The MathFinance Newsletter, Edition 151, October 30 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. Faculty Position in Financial Engineering at Bilkent University, Department of Industrial Engineering
   2. Tenure-track faculty and Postdoctoral positions at Cornell University, School of Operations Research & Industrial Engineering
   3. Associate (m/w) Advisory für Bewertungsfragen im Financial Risk Management bei KPMG Frankfurt
   4. Mathematiker, Physiker oder Wirtschaftsinformatiker: d-fine GmbH, Frankfurt
2. MathFinance Events
   1. Latest Developments: Credit Derivatives / Credit CPPI & Credit Hybrids, 4 - 6 Dec 2006, Central London
   2. Call for papers: Computational Finance World Congress: The First Decade March 26, 2007, London
3. MathFinance Resources
1. Louis Bachelier’s: Theory of Speculation - The Origins of Modern Finance
2. Wiley's Book of the Month: Introduction to C++ for Financial Engineers with CD by Daniel J. Duffy

• 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 Editor: Susanne Griebsch, HfB, Frankfurt
Database Solutions: Dr. Thorsten Schmidt, Leipzig University

In detail:
 
 

1. MathFinance Job Exchange
   
   

   1. Faculty Position in Financial Engineering at Bilkent University, Department of Industrial Engineering

      Bilkent University Department of Industrial Engineering invites applications for a faculty position in Financial Engineering. Rank is open. Expertise in one or more the following is required: financial optimization, continuous time finance, fýnancial econometrics, computational finance.

      The candidates should have a Ph.D. in Industrial Engineering or Operations Research or a closely related area. Senior applicants must demonstrate an established record in excellent research, teaching and communication skills. The successful applicant will be expected to develop new courses in financial engineering, and to play a leading role in shaping a M.Sc program in financial engineering in close cooperation with the Business School and the Department of Economics.

      Bilkent University is a private research university committed to excellence in research and higher education, located in pleasant surroundings in Ankara, Turkey. The language of instruction is English. Faculty members are provided with international travel support, health benefits, and rent-free furnished housing on campus. There is also an excellent international school with grades pre-K to 12 with reduced charges for the children of the university staff.

      The Industrial Engineering Department has the largest faculty body in the country with 20 full time members, about 50 teaching/research assistants and 750 students. The department attracts students of the highest caliber both at the undergraduate and graduate levels, and boasts a strong research record with world-class facilities.

      For application, curriculum vitae, research and teaching statements, and names of four references familiar with the candidate’s work should be sent to the address below. A graduate transcript is also required for applicants with recent Ph.D. degrees.

      Prof. Ihsan Sabuncuoglu, Chair
      Department of Industrial Engineering
      Bilkent University, Ankara 06800
      Turkey
      
      Email:
      Telephone:+90 312 2901607
      http://www.ie.bilkent.edu.tr
      
      

   2. Tenure-track faculty and Postdoctoral positions at Cornell University, School of Operations Research & Industrial Engineering

      The positions are closed.
      
      

   3. 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.

      
      
      

   4. Mathematiker (m/w), Physiker (m/w) oder (Wirtschafts-)Informatiker (m/w): d-fine GmbH, Frankfurt am Main

      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 150 Beratern und Büros in Frankfurt und London 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, Asset-Manager und Industrieunternehmen beim Aufbau ihrer Handels- und Risikomanagementsysteme sowie der zugehörigen Methoden und Prozesse – von der fachlichen Konzeption bis zur professionellen Implementierung, 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 (m/w). Wir suchen Sie als Mathematiker, Physiker und Wirtschaftsinformatiker. Sie besitzen einen exzellenten Hochschulabschluss, sprechen fließend Englisch und Deutsch und haben weit überdurchschnittliche mathematische Fähigkeiten. Sie haben darüber hinaus sehr gute IT-Kenntnisse und sind idealerweise bereits mit Statistik, Numerik und Finanzmathematik vertraut.

      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 Umgebungen einarbeiten. Sie haben Beratungstalent, hohe Einsatzfreude und sind flexibel und belastbar.

      Selbstverständlich erhalten Sie eine intensive Einführung in Ihr zukünftiges Aufgabenfeld. Wir sind berühmt für unser anspruchsvolles Training auf höchstem Niveau, das wir in Zusammenarbeit mit führenden internationalen Universitäten wie z.B. der University of Oxford, der Warwick Business School, der Hochschule für Bankwirtschaft und dem Imperial College durchführen. Dabei können Sie sogar einen Master of Science (MSc) in Finanzmathematik erwerben.

      Wenn Sie in einem Team hoch begabter und hoch motivierter Kollegen mitarbeiten wollen, große individuelle Freiräume, viel Eigenverantwortung sowie hervorragende Entwicklungsperspektiven suchen, freut sich Yasemin Keles auf Ihre Bewerbung.

      Und durch unser flexibles Wohnortkonzept können Sie sogar Ihren jetzigen Wohnort beibehalten.

      Willkommen bei d-fine!
      
      d-fine GmbH
      z. H. Frau Yasemin Keles
      Opernplatz 2
      60313 Frankfurt am Main
      Telefon: +49-69-90737-0
      E-mail:
      Homepage:http://www.d-fine.de
      
      
   
   
   
2. MathFinance Events
   
   
   
   
   

   1. Latest Developments: Credit Derivatives / Credit CPPI & Credit Hybrids, 4 - 6 Dec 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
      Lutz Schloegl: Fixed Income Quantitative Research,, Lehman Brothers
      
      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/php/events/showevent.php?id=95
      Website: http://www.wbstraining.com
      Email:
      
      Fees: Workshops: £999:00 + UK VAT
      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
   
   
   

   2. Call for papers: Computational Finance World Congress: The First Decade March 26, 2007, London

      The Mathematical Sciences Research Institute of Berkeley, California, invites leading practitioners and academics to contribute to this milestone event. The Computational Finance World Congress is the ideal forum in 2007 for the dissemination of the latest advances in Computational Finance.

      Chairs:
      
      
      • Jesper Andreasen (Bank of America)
      • Myron Scholes (Oak Hill Capital Management/Stanford University)
      • Domingo Tavella (HypoVereinsbank)
      
      
      Organizing Committee:
      
      
      • Carl Chiarella (UTS, Australia)
      • Michael Dempster (Cambridge)
      • Emanuel Derman (Columbia)
      • Darrell Duffie (Stanford)
      • David Eisenbud (MSRI)
      • Jim Gatheral (Merril Lynch/Courant Institute)
      • Paul Glasserman (Columbia)
      • Robert Jarrow (Cornell)
      • Alexander Lipton (Citadel Investments)
      • Francis Longstaff (UCLA)
      • Philipp Schoenbucher (ETH)
      • Eduardo Schwartz (UCLA)
      
      
      Topics:
      
      
      • Advanced simulation methods in derivatives pricing and risk management
      • Copula methods in credit pricing and risk management
      • Finite difference and finite element techniques in equities, interest rates, and credit derivatives pricing Approaches for pricing and risk managing hybrid and structured products
      • Application of transform methods in derivatives pricing
      • Efficient calculation of option Greeks and risk reports
      • Parallel and distributed computing in option pricing and risk management
      • Pricing and analysis of weather and energy contracts
      • Numerical algorithms for calibration and optimization
      
      
      Important dates:
      
      Submission deadline: October 1, 2006
      Notification of acceptance: November 1, 2006
      Revised paper due on November 15, 2006
      Please submit complete papers in electronic form to
      
      For additional information, please contact Domingo Tavella at , or Jesper Andreasen at . For more information and registration instructions, please go to the event web site: http://www.msri.org/specials/compfinance.
      
      
3. MathFinance Resources
   
   

   1. Louis Bachelier’s: Theory of Speculation - The Origins of Modern Finance

      Translated and with Commentary by
      Mark Davis and Alison Etheridge
      
      Foreword by Paul A. Samuelson
      
      
      "Mark Davis and Alison Etheridge have done a splendid job in translating the Bachelier thesis, thus making it accessible to a wide audience. Apart from the thesis itself, they provide the reader with institutional information, a biography of Bachelier, and a short history of the development of stochastic analysis and mathematical finance. The result is a nice slim volume that will certainly be on the bookshelves of everyone interested in the subject."
      
      
      
      - Tomas Björk, Professor of Mathematical Finance,
      Stockholm School of Economics
      
      
      

      March 29, 1900, is considered by many to be the day mathematical finance was born. On that day a French doctoral student, Louis Bachelier, successfully defended his thesis Théorie de la Spéculation at the Sorbonne. The jury, while noting that the topic was "far away from those usually considered by our candidates," appreciated its high degree of originality. LOUIS BACHELIER’S THEORY OF SPECULATION: The Origins of Modern Finance provides a new translation, with commentary and background, of Bachelier's seminal work.

      Bachelier's thesis is a remarkable document on two counts. In mathematical terms Bachelier's achievement was to introduce many of the concepts of what is now known as stochastic analysis. His purpose, however, was to give a theory for the valuation of financial options. He came up with a formula that is both correct on its own terms and surprisingly close to the Nobel Prize-winning solution to the option pricing problem by Fischer Black, Myron Scholes, and Robert Merton in 1973, the first decisive advance since 1900.

      Aside from providing an accurate and accessible translation, this book traces the twin-track intellectual history of stochastic analysis and financial economics, starting with Bachelier in 1900 and ending in the 1980s when the theory of option pricing was substantially complete. The story is a curious one. The economic side of Bachelier's work was ignored until its rediscovery by financial economists more than fifty years later. The results were spectacular: within twenty-five years the whole theory was worked out, and a multibillion-dollar global industry of option trading had emerged.

      About The Authors
      
      Mark Davis, Professor of Mathematics at Imperial College London, has written three books on stochastic modeling and control, most recently Markov Models and Optimization. Alison Etheridge, Professor of Probability at the University of Oxford, is the author of A Course in Financial Calculus and Introduction to Superprocesses.
      
      Louis Bachelier's Theory of Speculation
      The Origins of Modern Finance
      Translated by Mark Davis and Alison Etheridge
      188 pages, 17 line illustrations, 6 X 9
      ISBN (Cloth): 0-691-11752-7 | $35.00 | £22.95 UK
      Publication Date: October 18, 2006
      
      

   2. Wiley's Book of the Month: Introduction to C++ for Financial Engineers with CD by Daniel J. Duffy

      
      
      ISBN: 0-470-01538-1
      Hardcover
      438 pages
      RRP £60.00
      
      A practical step-by-step introduction that shows how to use C++ effectively for financial engineering applications.
      
      Introduction to C++ for Financial Engineers introduces the reader to the C++ programming language and how to use it to write applications in quantitative finance (QF) and related areas. No previous knowledge of C or C++ is required, experience with VBA, Matlab or other programming language is sufficient. The book adopts an incremental approach; starting from basic principles then moving on to advanced complex techniques and then to real-life applications in financial engineering. There are five major parts to the book:
      
      
      • C++ fundamentals and object-oriented thinking in QF
      • Advanced object-oriented features such as inheritance and polymorphism
      • Template programming and the Standard Template Library (STL)
      • An introduction to GOF design patterns
      • GOF design patterns and their applications in QF Applications
      
      
      The kinds of applications include binomial and trinomial methods, Monte Carlo simulation, advanced trees, partial differential equations and finite difference methods. Includes a CD with all source code and many useful C++ classes that you can use in your own applications. Examples, test cases and applications are directly relevant to QF.
      
      Order Introduction to C++ for Financial Engineers now and save 20% on rrp. Pay only £48/€66.16/USD$76. Quote promotion code FKG when prompted, or contact
      for further details. Order here:
      
      http://eu.wiley.com/WileyCDA/WileyTitle/productCd-0470015381.html
      
      Please remember to quote FKG for your discount!