The MathFinance Newsletter, Edition 158, March 01 2007.

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

In this issue:

1. MathFinance Job Exchange
   1. Full Time Associate at Risk and Quantitative Analysis Group (RQA) of Credit Suisse Fixed Income Department
   2. Full Time Position at Global Modeling and Analytics Group (GMAG) of Credit Suisse Fixed Income Department
   3. Quantitative Summer Institute at Credit Suisse Fixed Income and Equities Department - Summer Internship
   4. Quantitative Analyst, Risk Control at Erste Bank der Oesterreichischen Sparkassen AG, Vienna
   5. Quantitative Analyst/ Quantitative Developer (m/w), LPA, Frankfurt a.M.
   6. Associate (m/w) Advisory als Financial Engineer bei KPMG Frankfurt
   7. Mathematiker, Physiker oder Wirtschaftsinformatiker: d-fine GmbH, Frankfurt
   8. Front-Office Entwickler Java mit J2EE-Kentnissen (m/w), Quanteam, Frankfurt
2. MathFinance Events
   1. Finance Courses in Amsterdam
   2. Latest Developments: Commodities & Commodity Derivatives by Professor Hélyette Geman, London, 14 - 16 March 2007, New York City, 18 - 20 April 2007, Hong Kong 25-27 June 2007
   3. Latest Developments: Interest Rate Modelling & Hybrids Products, London, 19 – 23 March 2007
   4. Dr Attilio Meucci: Advanced Quantitative Risk and Portfolio Management, March 24-25, 2007
   5. Frankfurt MathFinance Workshop March 26-27, 2007
   6. Latest Developments: Credit Derivatives Pricing & Modeling, Credit Hybrids & CPPI London, 26 – 30 March 2007
   7. Computational Finance World Congress, March 26, 2007, London
   8. Inflation Linked Derivatives Workshop, London, 2 - 4 April 2007
   9. LIBOR Market Model Master Class: Peter Jaeckel and Riccardo Rebonato, Venice, 12 - 13 April 2007
   10. Credit Derivatives: Master Class by John Hull, Jon Gregory & Philipp Schonbucher, New York City, 23 – 25 April 2007
   11. Computational Finance Hybrid Derivatives Workshop: The Latest Modeling and Practical Implementation Techniques London, 7 - 8 June 2007
   12. Latest Developments: Interest Rate Hybrid Products Workshop, Singapore, 21 - 22 June 2007
3. MathFinance Resources
1. Looking for a Job in London? Why not take a look at CanaryWharfJobs.com
2. Developing Add-ins (XLLs) in Excel 2007
3. New Book on Mathematical Finance: Core Theory, Problems and Statistical Algorithms by Nikolai Dokuchaev

• find quantitative staff
• recommend your book or educational institute
• invite to a workshop
• introduce your research to a wider audience

The MathFinance Newsletter - produced by MathFinance AG

1. MathFinance Job Exchange
   
   

   1. Risk and Quantitative Analysis Group (RQA)

      Credit Suisse Fixed Income Department – Full Time Associate

      Location: London
      Start Date: Any time
      Deadline: 16 March 2007

      Credit Suisse Overview

      As one of the world’s leading banks, Credit Suisse provides its clients with investment banking, private banking and asset management services worldwide. Credit Suisse offers advisory services, comprehensive solutions and innovative products to companies, institutional clients and high-net-worth private clients globally, as well as retail clients in Switzerland. Credit Suisse is active in over 50 countries and employs approximately 40,000 people. Credit Suisse’s parent company, Credit Suisse Group, is a leading global financial services company headquartered in Zurich.

      The Position

      The Risk and Quantitative Analysis Group (RQA) is a front office “quant” group, providing desk-level quantitative solutions for traders and structurers. The team develops and uses state-of-the-art quantitative tools, techniques and systems to optimise trading, hedging, and business decision making across the Fixed Income Department. The group has 25 members and operates in New York, London, Hong Kong and Tokyo. Amongst the businesses covered are Fixed Income Vanilla and Exotics, Credit Derivatives (Structured Credit and CDOs), Commodities, Emerging Markets, Foreign Exchange, Mortgage Derivatives and Proprietary Trading.

      Training and Development

      RQA is a rotation based program, which feeds quants into our derivatives trading, structuring and marketing teams. Soon after joining the Firm, you will follow an intensive formal training, aimed at getting familiar with the models, tools and products of the Firm. Then you will spend two to three years rotating on trading desks, spending nine months on each desk, one of which can be overseas. At the end of the rotation period, you will become a Trader, a Structurer, continue on as a senior member of RQA, join Global Modelling and Analytics Group (GMAG) as a modeller or join one of the other quantitative groups within the firm. In addition, continuous learning is actively encouraged through a wide variety of initiatives, including internal and external seminars and conferences and joint project work.

      What We Look For

      • You will have or be studying to obtain a PhD in a quantitative field such as Mathematics, Physics, Engineering, Computer Science, Operations Research, Economics, Actuarial Science or Finance
      • Prior knowledge of finance is not required; however, candidates should have a genuine interest in the area
      • and should be able to demonstrate highly advanced mathematical modelling skills
      • Strong interpersonal and communication skills
      • A team-player attitude
      • Good organisational skills and the ability to work on multiple projects simultaneously
      • Fluency in English and preferably an additional language

      Application Process

      Apply online at www.credit-suisse.com/standout
      Submit CV and cover letter
      Application deadline: 16 March 2007

      
      
      

   2. Global Modeling and Analytics Group (GMAG)

      Credit Suisse Fixed Income Department – Full Time

      Location: London
      Start Date: Any time
      Deadline: 16 March 2007

      The Firm

      As one of the world’s leading banks, Credit Suisse provides its clients with investment banking, private banking and asset management services worldwide. Credit Suisse offers advisory services, comprehensive solutions and innovative products to companies, institutional clients and high-net-worth private clients globally, as well as retail clients in Switzerland. Credit Suisse is active in over 50 countries and employs approximately 40,000 people. Credit Suisse’s parent company, Credit Suisse Group, is a leading global financial services company headquartered in Zurich.

      Investment Banking

      In its Investment Banking business, Credit Suisse offers securities products and financial advisory services to users and suppliers of capital around the world. Operating in 57 locations across 26 countries, Credit Suisse is active across the full spectrum of financial services products including debt and equity underwriting, sales and trading, mergers and acquisitions, investment research, and correspondent and prime brokerage services.

      Our commitment to providing outstanding service to our clients, our focus on teamwork, diversity and excellence means our recruitment of the best and brightest people is essential to our success.

      The Position

      The Global Modelling and Analytics Group (GMAG) is responsible for producing state-of-the-art pricing, trading and risk management models for Credit Suisse. These models are used across a range of business in the Fixed Income and Equity Divisions. The group’s mandate covers all major asset classes, including Credit Derivatives, Commodities, Emerging Markets, Equity Derivatives and Convertibles, Exotics, Foreign Exchange, Fund Linked Products, Interest Rate Products and Mortgage Derivatives. GMAG operates globally with 85 members located in New York, London, Hong Kong and Tokyo.

      Established in 1990, GMAG enjoys a strong relationship with Trading, Structuring and Sales and over time has developed an extensive suite of pricing models and analytics libraries. As the group is based on the trading floor, it is ideally placed to respond the financial modelling needs of the businesses it supports.

      You will be assigned to one of four specialist modelling teams in GMAG (e.g. Equities, Foreign Exchange, Interest Rates, Credit) as a Financial Modeller, or join our Architecture and Delivery team as a Quantitative Developer.

      As a Financial Modeller, you will be responsible for the design, implementation and delivery of sophisticated mathematical models for the valuation of complex derivatives, as well as supporting the use of our existing models throughout the bank. Our Financial Modellers typically hold an advanced quantitative degree, have strong programming skills and are confident communicators.

      As a Quantitative Developer, you will be focussing on development of state-of-the-art pricing and risk infrastructure, designing innovative tools for rapid model deployment and producing complex components for high performance computing applications. Our Quantitative Developers typically hold an advanced Computer Science or Engineering degree, are expert programmers and have strong algorithm design skills.

      Both roles require a talent for creating innovative and practical solutions to real problems, the ability to work effectively as part of a team, and a desire to continue learning new modelling techniques or technologies. Prior knowledge of financial modelling, or experience in the banking industry, is not required.

      Training and Development

      Your career with us begins with the GMAG Training Program, an intensive, 12 week course of seminars, discussions and practical exercises to introduce you to the principles of financial modelling, the existing library of GMAG models, as well as our development platform. The GMAG Training Program has been developed in-house by senior members of group for the benefit of new joiners, is taught by experienced modellers, and is continually updated to reflect recent innovation.

      Whilst participating in the Training Program, you will already be integrating with your assigned team and attending regular team meetings with your colleagues globally. Following the completion of the Training Program, you will start a mentored project under the supervision of an experienced colleague, thereby gaining in-depth exposure to a particular modelling and business area. Successive projects will introduce you to the full range of skills and techniques required to advance your career within GMAG. In addition, continuous learning is actively encouraged through a wide variety of initiatives, including internal and external seminars and conferences, short product area rotations within GMAG and joint project work.

      Because of its size and breadth of mandate, GMAG offers an unusually wide range of career paths, including transfers between product team or locations. Whilst the large majority of GMAG members tend to stay with the group for the long term, there are also opportunities to leverage the skills learned in GMAG and transfer into a trading or structuring role in Credit Suisse.

      What We Look For

      • You will have, or be studying to obtain a PhD in a quantitative field such as Mathematics, Physics, Engineering, Computer Science, Operations Research, Economics, or Finance
      • Prior knowledge of finance is not required; however, candidates should have a genuine interest in the area and should be able to demonstrate highly advanced mathematical modeling skills
      • Programming experience and exposure to algorithms is generally desirable and essential for certain areas in our businesses
      • Strong interpersonal and communication skills
      • A team-player with a positive co-operative attitude
      • Good organisational skills and the ability to work on multiple projects simultaneously
      • Fluency in English

      Application Process

      Apply online at www.credit-suisse.com/standout
      Submit CV and cover letter
      Application deadline: 16 March 2007

      
      
      

   3. Quantitative Summer Institute

      Credit Suisse Fixed Income and Equities Department - Summer Internship

      Location: London
      Start Date: June/July 2007
      Deadline: 16 March 2007

      The Bank

      As one of the world’s leading banks, Credit Suisse provides its clients with investment banking, private banking and asset management services worldwide. Credit Suisse offers advisory services, comprehensive solutions and innovative products to companies, institutional clients and high-net-worth private clients globally, as well as retail clients in Switzerland. Credit Suisse is active in over 50 countries and employs approximately 40,000 people. Credit Suisse’s parent company, Credit Suisse Group, is a leading global financial services company headquartered in Zurich.

      Investment Banking

      In its Investment Banking business, Credit Suisse offers securities products and financial advisory services to users and suppliers of capital around the world. Operating in 57 locations across 26 countries, Credit Suisse is active across the full spectrum of financial services products including debt and equity underwriting, sales and trading, mergers and acquisitions, investment research, and correspondent and prime brokerage services.

      Our commitment to providing outstanding service to our clients, our focus on teamwork, diversity and excellence means our recruitment of the best and brightest people is essential to our success.

      The Position

      The Quantitative Summer Institute (QSI) is a 10-week internship programme which provides interns with an opportunity to gain first hand experience of quantitative work at a top tier investment bank. The programme is run simultaneously in our London and New York offices during the summer. It is primarily targeted at quantitative candidates holding or pursuing a PhD in fields such as Mathematics, Physics, Engineering, Computer Science, Operations Research or Quantitative Finance although exceptional candidates with Masters or equivalent degree will also be considered.

      The QSI programme is sponsored by the Global Modelling & Analytics Group (GMAG), the Risk & Quantitative Analysis (RQA) group and the Fixed Income Research group. Candidates will need to select the sponsoring group at the time of the application.

      GMAG is responsible for developing and implementing the mathematical models used for pricing, trading and risk management across all asset classes in the derivatives business of Credit Suisse. Established in 1990, the group operates globally with 85 members located in New York, London, Hong Kong and Tokyo. GMAG is based on the trading floor and works closely with Trading and Structuring to advance the firms risk management capabilities and to create innovative models for the pricing and hedging of new products.

      RQA is a growing group within the Front Office of Credit Suisse, providing desk-level quantitative solutions and risk management for the trading businesses in the Fixed Income Division. The group is a core part of the division’s trading teams, responsible for analyzing each of the desks’ trading positions, devising hedging and trading strategies, assessing the trading risk in new trades and new products, and advising on trading and risk management decisions. RQA is a rotation based program, which feeds quantitative associates into our derivatives trading, structuring and marketing teams.

      The Fixed Income Research group is responsible for the whole gamut of fixed income and economic research: from the macroeconomic and political analyses of a single country or region, to a detailed analysis of a single corporate or industry through to the right price of a single security or derivative transaction. It has an active research programme on demographics as well as performing complex optimization of credit portfolios so that pension funds can better manage their risks. Credit Suisse is particularly known for its excellence in global macro-economics, strategy, and foreign exchange research, in both developed and emerging markets. In addition, the firm has pre-eminent credit and securitised asset research.

      The QSI programme is divided into two distinct 5-week modules: a common training module for all participants, followed by individual desk placements with the chosen sponsoring group.

      The training module consists of seminars and exercises to introduce participants to the principles of financial modelling, key derivatives markets and products, as well as practical training on GMAG’s core models. It is based on the GMAG Training Programme, which has been developed in-house over many years and is taught by experienced modellers. The practical exercises make use of the same spreadsheet models and tools as used by Traders and Structurers throughout the bank.

      The individual desk placements give participants a valuable opportunity to contribute to a real world project relevant to the sponsors. During the placements interns will sit with the sponsoring group and interact closely with their new colleagues, both professionally and socially. Interns will be expected to present the results of their project to a panel of senior quantitative sponsors at the end of the programme.

      The QSI programme takes place at the same time as Credit Suisse’s traditional Analyst and Associate Summer Programmes, and as such QSI interns will also participate in a variety of social and corporate events organised by the Graduate Recruitment Department.

      It is expected that successful QSI interns will be invited to join their sponsoring group at the end of their studies.

      What We Look For

      • You will have, or be studying to obtain a PhD in a quantitative field such as Mathematics, Physics, Engineering, Computer Science, Operations Research or Finance
      • Availability to work full time for a 10-week period from approximately July to September 2007
      • Prior knowledge of finance is not required; however, candidates should have a genuine interest in the area and
      • Programming experience and exposure to algorithms is generally desirable and essential for certain areas
      • Outstanding interpersonal and communication skills
      • A team-player with a positive co-operative attitude
      • Good organizational skills and the ability to work on multiple projects simultaneously

      Application Process

      Apply online at www.credit-suisse.com/standout
      Submit CV and cover letter
      Application deadline: 16 March 2007

      
      
      

   4. The bank is as good as people making it. For that we are looking for a....
      Quantitative Analyst, Risk Control

      Erste Bank der Oesterreichischen Sparkassen AG is a leading financial institution in Central Europe (CEE). With our excellent product range - from investments to financing and insurance - we focus our business on retail, medium-sized enterprises as well as institutional clients.

      Our banking group is expanding in the economically dynamic markets of Central Europe. Our goal is to offer unparalleled service and a wide range of products to more than fifteen million clients.

      To reach this goal, we use all existing and new distribution channels to be as close as possible to our clients. The benchmark for our success is the expectation of our clients and shareholders.

      Group Market Risk Control is a central independent risk control unit of Erste Bank Group. It's main responsibilities are:

      • Calculation of all market risks of Erste Bank Group based on Value at Risk. Operation and development of the group's internal model for trading book activities (central risk management and local operation of the internal model in subsidiaries and branches).
      • Risk Control of Group's Banking Book and Insurance subsidiaries with respect to integrated risk measurement on a financial conglomerate level.
      • Risk Control Structured Finance: Quantitative analysis (Deal-Valuation, risk analysis, risk aggregation) and group wide reporting on all investments in Collateralized Debt Obligations, ABS and Managed Funds

      The main responsibilities will be: Risk Control of Group's Banking Book and Insurance subsidiaries with respect to integrated risk measurement on a financial conglomerates level:

      • Operation and development of the group's banking book model in close cooperation with ALM (Asset&Liability Management) units and other risk management units within the group. Apart from the operation of the model for Risk Management needs (specific reporting and controlling needs) the main focus of the job is on methodological enhancements with respect to the modelling of long term horizon risks and functional improvements of a vendor system (QRM).
      • The challenging aspects in the analysis of insurance companies are even longer risk horizons, more diverse asset classes and insurance specific risks. This results in important methodological questions with respect to the consolidation of risks on the level of a financial conglomerate.
      • Reporting: contribute to the production of top management reporting
      • Specific project oriented work in other risk categories

      Requirements:

      • University degree (preferably statistics, mathematics, computer science, physics, business administration or actuarial studies).
      • Working experience in this field or post graduate research activities is desirable.
      • Strong experience in the field of Quantitative Finance: modelling skills, numerical methods, stochastic calculus, theoretical and (preferably) practical product knowledge (Banking Products; Financial Instruments)
      • Strong IT skills, preferentially SQL, working experience with databases and Unix, C/C++, Java, VBA, R;
      • Ability to work well within a team and communicate well with others, flexible approach to working hours, ability to work to tight deadlines
      • English is used in daily work, however knowledge of German is considered to be an advantage.

      Being part of a young, ambitious team, we offer you the opportunity to work on some of the most important modelling techniques applied in quantitative risk management of Erste Bank Group's long term positions.

      Interested candidates should send their application to

      Günther Smisch
      Head of Group Market Risk Control
      Erste Bank der oesterreichischen Sparkassen AG
      OE 382 Group Market Risk Control
      A-1030 Vienna, Traungasse 12
      Tel: +43 (0)5 0100 - 19052
      
      
      Information concerning Erste Bank group can be found at www.erstebank.at.
      
      

   5. Quantitative Analyst/ Quantitative Developer (m/w), LPA, Frankfurt a.M.

      LPA ist ein Team aus 60 Mitarbeitern und Mitarbeiterinnen, die über hervorragende Kenntnisse im betriebswirtschaftlichen, mathematischen und technologischen Bereich verfügen. Wir beraten Finanzinstitute beim Aufbau und der Optimierung eines Zins- und Währungsmanagements auf Investmentbanking Niveau zur Betreuung deren Kunden.

      Seit dem Jahr 2000 bieten wir exzellente Lösungen - Beratung vom Vertriebskonzept bis zum Sales Support, konstante Entwicklung innovativster Finanzprodukte sowie State of the Art Software und Pricingbibliotheken.

      Unser Ziel ist Wachstum. Wir suchen daher Verstärkung in unserer IT-Sparte. Als
      
      Quantitative Developer/ Quantitative Analyst (m/w)
      
      arbeiten Sie nach einem dreimonatigen Trainee-Programm, das Ihnen finanztheoretische und softwaretechnische Kenntnisse vermittelt und Sie mit unseren Produkten vertraut macht, in einem jungen und innovativen Team. Sie arbeiten von Anfang an eng mit unseren Consultants aktiv an neuen Produkt- und Kundenlösungen, beginnend mit der Analyse von Nutzeranforderungen über die Ausarbeitung detaillierter Lösungen bis hin zur Softwareprogrammierung mit. Sie bilden die Schnittstelle zwischen Beratung, Banking und der Softwareentwicklung und erfassen somit komplexe Aufgabenstellungen schnell und lösungsorientiert.

      Ihre Kompetenzen:
      
      
      • Ein überdurchschnittlich abgeschlossenes Studium der Mathematik, Physik oder Wirtschaftsinformatik
      • Gute Kenntnisse in der Softwareprogrammierung, insbesondere der eingesetzten Technologien.NET (C#) und XML.
      • Kenntnis der Finanzmärkte und -produkte, insbesondere im Zins- und Devisenbereich
      • Gute Kenntnisse der Finanzmathematik
      • Praktische Kenntnisse in der Entwicklung von Preismodellen für Derivate
      • Hohes Abstraktionsvermögen sowie gutes analytisches und konzeptionelles Denkvermögen
      • Schnelle Auffassungsgabe
      • Innovationsfreude und Qualitätsbewußtsein
      • Teamgeist und Flexibilität
      • Hohe Leistungsbereitschaft und unternehmerisches Denken
      • Gute Deutsch- und Englischkenntnisse
      • Und nicht zuletzt Humor
      
      
      

      Sie passen zu uns, wenn Sie Verantwortung übernehmen und komplexe Fragestellungen meistern wollen. Wenn Sie schnell lernen und anderen gerne einen Schritt voraus sind. Wenn Sie nach fachlichen Herausforderungen suchen, zugleich aber auch gefordert sein wollen. Neben unserem hausinternen Ausbildungsprogramm beteiligen wir uns an Ihrer Weiterbildung, die wir in Kooperation mit der Frankfurt School of Finance & Management durchführen.

      Wir freuen uns auf Ihre Bewerbung per E-Mail an . Für weitere Fragen steht Ihnen Frau Dietz auch telefonisch zur Verfügung: +49 (0) 69 97 14 85 - 0.
      
      lucht probst associates gmbh
      große gallusstraße 9
      D-60311 frankfurt/main
      tel. +49 (0) 69 / 97 14 85-0
      fax +49 (0) 69 / 97 14 85-79
      homepage http://www.l-p-a.com
      
      

   6. Associate (m/w) Advisory als Financial Engineer bei KPMG Frankfurt

      Ihre Perspektive:Ist die Entwicklung und Analyse von Optionspreismodellen für Exotische Derivate 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 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 International, einem weltweiten Verbund national selbstständiger 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.

      
      
      

   7. 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 160 Beratern und Büros in Frankfurt, München 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 Physiker, Mathematiker 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
      
      

   8. Front-Office Entwickler Java mit J2EE-Kentnissen (m/w), Quanteam, Frankfurt

      Quanteam ist eine kleine Beratungsfirma, die sich auf die Entwicklung von quantitativen Modellen im Finanzwesen, sowie deren Integration in die IT-Systeme eines Finanzinstituts spezialisiert hat. Die Stärke von Quanteam liegt in der Vereinigung von Kompetenzen aus den Bereichen angewandte Finanzmathematik und Informationstechnologie. Unsere Kunden erwarten von uns hochwertige Lösungen aus einer Hand. Wir setzen dies um, von der ersten Idee über die Konzeptionierung bis hin zur professionellen Implementierung, Live-Stellung und anschliessenden Betreuung. Seit unserer Gründung 2003 wachsen wir kontinuierlich und wollen uns nun erneut personell verstärken. Hierfür suchen wir einen Mitarbeiter mit folgendem Profil:

      Einen Front-Office Entwickler Java mit J2EE-Kentnissen (m/w)
      
      Das wird Sie inhaltlich erwarten
      
      
      • Die fachliche und technische Weiterentwicklung zweier von Quanteam auf J2EE-Basis (JBoss) im Front-Office-Umfeld entwickelten Marktdatenbank-Anwendungen, die bei Top-Adressen im Derivate-Handel eingesetzt werden.
      • Support und kontinuierliche Weiterentwicklung aller Entwicklungs-ergebnisse, die im Laufe der Zeit entstehen.
      
      
      Sie verfügen über
      
      
      • Ein Studium der Informatik oder Naturwissenschaften, dass Sie mit sehr gutem Erfolg abgeschlossen haben.
      • Mindestens 1-2 Jahre Berufserfahrung im Entwicklungsumfeld, vorzugsweise im Handelsumfeld von Banken oder Finanzdienstleistern.
      • Sehr gute Kentnisse in Java. Kentnisse im Bereich Entwicklung und Betrieb speziell mit JBoss-Produkten wären wünschenswert.
      • Grundkentnisse der Begriffe im Handelsumfeld und evtl. der Finanzmathematik und sind wünschenswert, können alternativ aber auch im Selbstudium aufgebaut werden, wobei wir Sie je nach Bedarf mit unterstützen werden.
      • Eine sehr gute Eigenmotivation und Fähigkeit zu Selbstorganisation. Dabei übernehmen und lösen Sie selbständig Aufgaben in interessanten Projekten.
      • Einen starken Kundenfokus. Dazu gehört ein gutes Mass an Kommunikationsfähigkeit, keine Angst davor, eigene technische Realisierungsideen vorzustellen, zu vertreten und zu implementieren.
      • Fließende Deutsch-Kentnisse, da unsere Kunden in Frankfurt/Main sitzen und Sie typischerweise Dokumentationen u.ä. in Deutsch verfassen werden.
      
      
      Wir bieten Ihnen
      
      
      • Vom ersten Tag an arbeiten Sie selbständig in langfristigen Beratungs- und Entwicklungsprojekten bei der Implementierung von Front-Office-Technologien und der Erweiterung von Handelssystemen für Finanzderivate mit.
      • Im technischen Bereich werden Sie dauerhaft mit State-of-the-Art-Technologien arbeiten können.
      • In der täglichen Zusammenarbeit mit einem hochqualifizierten Team, das Wert auf Wissenstransfer und Ideenaustausch legt, werden Sie Ihre vorhandenen Fähigkeiten zügig weiter ausbauen können und müssen.
      • Zusätzlich unterstützen wir Ihre Weiterqualifikation mit einem auf Ihr Profil zugeschnittenen Fortbildungsprogramm.
      
      
      Bewerbungen schicken Sie bitte unter Angabe des frühestmöglichen Starttermins, Ihrer Gehaltsvorstellung und sonstigen Anlagen an folgende Adresse:
      
      Quanteam AG
      Sören Gerlach
      Helfmann-Park 10
      65760 Eschborn
      
      Gerne nehmen wir Ihre Unterlagen auch per eMail entgegen (vorzugsweise im PDF-Format), bitte richten Sie diese an . Wir erwarten von Ihnen im Rahmen der Bewerbung oder des ersten Vorstellungsgesprächs eine Arbeitsprobe (bspw. Quelltexte), die Ihre Stärken und Kenntnisse herausstellt.
      
      Telefonische Anfragen beantwortet Ihnen Herr Sören Gerlach unter 0170. 962 66 53.
      
      
   
   
   
2. MathFinance Events
   
   
   
   
   

   1. Finance Courses in Amsterdam

      • Modeling, Pricing and Analysis of Credit Risk
        March 14-15, 2007 - Registration fee euro 595,-
        
        Based on material of in-house training courses the implementation and analysis of portfolio models for credit risk and the pricing of credit risk will be presented within the course. Every course participant can interactively explore the different models which are available as a Mathematica notebooks. The portfolio models are an implementation of CreditMetrics and CreditRisk+. Several extentions to these models are part of the course.
        
        More information and registration
        http://www.can.nl/events/details.php?id=39
        
        
      • Financial Modeling with Mathematica
        April 18-19, 2007 - Registration fee euro 595,-
        
        The course pays much attention to frequently occurring practical tasks such as getting common data structures into Mathematica and exact day calculations. Topics include; Modeling, programming, and visualization with Mathematica - Analytical valuation of equity and interest rate derivatives - Applying numerical methods to derivatives valuation - Methods to value and analyze complex portfolios in Mathematica - Calculating and analyzing Value-at-Risk figures - Applying Monte Carlo simulations for market risk estimation - Calculation of stress and worst case scenarios - Portfolio-based calculation of credit risk: Implementing CreditMetrics in Mathematica
        
        More information and registration
        http://www.can.nl/events/details.php?id=36
      
      
      

   2. Advanced Quantitative Risk and Portfolio Management by Dr Attilio Meucci, CFA

      
      Do not trust black-box software applications Learn first-hand and avoid mistakes while managing your positions
      
      Saturday 24 & Sunday 25, March 2007
      Frankfurt, Germany
      
      Course Overview
      
      The course, which is taught in full-semester format at the Master's in Financial Mathematics - Courant Institute of New York University and in the Master's in Financial Engineering at Columbia University, covers all aspects of quantitative portfolio management and risk management from the foundations to the state-of-the-art in the industry.
      
      The course is based on Dr Meucci's bestseller, Risk and Asset Allocation - Springer. All delegates will be given a complimentary copy of the book.
      
      
      • Multivariate estimation techniques: non-parametric, maximum-likelihood under thick tails, shrinkage, robust, Bayesian
      • Market modeling: copulas, market location-dispersion ellipsoid, factor models, principal component analysis, FFT projection of market to the horizon, delta-gamma and full Monte Carlo pricing
      • Portfolio evaluation: stochastic dominance, utility, value at risk, expected shortfall, coherent measures
      • Allocation techniques: trading/prospect theory, total return management, benchmark allocation
      • Portfolio optimization under estimation risk: Black-Litterman, Bayesian, cone programming and robust optimization
      
      
      For a detailed course program click here.
      
      Audience
      
      The course is designed for portfolio managers, risk managers, financial engineers, financial analysts, quantitative analysts, traders, and researchers.
      
      The required level of mathematical background is kept to a minimum: the most advanced statistical and optimization techniques are introduced and thoroughly discussed by means of live MATLAB® simulations, intuitive geometrical representations, figures and plenty of examples.
      
      All the software will be made available to the delegates.
      
      Cost
      
      990 EUR plus VAT for professionals
      450 EUR plus VAT for academics
      250 EUR plus VAT for students
      250 EUR plus VAT for alumni of the Frankfurt School of Finance & Management
      
      The VAT in Germany is currently 19%.
      
      Booking
      
      online at http://workshop.mathfinance.com/2007/qrpm/registration.php. send inquiries to
      or call + 49 - 700 - 628 43462
      
      Venue
      
      Frankfurt School of Finance & Management
      
      Url: workshop.mathfinance.com/2007/qrpm/index.html
   
   
   

   3. Frankfurt MathFinance Workshop March 26-27, 2007

      Join Germany's leading Quant Conference

      List of speakers

      Alexander Antonov	Numerix
      Jörg Behrens	Ernst & Young Switzerland
      Oliver Caps	Dresdner Bank
      Sergio Dutra	Commerzbank
      Ernst Eberlein	University of Freiburg
      Gabriele Guehring	d-fine
      Susanne Griebsch	Frankfurt School of Finance & Management
      Reinhard Hirsch	d-fine
      Martin Keller-Ressel	Technical University of Vienna
      Jörg Kienitz	Postbank
      Roger Lord	Rabobank International
      Christian Menn	Sal. Oppenheim
      Attilio Meucci	Lehman Brothers
      Morten Nalholm	University of Copenhagen
      Natalie Packham	Frankfurt School of Finance & Management
      Jianwei Zhu	Sal. Oppenheim

      Info line:

      The conference is sponsored by
      
      Commerzbank AG, Financial Engineering Team
      d-fine GmbH
      Sal. Oppenheim jr. & Cie. KGaA, Trading & Derivatives
      SciComp Europe
      Lucht Probst Associates GmbH

      More info and registration:
      http://workshop.mathfinance.com/2007/
   
   
   

   4. Latest Developments: Credit Derivatives Pricing & Modeling, Credit Hybrids & CPPI London, 26 – 30 March 2007

      Day One: Latest Developments: Collateralized Debt Obligations
      
      Presenters:
      
      Claudio Albanese: Chair of Mathematical Finance, Imperial College London
      Dariusz Gatarek: Credit Analyst, GLENCORE
      Richard Martin: Director, Head of Quantitative Credit Strategy, Credit Suisse, Credit Suisse
      Vivek Kapoor: Executive Director, UBS Investment Bank
      
      Day Two: Pricing Issues in Structured Credit
      
      Presenter:
      
      Jon Gregory: Global Head of Credit Derivatives Research, Barclays Capital
      
      Day Three: Pricing Models for Credit Hybrid Securities
      
      Presenter:
      
      Philipp Schönbucher: Assistant Professor, Risk Management, (ETH) Zurich
      
      Day Four: Credit Correlation: Interpolation, Extrapolation and Dynamics
      Presenters:
      
      Damiano Brigo: Head of Credit Models, Banca IMI & Roberto Torresetti: Quantitative Analyst, Banca IMI
      
      Day Five: Credit CPPI & CPDOs
      
      Presenters:
      
      Julien Turc: Head of Quantitative Credit Strategy & Jerome Brun: Head of Quantitative Credit Research, Société Générale
      
      Contact:
      
      Neil Fowler
      T: +44(0) 1273 201352 F: +44(0) 1273 201360
      Website: http://www.wbstraining.com
      Email:
      
      

   5. Latest Developments: Commodities & Commodity Derivatives by Professor Hélyette Geman, London, 14 - 16 March 2007, New York City, 18 - 20 April 2007, Hong Kong 25-27 June 2007

      Full Programme London & Full Programme New York
      &Full Programme Hong Kong
      
      Day One
      Fundamentals of Spot and Forwards / Futures Commodity Markets
      
      Day Two
      Commodity Options
      
      Day Three
      Advanced Topic
      
      Contact:
      
      Neil Fowler
      T: +44(0) 1273 201352 F: +44(0) 1273 201360
      Website: http://www.wbstraining.com
      Email:
      
      

   6. Latest Developments: Interest Rate Modelling & Hybrids Products, London, 19 – 23 March 2007

      Day One
      The Practicalities of Libor Market Models
      
      Presenter:
      Peter Jaeckel: Global Head of Credit, Hybrid, and Commodity Derivative Analytics, ABN Amro
      
      Day Two
      Interest Rate Hybrids: FX/ Commodities
      
      Presenters:
      Claudio Albanese: Bloomberg LP, New York & Imperial College London
      Messaoud Chibane: Senior Quantitative Analyst, Bank of America
      James Groves: Barclays Capital, Head of Commodities Hybrids Trading
      Chris Hunter: Hybrids Trader, BNP Paribas
      
      Day Three
      Interest Rate Modelling
      
      Presenters:
      Philippe Balland: Managing Director in the Fixed Income Division, Merrill Lynch
      Christian Fries: Quantitive Analysis: DZ Bank
      Stefano Galluccio: Co-head of exotic and hybrid derivatives trading, BNP Paribas
      Pat Hagan: Brevan Howard
      
      Day Four
      New advances in market models for interest rates
      
      Presenters:
      Fabio Mercurio & Massimo Morini
      
      Day Five
      Interest Rate Hybrids: Credit / Equity / Inflation
      
      Presenters:
      Frederic Abergel: Head of Equity Derivatives Quant Analytics, IXIS CIB
      Helyette Geman: Professor of Mathematical Finance Birkbeck, University of London and ESSEC Business School
      Jereon Kerkoff: Vice President, Morgan Stanley
      Youssef Randjiou: Head of Hybrid Derivatives Research: Citigroup
      
      Contact:
      
      Neil Fowler
      T: +44(0) 1273 201352 F: +44(0) 1273 201360
      Website: http://www.wbstraining.com
      Email:
      
      

   7. Inflation Linked Derivatives Workshop, London, 2 - 4 April 2007

      Day One: Introducing Inflation-linked Securities and Derivatives: Introductory / Intermediate
      
      Presenter: David Murphy: Value Consultants Limited
      
      
      • Inflation and Inflation-Linked Bonds
      • Investors and the Demand forInflation-Linked Products
      • Inflation-Linked Securities and Derivatives: Perspectives forTraders and Issuers
      • Inflation Swaps and Inflation-Link Product
      • Structuring Building the Inflation Curve
      • Pricing and Trading Options on Inflation
      
      
      Day Two: Latest Developments: Inflation-linked Derivatives
      
      Presenters:
      
      Jeroen Kerkhof: Vice President, Fixed Income, Morgan Stanley
      Stephane Salas: Head of Inflation Trading, Societe Generale
      Yildiray Yildirim: Assistant Professor of Finance, Syracuse University
      
      
      • Inflation-Linked Bonds
      • Term Structure of Real and Nominal Interest Rates
      • Pricing Inflation-Linked Derivatives
      • Comparing Inflation Curve Interpolation Schemes (Extended) Jarrow - Yildirim
      • Supply/Demand in the Euro HICP Swap Market: Nominal/Linkers Asset-Awap Differentials as a Measure of Demand on Swaps
      • Seasonality and Fixing Risk: a Ticking Time Bomb? Measuring and Managing these Risks
      • Correlation Trading: the Future of Inflation Relative Value Trading?
      
      
      Day Three: Latest Developments: Inflation-linked Derivatives
      
      Presenters:
      
      Brice Benaben: Managing Director & Head of Inflation Structuring, Citigroup
      Dariush Mirfendereski: Managing Director & Head of Inflation Linked Trading, UBS
      
      
      • Trading Asset Swaps vs ZC Swaps
      • Arbitrage Bounds on ASWs
      • Real vs Nominal Yield Beta
      • Linking (Real and Nominal) Bond Curves with (Real and Nominal) Swap Curves
      • From “Linker” Models to “Derivatives” Models
      • From Static to Dynamic Hedging Strategies
      • Emerging of Products Indices: Back to the “Initial” Models?
      • The Combination of Credit Risk and Inflation Risk
      
      
      Contact:
      
      Neil Fowler
      T: +44(0) 1273 201352 F: +44(0) 1273 201360
      Website: http://www.wbstraining.com
      Email:
      
      

   8. LIBOR Market Model Master Class: Peter Jaeckel and Riccardo Rebonato, Venice, 12 - 13 April 2007

      Day 1: The Practicalities of LIBOR Market Models
      
      Peter Jaeckel: Global Head of Credit, Hybrid, Inflation and Commodity Derivative Analytics, ABN Amro
      
      
      • Derivation of the Indirectly Stochastic Drift
      • Futures Convexity Corrections in the Libor Market Model
      • Standard and Skewed Libor Market Model Dynamics
      • Parametrisation of Correlation and Volatility Backbone
      • Analytical Calibration to Coterminal Swaptions
      • Non-Parametric Volatility Specification
      • Cross-Currency Libor Market Modeling
      • Calibration of FX Volatilities in a Cross-Currency Libor Market Model
      
      
      Day 2: The Latest Advancements of the LIBOR Market Model
      
      Riccardo Rebonato: Global Head of Market Risk and Quantitative Research, Royal Bank of Scotland
      
      
      • What do we need to price interest-rate derivatives?
      • Why can the LMM provide the tool we need for this?
      • 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
      • 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
      • Further smile features: stochastic volatility and regime shift
      • Questions from the delegates
      
      
      Contact:
      
      Neil Fowler
      T: +44(0) 1273 201352 F: +44(0) 1273 201360
      Website: http://www.wbstraining.com
      Email:
      
      

   9. Credit Derivatives: Master Class by John Hull, Jon Gregory & Philipp Schonbucher, New York City, 23 – 25 April 2007

      Full Programme
      
      Day 1
      
      John Hull: Professor of Derivatives & Risk Management, Rotman School of Management, University of Toronto
      
      Modelling Credit Derivative Products:
      
      
      • Default Probabilities and Credit Default Swaps
      • CDOs: The Standard Market Model
      • The Implied Copula Approach
      • The Implied Copula Approach Continued
      
      
      Day 2:
      
      Jon Gregory: Global Head of Credit Derivatives Research, Barclays Capital
      
      Credit Derivatives Pricing:
      
      
      • Modelling Credit Correlation
      • Pricing Baskets and Synthetic CDOs
      • The Correlation Skew
      • Pricing of CDS and CDS options
      • Index option pricing
      • Capital structure arbitrage
      • Pricing of credit contingent structures
      • Leveraged super senior tranches
      
      
      Day 3:
      
      Philipp Schönbucher, Assistant Professor, Risk Management, (ETH) Zurich
      
      Pricing Models for Credit Hybrid Securities:
      
      
      • Requirements for hybrid modelling
      • Credit Risk Components: Single-name models
      • Portfolio credit risk models
      • The Loss Market Modelling Approach
      • How this approach can simplify the modelling requirements
      • Places to incorporate external risk factors
      • Numerical implementation
      • Credit Equity Hybrids
      • Barrier-default firm’s value models
      • Simple credit-equity models with a “jump-to-default”
      • Portfolio credit-equity models
      • Credit Hybrids
      • Credit interest-rate hybrids
      • Credit FX hybrids
      • Credit Commodity hybrids
      
      
      Fees: Workshops: $1399:00 per day
      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 201352 F: +44(0) 1273 201360
      Website: http://www.wbstraining.com
      Email:
      
      

   10. Computational Finance World Congress, March 26, 2007, London

       Intensive one-day event in London, March 26, 2007 will feature over thirty top speakers on the hotest issues in Computational Finance.
       For registration and the event program, please go to http://www.msri.org/specials/compfinance/index_html.
       
       

   11. Computational Finance Hybrid Derivatives Workshop: The Latest Modeling and Practical Implementation Techniques London, 7th - 8th June 2007

       Day One: Computational Finance Hybrid Derivatives Workshop
       
       Rama Cont: Columbia University, New York.
       Hybrid Intro & Latest Implementation Strategies
       
       Chris Hunter: BNP Paribas
       Pricing of European Options Using Copula.
       
       Joachim Anlauf: Universitaet Bonn
       Monte Carlo Simulation with FPGAs for Fast Pricing of Derivatives
       
       Day Two: Computational Finance Hybrid Derivatives Workshop
       
       Domingo Tavella: Advisor HVB
       PDE approach to Hybrids
       
       Norddine Bennani: Dresdner Kleinwort
       IR/Credit Hybrids
       
       Manlio Trovato: Merril Lynch
       Option pricing with continuous-time lattices
       
       Oliver Brockhaus: Commerzbank
       Equity Hybrids
       
       Contact:
       
       Neil Fowler
       T: +44(0) 1273 201352 F: +44(0) 1273 201360
       Website: http://www.wbstraining.com
       Email:
       
       

   12. Latest Developments: Interest Rate Hybrid Products Workshop, Singapore, 21 - 22 June 2007

       Day 1: Interest Rate Hybrids
       
       Chak Wong: Executive Director, UBS
       Hybrids: Commodities, Equities, Credit and Interest Rate Derivatives
       
       Oliver Chen: Assistant Professor, Department of Mathematics, National University of Singapore
       Wavelet Pricing of IR Hybrids in a BGM framework
       
       Representative: Citigroup TBC
       
       Day 2: Interest Rate / FX Hybrids
       
       Claudio Albanese: Bloomberg LP, New York & Imperial College London
       Operator Methods for Long Dated Interest Rate Hybrids
       
       Chris Hunter: Hybrids Trader, BNP Paribas
       Correlation Smile and Hybrid Pricing
       
       Contact:
       
       Neil Fowler
       T: +44(0) 1273 201352 F: +44(0) 1273 201360
       Website: http://www.wbstraining.com
       Email:
       
       
3. MathFinance Resources
   
   

   1. Looking for a Job in London?

      

      Why not take a look at CanaryWharfJobs.com, a leading Financial Jobs Board, covering Canary Wharf, London and Surrounding Areas.

      Register your CV online at http://www.canarywharfjobs.com/cands/candregister.asp, and Increase your Possibilities.

      For a look at some of the latest jobs, search online at www.canarywharfjobs.com

      Accounting & Finance Jobs- www.accountantcareers.co.uk Coming Soon- www.ourlondonjobs.com

      
      
      

   2. Developing Add-ins (XLLs) in Excel 2007

      Learn about Microsoft Office Excel 2007 features that affect XLL add-ins and enable new XLL functionality, as well as changes to the XLL C API itself at
      
      http://msdn2.microsoft.com/en-us/library/aa730920.aspx
      
      

   3. New Book on Mathematical Finance: Core Theory, Problems and Statistical Algorithms by Nikolai Dokuchaev

      Series: Routledge Advanced Texts in Economics and Finance
      
      About this book
      
      

      Written in a rigorous yet logical and easy to use style, spanning a range of disciplines, including business, mathematics, finance and economics, this comprehensive textbook offers a systematic, self-sufficient yet concise presentation of the main topics and related parts of Stochastic Analysis and statistical finance that are covered in the majority of university programmes.

      Providing all explanations of basic concepts and results with proofs and numerous examples and problems, it includes:

      • an introduction to probability theory
      • a detailed study of discrete and continuous time market models
      • a comprehensive review of Ito calculus and statistical methods as a basis for statistical estimation of models for pricing
      • a detailed discussion of options and their pricing, including American options in continuous time setting.
      
      
      

      An excellent introduction to the topic, this textbook is an essential resource for all students on undergraduate and postgraduate courses and advanced degree programs in econometrics, finance, applied mathematics and mathematical modelling as well as academics and practitioners.

      List Price: $51.95 (paperback) $160 (hardcover)
      ISBN: 9780415414487 ISBN-10: 0415414482 Publisher: Routledge
      Publication Date: 31/01/2007 Pages: 208
      
      http://www.routledge.com/shopping_cart/products/product_detail.asp?sku=&isbn=9780415414487&pc=