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The MathFinance Newsletter #181

The MathFinance Newsletter, Edition 181, April 25 2008.

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

In this issue:

  1. MathFinance Job Exchange
    1. DFA Capital Management: ESG Business Development & Quantitative Analyst, Cologne, Germany; Zurich, Switzerland; and Purchase, NY
    2. Professor of Finance, Warwick Business School
    3. Assistant Professor or Associate Professor (3 posts), Finance Group, Warwick Business School
    4. Tenure-track positions in actuarial science and quantitative finance, Universidad Carlos III de Madrid, Dept of Business Administration
    5. Financial World Recruitment - a candidate driven recruitment company which vets, interviews and prepares all delegates for the capital market sector
    6. Risikomanagement Financial Risk Solutions, Deloitte, Düsseldorf
    7. Mathematiker (m/w), Naturwissenschaftler (m/w), oder (Wirtschafts-) Informatiker bei d-fine GmbH, Deutschland
  2. MathFinance Events
    1. Swiss Finance Institute Training Course on Energy and Emission Trading, Geneva, Switzerland, 12-15 May 2008
    2. Swiss Finance Institute Training Course on Practical Solutions for Econometric Issues in Asset Allocation, Geneva, Switzerland, 19-23 May 2008
    3. Modelling & Measuring Energy Risk. Pre-workshop: May 20, Conference: May 21-22, Barcelona, Spain
    4. Swiss Finance Institute Training Course on Advanced Equity Portfolio Management - I, Geneva, Switzerland, June 2-6 2008
    5. Advanced Risk and Portfolio Management, by Dr. Attilio Meucci, Frankfurt, 4-6 June 2008
    6. Commodities & Commodity Derivatives by Professor Helyette Geman, London, 9-10 June 2008
    7. Property Derivatives Workshop, London, Monday 23 June 2008
    8. 4th Annual CARISMA conference on Risk Control Strategies for Hedge Funds and Program Trading, London at 7City Learning, 1-2 July 2008
    9. Foreign Exchange Exotic Options by Professor Uwe Wystup, London, 7-8 July 2008
    10. Conference: Computational Methods for Pricing and Hedging Exotic Options. Mathematics Institute, University of Warwick: 11-12 July 2008
    11. 5th Fixed Income Conference, Budapest, September 24-26 2008
    12. Monte Carlo Methods in Finance by Dr. Jörg Kienitz, London: 20th & 21st October 2008
    13. SIAM Conference on Financial Mathematics & Engineering, New Brunswick, New Jersey, November 21-22 2008
  3. MathFinance Resources
    1. Heard on the Street: Quantitative Questions from Wall Street Job Interviews, by Timothy Falcon Crack
    2. cplusplus.com - The C++ Resources Network
    3. Boost provides free peer-reviewed portable C++ source libraries
    4. MoneyScience and Geocast launch Business Video Platform, MoneyScience.TV
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The MathFinance Newsletter - produced by MathFinance AG

  1. MathFinance Job Exchange

    1. DFA Capital Management
      ESG Business Development & Quantitative Analyst

      Cologne, Germany; Zurich, Switzerland; and Purchase, NY

      Fast growing international software and Services Company delivering Executive Decision Support solutions, which substantially increase the performance of insurance companies by optimizing the dynamic relationship between risk, capital, and value, has an exciting and rewarding career opportunity in its financial and economic modeling group. Candidates with experience and interest in modeling financial markets and ambitions toward business development are encouraged to apply.

      Position

      Lead business development, marketing and client support for our Economic Scenario Generator GEMS, which has unique capabilities in addressing a growing, dynamic market in the financial services industry

      Requirements

      • Working knowledge of modern financial mathematics
      • Familiarity with capital market products: interest rate, equity, FX, and derivatives
      • Familiarity with ALM and risk management
      • Familiarity with Monte-Carlo simulation
      • Strong presentation skills, and demonstrated experience or aptitude for business development
      • Fluent verbal and written English

      Pluses

      • Familiarity with insurance and actuarial science
      • Familiarity with financial modeling software and/or Economic Scenario Generators
      • German language skills

      The successful applicant must be willing to spend 1-2 years in our offices in Cologne Germany, where our European operations are located. Salary is commensurate with experience and background, and additional success driven compensation will provide a very attractive financial and growth opportunity.

      Send CV and cover letter to [spam save email].



    2. Warwick Business School
      Professor of Finance
      Finance Group

      Negotiable
      Ref: 34289-048

      Warwick Business School is one of the foremost Business Schools in the UK with a highly rated research record, and was the first UK school to be accredited by the three international agencies AACSB (US), EFMD (Europe) and AMBA (UK). WBS has strong undergraduate, specialist masters, MBA, doctoral and executive programmes.

      We are looking to expand and develop our Finance Group, which is one of the leading groups in Europe. You will be a scholar of international standing with a track record of international quality research. You will be able to play a leadership role in research and teaching, and will join the current Professors, Gordon Gemmill, Stewart Hodges, Anthony Neuberger, Mark Salmon and Lucio Sarno.

      The Group focuses on quantitative research on the capital markets with a pronounced applied emphasis. Research is grouped around five major themes: derivatives; international finance; financial econometrics; pensions, investments and behavioural finance; and corporate finance and governance. Research is carried out under the aegis of the Warwick Finance Research Institute (WFRI) in two research centres: the long-established Financial Options Research Centre (FORC), and the Financial Econometrics Research Centre (FERC) which was set up two years ago. We run a PhD in Finance as a separate, taught, stream of the WBS Doctoral programme.

      Application packs are available from Human Resources on 024 7652 3685 (24 hour answerphone), by email: [spam save email], our website www.warwick.ac.uk/jobs or www.jobs.ac.uk/warwick An application form MUST be completed if you wish to apply for this post.

      Closing date: 27 May 2008



    3. Warwick Business School
      Assistant Professor or Associate Professor (3 posts)
      Finance Group

      Competitive salary
      Ref: 31064-048

      Warwick Business School (WBS) is one of the foremost Schools in the UK and was the first Business School to be accredited in the UK (AMBA), Europe (EFMD) and the US (AACSB). WBS received the top 5* ranking in the 2001 RAE and has internationally recognised faculty and high quality students. It is committed to first class research and teaching. The School has strong undergraduate, specialist Masters, MBA, doctoral and executive programmes.

      In line with the expansion of our successful Finance Group we wish to recruit across all the major fields in finance, including international finance, corporate finance, investments and derivatives.

      Assistant Professor

      You will be capable of contributing to the School's aims of maintaining and further improving its research and teaching, with evidence of the potential to publish research of international excellence.

      Associate Professor

      You will be an experienced teacher of Finance, and will need to have a strong record of published research in the subject. You will be expected to provide research leadership in an area that develops or builds upon the group's main interests and to provide effective teaching across a range of undergraduate and postgraduate programmes.

      All enquiries: Samantha Riley on 02476 522428 and email, [spam save email]

      Application packs are available from Human Resources on 024 7652 3685 (24 hour answerphone), by email: [spam save email], our website www.warwick.ac.uk/jobs or www.jobs.ac.uk/warwick An application form MUST be completed if you wish to apply for this post.

      Closing date: 19 May 2008



    4. Assistant/Associate professor in actuarial science or finance (2 posts)

      Universidad Carlos III de Madrid

      Universidad Carlos III de Madrid, Dep of Business Administration invites applications for tenure-track positions in actuarial science and quantitative finance.

      The Dep. of Business Administration forms a solid academic team with a clear commitment on excellence both in research and teaching. http://www.uc3m.es/business

      Most of our faculty members hold degrees or relevant experience in outstanding academic institutions all over the globe. The Department is also a solid and consolidated institution in many professional business consultancy and education fields.

      The Department teaching tasks comprise all finance and actuarial science courses as well as organization and marketing courses in our BA, BSc. and MSc. programmes in economics, business administration, finance, actuarial science and accounting.

      In addition, the Department leads the Research Master in Business Economics and Applied Quantitative Methods, a challenging 2-years master programme designed for students aiming at a PhD. Also a whole range of professional development courses are offered every academic year.

      The successful candidates shall be able to develop outstanding research records in the areas of actuarial science or quantitative finance (top international refereed journals) and hold

      • A PhD in actuarial science, finance, statistics, econometrics or quantitative economics.
      • At least one international publication in a top-tier international journal.
      • Excellent teaching records. Students' teaching surveys are welcome.

      Knowledge of Spanish not strictly necessary.

      The maximum contract duration spans to 6 academic years. Tenure evaluations considered every 2 years according to achievements in research (current standards available on request) and students' teaching surveys.

      The salary comprises several layers

      • Basic fixed public university salary, according to Spanish regulations: approx. 36, 000€ per academic year on a 9 months basis.
      • University and Department financial research incentives.
      • Professional Development Courses teaching: approx. 200€ per hour.
      • Consultancy work

      Final salary appraisal depends on the candidate's experience, profile, research interests and skills. For applications on-line (deadline June 30), further details or discussion in strict confidence, please contact:

      Miguel Usábel
      [spam save email]



    5. 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]
      Website: http://www.fwrecruitment.com

      Candidates:

      http://www.fwrecruitment.com/candidates.php

    6. 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.

      • 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.

      Sie sind interessiert?

      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.

    7. Mathematiker (m/w), Naturwissenschaftler (m/w), oder (Wirtschafts-) Informatiker
      d-fine GmbH, Deutschland

      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 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
      [spam save email]
      homepage: http://www.d-fine.de





  2. MathFinance Events

    1. Swiss Finance Institute Training Course
      Title: Energy and Emission Trading
      Date: May 12-15, 2008
      Price: CHF 5'300.-
      Location: Geneva, Switzerland
      Lecturer: Mark Holder, James Kharouf and Peter Fusaro
      Organizer: Swiss Finance Institute

      Course description

      With the advent of the European Union's Trading Scheme for greenhouse gas emissions in 2005, the so-called carbon markets have become one of the fastest growing commodity sectors in financial markets today. The European Climate Exchange, launched in April 2005, now handles approximately 80% of the carbon market with several other European exchanges also offering carbon trading. In the US, regional exchanges are beginning to emerge in the absence of federal legislation. In Canada, the government is close to releasing its guidelines of climate change which will lead to as many as three carbon exchanges. And in Australia, the government is heading toward the creation of its own national carbon marketplace.

      Objectives

      This four-day course provides an overview of the range of energy derivative markets and instruments, as well as coverage of newer emission markets from over the counter markets for carbon trading to the products traded on the new climate exchanges. The course will also look at the Clean Development Mechanism and how offsets from emerging markets such as China, India and other countries are being integrated into the carbon market.

      Target Audience

      All those engaged in trading energy markets and emissions markets, as well as regulators and exchange staff. Compliance officers and others involved in emission and energy program implementation will also benefit. The course assumes familiarity with the basics of derivative products such as futures, options and swaps.

      Fees

      The fee for this course is CHF 5.300 (incl. VAT). This covers tuition, extensive course material (including pre-course readings), lunches and an official cocktail and dinner.

      COURSE CONTENT

      Monday
      • Emission and energy markets primer: This part of the program will examine how the carbon markets are beginning to evolve into a global marketplace and provide an overview of how it started, where it is today and where it is heading in the coming months and years. We will also look at various general trends - financial, political and corporate moves in the marketplace - and show how they affect the price movements in carbon. We will also look at the pitfalls and potential drawbacks to the carbon market that make it truly unique among commodity markets.
      Tuesday
      • Emission and energy market participants: We will examine the evolution of the market itself in terms of participation. What was once a market dominated by utilities and manufacturers is now populated by a slew of new participants from proprietary trading firms to hedge funds to banks and Fortune 500 companies.
      Wednesday
      • Market structure, trading and analysis: Review of exchange and OTC markets along with contract specifications and trading terms is covered here. Technical and fundamental trading models, as well as trading systems will provide participants with knowledge of the price formation process.
      Thursday
      • Pricing and new developments: Theoretical pricing models are covered to provide information on some approaches used in these markets. The impact of possible national standards and what is happening on carbon sequestration efforts. Deal structures are evolving rapidly; so, too, are the financial strategies needed to reach these deals. The latest market developments in emission trading are shown.

      Other suggested links:

      2008 Geneva Executive Courses in Finance course program Organization, Admission, Procedure & Fee Application Form

      For all other questions, please contact:

      Fabienne Garcelon
      Program Manager
      Swiss Finance Institute
      Rue des Gares 9
      CH-1201 GENEVA, Switzerland
      T +41 22 748 16 70
      F +41 22 731 95 75
      [spam save email]
      http://www.SwissFinanceInstitute.ch



    2. Swiss Finance Institute Training Course
      Title: Practical Solutions for Econometric Issues in Asset Allocation
      Date: May 19-23, 2008
      Price: CHF 6'500.-
      Location: Geneva, Switzerland
      Lecturer: Michael Brandt
      Organizer: Swiss Finance Institute

      Course description

      Financial econometrics has become one of the most important areas of research in econometrics. Those working in asset management can benefit immensely from its findings.

      Objectives

      This five-day course is devoted to the econometric issues which arise in asset allocation. The course illustrates the practical importance of dealing with these econometric issues and presents a variety of state-of-the-art techniques for the effective implementation of equity and fixed-income asset allocation. Since the ultimate focus of the course is implementation, the course is designed to be as applied as possible given the subject matter. Lecture modules are intertwined with group discussions and computer assignments. Realistic Excel-based examples are used to illustrate each econometric issue and proposed solution.

      Target Audience

      Professionals involved in making asset allocation decisions, including but not limited to banks, insurance companies, investment trusts, mutual funds, pension funds, hedge funds and other financial institutions.

      Fees

      The fee for this course is CHF 6.500 (incl. VAT). This covers tuition, extensive course material (including pre-course readings), lunches and an official cocktail and dinner.

      COURSE CONTENT

      Monday
      • Review of asset allocation theory: Objective functions; single-period optimization; mean-variance problem, solution and efficient frontier; incorporating higher-order moments; multi-period optimization; portfolio constraints and frictions.
      • Estimation error in asset allocation: Standard errors for return means, covariance matrices and optimal portfolio weights; statistical properties of ratios of estimates; economic loss due to estimation error; symptoms of an estimation error problem; estimation error versus a common factor structure.
      Tuesday
      • Shrinkage estimation: Intuition of Stein's paradox; statistical theory underlying shrinkage; shrinkage estimation of return means, covariance matrices and optimal portfolio weights; choosing a shrinkage target.
      • Common alternatives to shrinkage estimation: Bootstrapping return distributions; averaging optimal portfolio weights (Michaud's approach) versus optimal portfolio weights for averaged return distributions; imposing a factor structure; imposing an asset pricing model; constraining portfolio weights; linking portfolio constraints and shrinkage.
      Wednesday
      • Review of Bayesian statistics: Intuition of Bayes theorem; theory of learning from data; prior, model and posterior distributions; common model/prior combinations; obtaining posterior distributions by simulation; estimation and hypothesis testing; linking Bayesian and classical statistics.
      • Incorporating models and personal views: Treynor-Black approach; Fisher-Black approach; Bayesian reinterpretation of the Fisher-Black approach; economic priors; soliciting priors from oneself and clients.
      Thursday
      • Model uncertainty and data snooping.
      • Performance evaluation and survivorship bias: Modeling actively managed portfolio returns; survivorship bias; incorporating models and personal views into performance evaluation; using commonalities to evaluate new funds; modelling fund manager skills.
      • Other data problems: Combining data with different sample sizes; missing observations; measurement error.
      Friday
      • Modeling optimal portfolio weights: Parameterized portfolio weights; incorporating constraints and transaction costs; interpreting parameterized portfolio weights as managed portfolios.
      • Course review and open discussion.

      Other suggested links:

      2008 Geneva Executive Courses in Finance course program Organization, Admission, Procedure & Fee Application Form

      For all other questions, please contact:

      Fabienne Garcelon
      Program Manager
      Swiss Finance Institute
      Rue des Gares 9
      CH-1201 GENEVA, Switzerland
      T +41 22 748 16 70
      F +41 22 731 95 75
      [spam save email]
      http://www.SwissFinanceInstitute.ch



    3. Modelling & Measuring Energy Risk.
      Pre-workshop: May 20, Conference: May 21-22, Barcelona, Spain
      www.energyforum.com

      Energyforum

      Energy markets continue to expand at an unprecedented rate, and there is an ever-present need to accurately model energy commodities, and to price complex derivative products. The program is designed to give you the tools and techniques you need to succeed in the volatile market of commodities. The goal of the conference and workshop is to provide you with the latest modelling and risk management research, and to analyze the trading and investment opportunities offered today by energy markets.

      You will improve your skills in:

      • PCA for oil future prices
      • Spark spread trading
      • Seasonality and stochasticity in forward curves
      • Carbon trading and gas storage

      Two intensive pre-conference workshops:

      WORKSHOP 1: Methods to Calculate and Backtest the Value-at-Risk (VaR)
      WORKSHOP 2: Pricing and Hedging Energy Structured Deals

      Speakers:

      • Etienne Gabel, ICF Internationa
      • Hélyette Geman, Birkbeck, University of London
      • Céline Jerusalem, Gaz de France
      • Cyriel de Jong, Maycroft Consulting
      • Niko A. Iliadis, EnerCoRD
      • Mats Kjaer, Barclays Capital
      • Rudolph H.J. Kroll, Delta Energy
      • Steve Ohana, Birkbeck, University of London
      • Stefan Schneider, E.ON Energy trading
      • Tristram J. Scott, Energy Consultant
      • George Skiadopoulos, University of Piraeus
      • Franz Zehner,Maycroft Consulting

      Take this opportunity to learn from leading figures from the academic world and from the industry, which will provide an in-depth analysis of energy commodity markets in transition.

      Johanna Öberg
      Project Manager Energyforum
      [spam save email]
      +468 586 197 00
      www.energyforum.com



    4. Swiss Finance Institute Training Course
      Title: Advanced Equity Portfolio Management - I
      Date: June 2-6, 2008
      Price: CHF 6'200.-
      Location: Geneva, Switzerland
      Lecturer: François-Serge Lhabitant
      Organizer: Swiss Finance Institute

      Course description

      Over the past few years, portfolio management has become significantly more complex as a result of the volatile performance of markets and the emergence of new financial instruments and trading techniques. As a result, quantitative techniques have emerged as a required pillar to build better portfolios and monitor them.

      Objectives

      The course focuses on fundamental quantitative concepts in equity portfolio management. Starting with the building blocks of risk and return, the course presents possible methods for analyzing, budgeting, assessing, controlling and managing investment risks via quantitative techniques and tools. Participants will gain a clearer and more extensive understanding of how to use quantitative tools to effectively measure and allocate risks and to develop proper risk analytical frameworks for both traditional (long-only) and alternative (long-short) portfolios. Lecture modules are illustrated with real-world examples and practical case study discussions and intertwined with group discussions and computer assignments.

      Target Audience

      The program is designed for professionals in the portfolio management industry, e.g. private client portfolio managers, institutional fund and fund of funds managers. Basic knowledge of modern portfolio theory is required.

      Fees

      The fee for this course is CHF 6.200 (incl. VAT). This covers tuition, extensive course material (including pre-course readings), lunches and an official cocktail and dinner.

      COURSE CONTENT

      Monday
      • Statistical tools to analyze returns and risks: Covariance; correlation; diversification; regression analysis; multifactor models; asset pricing models; conditional versus unconditional approaches. Applications using Excel®.
      Tuesday
      • Risk budgeting for global portfolios: Assessing sources of risk in global portfolios; portfolio optimization and its limits; estimating the marginal and component contribution to total portfolio risk; allocating risk with Value at Risk (VaR) and using risk budgeting.
      Wednesday
      • Style classification and style analysis: Style classification systems and the role of style indexes are explored; factor-based, statistical (PCA), macroeconomic and fundamental (Barra-like) models are presented; the difficulties of applying factor models to control risk in style management are discussed. Discussion of the Sharpe style analysis model and its extensions (Kalman filters).
      Thursday
      • Performance evaluation and attribution: Performance measurement and evaluation are concerned with the determination of a manager's added value relative to an established benchmark portfolio and attribution analysis of the source of a manager's success (timing versus selectivity skills, domestic-currency versus multi-currency portfolios). Discussion of the Brinson and the Karnosky and Singer models.
      Friday
      • New developments: Monte Carlo analysis to build portfolios; dynamic trading strategies; capital protection (static portfolio insurance, dynamic portfolio insurance, CPPI, volatility cap, risk budget portfolio insurance); extreme value analysis; clustering and classification; the role of derivatives and hedge funds in portfolio management; forthcoming trends in equity portfolio management.

      Other suggested links:

      2008 Geneva Executive Courses in Finance course program Organization, Admission, Procedure & Fee Application Form

      For all other questions, please contact:

      Fabienne Garcelon
      Program Manager
      Swiss Finance Institute
      Rue des Gares 9
      CH-1201 GENEVA, Switzerland
      T +41 22 748 16 70
      F +41 22 731 95 75
      [spam save email]
      http://www.SwissFinanceInstitute.ch



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

      the only heavily quantitative, omni-comprehensive, intensive buy-side bootcamp

      4-6 June 2008, 8:30 a.m. - 6:00 p.m.
      Frankfurt, Germany

      Course Highlight

      The course covers all aspects of quantitative risk and portfolio management from the foundations to the newest developments.

      • Statistics: multivariate distributions, copulas, location-dispersion ellipsoid, correlation and other measures of co-dependence
      • Multivariate estimation: non-parametric, maximum-likelihood under thick tails, shrinkage, robust, Bayesian, extreme value theory
      • Market modeling: quest for invariance in different markets, advanced dynamics, factor models, principal component analysis
      • Pricing: FFT projection to horizon, delta-gamma, full Monte Carlo
      • Portfolio evaluation: stochastic dominance, satisfaction, utility/certainty equivalent
      • Risk management: value at risk, expected shortfall, coherent measures; risk decomposition in elliptical and generic markets
      • Classical portfolio management: trading/prospect theory, total return management, benchmark allocation, mean-variance and pitfalls
      • Advanced portfolio management: mean-CVaR, mean-VaR, Black-Litterman and beyond, copula opinion pooling, Bayesian, robust cone programming
      • Liquidity: transaction costs, optimal execution, algorithmic trading

      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.

      The course is based on Dr. Meucci's bestseller Risk and Asset Allocation - Springer. Delegates will be given a complimentary copy of the book, as well as all the codes used in the live demos.

      Audience

      • Buy-side practitioners (portfolio managers and risk managers with solid quantitative background) will deepen and broaden their understanding of the recipes they implement everyday and will learn the most cutting-edge techniques.
      • Academics and sell-side practitioners (traders, financial engineers, quantitative analysts, and research teams) will understand the big-picture and the details of buy-side finance in a quantitative language to them.

      Message from Attilio Meucci: Thank you for your interest in my course. The prerequisites for the course are multivariate calculus and linear algebra. The pace of the course is very high. In order to make it more effective, and since we will be using throughout principal component analysis and representations in terms of ellipsoids, I strongly recommend that you become familiar with Section A.5 (pp 475-480) here: http://www.symmys.com/AttilioMeucci/Book/Downloads/AMeucciRiskAndAssetAllocationSample.pdf

      For a detailed course program click here.

      Booking

      You can book online or send inquiries to [spam save email]
      or call + 49 - 6087 - 919852

      Registration deadline is 30 May 2008.

      Venue

      Frankfurt School of Finance & Management
      Sonnemannstraße 9-11
      60314 Frankfurt am Main
      Room 2, Ground Floor

      Course Web Page

      http://workshop.mathfinance.com/2008/qrpm/index.php

      Charity Event

      Each euro paid by delegates will turn into a 50-cent donation to Doctors without Borders and Gandhi Kinderhilfe provided minimum fixed costs are covered. Attilio Meucci will waive his fees for charity.


    6. Commodities & Commodity Derivatives
      by Professor Helyette Geman: London: 9th & 10th June 2008

      Topics:

      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



    7. 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 Databank

      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=141



    8. We are pleased to support the

      4th Annual CARISMA conference,

      which takes place in London at 7City Learning on 1-2 July 2008.

      The theme of the conference is "Risk Control Strategies for Hedge Funds and Program Trading". There are also four pre- and post-conference workshops. For further details see http://www.optirisk-systems.com/events/carisma2008.asp

      The conference provides a platform to discuss the applications and advances, and to explore future research directions. The focus is on the emerging requirements of the finance industry, from the perspective of performance monitoring, regulation and compliance. It brings together practitioners and academics working in the area of financial planning, optimisation and risk modelling. The satellite workshops provide an in-depth view of related topics in investment and risk modelling.

      Speakers include:

      • Carlo Acerbi, Abaxbank
      • Art Asriev, Bear Stearns
      • Les Balzer, The University of New South Wales
      • Dan Bienstock, Columbia University
      • Nicos Christofides, Imperial College
      • Robert Clarkson, Cass Business School, City University.
      • M A H Dempster, Centre for Financial Research, Judge Business School, University of Cambridge & Cambridge Systems Associates Limited
      • Dan diBartolomeo, Northfield Information Services Inc
      • Chanaka Edirisinghe, University of Tennessee
      • Philip Gagner, RavenPack Int'l
      • Gerd Infanger, Stanford University
      • Dilip Madan, University of Maryland, Consultant to Morgan Stanley & Visiting Professor, CARISMA (Risk Awards Quant of the Year 2008)
      • Gautam Mitra, CARISMA, Brunel University
      • Andrew Robinson, SunGard-APT
      • Bernd Scherer, Morgan Stanley
      • Rob Stubbs, Axioma
      • Stefan Thurner, red.stars.com
      • Xunyu Zhou, University of Oxford

      Topics:

      • Risk Management for Hedge Funds
      • Long-Short Portfolios with Downside Risk Control
      • Credit Crunch, Liquidity, and Equity Market Neutral Strategies: Managing Risk in High Volatility Markets
      • Dynamic Asset Allocation
      • Automated Risk Management for Global Macro Strategies
      • Actuarial Insights into Hedge Fund Management
      • Optimal Trade Execution
      • Risk Management for Equity Trading: Fat Tails and Liquidity Gaps
      • Optimal Technical Trading Rules and Risk Control in Managing Stock Portfolios
      • Portfolio Implementation Shortfall Trading Strategies
      • Dynamic Behavioural Portfolio Choice
      • Coherent Measures of Risk
      • Automated Statistical Arbitrage Funds
      • Efficiencies in Multi-Account Optimisation

      Satellite Workshops:

      30 June 2008: Two Half-Day WORKSHOPS:

      Morning: Robust Portfolio Optimisation
      Afternoon: LDI/ALM

      3 July 2008: Two Half-Day WORKSHOPS:

      Morning: New Developments: Performance Measures and Structured Products; Coherent Risk Measures and Liquidity Risk
      Afternoon: RavenPack workshop: News Analytics and Financial Modelling



    9. Foreign Exchange Exotic Options by Professor Uwe Wystup
      London: 7th & 8th July 2008

      Topics 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 - 15:30

      Day 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



    10. Conference: Computational Methods for Pricing and Hedging Exotic Options
      Mathematics Institute, University of Warwick: 11-12 July 2008

      Topics covered:

      The conference focuses on the use of modern computational methods for the pricing and hedging of exotic options.

      • Fast approximation methods for exotics
      • Numerical schemes for PDEs such as FDM, FEM, Wavelets, ...
      • Quasi Monte Carlo Methods
      • Numerical schemes for SDEs
      • Numerical integration/Quadrature
      • Efficient calibration methods

      Keynote Speakers:

      We can confirm the following keynote speakers:

      • Nasir Afaf, Commerzbank
      • Claudio Albanese, Level3Finance
      • Jesper Andreasen, Bank of America
      • Pat Hagan, JP Morgan Chase
      • Nick Webber, Warwick Business School
      • Uwe Wystup, Frankfurt School of Finance & Management and MathFinance AG

      We are now also accepting abstracts for talks in the afternoon sessions for both July 11th and 12th.

      Who Should Attend:

      Exotics traders, quantitative analysts, academics, PhD students, structurers and others who deal with pricing exotic options.

      Conference Web Page:

      More information can be found on the conference webpage
      http://www2.warwick.ac.uk/fac/sci/maths/research/events/2007_2008/options/

      1-day PhD Workshop:

      In addition to the main conference on July 11th and 12th, there is a one-day workshop for PhD students on July 10th. Places are limited to 20 and more information can be found on the website

      http://www2.warwick.ac.uk/fac/sci/maths/research/events/2007_2008/options/phdworkshop/

      Contact Details:

      For more information, contact Paul Clifford at [spam save email] or the Mathematical Research Centre(MRC) at http://www.maths.warwick.ac.uk/mrc/index.html



    11. The 5th Fixed Income Conference
      Budapest Hungary, 24th / 25th / 26th September 2008

      Due to the great success of the previous four Fixed Income conferences, WBS Training are pleased to announce that we will be heading to the wonderful city of Budapest in 2008. The three streamed format will be retained as in previous years. As with last year, we will present 3 workshops on Wednesday 24th September. At our conference, delegates are not restricted to attend single streams. You have the opportunity to hop around the different streams and attend the presentations that benefit you the most. All stream presentation times run concurrently with each other.

      Workshop day: Wednesday 24th September 2008

      The LMM-SABR Model: The New Paradigm for Pricing, Calibrating, Hedging Interest-Rate Derivatives Modelling in the Presence of Smiles: Riccardo Rebonato
      http://www.wbstraining.com/php/conference2008/show_page.php?id=1

      Long Dated Interest Rate Derivatives and Hybrids Workshop: Claudio Albanese
      http://www.wbstraining.com/php/conference2008/show_page.php?id=3

      Credit Derivatives Post Subprime Crisis Workshop: Massimo Morini
      http://www.wbstraining.com/php/conference2008/show_page.php?id=2

      Confirmed Speaker List:

      Claudio Albanese, Jesper Andreasen, Martin Baxter, Andrey Chirikhin, Helyette Geman, Victor Gonzalez, Jon Gregory, Patrick Hagan, Juergen Hakala, Chris Hunter, Peter Jaeckel, Jeroen Kerkhof, Joseph Langsam, Dilip Madan, Dariush Mirfendereski, Massimo Morini, Vladimir Piterbarg, Riccardo Rebonato, Pierre-Olivier Rieu, Lutz Schloegl, Lorenz Schneider, Roberto Silvotti, Jochen Theis, Daniel Totouom-Tangho, Aleksei Tourkine, Oldrich Vasicek

      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/conference2008/



    12. Monte Carlo Methods in Finance by Dr. Jörg Kienitz
      London: 20th & 21st October 2008

      The aim of the seminar is to illustrate the applications of Monte Carlo methods in financial applications. We cover a variety of methods and examples from different areas of finance like Derivatives Pricing, Asset Allocation and Value at Risk calculation. After introducing the basic theory and some easy to understand examples we dig into more complicated financial applications from various markets. Finally, in the advanced sections we cover some of the most recent methods in this field, for example the efficient simulation of the Heston process, likelihood ratio and proxy schemes or simulating Lévy processes only to mention a few. Since we always focus on real financial problems the seminar puts advanced mathematical theory to work. Not to loose grip on the used methods we provide Excel Sheets for illustration. These sheets can later be used for your own individual studies or as a starting point for a Monte Carlo implementation.

      Day 1:

      Applications of Monte Carlo Methods in Finance and Mathematical Background
      • Derivatives Pricing
      • Value-at-Risk and Expected Shortfall Calculation
      • Scenario based Optimization and Asset Allocation
      • Basic Probability Theory (Laws of Large Numbers, Central Limit Theorem)
      • Stochastic Processes with Examples
      • Stochastic Differential Equation and basic Stochastic Calculus
      • Applications and Examples
      Random Number Generation
      • Pseudo Random Numbers
      • Congruential Generators
      • Mersenne Twister
      • Quasirandom Numbers
      • Halton Sequences
      • Sobol Sequences
      • Generating Variates Due to Distributions
      • Normal Distribution, Gamma Distribution, Chi Squared Distribution, Inverse Gaussian Distribution
      • Applications and Examples
      Path Generation - One-Dimensional Cases
      • (Geometric) Brownian Motion
      • Jump Extensions
      • NIG Processes and Variance Gamma Processes
      • Poisson Processes
      • Applications (Stochastic Processes appearing in Equity, Credit, Interest Rates)
      Path Generation - Multi-Dimensional Cases
      • Multi-Dimensional Brownian Motion (Cholesky-, Spectral Decomposition)
      • Beyond Brownian Motions
      • Copulas
      • Applications (Dependency, Credit, Interest Rates, Hybrids)

      Day 2:

      • Stochastic Volatility Models
      • The Heston and the Bates stochastic volatility model
      • Monte Carlo Simulation Techniques - Comparison of numerical schemes
      • The Quadratic Exponential (QE) Scheme
      • Applications (Equity)
      Variance Reduction Methods
      • Controlling the Error
      • Antithetic Variables
      • Control Variates
      • Importance Sampling
      • Stratified Sampling
      • Weighted Monte Carlo
      • Applications and Examples
      Advanced Monte Carlo I - Calculation of Sensitivities
      • Finite Difference Methods
      • Pathwise Methods
      • Likelihood Ratio Methods
      • Proxy Schemes
      • Applications and Examples (Greeks for Discontinuous Payoffs)
      Advanced Monte Carlo II - Early Exercise Features
      • The Longstaff Schwarz Method
      • Regression Now or Regression Later
      • Dual Methods
      • Applications and Examples (Regression Methods)

      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=147



    13. SIAM Conference on Financial Mathematics & Engineering
      New Brunswick, New Jersey, November 21-22 2008

      http://www.siam.org/meetings/fm08/

  3. MathFinance Resources

    1. Heard on the Street: Quantitative Questions from Wall Street Job Interviews
      by Timothy Falcon Crack

      Amazon.com link

    2. cplusplus.com - The C++ Resources Network

      http://www.cplusplus.com/

    3. Boost provides free peer-reviewed portable C++ source libraries

      http://www.boost.org/

    4. MoneyScience and Geocast launch Business Video Platform, MoneyScience.TV

      LONDON, April 10, 2008 - MoneyScience Ltd (http://www.moneyscience.com) and Geocast TV (http://www.geocasttv.com) are delighted to announce the launch of MoneyScience.TV (http://www.moneyscience.tv) a new business video collaboration offering in depth interviews, round table discussions and informed comment from business leaders in finance and finance education.

      With monthly offerings focusing on a range of key issues, from financial training to risk management and technology, the first edition features interviews with Declan MacDonald (Program Director for the MSc in Accounting and Finance at Westminster Business School), Professor John Board (Director ICMA Center) and Professor Barry Davis (Assistant Dean at the University of Gloucestershire) and a round table discussion in which we ask:

      • How will the current credit crunch effect demand for MBAs, Finance Degrees and Masters in Finance?
      • What are the differences between the UK and US Business School Models?
      • What is the future of Professional Development in the Finance Sector?
      • Should your Finance Director become the MD or President?
      • How important are the links between the University and Business sectors?

      By leveraging Geocast's expertise in video production, post-production and viral marketing, MoneyScience TV will provide a professional, broadcast quality film production service and Viral marketing platform, enabling companies to reach a highly targeted user base of practitioners, academics and students in finance and quantitative finance.

      Forthcoming Film days include:

      Professional Training - 30th April
      Business Education - 21st May
      Risk Management and Technology - 26th June

      Contacts

      Marcel Dalziel
      Sales and Marketing Director
      MoneyScience Ltd.
      Tel: +44 (0) 1279 65 41 41
      Mob: +44 (0) 7720 400 568
      Email: [spam save email]

      Chris Price
      Education and Training Director
      MoneyScience Ltd.
      Tel: +44 (0) 791 211 1968
      Email: [spam save email]

      Richard Day
      Sales and Marketing Director
      Geocast Ltd.
      Tel: +44 (0) 1462 437383
      Mob: +44 (0) 7962 005974
      Email: [spam save email]

      About MoneyScience

      MoneyScience Ltd (http://www.moneyscience.com) formed in April 2007, is a web publishing firm targeting a user base of financial practitioners, academics and students with a mixture of web-based news, information and resources covering financial technology, education and training, conferences and hedge fund finance.

      Primary among the services we offer is the MoneyScience Financial Services Directory (http://moneyscience.com/Financial_Services_Directory/), a fast growing promotional platform for businesses, products and services, currently featuring almost 1700 companies and institutions.

      About Geocast TV

      Geocast TV was created to assist both large and small organizations to create an online video presence and in turn gain the maximum return and exposure from the eventual media that they would have. In a market place that is growing rapidly it is important to know that you are dealing with a company that can both deal with all of your requirements and help you grow as the market does. Geocast is that company.



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