The MathFinance Newsletter, Edition 182, May 15 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. Quantitative Analyst (m/f) at UniCredit Markets & Investment Banking
   2. Associate Professor of Financial Engineering at the Department of Finance and Accounting, University of Twente, Netherlands
   3. One permanent and One temporary Lecturer in Financial Mathematics at King's College London Department of Mathematics
   4. Post-doctoral positions in Quantitative Finance and Credit Risk at the Department of Mathematics of Evry University (France)
   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 (m/w) bei d-fine GmbH, Deutschland
2. MathFinance Events
   1. Swiss Finance Institute Training Course on Practical Solutions for Econometric Issues in Asset Allocation, Geneva, Switzerland, 19-23 May 2008
      
   2. Modelling & Measuring Energy Risk. Pre-workshop: May 20, Conference: May 21-22, Barcelona, Spain
      
   3. Swiss Finance Institute Training Course on Advanced Equity Portfolio Management - I, Geneva, Switzerland, June 2-6 2008
      
   4. Advanced Risk and Portfolio Management, by Dr. Attilio Meucci, Frankfurt, 4-6 June 2008
      
   5. Commodities & Commodity Derivatives by Professor Helyette Geman, London, 9-10 June 2008
      
   6. Property Derivatives Workshop, London, Monday 23 June 2008
      
   7. Swiss Finance Institute Training Course on Advanced Mathematics of Derivatives and Credits, Geneva, Switzerland, 23-27 June 2008
      
   8. Barcelona Financial Engineering Summer School 2008, 30 June - 8 July 2008
      
   9. 4th Annual CARISMA conference on Risk Control Strategies for Hedge Funds and Program Trading, London at 7City Learning, 1-2 July 2008
      
   10. Foreign Exchange Exotic Options by Professor Uwe Wystup, London, 7-8 July 2008
       
   11. Conference: Computational Methods for Pricing and Hedging Exotic Options. Mathematics Institute, University of Warwick: 11-12 July 2008
       
   12. 5th Fixed Income Conference, Budapest, September 24-26 2008
       
   13. Monte Carlo Methods in Finance by Dr. Jörg Kienitz, London: 20th & 21st October 2008
       
   14. SIAM Conference on Financial Mathematics & Engineering, New Brunswick, New Jersey, November 21-22 2008
       
3. MathFinance Resources
1. Guestlectures by Prof. Yury A. Kutoyants (Le Mans, France) at the University of Mainz on Statistical inference for diffusion processes
2. UnRisk FACTORY 1.0 is realeased: Valuate thousands of instrument positions across hundreds of scenarios in a coffee break?
3. The MathFilm Festival 2008

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

The MathFinance Newsletter - produced by MathFinance AG

1. MathFinance Job Exchange
   
   

   1. Quantitative Analyst (m/f)
      at UniCredit Markets & Investment Banking

      

      By joining forces with UniCredit, we are creating the first truly European bank. Our new Group is a new force in European banking, serving 40 million customers in 23 countries through over 9,000 branches.

      Your tasks:

      • Development of mathematical models and implementation of numerical algorithms for pricing and risk management of structured derivatives
      • Business driven development of tools and applications for trading, structuring and risk management
      • Support for and collaboration with traders and structurers

      Your profile:

      • Academic degree in mathematics, physics or engineering
      • Profound knowledge in financial mathematics and derivatives pricing
      • Excellent programming skills and experience with object-oriented software development
      • Very good communication skills (including working knowledge of English)

      Location: Munich

      Entry date: as soon as possible

      Contact:

      Simone Pfeffer
      
      Arabellastraße 12
      81925 München
      
      Please send your application per e-mail.

      
      
      

   2. The School of Management and Governance is a rapidly growing faculty that strives to hold a leading position in the field of social sciences. The faculty focuses on management, governance, innovation, technology and entrepreneurship. In all these fields, the faculty provides bachelor, master and professional development programmes. In addition, scientific and applied research is carried out in various settings, such as health care, tertiary education, banking, and service business industries. Research is largely accommodated within the university research institutes: The Institute for Governance Studies (IGS), and the Centre for Telematics and Information Technology (CTIT). The faculty has approximately 350 staff and 2,200 students.

      The Department of Finance and Accounting provides research and education on finance and accounting both in the private and the public sector. Research is directed at corporate finance on the one hand, with a specialisation in financial engineering, and management accounting and control on the other hand. In education, the department is offering a wide variety of courses in bachelor and master programs, with core contributions to the master programs of financial management, financial engineering and public management.

      For the Department of Finance and Accounting we are looking for an

      ASSOCIATE PROFESSOR
      Financial Engineering
      1.0 fte

      Responsibilities

      Teaching: You will teach courses in the field of finance - with an emphasis on financial engineering - in the various Bachelor's and Master's programs offered by our school. Specifically with respect to the Master programs in financial engineering, offered in cooperation with the Department of Applied Mathematics in the Faculty of Electrical Engineering, Mathematics and Computer Science you will be assigned tasks in coordinating education of the various staff members involved. You will supervise students writing their Master thesis, which is generally based on projects done at organisations external to the university.

      Research: You are interested in studying financial engineering, as the basis of derivatives trading and structured financing. Key research in this area concerns pricing and hedging of derivatives of equities, foreign exchanges and interest rates, as well as quantifying market, credit and operational risks. Thereby you will keep an open eye on corporate finance and treasury management, as well as relevant contributions of other disciplines as e.g. economics and mathematics. Your theoretical background will be primarily oriented at finance, but some affinity with financial and management accounting is welcome. You will cooperate with other researchers both in the School of Management and Governance and in the Faculty of Electrical Engineering, Mathematics and Computer Science, joined in the Financial Engineering Laboratory (FELab) of the University. Additionally you will participate in national and international networks and collaborate with experts from academia and practice in multidisciplinary research teams. You are also successful in obtaining funding for research from external sources (scientific organisations or interested private or public parties).

      Management tasks: You will be expected to participate in management tasks of FELab as well as in standard management tasks of the department and the faculty.

      Profile

      You need a relevant qualification in financial engineering with respect to both research and education. This qualification will include a Doctoral degree (PhD) in financial engineering or a related field of finance, as well as a number of international publications. You also have substantial teaching experience in the field of financial engineering and you are demonstrable interested in co-operating with other disciplines in teaching and in research. Finally you have proven activity in networks for obtaining external research funding.

      Employment conditions

      We offer a full-time tenured appointment (38 hours a week). The salary scale, depending on your experience, extends to a maximum of €5,279 per month (in accordance with the Collective Labour Agreement for Dutch Universities), based on the job profile Associated Professor level 2. In due course, it is possible to be promoted to Associated Professor level 1. In addition, the University of Twente offers additional attractive employment conditions.

      Information and application

      For more information on this position you can contact Prof. Dr. Nico Mol, chairman of the Department of Finance and Accounting, phone: +3153 4893243, e-mail: , or Prof. Dr. Arun Bagchi, phone: +3153 4893406, e-mail: . You can send your application, including a resume and a list of publications, before 3 May 2008 to the University of Twente, School of Management and Governance, Attn: Prof. Dr. P.J.J.M. van Loon, Dean, P.O. Box 217, 7500 AE, Enschede, stating application number 08/... You can also send your application by email to . For further details relating to this position, see www.mb.utwente.nl.

      N.B. The Closing date for this position has been extended to the 25th of May 2008.

      
      
      

   3. King's College London Department of Mathematics
      School of Physical Sciences and Engineering
      One permanent and One temporary Lecturer in Financial Mathematics

      For the permanent position details are as follows:

      Applications are invited for the above position in the Department of Mathematics at King's College London, to be taken up in August 2008 or as soon as possible thereafter.

      The Department of Mathematics has a long and distinguished history, and is advantageously located in the heart of London, between the West End and the financial district of the City of London. The Department has prominent research groups in Analysis, Complex and Disordered Systems, Financial Mathematics, Number Theory, and Theoretical Physics.

      Candidates applying for this position should have a PhD, an established track record of research excellence in the relevant area and teaching experience at undergraduate or MSc level. The permanent Lectureship in Financial Mathematics will be made on the Grade 7 scale from £37,136 - £43,868 per annum, inclusive of London Allowance

      Further details and application packs are available on the College's website at www.kcl.ac.uk/jobs, or by alternatively emailing Human Resources at . All correspondence should clearly state the Job Title and reference number A2/CCM/53/08.

      The closing date for receipt of completed applications is 23 May 2008. Prospective applicants are welcome to contact the Head of Department, Professor Andrew Pressley () with any informal enquiries about this post. Equality of Opportunity is College policy.

      A direct link to the web advertisement is:

      http://www.kcl.ac.uk/depsta/pertra/vacancy/external/pers_detail.php?jobindex=6730
      
      from where further details may be downloaded.

      For the temporary position the following variations apply:

      The fixed term is for one year, starting in August 2008 or as soon as possible thereafter. Candidates applying for this position are expected to have at least submitted their PhD thesis. The fixed term Lectureship in Financial Mathematics will be made on the Grade 6/7 scale £30,612 - £43,868 inclusive of London Allowance. All correspondence should clearly state the Job Title and reference number A2/CCM/56/08. A direct link to the web advertisement is:

      http://www.kcl.ac.uk/depsta/pertra/vacancy/external/pers_detail.php?jobindex=6733
      
      from where further details may be downloaded.

      William Shaw
      Professor of Financial Mathematics
      King's College, The Strand
      London WC2R 2LS
      
      http://www.mth.kcl.ac.uk/staff/w_shaw.html
      020-7848-1119

      
      
      

   4. Post-doctoral positions
      in Quantitative Finance and Credit Risk

      In the context of the Credit Risk Service (CRIS) project, the Department of Mathematics of Evry University (France) offers two post-doctoral positions in quantitative finance (credit risk), starting as soon as possible (and no later than September 2008).

      More precisely, the research themes of the positions are

      • Position no1: Dynamic Credit Derivatives Modeling
      • Position no2: Credit Risk Measures

      The proposed work involves a strong interaction between mathematical research and practice. The project is headed by Professor Monique Jeanblanc. The Department of Mathematics of Evry University offers a dynamic environment with multiple expertise and state of the art facilities. The project is also embedded into a highly active and distinguished research group, including in particular a thorough collaboration with the other members of the CRIS consortium: Zeliade Systems, OTC-Conseil, JPLC, Dexia CL, and Microsoft France.

      The successful candidates will have a PhD in mathematical finance or in quantitative finance. We expect a responsible and performance oriented working style, with good communicational skills and the ability to integrate into a small team and to efficiently interact with practitioners. There are no teaching duties associated with these positions.

      The starting date is flexible and can be anytime in 2008, before September. The duration of the contract will be on a one-year basis, renewable up to a three years full duration. The salaries for both positions are attractive. Evry University is located 30 min from Paris center, with convenient public transportation. More information on the positions may be obtained from the address below. Interested candidates are invited to send their application to

      Professor Monique Jeanblanc
      Université d'Evry, Département de Mathématiques
      Rue de Pere Jarlan
      91025 EVRY Cedex
      France
      mail:
      Phone 33 1 69 47 02 05
      Fax 33 1 69 47 02 18

      The application has to be in English or in French, should be in electronic format (PDF) and must include: an application letter describing the research interests and indicating the preferred start date, a complete curriculum vitae including a list of academic certificates, the phD thesis, a list of publications and preprints (if any), and at least one letter of reference.

      
      
      

   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:
      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 (m/w)
      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 Université 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
      
      homepage: http://www.d-fine.de

      
      
      
   
   
   
2. MathFinance Events
   
   

   1. 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
      
      http://www.SwissFinanceInstitute.ch

      
      
      

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

      

      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
      
      +468 586 197 00
      www.energyforum.com

      
      
      

   3. 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
      
      http://www.SwissFinanceInstitute.ch

      
      
      

   4. 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
      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.
      
      
      

   5. 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

      
      
      

   6. 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

      
      
      

   7. Swiss Finance Institute Training Course
      Title: Advanced Mathematics of Derivatives and Credits
      Date: June 23-27, 2008
      Price: CHF 6'500.-
      Location: Geneva, Switzerland
      Lecturer: Salih Neftci
      Organizer: Swiss Finance Institute

      Course description

      This course is an introduction to quantitative tools that have a practical use in financial markets.

      Objectives

      The overall approach is towards understanding and applying the relevant mathematical tools rather than becoming more proficient in the technical details. The course uses Mathematica and Java as crucial tools in financial analysis and deals with several real world pricing examples. The main emphasis will be on the following:

      • Discuss and interpret arbitrage theorem.
      • Learn mathematical tools with practical applications.
      • See financial applications of stochastic differential equations and of partial differential equations.
      • Learn the economics of the assumptions behind these models and the implied fragilities.
      • Develop some familiarity with stochastic calculus.
      • Learn the use of martingales and their applications to arbitrage-free asset valuation.
      • Discuss some fundamental models of asset pricing using martingale methods.
      • Understand the details of numerical techniques used in practice.
      • Apply the methods using Mathematica.

      Target Audience

      Traders, analysts, risk managers in financial institutions, as well as professionals working in regulatory agencies and central banks.

      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

      • Background: Arbitrage theorem; application to interest-rate derivatives; understanding risk-neutral and forward measures; martingale methods and the major results; equivalent martingale measures and how to use them in asset pricing; examples and exercise; computer examples to introduce Mathematica; obtaining risk-neutral and forward measures numerically for a pre-selected set of securities of interest.
      • Tools of stochastic calculus: The important notion of the Wiener process; why the Wiener process is "very general"? How can one capture fat tails with the Wiener processes? Derivative in stochastic calculus; stochastic Taylor series expansions and their uses; Itô's Lemma; jump processes and rare events. Stochastic differential equations (construction of SDE's, comparison with ordinary differential equations, major SDE's used in finance).

      Tuesday

      • Some new tools: New tools for studying the volatility smile; Dirac delta functions; Tanaka's theorem; application: Breeden-Litzenberger and Dupire volatility calibration.
      • Girsanov theorem and measures changes: The theorem and its interpretation; uses of Girsanov's theorem in finance; examples from exotic options.

      Wednesday

      • PDE methods and uses of PDE's: What is a partial differential equation? Why are they useful in finance? Why are tree models and PDE methods the same? An important example: a PDE for bond prices; numerical solution of PDE's; an important relation between PDE's and martingale pricing methods; Feynman-Kac formula and its uses; computer application: PDE methods and non-recombining forward-rate trees; application of HJM methodology using Mathematica.
      • Transform methods: Fourier transform; Laplace transform; applications to options modeling; computer applications: applying transform methods to actual options data.

      Thursday morning

      • Fixed-income methods: Forward libor and swap measures and their importance in pricing; application of Girsanov's theorem to forward libor models; how to adjust drift terms? The use of characteristic functions in pricing financial assets; why characteristic functions are convenient? Computer application: Calculating Greeks for forward libor models.

      Thursday Afternoon/Friday

      • Tools for credit: Continuous and Cadlag processes; stopping times; point processes; the hazard rate and the intensity process; application: How does the market trade these concepts? Marked point processes; the compensator measure; example: Levy processes; copula models.

      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
      
      http://www.SwissFinanceInstitute.ch

      
      
      

   8. Barcelona Financial Engineering Summer School 2008

      Goals:

      The chief aim of this Summer School is twofold. On one hand to present the very practical aspects of front office financial engineering and the problems it originates for quantitative analysts. In order to facilitate the attendance of practitioners the sessions will be divided by asset class, FX, Equity and Interest Rate and delivered by top City quantitative analysts and traders. In addition to these, the Summer School will feature a number of presentations on mathematical ideas and tecniques with a proven track record of useability in the financial industry, again delivered by top academics and well known authors of best sellers in the field.

      Dates: June 30 to July 8, 2008
      Place: Borsa de Barcelona
      Passeig de Gràcia, 19
      08007 Barcelona

      Organising Committee:

      • Dr. Jesper Andreasen, Bank of America
      • Dr. Vladimir Piterbarg, Barclays Capital
      • Prof. Sebastian del Baño, Centre de Recerca Matemàtica

      Scientific Advisors:

      • Prof. José Luis Fernández, Analistas Financieros Internacionales
      • Prof. Frederic Utzet, Universitat Autònoma de Barcelona

      Speakers:

      • Adrian Campbell Smith, RBS Global Financial Markets
      • Zareer Dadachanji, Credit Suisse
      • Daniel Duffy, Datasim
      • Daniel Dufresne, University of Melbourne
      • Philippe Lintern, RBS Global Financial Markets
      • Ben Nasatyr, RBS Global Financial Markets
      • Roger Nelsen, Clark College
      • Wim Schoutens, Katholieke Universiteit Leuven
      • William Shaw, Kings College London
      • Xavier Vindel, CitiBank

      Registration and Payment:

      Registration fee: 1000 Euros €
      Early-bird rate: 600 €
      
      Grants and financial support:
      For special academic rates, please apply at

      Further Information:

      http://www.crm.es/BFESS08/

      
      
      

   9. 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

      
      
      

   10. 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

       
       
       

   11. 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 or the Mathematical Research Centre(MRC) at http://www.maths.warwick.ac.uk/mrc/index.html

       
       
       

   12. 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/

       
       
       

   13. 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

       
       
       

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

       http://www.siam.org/meetings/fm08/
       
       
3. MathFinance Resources
   
   

   1. Guestlectures by Prof. Yury A. Kutoyants (Le Mans, France)
      at the University of Mainz on Statistical inference for diffusion processes

      Die Gastvorlesung richtet sich an Studierende im Promotionsstudium und im letzten Abschnitt des Hauptstudiums und wird in sieben Sitzungen

      Mittwoch und Freitag 14 -- 17 Uhr,
      Beginn: Freitag 20.06.08, Ende: Freitag 11.07.08
      Raum 05-136, Institut fuer Mathematik, Staudingerweg 9, 55099 Mainz

      gehalten werden. Alle interessierten Zuhoerer sind herzlich willkommen ! Fuer Zuhoerer, die von auswaerts zu dieser Gastvorlesung anzureisen planen, besteht (in geringem Umfang) die Moeglichkeit, eine guenstige Unterkunft auf dem Campus (Gaesteraum der Universitaet) jeweils von Mittwochabend auf Freitagmorgen zu reservieren. In diesem Fall bitte ich moeglichst fruehzeitig um eine Mitteilung per mail an

      Reinhard Hoepfner, Institut fuer Mathematik, Universitaet Mainz
      

      Notwendige Vorkenntnisse: Grundkenntnisse der Mathematischen Statistik und Grundbegriffe der stochastischen Analysis (stochastisches Integral, Ito-Formel, stochastische Differentialgleichungen).

      Plan der Gastvorlesung (mitgeteilt von Yu. Kutoyants):

      Introduction/Review:

      Review: main problems of classical statistics (large samples theory). Statistical problems for diffusion processes to be presented in the lectures. Review: ergodic diffusion processes, likelihood ratio, laws of large numbers, central limit theorems

      Parameter estimation:

      Maximum likelihood, bayesian, minimum distance and some other estimators, first examples. Lower bounds on the risk of estimators: Cramer-Rao, van Trees, Hajek-Le Cam. Asymptotic properties of estimators in the regular case: consistency, asymptotic normality, convergence of moments. Method by Ibragimov and Khasminskii. Properties of estimators in the non-regular case.

      Non-parametric estimation:

      Estimation of the invariant distribution function and the invariant density: lower bounds and asymptotically efficient estimators. Trend coefficient estimation

      Reference:

      Yu. A. Kutoyants, Statistical inference for diffusion processes, Springer 2004

      
      
      

   2. UnRisk FACTORY 1.0 is realeased

      Valuate thousands of instrument positions across hundreds of scenarios in a coffee break?

      UnRisk2's pricing and calibration engines are widely used, because they are accurate and fast. We do not waste a single core process second.

      But even with ultra-fast single valuations you need to multiply performance when grouping instruments and running risk analytics across comprehensive scenarios

      Minimize time-in-process, maximize machine-utilization!

      The UnRisk FACTORY combines a grid-enabled version of UnRisk2 with a MS SQL Server application data base all accessible from a web browser. To optimize its adequateness UnRisk FACTORY has been brought to production at pioneer sites. Six financial institutions utilize UnRisk FACTORY for a year now. Now released, it is already bank proof. To minimize the cost of ownership for our customers, we have tested platforms and performed comprehensive benchmarks on various Grid-configurations. We don't waste a single core!

      UnRisk FACTORY goes where its users go. UnRisk FACTORY comes with a web front-end. An UnRisk FACTORY client does not require any other software than a web browser. It is accessible from "everywhere".

      More info about UnRisk: http://www.unrisk.com/

      Walk through the front-end prototype: http://www.unrisk.com/unriskdb/clickdummy/

      
      
      

   3. MathFilm Festival 2008

      The MathFilm Festival 2008 is an international competition for films and videos about mathematics. A representative selection of films will be shown nationwide in Germany. A collection of short films will be published on DVD.

      The festival aims to attract a broad audience: students, teachers, and everyone with an interest in mathematics. Films about mathematics, documentaries about mathematicians and short videos dealing with mathematical research or education topics are solicited. We invite submissions from all over the world! An international jury will choose which of the submissions become part of the festival. The MathFilm DVD with selected short videos will be published by Springer. Awards will be made for the best films in the festival as chosen by both jury and festival audience.

      More information is available at
      
      http://www.mathfilm2008.de