The MathFinance Newsletter, Edition 134, February 27 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. Associate (m/w) Advisory für Bewertungsfragen im Financial Risk Management bei KPMG Frankfurt
   2. Mathematiker, Physiker oder Wirtschaftsinformatiker: d-fine GmbH, Frankfurt
   3. Senior Risiko-Controller / Financial- & Derivatives Analysts in der Bankgesellschaft Berlin
2. MathFinance Events
   1. Vinod Kothari Workshop: Securitisation Structuring & Modelling, 27 - 28 Feb 2006, Central London
   2. The Latest Developments: Interest Rate Derivatives & Hybrids Workshop, 20 - 22 Mar 2006, Central London
   3. International Conference on Financial Engineering, March 22-24, 2006, University of Florida, Gainesville
   4. Frankfurt MathFinance Workshop 27-28 March 2006
   5. Latest Developments: Credit Derivatives / Credit CPPI & Credit Hybrids, 27 - 29 Mar 2006, Central London
   6. Latest Developments: Equity Derivatives / Stochastic Volatility / Option Variance & Equity Hybrids, 5 - 7 April 2006, Central London
   7. Inflation Linked Derivatives Workshop, 10 - 12 April 2006, Central London
   8. 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
   9. The Latest Developments: Interest Rate Modelling, 12 - 13 June 2006, Venice
   10. Bachelier Finance Society 2006 Fourth World Congress, August 17-20 2006, Tokyo
3. MathFinance Resources
1. UnRisk2.3 with more sophisticated deal types and local volatility surface
2. Comprehensive TeX Archive Network (CTAN)

• 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:
 
 

1. MathFinance Job Exchange
   
   

   1. Associate (m/w) Advisory für Bewertungsfragen im Financial Risk Management bei KPMG Frankfurt

      Ihre Perspektive: Ist Risikomanagement bei Banken Ihr Thema? Dann sind Sie bei uns genau richtig.

      Ihre Aufgaben: Die Analyse und Entwicklung von Modellen für die Derivatebewertung und das Risikomanagement bilden Ihr Betätigungsfeld. Hier übernehmen Sie frühzeitig Verantwortung in Projekten zur fachlich-orientierten Beratung und Prüfungsunterstützung im Investment Banking, Treasury, Kreditmanagement, Risikocontrolling. Ihr analytisches Verständnis und Ihre Kreativität ermöglichen es Ihnen, innerhalb kurzer Zeit Problemstellungen zu strukturieren und zu lösen. Sie arbeiten in einem hoch qualifizierten und ambitionierten Team. Ihre Arbeitsergebnisse entwickeln und diskutieren Sie mit dem Mandanten, bei dem Sie Ihre Lösungsvorschläge in hochrangig besetzten Gremien präsentieren und vertreten.

      Ihr Profil: Sie haben ein Universitätsstudium der Mathematik, Wirtschaftsmathematik, Wirtschaftsingenieurwesen, Physik, BWL oder VWL mit quantitativem Schwerpunkt absolviert und Ihre überdurchschnittliche Qualifikation z.B. durch einen sehr guten Abschluss und/oder eine Promotion bewiesen. Sie haben Interesse an der Weiterentwicklung von Modellen, die die Bewertung und das Risikomanagement von neuen Produkten und in neuen Märkten ermöglichen. Der effiziente Einsatz numerischer Verfahren wie Monte Carlo Simulation und deren Umsetzung in C++ ist Teil Ihrer praktischen Erfahrung. Sie verfügen über außerordentliche analytische Fähigkeiten und haben großen Spaß daran, ständig neue Dinge zu lernen und zielorientiert umzusetzen. Sehr gute Englischkenntnisse setzen wir voraus. Sie sind sicher im Auftreten sowie team- und kundenorientiert. Ein Auslandsaufenthalt und/oder relevante Praktika runden Ihr Profil ab.

      Ihr Kontakt: Bewerben Sie sich online auf http://www.kpmg.de/careers
      
      oder senden Sie Ihre Bewerbung unter Angabe des Referenzcodes: AdvFestFSoJo50204504 an das
      
      Recruiting Team, KPMG,
      Klingelhöferstr. 18,
      10785 Berlin,
      eMail: .
      
      

      Für weitere Rückfragen steht Ihnen das HR Service Phone unter 0 800 KPMG JOB (0 800 5764 562) zur Verfügung.

      Profitieren Sie von den Entwicklungsmöglichkeiten bei KPMG, einem weltweiten Verbund national selbständiger Mitgliedsfirmen. Neben abwechslungsreichen Projekten im In- und Ausland bieten wir Ihnen Raum für Ihre persönliche Weiterentwicklung. Mehr wissen, mehr können - bei uns hat Erfolg, wer team- und mandantenorientiert arbeitet und gleichzeitig seine persönliche Entwicklung vorantreibt.

      
      
      

   2. 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:
      Homepage:http://www.d-fine.de
      
      

   3. Senior Risiko-Controller / Financial- & Derivatives Analysts in der Bankgesellschaft Berlin

      Die Bankgesellschaft Berlin AG ist die Universalbank der Hauptstadt. Unser Bereich Risikocontrolling ist zuständig für die Messung, die Kontrolle und das Reporting sämtlicher Risiken des Konzerns. Des weiteren gehört die Umsetzung aufsichtsrechtlicher Anforderungen (z.B. Basel II) zu den Aufgaben des Risikocontrollings. Darüber hinaus ist der Bereich in diversen Steuerungsgremien des Konzerns vertreten, um die effiziente Umsetzung des Risikomanagements zu gewährleisten.

      Ihre Aufgabe in der Abteilung Markt- und Liquiditätsrisiko
      
      
      • Erstellen und Ausbau des täglichen MaH-Reports zu den Handelsaktivitäten und Ergebnissen der Geschäftsfelder des Investment Bankings sowie des Konzerns an den Vorstand
      • Weiterentwicklung und Betreuung einer eigenentwickelten dezentralen Middle-Office-Software
      • Analyse der Geschäftsaktivitäten der einzelnen Handelseinheiten in Bezug auf Gewinn-Ermittlung, Kredit-, Liquiditäts- und Marktrisiko
      • Methodische Weiterentwicklung von Risikokonzepten
      • Bewertung von derivativen Strukturen (Exotische Optionen, strukturierte Produkte - Emissionen, Convertibles)
      • Entwicklung und Anwendung von Konzepten zur Risikoermittlung von Einzelgeschäften und Portfolios
      • Unterstützung des Middle-Office Teams bei der Evaluierung der Financial Library
      • Weiterentwicklung von Risk-Monitoring Systemen
      
      
      Ihr Profil
      
      
      • Quantitativ orientierte Hochschulausbildung, wie (Wirtschafts-) Mathematiker, Physiker, Wirtschaftsingenieure, Ökonometriker und Betriebs-, bzw. Volkswirte mit quantitativem Schwerpunkt (Statistik, Operations Research)
      • sehr gute Kenntnisse in Mathematik und Statistik
      • ausgeprägte Kenntnisse in Finanzmathematik
      • theoretische und praktische Erfahrung im Umgang mit Produkten aus dem Investment Banking , insbesondere Convertibles und strukturierte Zertifikate (wünschenswert sind 2-3 Jahre Erfahrung im Risikocontrolling)
      • Kenntnisse in Office-Produkten wie WORD, EXCEL, POWERPOINT und ACCESS, C++ und Microsoft SQL
      • ausgeprägtes analytisches Denkvermögen, Präsentations- und Diskussionssicherheit sowie Teamfähigkeit
      • gute Englischkenntnisse
      • Ausgeprägte Teamorientierung
      • Hohes Maß an Kreativität und Flexibilität
      • Strukturierte, projektorientierte Arbeitsweise
      
      
      Was wir bieten
      
      
      • Ein hochinteressantes, vielschichtiges Betätigungsfeld
      • Mitarbeit in einem kompetenten und hochmotivierten Team
      • Attraktive Bezahlung und Sozialleistungen
      
      
      Ihre Ansprechpartner
      
      Bankgesellschaft Berlin AG
      Bereich Personal
      Corinna Popowski
      BG-PE 4
      Alexanderplatz 2
      D-10178 Berlin
      
      
      Bankgesellschaft Berlin AG
      Bereich Risikocontrolling
      Dr. Michael Dziedzina
      BG-RC
      Alexanderplatz 2
      D-10178 Berlin
      
   
   
   
   
   
   
2. MathFinance Events
   
   
   
   
   

   1. 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:
      
      

   2. 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:
      
      

   3. 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.
      
      

   4. 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:
      
      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
      
      

   5. 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
      
      

   6. 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:
      
      

   7. 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:
      
      

   8. 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:
   
   
   

   9. 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:
   
   
   

   10. 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
       
       BFS2006 4th World Congress Website: http://bachelier.ics.hit-u.ac.jp/index.html
       
       
3. MathFinance Resources
   
   
   
   
   

   1. UnRisk2.3 with more sophisticated deal types and local volatility surface

      The UnRisk consortium released UnRisk2.3 the latest Version of its UnRisk Pricing Engine for Mathematica, the fast-paced and accurate derivatives analytics solution.

      New in UnRisk2.3:
      
      
      • New financial instruments including Snowball Swaps, Ratchet Swaps, Digital Range Accrual Swaps, 2 Types of General Steepeners, which are all multiple callable and putable, Target Redemption Swaps and Target Redemption Steepeners.
      • Monte Carlo simulation under the general Hull & White model.
      • Valuation of equity and FX derivatives under a local volatility surface.
      
      
      

      "We are highly committed to serving our customers individually, whilst driving generic technologies. A fast growing financial knowledge base empowers the implementation of new and customised deal types with minimal efforts. Customized solutions stay compatible with future UnRisk releases", says Andreas Binder, head of the UnRisk maker MathConsult.

      UnRisk integrates a computationally optimized numerical engine realized in C++ into Mathematica's powerful computation and declarative programming environment. Its careful design aims at the pricing and risk management of financial objects, which represent a whole universe of real world financial instruments.

      UnRisk2.3 will be presented at the "Frankfurt MathFinance Workshop", 27-Mar-06.

      More info:
      
      http://www.unriskderivatives.com/index.html
      
      UnRisk instrument coverage:
      
      http://www.unriskderivatives.com/product/instruments.html
   
   
   

   2. Comprehensive TeX Archive Network (CTAN)

      Some years ago, a TUG Technical Council working group defined a common network archive for TeX software, the Comprehensive TeX Archive Network (CTAN). The archive holds up-to-date releases of most implementations of TeX, LaTeX, Metafont and related packages and programs. It is the primary repository for TeX-related software on the Internet.

      A snapshot of the archive is distributed on physical media (both CD and DVD, these days) once a year by TUG (as a benefit of membership), and most other TeX user groups. You can also purchase the media without becoming a member.

      URL: http://www.ctan.org/