The MathFinance Newsletter, Edition 183, June 6 2008.

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

In this issue:

1. MathFinance Job Exchange
   1. Postdoc project "Hedge funds: tail event behaviour and absolute alphas" at the University of Venice (Italy)
   2. Financial World Recruitment - a candidate driven recruitment company which vets, interviews and prepares all delegates for the capital market sector
   3. Risikomanagement Financial Risk Solutions, Deloitte, Düsseldorf
   4. Mathematiker (m/w), Naturwissenschaftler (m/w), oder (Wirtschafts-) Informatiker (m/w) bei d-fine GmbH, Deutschland
2. MathFinance Events
   1. Commodities & Commodity Derivatives by Professor Helyette Geman, London, 9-10 June 2008
      
   2. Prof. Hans Föllmer trägt vor über Finanzielles Risiko: Was kann die Mathematik dazu sagen? Frankfurt, 16 June 2008
      
   3. Property Derivatives Workshop, London, Monday 23 June 2008
      
   4. Swiss Finance Institute Training Course on Advanced Mathematics of Derivatives and Credits, Geneva, Switzerland, 23-27 June 2008
      
   5. Barcelona Financial Engineering Summer School 2008, 30 June - 8 July 2008
      
   6. 4th Annual CARISMA conference on Risk Control Strategies for Hedge Funds and Program Trading, London at 7City Learning, 1-2 July 2008
      
   7. Foreign Exchange Exotic Options by Professor Uwe Wystup, London, 7-8 July 2008
      
   8. Training Course with Professor Srdjan Stojanovic: Volatility in Foreign Exchange and Equity Markets, Singapore, 21-22 July 2008
      
   9. Swiss Finance Institute Training Course on Engineering Structured Products, Geneva, Switzerland, 25-29 August 2008
      
   10. Swiss Finance Institute Training Course on Global Asset Allocation and Risk Budgeting, Geneva, Switzerland, 1-5 September 2008
       
   11. 5th Fixed Income Conference, Budapest, September 24-26 2008
       
   12. Financial Modelling in Energy Markets (organised by EnBW in cooperation with University of Ulm, University of Oslo and Birkbeck-University of London), October 9 - 10, 2008, Karlsruhe, Germany
       
   13. Monte Carlo Methods in Finance by Dr. Jörg Kienitz, London: 20th & 21st October 2008
       
   14. The 5th Asian Mathematical Conference will be held from June 22 - 26, 2009, at the Putra World Trade Center in Kuala Lumpur, Malaysia
       
3. MathFinance Resources
1. New book by David Ardia: Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications
2. New book by Mark Joshi: Quant job interview questions is now available on Lulu

• 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. Postdoc project
      "Hedge funds: tail event behaviour and absolute alphas"
      
      ICEF - International Center of Economics and Finance
      Department of Economics
      University of Venice (Italy)

      The ICEF (http://www.dse.unive.it/en/centers-partners/icef/) conducts international research in the fields of Finance, Economics and Financial Econometrics. It also provides academic courses in these areas and organize the International Master in Economics and Finance.

      The ICEF currently has the following vacancy: Postdoctoral fellow, full time for 24 months, for the project 'Hedge funds: tail event behaviour and absolute alphas'.

      Recent literature evaluating hedge funds performance asserts that there seems to be a talent in the hedge fund industry. One of the main problems in the research on the hedge funds extra-performance is the need to take into account the well known non-normality on returns and the non linear dependence from standard asset benchmarks due to the use of derivatives and dynamic trading strategies. How this affects the performance measurement is one of the central issues in this project. The focus is on the integration of dynamic models for risk measurement and hedge funds replication strategies. This project will allow a junior researcher to develop studies on a new area of finance: the alternative investments and specifically the hedge fund industry.

      This is a project co-financed by the University Ca' Foscari of Venice (www.unive.it) and GRETA (Venice, http://www.greta.it/en/index.htm).

      The ideal candidate should hold a PhD in Finance (or be very close to finishing its PhD). A strong research potential in Finance are required.

      The candidate is expected to conduct high-quality empirical research and to interact with other faculty members. Good writing and computing skills are essential. Fluency in English is required. The position is free of administrative duties and teaching obligations. If a small teaching load is desired, this can be accommodated and rewarded. It is an untenured post-doctoral position with duration of two years. Tentative beginning of appointment September 2008. An extension of the term is not excluded.

      Salary (before taxes and pension contributions): Approx. 45.000 Euro (approx. 70,000 USD) for the entire duration of the program. The salary is exempt to taxation.

      Further information on the profile of the position may be obtained from Prof. Dr. Monica Billio at . Applications including the application form (see below), curriculum vitae, scientific publications, 2 referees names and addresses being able to provide reference letters, in English or in Italian, and a copy of a valid Identity Document or Passport have to be sent to:

      Head of the Department of Economics
      University of Ca' Foscari of Venice
      Cannareggio 873
      30121 VENEZIA - Italy
      
      Applications have to be received by 21 June 2008.

      Application form:

      http://www.dse.unive.it/en/vacancies/

      
      
      

   2. 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
      
      

   3. 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.
      
      

   4. 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. 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

      
      
      

   2. Finanzielles Risiko:
      Was kann die Mathematik dazu sagen?
      Prof. Dr. Hans Föllmer
      Humboldt-Universität Berlin

      Montag, 16. Juni 2008, 17:00 Uhr
      Aula der Universität, Campus Bockenheim
      Anschließend Empfang im Foyer.

      Der Vortrag richtet sich an die interessierte Öffentlichkeit und ist als Lehrerfortbildung akkreditiert.

      Institut für Mathematik
      www.uni-frankfurt.de/fb/fb12/mathematik
      Tel. 069 798-22524, -23722

      
      
      

   3. 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

      
      
      

   4. 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

      
      
      

   5. 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/

      
      
      

   6. 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

      
      
      

   7. 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

      
      
      

   8. Training Course with Professor Srdjan Stojanovic:
      Volatility in Foreign Exchange and Equity Markets
      Singapore, 21-22 July 2008

      Trainer

      Professor Srdjan Stojanovic
      Department of Mathematics, University of Cinncinnati, USA
      Author of Top-Selling Book, Computational Financial Mathematics using Mathematica

      Cutting Edge Highlights:

      • The Black-Scholes theory of pricing and hedging of financial derivatives - constant, time-dependent and local volatility
      • FX futures, FX options, and other derivatives, with correct risk premium
      • Stochastic volatility and other incomplete market models
      • Volatility in FX Markets
      • FX rates under stochastic interest rates and stochastic volatility
      • Market price of risk (risk premium) determination
      • Pricing and hedging of FX derivatives under stochastic interest rates and stochastic volatility
      • Volatility in Equity Markets
      • Explicit pricing formula for variance swaps
      • There will be case studies on the following:
      • Numerical experiments - how much do the European and American option prices and hedges differ?
      • Equity options - Heston's stochastic volatility model and its solution
      • GARCH stochastic volatility model - the numerical solution for risk premium and option price
      • Implied volatility term structure and skew
      • Why JPY falls when investors ignore risks?
      • Estimating market parameters for USD, CAD, JPY, GBP
      • Valuation of P&G (the stock market bubble might have been avoidable)
      • The bull/bear market and price/volatility correlation effects on pricing of variance swaps

      Provider

      Salvo Global
      Tel: +65 6297 8545
      Fax: +65 6336 1716
      www.salvoglobal.com

      
      
      

   9. Swiss Finance Institute Training Course
      Title: Engineering Structured Products
      Date: August 25-29, 2008
      Price: CHF 6'500.-
      Location: Geneva, Switzerland
      Lecturer: Salih Neftci
      Organizer: Swiss Finance Institute

      Course description

      Interest in structured products has been growing in recent years. This course has been created for professionals who wish to deepen their knowledge in this area.

      Objectives

      The course introduces the basic and the advanced methods of structuring financial products. The emphasis is on methods, market applications and the current strategies used by market professionals. The course has no prerequisites, although the pricing component requires some familiarity with Monte Carlo methods and major derivatives markets. At the end of the course the participants will be familiar with the engineering, risk management and the purposes of all the major categories of structured products offered to clients.

      Target Audience

      The course is directed towards financial market professionals in all sectors, including central banks, international organizations and regulatory agencies.

      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

      • Introduction on equity structured products: The course starts with a brief discussion of some standard equity structured products. Classical options strategies are reviewed and the stage is set for the state-of-the-art methods in structuring equity-linked products. The aim is to highlight some common principles concerning the structuring of products and their uses.
      • The analytical methods: A brief summary of the analytical methods will be discussed at this point, i.e. cash flow diagrams and some general principles of financial engineering, stochastic difference equations and Monte Carlo methods, the notion of Greeks and hedging exotic products, volatility trading and pricing.
      • The notion of forward volatility and its calibration: Cliquets and reverse cliquets are used as the first major tool for structuring equity products. Their application to FX is presented. The day concludes with a problem session dealing with simple examples of calculating forward volatility through Monte Carlo.

      Tuesday

      • Equity-linked structured products: Classical principal protection briefly reviewed. Uses of equity options. Continuation of an example using cliquets to build equity linked structures. Client views and equity linked structures.
      • More advanced equity structured products: Mountain options, engineering of Altiplano, Bloomberg pricing, enhancements to Bloomberg pricing tools, engineering of Himalaya products, Bull-Bear products.

      Wednesday

      • Fixed income structured products: In this section we start discussing the structuring and the hedging of major fixed income products. The aim is to select some key examples and work on them. Among others, we explore knock-in, knock-out swaps, callable step-up notes, a CMS spread linked note, an oil-price and CMS linked note, hedging libor exotics and vega exposures.
      • The day concludes with a practical session in which a Snowball note is engineered and priced.

      Thursday

      • Structured credits.
      • Early examples of credit instruments, traditional credit curve building and risk management: Asset swaps and asset swap spreads; swap logic and single name credit default swaps (CDS); default baskets and engineering CDOs.
      • Credit index trading as the major tool: iTraxx and CDX indices; the mechanics of credit index trading.
      • An important market for credit risk management are standard tranches: What is an index tranche? Implied credit correlation.
      • Correlation trading and the associated risks: Long and short correlation positions; calculating deltas in standard tranches.
      • The day concludes with taking a correlation exposure through Bloomberg.

      Friday

      • Dynamic rebalancing techniques and principal protection are explored.
      • Basics of principal protection: Examples from equity; equity linked instruments.
      • CPPI structures and iTraxx: What is CPPI? Applying CPPI to equity and hedge funds; risks of iTraxx based CPPI structures.
      • CPDO techniques: Descriptions of the products; CPDO versus CPPI; examples.

      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

      
      
      

   10. Swiss Finance Institute Training Course
       Title: Global Asset Allocation and Risk Budgeting
       Date: September 1-5, 2008
       Price: CHF 6'200.-
       Location: Geneva, Switzerland
       Lecturer: Philippe Jorion
       Organizer: Swiss Finance Institute

       Course description

       Asset allocation is the process of optimally dividing investments among different types of assets, such as stocks, bonds, alternative investments and cash. Nowadays, asset allocation must be viewed in a global context.

       Objectives

       This five-day course provides an overview of state-of-the-art, disciplined approaches to global asset allocation and risk budgeting. It examines the process of global asset allocation with particular emphasis on the management of risk. It shows how to optimally use risk budgeting as a portfolio construction tool. The course assumes a general knowledge of portfolio optimization and matrix algebra. Each day ends with exercises. A guest speaker will provide insight into the practical aspects of global asset allocation.

       The following elements will be discussed in the course:

       • Strategic asset allocation and global benchmarks: The asset allocation process; the role of benchmarks; types of benchmarks (cap-weighted, GDP-weighted and customized).
       • Global portfolio allocation: explanations for the "home bias" (the observed lack of international diversification); asymmetries in information across countries.
       • Risk measurement for global portfolios: measuring risk with Value at Risk (VaR), portfolio optimization for global portfolios: optimizing risk and return; absolute risk versus benchmark deviations, or tracking error volatility; using benchmark weights to recover implied views (the Black-Litterman approach).
       • Risk budgeting for global portfolios: separating alpha from beta bets; risk budgeting to allocate funds according to information ratios; effect of constraints on performance, leading to 130/30 strategies.
       • Global factor models: implementing multi-factor models for tilting and risk control; implementing index replication strategies; assessing the effect of changing correlations across global markets; evaluating the country-versus-industry allocation debate.
       • Managing exchange-rate risk: Breaking down the contributions of currencies to the performance and risk of global portfolios; unhedged, hedged, or partially hedged benchmarks; the design of active currency management structures with overlays; the value of active currency management.
       • Global investment tactics: forecasting expected returns; developing tactical asset allocation strategies.
       • Dynamic trading strategies: developing option-based portfolio insurance strategies and optimal portfolio rebalancing rules; interpreting benchmarks as dynamic strategies.

       Target Audience

       All professionals engaged in international bond and equity portfolio management, both for private client portfolios and institutional funds. As many of the concepts derived are applicable to global liability management, they also have relevance to those working in multinationals. As the course focuses on quantitative models for asset allocation and risk control, knowledge of the basic quantitative portfolio theories 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

       Portfolio allocation and benchmarks
       Introduction: Tools from portfolio optimization

       • The nature of financial risk, variability and diversification.
       • The importance of asset allocation.
       • Mean variance optimization.
       • Lessons for international portfolio management.

       Benchmark selection

       • Why do we need benchmarks?
       • An analysis of commonly utilized benchmarks.
       • Using optimization to construct tailor-made benchmarks.

       International investments
       The optimal degree of international diversification

       • Integrated and segmented capital markets.
       • The role of exchange rate risk.
       • Financial assets as a hedge against inflation.

       Tuesday - Wednesday

       Portfolio management
       Risk control in portfolio management

       • Measuring Value at Risk.
       • VaR tools: Marginal VaR, Incremental VaR, Component VaR.
       • Estimating volatility and correlation.

       Portfolio construction

       • Optimization in absolute return space.
       • Optimizing relative to a benchmark-tracking error.
       • Pitfalls in optimization: Parameter instability and corner solutions.

       Risk budgeting and portfolio construction

       • Traditional allocation versus alpha allocation.
       • Alpha and beta bets.
       • Allocation across active managers.

       Thursday

       Factor models
       Risk factors and multifactor asset pricing models for risk control

       • Macro and micro-economic factors and asset returns.
       • Principal component decomposition.
       • Risk control with single/multivariate factor models for bonds and stocks.

       Correlations across national stock markets

       • Are correlations increasing?
       • Are industry effects now more important than country effects?
       • Are there still benefits from international diversification?

       Managing exchange-rate risk
       Managing exchange-rate risk in internationally diversified portfolios

       • Exchange-rate risk and international portfolio performance.
       • Should we hedge exchange risk?
       • Finding optimal hedge ratios.
       • Structuring active management: currency overlays.

       Friday

       Implementing international portfolio strategies
       Selecting individual stocks and bonds for building optimal portfolios

       • Building a portfolio insurance strategy for a global stock market.
       • Using risk factors for choosing individual stocks and bonds.
       • Security selection with linear programming.

       Dynamic strategies for portfolio management
       Dynamic portfolio strategies

       • Option-based portfolio insurance strategies.
       • Benchmark rebalancing and dynamic investment strategies.

       International portfolios
       Performance measurement and evaluation

       • Measuring performance.
       • Performance attribution.
       • Adjusting returns for risk.
       • Pitfalls in commonly used performance measurement ratios.

       Review and Q&A session.

       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

       
       
       

   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. Financial Modelling in Energy Markets
       (organised by EnBW in cooperation with University of Ulm, University of Oslo and Birkbeck-University of London)
       
       Date and Place
       October 9th - October 10th, 2008
       Headquarters of EnBW Energie Baden-Württemberg AG,
       Durlacher Allee 93, Karlsruhe, Germany

       Aim

       The aim of the conference is to discuss latest research in industry and academia in energy modelling and energy risk management. The conference continues a series of conferences for financial modelling in London, Ulm and Oslo.

       Topics will cover

       • Energy Derivatives
       • Energy Risk Management
       • Modelling of Energy Price Processes

       Key speakers

       • Olivier Bardou, Gaz de France
       • Fred Espen Benth, University of Oslo
       • Derek Bunn, London Business School
       • Rene Carmona, Princeton University
       • Álvaro Cartea, Birkbeck College
       • Lionel Greene, EDF Trading

       Call for Papers

       Besides the invited talks we encourage submissions for contributed talks. Applicants are invited to submit title and a short abstract. There will be the opportunity to submit extended versions of the invited and contributed papers for publication in a special issue of The Journal of Energy Markets.

       Local organiser:

       Markus Burger, EnBW Trading GmbH
       Sven-Olaf Stoll, EnBW Trading GmbH
       Klaus Wiebauer, EnBW Trading GmbH

       Scientific committee:

       Markus Burger, EnBW Trading GmbH
       Sven-Olaf Stoll, EnBW Trading GmbH
       Rüdiger Kiesel, University of Ulm
       Sebastian Jaimungal, University of Toronto

       Contact and Information

       eMail:
       http://www.enbw.com/conference08

       
       
       

   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. The 5th Asian Mathematical Conference

       will be held from June 22 - 26, 2009, at the Putra World Trade Center in Kuala Lumpur, Malaysia. The deadline for submission of abstracts for contributed papers is December 22, 2008.

       Further details can be found in the attachment and the website http://math.usm.my/amc2009/.

       
       
       
3. MathFinance Resources
   
   

   1. New book by David Ardia:
      Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications

      Summary:

      This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk management. The study of these models from a Bayesian viewpoint is relatively recent and can be considered very promising due to the advantages of the Bayesian approach, in particular the possibility of obtaining small-sample results and integrating these results in a formal decision model. The first two chapters introduce the work and give an overview of the Bayesian paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal innovations and the linear regression models with conditionally Normal-GJR and Student-t-GJR errors. The sixth chapter shows how agents facing different risk perspectives can select their optimal Value at Risk Bayesian point estimate and documents that the differences between individuals can be substantial in terms of regulatory capital. The last chapter proposes the estimation of a Markov-switching GJR model.

      Further details can be found here:
      http://www.springer.com/economics/econometrics/book/978-3-540-78656-6

      Front matter and back matter pages can be viewed here:
      http://www.springerlink.com/content/up7177/

      
      
      

   2. New book by Mark Joshi, Nick Denson and Andrew Downes:
      Quant job interview questions

      This is the homepage for our interview question book:

      http://www.markjoshi.com/quantjob/

      This is now available on Lulu and CreateSpace. On Lulu, you can choose the payment currency via a menu at the bottom right of the screen. It is much better value if you pay in US dollars.

      The CreateSpace version is taller and narrower. It is on cream paper. The Lulu version is shorter and fatter, and on white paper.

      Lulu ship from both Europe and the US. Createspace only ship from the US.

      The CreateSpace version is slightly nicer but the shipping costs are high outside the US.

      It will eventually be available on Amazon but probably not before mid 2009.

      Features

      • Over 225 technical questions from actual interviews for jobs doing quantitative analysis in London and New York
      • Large number of questions on numerical algorithms and C++
      • Complete worked solutions for all technical questions
      • Multiple possible follow-up questions for each technical question
      • Soft and general finance knowledge questions
      • Discussion of the interview process and tips for getting that first job.

      Authors:

      Mark Joshi: author of "the Concepts and Practice of Mathematical Finance" and "C++ Design Patterns and Derivatives Pricing."
      
      Nick Denson: PhD student in financial mathematics,
      
      Andrew Downes: PhD student doing stochastic processes.