The MathFinance Newsletter, Edition 178, March 7 2008.
Previous editions and this edition in html format can be found on
http://www.mathfinancenews.com/.
In this issue:
- MathFinance Job Exchange
- Financial World Recruitment - a candidate driven recruitment company which vets, interviews and prepares all delegates for the capital market sector
- Chair in Financial Mathematics/Actuarial Science Department of Mathematics at the University of Leicester Available from 1 September 2008
- Derivatives Analyst for the Risk Management Directorate at European Investment Bank, Luxembourg.
- Risikomanagement Financial Risk Solutions, Deloitte, Düsseldorf
- Mathematiker (m/w), Naturwissenschaftler (m/w), oder (Wirtschafts-) Informatiker bei d-fine GmbH, Deutschland
- MathFinance Events
- Latest Developments: Interest Rate Modelling & Interest Rate Exotic & FX Hybrid Products, London, 10-12 March 2008
- Barcelona Financial Engineering Seminar, A forum where financial practice meets academia, 14 March, 11 April 2008
- MathFinance Workshop with Prof. Eckhard Platen (Sydney University of Technology) on the Benchmark Approach to Quantitative Finance, Frankfurt, 15 March 2008
- Frankfurt MathFinance Conference, 17-18 March 2008
- Latest Developments: Credit Derivatives Pricing, Hedging, Modelling & Trading Techniques, London, 17-19 March 2008
- Latest Developments: Commodities & Commodity Derivatives, London, 2 - 3 April 2008
- 11th Conference of the Swiss Society for Financial Market Research, Zürich, 11 April 2008
- Einführung in Monte Carlo und C++ im Financial Engineering, MathFinance Training, Frankfurt, 14-18 April 2008
- Commodities & Commodity Derivatives by Professor Helyette Geman, London, 9-10 June 2008
- Property Derivatives Workshop, London, Monday 23 June 2008
- Foreign Exchange Exotic Options by Professor Uwe Wystup, London, 7-8 July 2008
- 5th Fixed Income Conference, Budapest, September 24-26 2008
- Special Semester on Stochastics with Emphasis on Finance, Johann Radon Institute for Computational and Applied Mathematics (RICAM), Linz, Sept - Dec 2008
- Latest Developments: Interest Rate Modelling & Interest Rate Exotic & FX Hybrid Products, London, 10-12 March 2008
- MathFinance Resources
- 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
- MathFinance Job Exchange
-
Financial World Recruitment
Financial World Recruitment is a candidate driven recruitment company which vets, interviews and prepares all delegates for the capital market sector. As part of our service you can post either your company jobs or candidate CVs on our website for free. FWR specialises in Quantitative Research, Risk Management, Financial Engineering, Model Validation, Structured Products, Trading & Commodity Derivatives positions. Please see below for a selection of CVs & Jobs or click on our website to view all information.
Contact Details: Chris King
Telephone: +44 (0) 1273 201 199
Email:![[spam save email]](http://mathfinance.de/email.png.php?addr=chris_xx_fwrecruitment__com)
Website: http://www.fwrecruitment.comCandidates:
http://www.fwrecruitment.com/candidates.php -
Chair in Financial Mathematics/Actuarial Science Department of Mathematics
at the University of Leicester Available from 1 September 2008Applications are invited from distinguished scholars for a Chair in Financial Mathematics/Actuarial Science. The successful candidate will have an international reputation for research excellence and an outstanding record of publication in leading international journals in the area of Financial/Actuarial Mathematics. The postholder will provide academic leadership; contribute to the future development of Financial Mathematics at Leicester and strengthen and develop links with financial institutions. The Department has a commitment to grow in the area of Financial Mathematics and will expect the postholder to lead on future developments.
Further information is available at http://www.le.ac.uk/personnel/jobs/p3661a.html.
Closing date: 30 April 2008
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A career in the heart of Europe
The EIB, the European Union’s financial institution, is seeking to recruit for its Risk Management Directorate (RM) - Financial and Operational Risk Department - Derivatives Division - Valuation Unit at its headquarters in Luxembourg a:
Derivatives Analyst
The successful candidate will contribute to the implementation of valuation models, the validation and update of the models and the computation of the "fair value" of the swap transactions for the accountancy. S/he will also participate in the Numerix and Algorithmics projects and contribute to the collateral management swap documentation and reporting tasks.
Responsibilities:
• run valuation models for structured transactions; • verify the valuation of the "fair value" of the transactions performed by counterparties; • produce the "fair value" of swap transactions for accountancy and Annual Report purposes; • check market data and reconcile values; • prepare the documentation of the valuation procedure of structured transactions; • prepare reports on derivatives and limit availability; • prepare and update the documentation on derivatives (ISDA, ABF); • monitor the collaterals on derivatives in collaboration with the external collateral agent.
Qualifications:
• university degree, preferably in mathematics, quantitative finance and/or statistics. Postgraduate studies in these subjects would be an advantage; • solid knowledge in the areas of derivatives valuation, and statistics, as well as in derivatives’ valuation packages, e.g. NUMERIX and Algorithmics; • several years of professional experience in mathematical programming languages, e.g. Visual Basic, MathLab or Mathematica; • familiarity with the main issues of credit risk quantification; • good knowledge of English and French. Knowledge of other European Union languages would be an advantage.
Competencies:
• high level analytical capabilities; • ability to work in a team; • strong interpersonal skills; • good verbal and written communication skills.
Applicants must be nationals of a European Union Member State or one of the Acceding Countries. The EIB offers attractive terms of employment and remuneration with a wide range of benefits. The EIB is an Equal Opportunities Employer and particularly welcomes applications from women.
To apply, please go to www.eib.org and click on reference number RM08WWW09. Applications will be treated in strictest confidence. They will not be returned. Personal Data are protected by Community Regulation. All current vacancies can be found on our website www.eib.org. -
Risikomanagement Financial Risk Solutions, Deloitte, Düsseldorf
- Business Analysts, Consultants, Senior Consultants (m/w) - Risikomanagement Financial Risk Solutions
Job-Nr. H6-CO-BA-DU-157
Standort: Düsseldorf
Es erwartet Sie ein teamorientiertes Arbeitsumfeld mit sehr guten Aufstiegschancen. Das interessante und abwechslungsreiche Aufgabenspektrum bietet Ihnen die Möglichkeit, am Ausbau unserer Service Line Financial Risk Solutions aktiv mitzuwirken. Die Einbindung in das weltweite Netzwerk von Deloitte ermöglicht internationalen Know-how-Transfer und die Mitarbeit an grenzüberschreitenden Projekten.
Ihre Aufgaben
Im Spannungsfeld von Mathematik und regulatorischen Anforderungen erarbeiten Sie für unsere Mandanten betriebswirtschaftliche Lösungen unter Einsatz von finanzmathematischen Modellen. Sie verstärken unser Quant-Team, das für quantitative, betriebswirtschaftliche und aufsichtsrechtliche Fragestellungen kompetenter Ansprechpartner für unsere Mandanten ist, zu denen bedeutende Banken, Versicherungen, Finanzdienstleister sowie Energieund Industrieunternehmen geören. Ein Schwerpunkt Ihrer Tätigkeit wird auf Methoden und Verfahren der Steuerung von Kredit-, Marktpreis- und operationellen Risiken liegen.
Ihr Profil
Sie haben Ihr Hochschulstudium mit Bezug zu Wirtschaftswissenschaften und quantitativer Ausrichtung überdurchschnittlich erfolgreich abgeschlossen oder erwarten, dies in naher Zukunft zu tun. Bei der Lösung praktischer Problemstellungen fühlen Sie sich sicher im Umgang mit statistischen Verfahren, finanzmathematischen Fragestellungen sowie dem Einsatz und der Bewertung von Derivaten. Vertiefte Kenntnisse der Ökonometrie bzw. schließenden Statistik, der stochastischen Methoden zur Bewertung von Derivaten oder der Versicherungsmathematik bringen Sie idealerweise mit.
Neben Fragen der mathematischen Modellbildung sind für Sie Projekte mit vorrangig qualitativem Fokus ebenso reizvoll. Dazu zählen beispielsweise Projekte in den Bereichen Treasury, Risikocontrolling, Portfoliomanagement oder zur Internationalen Rechnungslegung von Finanzinstrumenten sowie zur Regulierung von Finanzdienstleistern nach Basel II und den Mindestanforderungen an das Risikomanagement. Idealerweise haben Sie bereits während Ihres Studiums oder in den ersten Berufsjahren praktische Erfahrungen in o. g. Themengebieten sammeln können. Einschlägige Berufserfahrung als "Quant", beispielsweise in der Bewertung von strukturierten Finanzinstrumenten, der Erstellung von Ratingsystemen oder der Modellierung des ALM bei Lebensversicherern, ist für uns besonders wertvoll. Dank Ihrer analytischen Fähigkeiten stellen Sie sich gerne komplexen Herausforderungen, erarbeiten sich neue Themen weitgehend selbständig und präsentieren Ihre Arbeitsergebnisse ohne Schwierigkeiten auch in Englisch. Sie suchen den Kontakt mit Kunden und bauen dabei auf Ihr gesundes Selbstvertrauen.
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Praktikanten (m/w) - Risikomanagement Financial Risk Solutions, Deloitte
Job-Nr. H7-CO-PR-DU-010
Standort: Düsseldorf
Es erwartet Sie ein teamorientiertes Arbeitsumfeld mit sehr guten Aufstiegschancen. Das interessante und abwechslungsreiche Aufgabenspektrum bietet Ihnen die Möglichkeit, am Ausbau unserer Service Line Financial Risk Solutions aktiv mitzuwirken. Die Einbindung in das weltweite Netzwerk von Deloitte ermöglicht internationalen Know-how-Transfer und die Mitarbeit an grenzüberschreitenden Projekten.
Ihre Aufgaben
Sie unterstützen unsere Service Line Financial Risk Solutions bei der Implementierung von Bewertungsmodellen für unterschiedliche Finanzprodukte. Des Weiteren sind Sie in aktuelle Projekte mit quantitativem Schwerpunkt eingebunden. Zu Ihren Aufgaben zählen insbesondere:
- Entwicklung und Implementierung von Bewertungsalgorithmen
- Kalibrierung von Bewertungsmodellen
- Marktdatenrecherche in Bloomberg
- Literaturrecherche zu Spezialfragen aus der Finanzmathematik
- Unterstützung des Quant-Teams im Rahmen der täglichen Projektarbeit
Ihr Profil
Sie befinden sich im Hauptstudium eines naturwissenschaftlichen Studienganges mit finanzwirtschaftlichen Schwerpunkten und verfügen über sehr gute Programmier-Kenntnisse in Java und/oder C++. Eine systematische und lösungsorientierte Arbeitsweise sowie kommunikative Kompetenz zeichnen Sie aus. Gute Englischkenntnisse runden Ihr Profil ab.
Neben Fragen der mathematischen Modellbildung sind für Sie auch Aufgabenstellungen mit vorrangig theoretischem Fokus reizvoll. Idealerweise haben Sie bereits während Ihres Studiums im Rahmen von Praktika (etwa im Front Office einer Bank) Erfahrungen in o. g. Themengebieten sammeln können. Grundkenntnisse im Bereich Finanzmathematik und Derivate setzen wir voraus. Einschlägige Kenntnisse in der Bewertung von strukturierten Finanzinstrumenten und komplexen Produkten sind für uns besonders wertvoll.
Dank Ihrer analytischen Fähigkeiten stellen Sie sich gerne komplexen Herausforderungen, erarbeiten sich neue Themen weitgehend selbständig und präsentieren Ihre Arbeitsergebnisse ohne Schwierigkeiten auch in Englisch. Zudem sind Sie mindestens 8 Wochen verfügbar.
Dann bewerben Sie sich bitte online unter http://www.deloitte.com/careers oder schicken Sie Ihre aussagekräftigen Unterlagen bitte an Deloitte, Jessica Voß, Schwannstraße 6, 40476 Düsseldorf. Wir freuen uns auf Ihre Bewerbung. - Business Analysts, Consultants, Senior Consultants (m/w) - Risikomanagement Financial Risk Solutions
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Mathematiker (m/w), Naturwissenschaftler (m/w), oder (Wirtschafts-) Informatiker
d-fine GmbH, DeutschlandSie 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 weit über 200 Beratern und Büros in Frankfurt, München, London, Hong Kong und Bratislava 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 zu allen Themen im Bereich Handel und Risikomanagement - von der Strategie-Entwicklung über die fachliche Konzeption der zugehörigen Methoden und Prozesse 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 Naturwissenschaftler, Mathematiker oder 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 Frankfurt School of Finance & Management, dem Imperial College, der Warwick Business School und der Universite de Lausanne durchführen. Dabei können Sie sogar einen Master of Science (MSc) in Finanzmathematik, einen MBA in Management & Finance oder einen Abschluss als Chartered Financial Analyst (CFA) erwerben.
Wenn Sie in einem Team hoch begabter und hoch motivierter Kollegen mitarbeiten wollen, große individuelle Freiräume, viel Eigenverantwortung sowie hervorragende Entwicklungsperspektiven suchen, freuen wir uns auf Ihre Bewerbung.
Und durch unser flexibles Wohnortkonzept können Sie sogar Ihren jetzigen Wohnort beibehalten.
Willkommen bei d-fine!
d-fine GmbH
z. Hd. Frau Sabrina Adam
Opernplatz 2
60313 Frankfurt am Main
Telefon +49-69-90737-555
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homepage: http://www.d-fine.de
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- MathFinance Events
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Latest Developments: Interest Rate Modelling & Interest Rate Exotic & FX Hybrid Products:
London: 10th - 12th March 2008Topics:
Day 1: Interest Rate Modelling: Pricing, Hedging & Calibration Techniques
- Managing Smile Risk
- The SABR model, vanna, volga and managing smile risk
- Levy based models
- Managing Exotic Interest Rate Products
- Calibration/pricing/hedging cycle
- Models for exotics
- Practical Pricing of Exotics
- Auto-calibration/global calibration
- Extension to other callable exotics
- Pricing Callable Range Notes
- Adjusters and risk migration
- Callable range notes
Presenter:
Pat Hagan: Head Quantitative Analytics, Chief Investment Office, JP MorganDay 2: Interest Rate Modelling
- Mathematical Theory of Interest Rate Term Structure Dynamics and Calibration
- Least Squares Importance Sampling for Libor Market Models
- Least Square Importance Sampling (LSIS) & Effective Stratification
- Simulating Libor Market Models
- Markov Functional models (including multi-currency, multi-factor and forward smile)
- 1-factor Markov Functional Models: the Hunt-Kennedy-Pelsser calibration method
- Markov Functional models and forward smile
- CMS & CMS spread options
- Pricing & modelling of correlation copula models Markovian projection
- Swaptions arbitrage
Presenters:
Dorje C. Brody: Royal Society University Research Fellow, Imperial College London
Luca Capriotti: Vice President, Global Modelling and Analytics Group, Credit Suisse Investment Banking Division
Lane P. Hughston: Professor of Financial Mathematics, King's College London
Simon Johnson: Co-head of Credit and Interest Rate Financial Engineering, Commerzbank
Sandrine Ungari: Quantitative Research, Société GénéraleDay 3: Interest Rate Exotic & FX Hybrid Products
- Cross Currency Models
- History of FX model for long dated structures
- Long Dated FX Hybrids
- PRDC and FX Tarn payoffs
- Exotic Interest Rate Pricing with Trees
- Gaussian Model and Extensions
- Wavelet Option Pricing
- General Pricing using the Green functions
Presenters:
Messaoud Chibane: Senior Quantitative Analyst, Bank of America
Stefano Galluccio: Co-head of Exotic and Hybrid Derivatives Trading, BNP Paribas
Dherminder Kainth: QuARC, Royal Bank of Scotland
Michael Roehl: Senior Quant, Interest Rate Modelling/Hybrids, Morgan StanleyContact: Neil Fowler
T: +44(0) 1273 201352 F: +44(0) 1273 201360
Website: http://www.wbstraining.com
Event page: http://www.wbstraining.com/php/events/showevent.php?id=133
Fees: £999 per day + 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 -
Barcelona Financial Engineering Seminar
A forum where financial practice meets academia
Organised by Prof. Sebastian del Bano Rollin (Centre de Recerca Matematica, Barcelona) Sessions will take place at 11am in Borsa de Barcelona, Passeig de Gracia 19. Please confirm attendance at
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.
Check our web page www.crm.cat/quant/ for updates.14th March 2008
Dr. Jesper Andreasen
Head of Fixed Income Quantitative Research, Bank of America
Title: Modeling Liquidity and Feedback Effects from Dynamic Hedging
Abstract: We develop a simple equilibrium model where dynamic delta hedging has feedback effects on the dynamics of the underlying stock. We show that when hedgers are short (long) gamma then realised volatility increases (decreases). This in turn creates implied volatility smiles and has implications for the pricing and hedging of exotic options. Numerical solution, approximations, and extensions of the model are discussed.11th April 2008
Dr. Peter Jäckel
Global Head of Hybrid and Credit derivatives, ABN Amro
Title: Hyp Hyp Hooray!
Abstract:A new stochastic-local volatility model is introduced. The new model's structural features are carefully selected to accommodate economic principles, financial markets' reality, mathematical consistency, and ease of numerical tractability when used for the pricing and hedging of exotic derivative contracts. Also, we present a generic analytical approximation for Black volatilities for plain vanilla options implied by any parametric-local-and-stochastic-volatility model, apply it to the new model, and demonstrate its accuracy. -
Professor Dr Eckhard Platen
A Benchmark Approach to Quantitative Finance
Saturday 15 March 2008, 9:00 a.m. - 6:00 p.m.
Frankfurt, GermanyCourse Overview
This one day workshop introduces into the benchmark approach, which provides a general framework for financial market modelling. It allows for a unified treatment of derivative pricing, portfolio optimization and risk management. It extends beyond the classical asset pricing theories, with significant differences emerging for longer dated products and risk measures. A new Law of the Minimal Price emerges for derivative pricing. A Diversification Theorem allows forming a proxy for the numeraire portfolio. The richer modelling framework of the benchmark approach allows the derivation of tractable, realistic models for equity indices, exchange rates, equities and the interest rate term structure fully under the real world probability measure. It will be explained how the approach differs from the classical risk neutral approach. Examples on long term and extreme maturity derivatives demonstrate the important fact that a range of contracts can be less expensively priced and hedged in reality than suggested by classical theory.
All delegates will be given a complimentary copy of the book.
Contents
- Starting financial modelling from the numeraire portfolio
- Deriving the Law of the Minimal Price
- Approximating the numeraire portfolio via diversification
- Consistent utility maximization and portfolio optimization
- Pricing nonreplicable claims consistently as an investment
- Pricing and hedging long term and extreme maturity contracts
- Equity index, FX, equity and term structure derivatives.
Trainer
Eckhard Platen holds a Chair in Quantitative Finance at the University of Technology in Sydney. Prior to this appointment he was the Founding Head of the Centre for Financial Mathematics at the Institute of Advanced Studies at the Australian National University in Canberra. He has authored more than 130 articles in quantitative finance and applicable mathematics, and is the co-author of two successful books on Numerical Methods for Stochastic Differential Equations. Core ideas from his new book (Platen/Heath: A Benchmark Approach to Quantitative Finance, Springer Finance (2006), ISBN 3-540-26212-1) will be presented and expanded at the workshop.
Audience
The course is designed for portfolio managers, risk managers, financial engineers, financial analysts, quantitative analysts, traders, and researchers.
Booking and more information
http://conference.mathfinance.com
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8th Frankfurt MathFinance Conference
Derivatives and risk management in theory and practice
17-18 March 2008Join Germany's leading Quant Conference
Details and registration at http://conference.mathfinance.com.
List of speakers
- Prof Claudio Albanese, Independent Consultant
- Dr Alexander Antonov, Numerix
- Dr Oliver Caps, Dresdner Bank
- Andrea Odetti&Sanjeev Shukla, Commerzbank
- Dr Markus Himmerich, d-fine
- Dr Jürgen Hakala, Standard Chartered
- Fiodar Kilin, Quanteam AG
- Prof Antje Mahayni, University of Duisburg-Essen
- Dr Jan Maruhn, UniCredit Markets & Investment Banking
- Prof Hans Mittelmann, Arizona State University
- Prof Goran Peskir, University of Manchester
- Dr Kay Pilz, Sal. Oppenheim
- Prof Eckhard Platen, Sydney University of Technology
- Prof Rolf Poulsen, University of Copenhagen
- Dr Dietmar Schölisch, AXA
- Dr Sven Ludwig&Håkan Norekrans, Sungard
- Dr Jianwei Zhu, LPA
Topics
- Long-Term Options in Foreign Exchange and Interest Rate Markets
- Effective approximation of FX/EQ options for the hybrid models: Heston and correlated Gaussian interest rates
- Using Compiler-Engineering Algorithms for Building Payoff Languages
- Foreign Exchange Derivatives: Market Conventions and Smile Dynamics
- The Continuous-Time Lattice Method --- Option Pricing through Matrix Diagonalization
- Accelerating the Calibration of Stochastic Volatility Models
- Options Pricing - From Theory to Practice
- Effectiveness of CPPI Strategies under Discrete-Time Trading
- Selected Applications of Optimization in Finance
- Optimization Software for Financial Mathematics
- Options Pricing - From Theory to Practice
- High Performance Computing Techniques in Finance
- The British Option
- Option Pricing with No-Arbitrage Constraints
- The Law of the Minimal Price
- Auto-Static for the People: Risk-Minimizing Hedges of Barrier Options
- Dynamic Hedging of Variable Annuities - TwinStar: The AXA Way
- High Performance Computing Techniques in Finance
- Generalized Swap Market Model and the Valuation of Interest Rate Derivatives
Info line
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Sponsors
This conference is supported by Frankfurt School of Finance & Management and sponsored by
Commerzbank AG, Financial Engineering Team d-fine GmbH Lucht Probst Associates GmbH 
Sal. Oppenheim jr. & Cie. KGaA, Trading & Derivatives SciComp Europe NumeriX Software Ltd. 
SunGard Quanteam AG -
Latest Developments: Credit Derivatives Pricing, Hedging, Modelling & Trading Techniques:
London: 17th - 19th March 2008Topics:
Day 1: Credit Derivatives: Pricing, Hedging, Modelling & Trading Techniques
- Pricing and Hedging of Credit Derivatives: Information-Based Models
- Credit Volatility - Options and Beyond
- New products on credit volatility
- Tranches: Trading and Hedging in a Challenging Market
- The Credit Crunch: What Happened and What's Next?
- Creative Destruction: the Evolution of Credit Derivatives
- Arbitrage-free pricing of Credit Index Options
- The armageddon pricing measure and the role of correlation during the subprime crisis
Presenters:
Dorje C. Brody: Royal Society University Research Fellow, Imperial College London
Jerome Brun: Head of Quantitative Credit Research, Société Générale
Abel Elizalde, Alberto Gallo & Kunal Shah: Credit Derivatives Strategy, Bear Sterns
Lane P. Hughston: Professor of Financial Mathematics, King's College London
Massimo Morini: Head of Credit Models, IntesaSan Paolo BankDay 2: Credit Derivatives: Pricing, Hedging, Modelling & Trading Techniques
- Subprime Shock on Credit Markets
- New product developments in the aftermath of subprime
- Dynamic Portfolio Loss Modelling
- Key factors in loss modelling
- BSLP: Bivariate Spread-Loss Portfolio Model
- One-factor models for Credit Derivatives - From iTraxx to TABX
- Correlating multivariate Levy spread processes
- Portfolio Credit Derivatives Modelling
- Copula approaches and default time modelling
Presenters:
Salah Amraoui: Structured Credit Trading, BNP Paribas
Matthias Arnsdorf: Quantitative Research, JP Morgan
Jochen Felsenheimer: Head of Credit Strategy & Structured Credit, UniCredit Market & Investment Banking
Joao Garcia: Head of Credit Modelling, Dexia Bank
Serge Goossens: Senior Quantitative Analyst, Dexia BankDay 3: "After The Storm: The Future of Structured Credit"
- Lessons to be learned
- The correlation crisis of 2005
- The subprime meltdown of 2007
- Coping with CDO pricing
- Super senior pricing
- Prepayment risk (LCDX and ABS CDOs)
- Proper risk management of CDOs
- Idiosyncratic vs systemic risk
- Correlation risk
- Other leverage structures
- LSS and CDPCs
- Rating agency approaches
Presenter:
Jon Gregory: Global Head of Credit Derivatives Research, Barclays Capital
Contact: Neil Fowler
T: +44(0) 1273 201352 F: +44(0) 1273 201360
Website: http://www.wbstraining.com
Event page: http://www.wbstraining.com/php/events/showevent.php?id=134
Fees: £999 per day + 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 -
Latest Developments: Commodities & Commodity Derivatives:
London: 2nd - 3rd April 2008Topics:
Day 1: Agricultural, Base Metals, Biofuels, CCO & Commodity Investments
- Agriculture and Biofuels Trends
- Agriculture prices in the context of global commodity sector
- Alternative Routes to Commodity Investments
- Asset vs. Index: Product Choice
- Cross-Commodity Correlations
- Commodity CDO Structures
- S&P commodity modeling approach
- Stronger for Longer
- The long and short of it: Key drivers of base metals
Presenters:
Robin Bhar: Base Metals Strategist, UBS
Yves Demasure: Head Commodity Structured Trading, Fortis Global Markets
Olivier Lenoble: Associate, Quantitative Analytics, Standard & Poor's
Eugen Weinberg: Senior Commodity Analyst, Commerzbank
Stephan Wrobel: Founding Partner and CEO, Diapason Commodities ManagementDay 2: Energy Markets
- Modelling in Power Markets
- Storage Models (applicable to gas/oil markets alike)
- Load Following Deals
- Long-term daily load profiles
- Electricity / Carbon Markets
- Modelling Electricity Spot Prices
- Applications to full-service contracts
- Interaction of Carbon Trading and Energy Prices
- Valuation and Operational Management of Gas Supply Contracts
- From supply contracts to storages : Gas Derivatives Hedging
Presenters:
Olivier Bardou: Project Manager Research and Development Division, Gaz de France
Derek Bunn: Professor of Decision Sciences, London Business School
Marcelo Figueroa: Quantitative Analyst, BP Oil International Ltd
Mircea Marinescu: Global Head of Commodity Quantitative Analytics, Barclays Capital
Gero Schindlmayr: Risk Management, RWEContact: Neil Fowler
T: +44(0) 1273 201352 F: +44(0) 1273 201360
Website: http://www.wbstraining.com
Event page: http://www.wbstraining.com/php/events/showevent.php?id=135
Register to FOR ONE or BOTH days of the workshop
Register to BOTH days of the workshop and receive £200 discount -
11th Conference of the Swiss Society for Financial Market Research (SGF)
www.fmpm.org
Publisher of the Journal "Financial Markets and Portfolio Management"
April 11, 2008, Zürich (SWX Swiss Exchange)Call for Registration
We would like to invite both academics and practitioners to participate in the 11th Conference of the Swiss Society for Financial Market Research.
Program
During the conference, 72 papers on different topics of the latest financial market research will be presented and discussed. Further, there will be a keynote speech by José Antonio Blanco, UBS AG. Please find more information on our website www.fmpm.org.
Registration
There is no deadline for registration. The conference fee is 100 CHF. In case you do not register for conference participation beforehand, the walk-in rate amounts to 150 CHF. On April 10, 2008 there will be a pre-conference dinner in Zürich. Please register through the online tool.
For further questions please contact
Prof. Dr. Matthias Muck or Jan Marckhoff
University of Bamberg, Germany
DekaBank Chair of Financial Controlling
Kärntenstr. 7, 96052 Bamberg
E-Mail:![[spam save email]](http://mathfinance.de/email.png.php?addr=SGF_xx_sowi__uni-bamberg__de)
Phone: +49 - (0)951 - 863 2093
Fax: +49 - (0)951 - 863 2092 -
Einführung in Monte Carlo und C++ im Financial Engineering
Produced by MathFinance AG
Christoph Becker, Andreas Weber und Uwe Wystup
Kursumfang
5 x 8 Stunden Unterricht inkl. Übung.
14.-18. April 2008, täglich 9:00 - 12:15 Uhr und 13:45 - 18:45 UhrInhalt
- Kurze Einführung in C (Transfer ihrer Basic / Fortran / Pascal o.ä. - Programmierkenntnisse nach C)
- Ausführliche Einführung in das objektorientierte Programmieren mit C++
- Einführung in Templates und die STL
- Grundlegende Monte Carlo - Prinzipien
- Weiterführende Monte Carlo - Techniken zur Berechnung von Greeks und zur Varianzreduktion, Diskretisierungsschemata
- Praktische Aspekte in der Programmierung: Effiziente Implementation, Fehlerbehandlung, numerische Stabilität
- Erstellung von DLLs und Add-ins für Microsoft Excel
Adressaten
Berufseinsteiger im Bereich Financial Engineering, Studenten im Studiengang "Quantitative Finance" o.ä.Benötigte Vorkenntnisse
Gute Kenntnisse in einer beliebigen Programmiersprache, z.B. Pascal, Basic, Fortran etcMitzubringen
Ihr eigenes Notebook mit installiertem C++ Compiler, vorzugsweise Microsoft Visual Studio. Im Kursmaterial sind zu den Programmbeispielen Projektdateien für VisualStudio 2005 enthalten. Kostenlos stellt Microsoft derzeit Visual C++ Express zur Verfügung: http://msdn.microsoft.com/vstudio/express/.Teilnehmerzahl
maximal 10Kosten
1745 EUR zzgl. gesetzlicher Umsatzsteuer von 19%
Veranstaltungsort
Frankfurt am MainAnmeldungen
nimmt Ansua Dutta-wystup (![[spam save email]](http://mathfinance.de/email.png.php?addr=ansua__dutta_xx_mathfinance__com)
, Tel. 06087 919852)
entgegen.
Ein Anmeldeformular gibt es auf der Kurs-Webseite: http://colloquium.mathfinance.de/abstracts/c++apr2008.html.
Anmeldeschluss :31. März 2008 -
Commodities & Commodity Derivatives
by Professor Helyette Geman: London: 9th & 10th June 2008Topics:
Day 1: Trading Commodities: The Crucial Understanding of Spot and Forward Markets.
- Demand, supply and price formation
- Inventories as a key specificity of Commodities markets
- Theory of storage and the shape of Forward curves
- Futures Markets and Price discovery
- The role of indexes in the trading of Forward Freight Agreements
- Metals Markets
- Energy Markets
- Gas markets and LNG as an arbitrage instrument
- Oil markets: have we passed Peak Oil?
- Seasonal and Stochastic Effects in Commodity forward curves: the Borovkova - Geman model
Presenter:
Helyette Geman: Professor of Mathematical Finance Birkbeck, University of London, ESSEC Business School & Member of the Board of the UBS Bloomberg Commodity Index
Day 2: Structured Products and Advanced Topics
- Modelling commodity prices
- Is mean - reversion dead?
- When are trajectory jumps necessary?
- Inventory and price Volatility
- Exchange and spread options in commodities
- Application to the valuation of an aluminium smelter or a CCGT
- The key role of Asian options in shipping and energy markets
- Commodity structured notes
- Valuation and Hedging of CCOs: why they have little to do with CDOs
- Investing in Commodities: ETFs vs Certificates vs Shares of Mining companies vs Indexes
Presenter:
Helyette Geman: Professor of Mathematical Finance Birkbeck, University of London, ESSEC Business School & Member of the Board of the UBS Bloomberg Commodity Index
Contact: Neil Fowler
T: +44(0) 1273 201352 F: +44(0) 1273 201360
Website: http://www.wbstraining.com
Event page: http://www.wbstraining.com/php/events/showevent.php?id=142
Register to FOR ONE or BOTH days of the workshop
Register to BOTH days of the workshop and receive £200 discount -
Property Derivatives Workshop:
London: Monday 23rd June 2008- Introduction to Property Derivatives
- Market introduction
- Product explanations
- Building a forward property curve
- Valuing products with optionality
- Fundamentals of Property Derivatives
- The crucial role of indexes in creating property derivatives
- Contrasting Real estate indexes to equity and commodity indexes
- Residential versus commercial versus mixed indexes
- How broad should residential indexes be? The example of the US
- Symmetry of information in property derivatives
- Property Derivatives Pricing
- Analysing the IPD indices
- IPD indices
- Why was IPD formed?
- Computation, composition, coverage
- Annual, Quarterly, Monthly and the Annual Index Estimate
- How we model property returns
Presenters:
Helyette Geman: Birkbeck, University of London, ESSEC Business School & UBS Bloomberg Commodity Index
Jeroen Kerkhof: Morgan Stanley
Colin Lizieri: Professor of Real Estate Finance, University of Reading (To be confirmed)
Angela Sheahan: Research Manager, Investment Property DatabankContact: Neil Fowler
T: +44(0) 1273 201352 F: +44(0) 1273 201360
Website: http://www.wbstraining.com
Event page: http://www.wbstraining.com/php/events/showevent.php?id=141 -
Foreign Exchange Exotic Options by Professor Uwe Wystup
London: 7th & 8th July 2008Topics covered:
This practical two-day course covers the pricing, hedging and application of FX exotics for use in trading, risk management, financial engineering and structured products. Presented by Professor Uwe Wystup
Guest Speaker: FX Hybrids Modelling: Claudio Albanese
FX exotics are becoming increasingly commonplace in today's capital markets. The objective of this workshop is to develop a solid understanding of the current exotic currency derivatives used in international treasury management. This will give participants the mathematical and practical background necessary to deal with all the products on the market.
Prior Knowledge:
Calculus, probability theory, linear algebra, basics of stochastic processes, basic concepts of financial products, programming skills.Who Should Attend?:
Quantitative analysts, traders, risk-managers, financial engineers, structurers, researchers and others who create or deal with foreign exchange.Important Note:
Delegates are required to bring their own laptops with internet (Wi-Fi) access to work on case studies and live exercises using SuperDerivatives.
All delegates will receive a complimentary copy of the Wiley 2006 publication: FX Options and Structured Products by Uwe Wystup
Day 1: Review of the Fundamentals of FX Options
Fundamentals
- Components of foreign exchange risk: forwards, swaps and vanilla options
- FX options market: who does what and why
- Software, in particular Reuters Dealing and SuperDerivatives
Vanilla Options
- Put-call parity, put-call symmetry, foreign domestic symmetry
- Quotation conventions in FX
- Dates: trade day, premium payment day, exercise/expiration time, settlement day
- Settlement, spreads, deal processing, counterparty risk
- Exotic features: deferred payment, contingent payment, deferred delivery, cash-settlement, American and Bermudan exercise rights, cut-offs and fixings
- Exercises
Volatility
- Implied vs. historic
- Quotation in terms of deltas
- Volatility cones
- Volatility smile: term-structure, skew, risk reversals and butterflies
- Volatility sources
- Interpolation and extrapolation across the volatility smile surface
- Forward volatility
- Workshop: Greeks in terms of deltas, hedging volatility risk, deriving the strike from the delta with smile
First Generation Exotics: Products, Pricing and Hedging
- Digital options: European and American style, single and double barrier
- Barrier options: single and double, knock-in and knock-out
- Compound and instalment
- Asian options: options on the geometric, arithmetic and harmonic mean
- Power, lookback
Structured Products
- Dual currency and other FX-linked deposits
- Case study: unwinding a DCD
- Structured forwards: shark forward, bonus forward, range-reset forward, etc.
- FX-linked cross currency swaps
- Exotic spot and forward trades
- Workshop: structuring exercises
The Traders' Rules of Thumb
- How higher order derivatives influence the price
- Vanna-volga pricing approach
- Case study: one-touch
- Discussion of model risk and alternatives: stochastic volatility
- Workshop: pricing of barriers with smile
Day schedule: 09:00 - 17:30
Break: 10:30 - 10:45
Lunch: 12:30 - 13:30
Break: 15:15 - 15:30Day 2: Second Generation Exotics Pricing and Hedging issues & FX Hybrids Modelling
Single Currency Exotics
- Exotic features in (vanilla) options: deferred payment, contingent payment, deferred delivery, cash-settlement, American and Bermudan exercise rights, cut-offs and fixings
- Exotic barrier and touch options
- Faders, corridors, accumulative forwards
- Forward start options, step-ups
- Time options
- Variance and Volatility Swaps
- Workshop: structuring and pricing of accumulative forwards
Multi Currency Exotics
- Product overview with applications: quanto options, baskets, spreads, best-ofs, outside barriers
- Correlation: implied correlations, correlation risk and hedging
- Pricing in Black-Scholes model: analytic, binomial trees and Monte Carlo
- Workshop: pricing and correlation hedging a two-currency best-of
Quantitative Issues
- Efficient computation of Greeks using Homogeneity and other Tricks
- Efficient computation of Greeks for American Options using Leisen-Reimer Trees
- Workshop: Time Options with Leisen-Reimer Trees
- Local Volatility model and pricing with the smile using PDEs, application to barrier options
- Heston's Stochastic Volatility model, pricing, implementation techniques for analytic and Monte Carlo, applications to exotic options
- Pricing with the smile: e.g. weighted Monte Carlo
FX Hybrids Modelling: Presenter: Claudio Albanese
- Examples of typical products
- Power Reverse Dual Currency knock outs and cancellables
- FX inverse floaters
- FX TARNs
- Quantoed structures
- History of FX model for long dated structures
- Cross-Currency Libor Market Models
- Semi-parametric Models and Operator Methods
- Trends in System Engineering: clusters and GPU computing
- Stochastic monetary policy models
- Modelling the long-dated FX smile
- Modeling correlations by dynamic conditioning
Day schedule: 09:00 - 17:30
Break: 10:30 - 10:45
Lunch: 12:30 - 13:30
Break: 15:15 - 15:30
Contact: Neil Fowler
T: +44(0) 1273 201352 F: +44(0) 1273 201360
Website: http://www.wbstraining.com
Event page: http://www.wbstraining.com/php/events/showevent.php?id=136
Fees: £999 + UK VAT per day + UK VAT
Register to FOR ONE or BOTH days of the workshop
Register to BOTH days of the workshop and receive £200 discount -
The 5th Fixed Income Conference is heading to Budapest in 2008, September 24/25/26th
Workshop Day: Wednesday 24th September:
The LMM-SABR Model: The New Paradigm for Pricing, Calibrating, Hedging Interest-Rate Derivatives Modelling in the Presence of Smiles:
Presenter Riccardo Rebonato: http://www.wbstraining.com/php/conference2008/show_page.php?id=1 Credit Derivatives Post Subprime Crisis Workshop:
Presenter Massimo Morini: http://www.wbstraining.com/php/conference2008/show_page.php?id=2Long Dated Interest Rate Derivatives and Hybrids Workshop:
Presenter Claudio Albanese: http://www.wbstraining.com/php/conference2008/show_page.php?id=3
Main Conference: Thursday 24th / Friday 25th September, Invited Speakers:
Claudio Albanese, Leif Andersen, Jesper Andreasen, Martin Baxter, Andrey Chirikhin, Alain Chebanier, Helyette Geman, Jon Gregory, Pat Hagan, Juergen Hakala, Chris Hunter, Peter Jaeckel, Jeroen Kerkhof, Joseph Langsam, Dilip Madan, Dariush Mirfendereski, Massimo Morini, Vladimir Piterbarg, Riccardo Rebonato, Lutz Schloegl, Roberto Silvotti, Jochen Theis, Daniel Totouom-Tangho, Oldrich Vasicek
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Special Semester
on
Stochastics with Emphasis on Finance
held at the
Johann Radon Institute for Computational and Applied Mathematics (RICAM)
Linz, September 2008 - December 2008The goal of the Special Semester is to provide a stimulating environment for mathematicians, quantitative economists and, in particular, researchers in the areas of applied probability and analysis, computational methods, and finance to jointly address emerging challenges in the interface between stochastics and finance.
The aim is to focus in particular on the following topics that are at least partly related to research conducted at RICAM itself:
- Inverse and Partial Information Problems: Methodology and Applications.
- Optimization and Optimal Control.
- Computational Methods with Applications in Finance, Insurance and the Life Sciences.
- Stochastic Methods in Partial Differential Equations and Applications of Deterministic and Stochastic PDEs.
- Advanced Modeling in Finance and Insurance.
Leading experts in one or more of the above topics, talented post-docs and doctoral students will have the opportunity to collaborate at RICAM in an interdisciplinary atmosphere in order to gain new perspectives and to develop novel approaches.
The specific activities planned for the Special Semester are:
- an initial "autumn school" on the various topics of the Semester intended mainly as a tutorial for the benefit of younger participants.
- Thematic workshops for a duration of up to one week.
- Social events.
The Special semester should also allow
- for senior researchers to have the possibility to conduct collaborative research with colleagues on topics related to those of the Special Semester,
- for the younger participants to conduct research with other scientists who are present,
- for all participants to spontaneously organize additional research activities according to their ideas and needs.
Finally, the plan is also to have some practitioners involved in the activities.
Funding is available both for longer and shorter stays at RICAM. If you are interested in participating as long or short term visitor, please, send a note of interest to
![[spam save email]](http://mathfinance.de/email.png.php?addr=sef-office_xx_ricam__oeaw__ac__at)
Scientific Committee
Hansjörg Albrecher, University of Linz & RICAM, Austria
URL: www.ricam.oeaw.ac.at/specsem/sef/index.php
Karl Kunisch, University of Graz & RICAM, Austria
Hanna Pikkarainen, RICAM, Austria
Wolfgang Runggaldier, University of Padova, Italy (Chair)
Walter Schachermayer, TU Vienna & RICAM, Austria
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- MathFinance Resources
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Financial Numerical Recipes in C ++
http://finance.bi.no/~bernt/gcc_prog/recipes/recipes/
A webpage by Bernt Arne Ødegaard -
ClickOptions
100%ige Tochter der Investmentbank Société Générale, vereinfacht dem Privatanleger den Zugang zu Derivaten und Optionen. Sowohl stop-loss-turbos als auch click-options stellen Performancestärke und klar verständliche Produktstruktur in den Mittelpunkt und können so den Ertrag eines Portfolios, ungeachtet der Martktrends, erheblich steigern.
ClickOptions hat sich gegen den herkömmlichen Gebrauch entschieden, Derivate zu emittieren und durch Makler über die Börse zu vertreiben. Stattdessen wickelt ClickOptions nahezu den kompletten Geschäftsprozess ohne Dienstleister ab, um eine einwandfreie Servicequalität sicherstellen zu können (Produktemission, Orderausführung, IT-Entwicklung, Kontoverwaltung, Kundenservice). Das ist der Grund, warum Anleger sich beim Handel auf der Online-Tradingplattform auf ein hohes Volumen an Produkten nahe am Spotpreis, Orderausführung in weniger als 0,8 Sekunden und Service wie die Emission von Produkten auf Bestellung verlassen können.
ClickOptions wurde im Oktober 2000 auf Initiative von Derivatehändlern der Société Générale hin gegründet und ist heute in Österreich, Deutschland und Frankreich mit etwa 15.000 Kunden aktiv (Stand Juni 2005).
www.clickoptions.de -
Stochastic Programming Community Home Page
The Stochastic Programming (SP) Community is a world-wide group of researchers who are developing models, methods, and theory for decisions under uncertainty. The activities of this community facilitate the advancement of knowledge through its triennial conferences, specialized workshops, and rapid (electronic) dissemination of research via the Stochastic Programming E-Print Series (SPEPS).
The Committee on Stochastic Programming (COSP) is a group that serves the SP Community, and is a standing committee of the Mathematical Programming Society. The committee operates according to its By-laws.
For further information please visit http://stoprog.org/.
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MathCode C++
Generates Optimized C++ Code from Mathematica Programs
With MathCode C++ you can generate optimized C++ code that can be compiled and connected seamlessly into Mathematica.
Key Features
- Generation of stand-alone C++ code from Mathematica code, optionally connected via MathLink to Mathematica
- High-speed numeric computations
- Automatic linking of existing C, C++, and Fortran 90 code into your MathCode-generated C++ code base
- Extended matrix handling
Detailed information is available at
http://www.mathcore.com/products/mathcode/mathcodec++.php
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MathFinance AG * Schießhohl 19 * 65529 Waldems (Germany) * Tel: +49 (0) 700-62843462
Vorstand: Prof. Dr. Uwe Wystup, Ansua Dutta-Wystup
Vorsitzender des Aufsichtsrats: Hans Georg Fitzky
Sitz: Waldems - Zuständiges Registergericht: Amtsgericht Wiesbaden HRB 21000
Rechtsform: Aktiengesellschaft
new instance of http://www.mathfinance.com/
