods. Each topic is accompanied with practical sessions.

      Topics

      • Monte Carlo simulations of one and multidimensional processes and the pricing of simple, spread and basket options
      • Applying and comparing variance reduction techniques for the Monte Carlo simulations
      • Monte Carlo simulations of jump processes and the pricing of credit risk
      • Using Monte Carlo simulations for interest rate processes
      • Implementing and analyzing different tree valuation routines for the pricing of American type options
      • Pricing path dependent options with trees
      • Implementing and analyzing the Hull-White and other tree valuation method for interest rate processes
      • Implementing and analyzing explicit and implicit finite difference methods
      • Integration of Mathematica based numerical pricing routines with MS Excel


      You will learn how to

      • implement different numerical pricing methods,
      • improve the speed and accuracy of the numerical methods
      • approach, setup and numerical solve complex pricing problems


      Skills

      Basic knowledge of Mathematica is necessary, basic knowledge of finance is helpful. Please contact CANdiensten for information on introduction courses.

      More information and registration

      The training will be held on February 23-25 in Amsterdam, for more information please visit:
      http://www.can.nl/english/cursussen/cursussendetail.asp?id=25


    2. FORC - Implementing Derivative Valuation Models Conference, 24 Feb 2006, University of Warwick

      The Financial Options Research Centre is pleased to announce:

      'Implementing Derivative Valuation Models Conference' which is being held at the University of Warwick, Coventry on Friday 24 February 2006.

      The focus of the conference is on issues involved in the implementation of derivatives models in an institutional setting. Many banks and other organisations have large code libraries for valuating and hedging derivative securities under various modelling assumption. Computational efficiency, library management, and code maintenance become very significant but competing objectives.

      The conference will examine these issues and other, both at a general level, and in the context of specific valuation models.

      The invited speakers are:

      • Andrew Ferraris, Deutsche Bank
      • Dmitry Kramkov, Carnegie Mellon
      • Allan Lane, BGI
      • Claudio Moni, Bank of America
      • David Shorthouse, Credit Suisse
      • Arun Verma, Bloomberg
      • Nick Webber, Warwick


      Themes include computational efficiency, library architecture, the use of web services, and implementation issues for specific derivative valuation models.

      You can keep up to date with the activities by visiting
      http://www.warwick.ac.uk/go/forc.


    3. Vinod Kothari Workshop: Securitisation Structuring & Modelling, 27 - 28 Feb 2006, Central London

      Highlights of Workshop:

      This is NOT a basic course. The participants must have basic understanding of securitisation structures. A 100% practical course that looks at the financial structure and cash flow models of securitisation transactions Builds models from issuers, servicers and investors viewpoint Participants would be expected to build models for real-life transactions Participants must have good knowledge of Excel. Knowledge of VBA is NOT required for this course. To derive the most out of this course, participants must bring their own laptops/portable computing devices. This course does NOT deal with securitisation law, accounting or taxation, except as may be required for understanding transaction structures.

      Workshop Programme Day 1:

      Session 1

      • Overview of securitisation: securitisation and corporate finance
      • Key principles of securitisation:
      • Isolation of assets
      • Self-liquidating transaction nature
      • Leverage features
      • Securitisation and cost of funding
      • Key motivations in securitisation
      • Limitations of securitisation
      • Securitisation and investor experience so far


      Session 2

      • Introduction to transaction structure
      • Pass through and pay-through bonds
      • Structural credit enhancements
      • Profit extraction devices
      • Waterfall and its impact on the transaction structure


      Session 3

      • The cash flow model of a simple pass through transaction
      • Impact of the pass through nature on the payback pattern for investors
      • Impact of defaults, delays and prepayments
      • Introducing cash reinvestments and other asset-liability mismatches; impact thereof on the transaction economics
      • The disparity in seller and investor concerns: value of residual interest, weighted average cost of the transaction and the duration and investor returns
      • Time tranching of liabilities and impact thereof
      • Impact of different forms of credit enhancement and selecting the ideal mix


      Session 4

      • Prepayment rates and default rates as a function of time and seasoning
      • Determination of prepayment and default rates from historical data
      • Stress-testing of the key variables - determining the stress levels
      • Rating agencies - approach to rating - reduction of the tail risk


      Session 5

      • Testing the risk of wholesale portfolios
      • Binomial distributions and Poisson distributions
      • Applying binomial and Monte Carlo approaches to probability of default
      • Modeling of a CDO portfolio


      Session 6

      • Modeling of a real life RMBS transaction
      • Modeling of a revolving transaction structure:
      • Credit cards
      • Consumer finance transactions


      Workshop Programme Day 2:

      Session 7

      • Forms of credit enhancement and their impact
      • Excess spread versus over-collateralisation
      • Excess spread as soft credit enhancement do rating agencies give due credit to excess spread?
      • Cash reserve its impact
      • Cash reserve versus overcollateralisation
      • Minimisation of the weighted average cost of funding


      Session 8

      • Introduction to synthetic transactions
      • Concept of credit derivatives use of credit derivatives to create synthetic assets
      • llustration of applying the synthetic technology


      Session 9

      • Applying the synthetics technology to securitisation
      • splitting of risks from the funding of the assets
      • Illustration of a synthetic balance sheet CDO
      • Modeling of a synthetic balance sheet CDO


      Session 10

      • Synthetic arbitrage transactions
      • Case study of a synthetic arbitrage CDO
      • Modeling of a synthetic arbitrage CDO


      Session 11

      • Investor analytics
      • Relevance of the duration and weighted average maturity
      • Impact of prepayment rate on investor returns
      • Understanding the implicit callability feature and computation of the option-adjusted spread


      Participants will be expected to build models of several real life transactions.

      Contact: Neil Fowler
      T: +44(0) 1273 674400 F: +44(0) 1273 672333
      Weblink: http://www.wbstraining.com/index.php?m=WORKSHOPS&p=courses/ssm.php
      Website: http://www.wbstraining.com

      Email: [spam save email]

    4. The Latest Developments: Interest Rate Derivatives & Hybrids Workshop, 20 - 22 Mar 2006, Central London

      Day 1: Interest Rate Modelling: From Basic - Hybrids Workshop

      Presenters:

      Dorje C. Brody: Royal Society University Research Fellow, Imperial College London
      Lane P Hughston: Professor of Financial Mathematics, King's College London

      Topics Covered:

      • Interest-rate modelling: the basics
      • Applications: short rate models, positive-interest models, chaotic models
      • Interest rate and foreign exchange hybrids
      • Conditional variance models for foreign-exchange volatility
      • Interest rate and inflation hybrids
      • Payout structures for inflation-linked hybrid products
      • Interest rate and credit hybrids
      • Market-information models for credit-linked structures


      Day 2: Latest Developments: Interest Rate Modelling Techniques

      Presenters:

      Claudio Albanese: Chair of Mathematical Finance, Imperial College London
      Dariusz Gatarek: Glencore International
      Fabio Mercurio: Head of Financial Models, Banca IMI
      Raoul Pietersz: Senior Derivatives Researcher, ABN Amro

      Topics Covered:

      • Stochastic volatility term structure models for callable swaps
      • Modeling challenges with callable swaps
      • The Swaption Smile and CMS Convexity Adjustments
      • Introducing the displaced diffusion LIBOR model with uncertain shifts
      • Approximations of Libor market model
      • Linear and Nonlinear Pricing of Swaptions
      • Generic and CMS Market Models and Measures
      • Extending LIBOR and swap market models


      Day 3: Latest Developments: Interest Rate Hybrid Products

      Presenters:

      Alain Chebanier: Head, FX and Commodities Derivatives Research, Deutsche Bank
      Messaoud Chibane: Senior Quantitative Analyst, Bank of America
      Chris Hunter: Managing Director, BNP Paribas
      Jakob Sidenius: Senior Quantitative Analyst, Royal Bank of Scotland

      Topics Covered:

      • On the Term Structure of Portfolio Loss Distributions
      • FX Hybrids Modelling
      • Modelling the long-dated FX smile
      • Skew dynamics on FX and interest rates
      • Impact of skew dynamics on exotics
      • Correlation Smile and Hybrid Pricing
      • Evolution of the Correlation Smile


      Fees: Workshops: £999:00
      Register to ANY ONE day TWO days or all THREE days of the workshop
      Register to ANY TWO days of the workshop and receive £200 discount
      Register to ALL THREE workshop days and receive £300 discount

      Contact: Neil Fowler
      T: +44(0) 1273 674400 F: +44(0) 1273 672333
      Weblink: http://www.wbstraining.com/index.php?m=WORKSHOPS&p=courses/irdh.php
      Website: http://www.wbstraining.com

      Email: [spam save email]

    5. 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.

    6. Latest Developments: Credit Derivatives / Credit CPPI & Credit Hybrids, 27 - 29 Mar 2006, Central London

      Day 1: Credit Derivatives: From Basic - Hybrids Workshop

      Presenter: Philipp Schönbucher, Assistant Professor, Risk Management, (ETH) Zurich

      Topics Covered:

      • Single-Name Credit Risk Models
      • Term structures of hazard rates and credit spreads, implied survival probabilities
      • Structural models, Merton, Black-Cox, Credit-Equity hybrids and latest developments in structural models.
      • Portfolio Credit Risk Models
      • Basic model-free Single-Tranche CDO pricing relationships
      • Copula models, Gauss copula, the market standard model, implied correlation.
      • Numerical techniques for factor models: Convolution, Fast Fourier Transforms
      • Numerical techniques for simulation models: Importance sampling, sensitivities with Likelihood-ratio methods


      Day 2: Latest Developments: Credit Derivatives Modelling Techniques

      Presenters:
      Jon Gregory: Global Credit Derivatives: Barclays Capital
      Dominic O’Kane: Head of Fixed Income Quantitative Research, Lehman Brothers
      David Shelton: Director, Global Credit Derivatives Research, Citigroup

      Topics Covered:

      • Complete overview of Modelling Correlation Skews
      • The Gaussian Copula Model and Beyond
      • Correlation Market Dynamics and Skew Models
      • A Correlation Skew Model with Sensible Dynamics
      • Comparing Base Correlation with Market Dynamics
      • Latest developments in CDOs
      • Bespoke CDO Pricing- Determining the Correlation Skew from Portfolio Composition


      Day 3: Latest Developments: Credit CPPI & Credit Hybrid Products

      Presenters:

      Rishad Ahluwalia Structured Products Research, JPMorgan Securities
      Claudio Albanese: Chair of Mathematical Finance, Imperial College London
      Didier Campant: Credit Structurer, Associate Director, BNP Paribas
      Philipp Schönbucher, Assistant Professor, Risk Management, (ETH) ZURICH

      Topics Covered:

      • Market overview of Credit CPPI
      • Portfolio Insurance Strategies and CDOs
      • An introduction to Credit SPI/CPPI
      • The Loss-Market-Model: Pricing Portfolio-Credit - Interest-Rate Hybrids and exotic Portfolio Credit Derivatives
      • Applications of the Model: Forward-starting CDOs, Options on Indices, Options on Tranches, Hybrid Products with Credit Correlation Components.
      • Dynamic Credit Correlation Models and Hybrids
      • Intrinsic Credit-Equity Hybrids: EDSs and Convertible Bonds
      • Extrinsic Hybrids: Mezzanine Swaps and Credit Linked Options


      Contact: Neil Fowler
      T: 44(0) 1273 674400 F: 44(0) 1273 672333
      Weblink: http://www.wbstraining.com/index.php?m=WORKSHOPS&p=courses/ldcd.php
      Website: http://www.wbstraining.com
      Email: [spam save email]

      Fees: Workshops: £999:00
      Register to ANY ONE day TWO days or all THREE days of the workshop
      Register to ANY TWO days of the workshop and receive £200 discount
      Register to ALL THREE workshop days and receive £300 discount

    7. Frankfurt MathFinance Workshop 27-28 March 2006

      This year with Oliver Brockhaus, Peter Carr, Stephen Taylor, Robert Tompkins, Jan Vecer and many others.

      Registration is now open.

      More information is available at
      http://workshop.mathfinance.de

    8. Latest Developments: Equity Derivatives / Stochastic Volatility / Option Variance & Equity Hybrids, 5 - 7 April 2006, Central London

      Day 1: Equity Derivatives: From Basic - Hybrids Workshop

      Presenter: Oliver Brockhaus: Head of Equity Financial Engineering, Commerzbank Corporates & Markets

      Topics Covered:

      • From market to model: Basics
      • Complete smile models
      • Stochastic volatility
      • Monte Carlo
      • Correlation
      • Hybrids


      Day 2: Latest Developments: Equity Derivatives Modelling Techniques

      Presenters:
      Frédéric Abergel: Head of Equity Derivatives Quant Analytics: Ixis-cib
      Sebastien Bossu, VP, Global Equity Derivatives, Dresdner Kleinwort Wasserstein
      Daniel Bloch: Manager, Barclays Capital
      Nicolas Mougeot: Senior Derivatives Analyst, BNP Paribas

      Topics Covered:

      • Understanding option trading and variance swaps
      • Options on quadratic payoffs within Affine and Quadratic models
      • A proper dynamic for the variance swap within the class of Affine and Quadratic models
      • 3rd generation volatility products: variance swaps and beyond
      • The emergence of variance swaps and their valuation
      • Comparison of calibration and hedge performances for various stochastic volatility models
      • Requirements for a “good” stochastic volatility modelling
      • LSV model: theoretical and practical issues


      Day 3: Latest Developments: Equity Hybrid Products

      Presenters:
      Claudio Albanese: Chair of Mathematical Finance, Imperial College London
      Damiano Brigo: Head of Credit Models: Banca IMI
      Tariq Dennison: Vice President, Bear Sterns
      Representative: AXA-IM

      Topics Covered:

      • Equity Derivatives and Hybrids
      • Almost stationary calibration and forward start skews
      • Latest Developments CPPI
      • Credit Default Swap Calibration and Equity Swap Valuation with a time varying Black-Cox type Structural Model
      • Complete overview of Interest Rate / Equity Hybrids


      Fees: Workshops: £999:00
      Register to ANY ONE day TWO days or all THREE days of the workshop
      Register to ANY TWO days of the workshop and receive £200 discount
      Register to ALL THREE workshop days and receive £300 discount

      Contact: Neil Fowler
      T: 44(0) 1273 674400 F: 44(0) 1273 672333
      Weblink: http://www.wbstraining.com/index.php?m=WORKSHOPS&p=courses/lde.php
      Website: http://www.wbstraining.com
      Email: [spam save email]

    9. Inflation Linked Derivatives Workshop, 10 - 12 April 2006, Central London

      Day 1: Introducing Inflation-linked Securities and Derivatives: Introductory / Intermediate

      Presenters: Dr David Murphy & Dr Andrew Street: Value Consultants Limited

      Topics Covered:

      • Inflation and Inflation-Linked Bonds
      • Investors and the Demand for Inflation-Linked Products
      • Inflation-Linked Securities and Derivatives: Perspectives for Traders and Issuers
      • Inflation Swaps and Inflation-Link Product
      • Structuring Building the Inflation Curve
      • Pricing and Trading Options on Inflation


      Day 2: Latest Developments: Inflation-linked Derivatives

      Presenters:

      Jeroen Kerkhof: Quantitative Fixed Income Research, Lehman Brothers
      Dariush Mirfendereski: Head of Inflation Linked Trading, UBS
      Stephane Salas: Head of Inflation Trading, Societe Generale

      Topics Covered:

      • Inflation Derivatives Explained
      • Valuation and risk of structured inflation products
      • Practical Perspectives on Pricing, Trading, and Hedging Inflation-Indexed Derivatives - from the Dark Ages to the Present
      • The Road Ahead: what to watch out for in this fast developing market
      • The European Inflation Swaps market: From Exotic to Vanilla in just two years
      • Correlation trading: The future of inflation relative value trading?


      Day 3: Latest Developments: Inflation-linked Derivatives

      Presenters:

      Mark Capleton: Head of Inflation Linked Research, The Royal Bank of Scotland
      Lane P Hughston: Professor of Financial Mathematics, King's College London
      Alan James: Head of Inflation Linked Research, Barclays Capital

      Topics Covered:

      • Models for real interest rates and inflation: New Directions
      • General theory of inflation dynamics
      • "Hidden variables" models for inflation
      • Real Yield Determinants - How Did We Get Here?
      • Modelling the behaviour of real yield spreads between markets
      • The real yield beta term structure - puzzles and illusions
      • Broadening the usage of Inflation Products
      • Using Inflation linked forwards


      Fees: Workshops: £999:00
      Register to ANY ONE day TWO days or all THREE days of the workshop
      Register to ANY TWO days of the workshop and receive £200 discount
      Register to ALL THREE workshop days and receive £300 discount

      Contact: Neil Fowler
      T: 44(0) 1273 674400 F: 44(0) 1273 672333
      Weblink: http://www.wbstraining.com/index.php?m=WORKSHOPS&p=courses/ild.php
      Website: http://www.wbstraining.com
      Email: [spam save email]

    10. The First Conference of Advanced Mathematical Methods for Finance (AMaMeF) April 26-29, 2006, Side, Antalya, Turkey

      This conference is the first conference of the ESF Project entitled Advanced Mathematical Methods for Finance (AMaMeF).

      Its program aims to cover many subjects constituting the contents of the project. Talks will focus on the progress made in Financial Mathematics for modelling financial phenomena and developping numerical techniques for applications. The main subjects of Financial Mathematics such as pricing, hedging of claims, interest rate models, market risk, credit risk, credit rating will be treated and the necessary mathematical tools will be exposed in their newest forms. Among these tools one could mention large scale optimization techniques, numerical methods and statistical methods for model identification. The last ten years have witnessed the use of Lévy processes in modelling financial instruments. Although many problems concerning classical models based on the description of random phenomena by means of the Brownian motion remain to be solved, their description by Lévy processes have brought new mathematical challenges and new possibilities of applications. Pricing and hedging problems and interest rate models are being reconsidered when the models are expressed in terms of Lévy processes. As concerns applications, a major problem is model identification based on observations. In many countries, particularly in developping economies, statistical data are insufficient. This creates decision making problems under uncertainty and also creates model risks. These problems will be debated during the Conference. On the other side of the spectrum are practitioners who need to be initiated to risk evaluation management methods in order to protect their institutions from deficiency.

      Preliminary sessions will be organized for practitioners to initiate them to risk evaluation methods.

      Keynote Speakers

      • Jean Jacod (University Paris VI)
      • Ioannis Karatzas (Columbia University, New York)
      • Yacine Ait-Sahalia (University of Chicago)
      • Albert Shiryayev (Steklow Mathematical Institute, Moscow)


      Scientific Committee

      • Ole Barndorf-Nielsen
      • Mark Davis
      • Claudia Kluppelberg
      • Damien Lamberton
      • Bernt Oksendal


      Coordinator: Roberto Natalini

      Contact Information:

      Hayri Körezlioglu
      Institute of Applied Mathematics
      Middle East Technical University
      06531 Ankara, Turkey
      Email: [spam save email]
      Phone: (+90-312) 210 5606
      Fax: (+90-312) 210 2985.

      For registration and more information please see the AMaMeF web site http://sc.iam.metu.edu.tr/amamef/


    11. WBS Training USA Fixed Income Derivatives Week: Inflation Linked Derivatives, Interest Rate/Hybrid Derivatives, Credit Derivatives, CDOs & CDO^2 Workshop Week, 15 - 19 May 2006, New York

      Day 1:

      Introducing Inflation-linked Securities and Derivatives: Introductory / Intermediate

      Presenters: David Murphy & Andrew Street

      Topics Covered:

      • Understanding Inflation
      • Inflation-Linked Securities: The Standard Bond Structure
      • Investors and the Demand for Inflation-Linked Products
      • Inflation-Linked Securities: Perspectives for Traders and Issuers
      • Building the Inflation Curve
      • Structuring Effective Inflation-Linked Products
      • Pricing and Trading Derivatives on Inflation


      Day 2:

      Latest Developments of Inflation-linked Derivatives

      Presenters:

      Gang Hu: Associate Director of U.S. Inflation Trading, Barclays Capital
      Lane P Hughston: Professor of Financial Mathematics, King's College
      Dariush Mirfendereski: Head of Inflation Linked Trading, UBS

      Topics Covered:

      • Models for real interest rates and inflation: New Directions
      • General theory of inflation dynamics
      • "Hidden variables" models for inflation
      • Practical Perspectives on Pricing, Trading, and Hedging Inflation-Indexed Derivatives - from the Dark Ages to the Present
      • The Road Ahead: what to watch out for in this fast developing market
      • A Users' Manual on Inflation Derivative Products
      • iStrips
      • Structured Products on the market
      • Potential structures that might be of interest to the market, and general view on the outlook of the inflation derivative market.


      Day 3:

      Latest Developments: Interest Rate Derivatives / Interest Rate Hybrid Products

      Presenters:

      Tariq Dennison: Vice President, Bear Sterns
      Lane P Hughston: Professor of Financial Mathematics, King's College
      Chris Hunter: Managing Director: BNP Paribas
      John Uglum: Executive Director: Morgan Stanley

      Topics Covered:

      • Overview of the General Theory of Interest Rate / Hybrid Models
      • Pricing and Hedging of Callable Exotic Swaps
      • The LIBOR market model and stochastic volatility extension
      • Solving the stochastic control problem using Monte Carlo
      • Practical implementation issues and variance reduction techniques
      • Complete overview of Interest Rate / Equity Hybrids
      • Correlation Smile and Hybrid Pricing


      Day 4:

      The Latest Developments: Credit Derivatives Presenters:

      Jon Gregory: Global Credit Derivatives: Barclays Capital
      Paul Glasserman: Professor of Risk Management, Columbia Graduate School of Business
      Marco Naldi: Lehman Brothers

      Topics Covered:

      • The Correlation Skew and Correlation Modelling
      • The Gaussian Copula Model and Beyond
      • The Correlation Skew and Base Correlations
      • Monte Carlo for Credit Risk and Credit Derivatives
      • Fast pricing of basket default swaps
      • Accelerating Monte Carlo by increasing default rates
      • Pricing Exotic Tranches / Relative value trading of liquid tranches


      Day 5:

      The Latest Developments: CDOs & CDO^2

      Presenters:

      Terry Benzschawel: Director of Qualitative Credit Modeling and Analytics, Citigroup
      David Li: Head of Quantitative Analytics Credit Derivatives, Barclays Capital
      Michael liang: Quantitative Analytics Credit Derivatives, Barclays Capital
      Maximo Silberberg: Vice President, Structured Credit, JP Morgan

      Topics Covered:

      • Overview of CDOs
      • CDOs: Credit Selection, Trade Construction, and Portfolio Optimization
      • CDO Equity as an Asset Class
      • CDOs in Portfolios of Traditional and Alternative Assets
      • Customizing CDO Tranche Trades
      • Credit Portfolio Correlation Skew Modelling
      • Alternative Bespoke CDO pricings
      • Market overview for synthetic CDO^2
      • CDO2 pricing: Price a CDO2 consistently with the pricing of the underlying CDOs
      • Construction of synthetic CDO^2
      • Further extensions of CDO^2 technology


      Fees: $1399:00 each day

      Discount Structure

      2 days $200 Discount
      3 days $300 Discount
      4 days $400 Discount
      5 days $600 Discount

      Contact:

      Neil Fowler
      T: +44(0) 1273 674400 F: +44(0) 1273 672333
      Weblink: http://www.wbstraining.com/?m=WS&p=courses/5daynymay2006.php
      Website: http://www.wbstraining.com
      Email: [spam save email]


    12. The Latest Developments: Interest Rate Modelling, 12 - 13 June 2006, Venice

      Fabio Mercurio & Riccardo Rebonato
      The Latest Developments: Interest Rate Modelling
      Monday / Tuesday 12th / 13th June 2006
      The Gritti Palace Hotel, Venice, Italy

      Course fee: £2399 (VAT Included)

      Course Trainers:

      Fabio Mercurio is the Head of Financial Models at Banca IMI. Fabio holds a BSc in Applied Mathematics from the University of Padua and a Ph.D. in Mathematical Finance from the Tinbergen Institute of Rotterdam. Prior to joining Banca IMI in 1998, he was a Financial Modeller in the Risk Management Department of Cariplo Bank in Milan.

      His recent scientific interest mainly concerns the interest rate modelling for pricing and hedging derivatives, the pricing of hybrid products and the smile effect in implied volatility structures for the equity, FX and interest rate markets.

      Fabio has published several articles in journals such as Mathematical Finance, Applied Mathematical Finance, European Journal of Finance, Finance and Stochastics, International Journal of Theoretical & Applied Finance and Risk. Together with Damiano Brigo, he has published a book on "Interest Rate Models: Theory and Practice" in 2001, 2nd edition (June 2006)

      Riccardo Rebonato is Head of Group Market Risk for the Royal Bank of Scotland Group, and Head of The Royal Bank of Scotland Group Quantitative Research Centre. He is also a Visiting Lecturer at Oxford University for the Mathematical Finance Diploma and MSc. He holds Doctorates in Nuclear Engineering and Science of Materials/Solid State Physics. He sits on the Board of Directors of ISDA and on the Board of Trustees of GARP.

      Prior to joining the Royal Bank of Scotland, he was Head of Complex Derivatives Trading Europe and Head of Derivatives Research at Barclays Capital (BZW), where he worked for nine years.

      Before that he was a Research Fellow in Physics at Corpus Christi College, Oxford, UK. He is the author of three books, Modern Pricing of Interest-Rate Derivatives, Volatility and Correlation in Option Pricing and Interest-Rate Option Models. He has published several papers on finance in academic journals, and is on the editorial board of several journals. He is a regular speaker at conferences worldwide.

      Day 1:

      Riccardo Rebonato: The Latest Advancements of the LIBOR Market Model

      Section 1 - 9:00 - 10:30
      What do we need to price interest-rate derivatives?
      Why can the LMM provide the tool we need for this?

      Morning Break: 10:30 - 11:00

      Section 2 - 11:00 - 12:45
      The no-arbitrage drifts: a universal recipe for all products
      Volatility and correlation for the LMM (single currency and multi-currency)
      Calibrating to caplets and linking caplet and swaption volatilities

      Lunch: 12:45 - 14:00

      Section 3 - 14:00 - 15: 30

      Empirical evidence: implied volatility, swaption volatility, Principal Components of volatility changes
      The ingredients for the IR smile: displaced diffusion versus CEV - theoretical and practical issues

      Afternoon Break: 15:30 - 16:00

      Section 4: 16:00 - 17:30
      Further smile features: stochastic volatility and regime shift
      Questions from the delegates

      Day 2:

      Fabio Mercurio: New Advances in Market Models for Interest Rates

      Section 1: 09:00 - 10:30
      Pricing the smile: a LIBOR model with uncertain parameters
      Derivation of analytical formulas for caps and swaptions

      Morning Break: 10:30 - 11:00

      Section 2: 11:00 - 12:30
      Model's implications: forward volatilities and implied swaptions smile
      Examples of calibration

      Lunch: 12:30 - 13:30

      Section 3: 13:30 - 15:30
      A specific case allowing for an exact calibration to ATM volatilities
      Examples of calibration

      Afternoon Break: 15:30 - 16:00

      Section 4: 16:00 - 17:30
      The swaption smile quoted by market
      Calibration with the SABR functional form
      Introducing the CMS convexity adjustments
      A joint calibration to swaptions and CMS swap spreads

      All delegates will receive complimentary copies of the 2nd Editions:

      • Volatility and Correlation
        The Perfect Hedger and the Fox
        Riccardo Rebonato
      • Interest Rate Models: Theory and Practice
        by Damiano Brigo and Fabio Mercurio


      Contact:

      Neil Fowler
      T: +44(0) 1273 674400
      F: +44(0) 1273 672333
      Weblink: http://www.wbstraining.com/pdf/irm_venice_06-06.pdf
      Website: http://www.wbstraining.com
      Email: [spam save email]


    13. Bachelier Finance Society 2006 Fourth World Congress, August 17-20 2006, Tokyo

      Notice: Submission Deadline Extended to 30th January from 16th January

      Due to internet server maintenance at Hitotsubashi University, BFS2006 website and e-mail server will be out of service from January 13th, 10pm to January 16th, 10am. Considering the possibility of any confusion possibly caused by the Internet server maintenance, BFS2006 4th World Congress Organizer will extend the deadline for the application submission from January 16 to January 30, 2006.

      General Information of Bachelier Finance Society 2006 4th World Congress

      Date: August 17(Thursday) - August 20(Sunday), 2006
      Venue: National Center of Sciences (Hitotsubashi University, ICS)
      [Address] 2-1-2 Hitotsubashi, Chiyoda-ku, Tokyo 101-8439, Japan

      Plenary Speakers:
      • Peter Carr
      • Freddy Delbaen
      • Paul Glasserman
      • Monique Jeanblanc
      • Arturo Kohatsu-Higa
      • José A. Scheinkman
      • H. Mete Soner
      • Thaleia Zariphopoulou


      Special Speaker: Shinzo Watanabe

      Scientific/Organizing Committee:

      • René Carmona
      • Hélyette Geman
      • Shigeo Kusuoka
      • Marek Rutkowski
      • Steven E. Shreve
      • Nizar Touzi


      Local Organizing Committee:

      • Takeaki Kariya
      • Yoshio Miyahara
      • Katsushige Sawaki
      • Takahiko Fujita
      • Jiro Akahori


      Conference Organizer: Ryozo Miura (Hitotsubashi University, ICS)

      Deadline for Submission of Contributed Papers: January 16th, 2006

      Submission of Contributed Papers

      We invite both academics and practitioners to submit your contributed paper on all topics of mathematical finance for the Bachelier Finance Society 2006 Fourth World Congress (BFS2006 4th World Congress). Authors who wish to present a paper at the BFS2006 4th World Congress are requested to submit their application with the extended abstract to the conference organizer by January 30, 2006.

      For further information with regard to the submission procedure please refer to:
      http://bachelier.ics.hit-u.ac.jp/submission.html

      For Further Information

      Please contact BFS2006 4th World Congress Administration at [spam save email]

      BFS2006 4th World Congress Website: http://bachelier.ics.hit-u.ac.jp/index.html

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