The MathFinance Newsletter, Edition 186, August 8 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. Lecturer in Financial Mathematics Department of Mathematics at the University of Leicester
   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. Swiss Finance Institute Training Course on Engineering Structured Products, Geneva, Switzerland, 25-29 August 2008
      
   2. Swiss Finance Institute Training Course on Global Asset Allocation and Risk Budgeting, Geneva, Switzerland, 1-5 September 2008
      
   3. 5th Fixed Income Conference, Budapest, September 24-26 2008
      
   4. Workshop on Mathematical Finance for Young Researchers, October 6-7, 2008, Berlin, Germany
      
   5. 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
      
   6. Monte Carlo Methods in Finance by Dr. Jörg Kienitz, London: 20 - 21 October 2008
      
   7. FX Exotic Options Seminar with Prof. Uwe Wystup, London, 27 - 29 October 2008
      
   8. Pricing Exotic Interest Rate Derivatives, The LIBOR Market Model in QuantLib, MoneyScience Masterclass with Mark Joshi, London, 25 - 27 February 2009
      
   9. Frankfurt MathFinance Conference March 30-31 2009
      
3. MathFinance Resources
1. Master of Quantitative Finance at Frankfurt School

• 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. Lecturer in Financial Mathematics
      Department of Mathematics at the University of Leicester

      Salary Grade 8 - £33,780 to £41,545 per annum

      Available from: 2 January 2009

      Ref: A3859

      Applications are invited for a Lectureship in Applied Mathematics in the areas of Financial Mathematics, Actuarial Mathematics, Financial Engineering, Stochastic Analysis, Statistics/Probability. Applicants should have an outstanding research record in at least one of these areas and should be able to contribute to MSc degrees in Financial mathematics and Actuarial Science as well as BSc programmes in mathematics for finance and economics via teaching courses and MSc project supervision. Preference may be given to applicants who are qualified as FIA/FFA or equivalent.

      Downloadable application forms and further particulars are available from www.le.ac.uk/personnel/jobs. If you require a hard copy, please contact Personnel Services - tel: 0116 223 2438 fax: 0116 252 5140, email: . Please note that CVs will only be accepted in support of a fully completed application form.

      Closing Date: 21 August 2008

      
      
      

   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. 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

      
      
      

   2. 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

      
      
      

   3. 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/

      
      
      

   4. Workshop on Mathematical Finance for Young Researchers
      Berlin, October 6-7, 2008

      Jointly organized by Humboldt-Universität zu Berlin, Technische Universität Berlin and the Quantitative Products Laboratory, the workshop brings together senior scientists, young researchers and practitioners to discuss recent trends in Mathematical Finance.

      The workshop provides an opportunity for PhD students and young researchers to present their work in an informal atmosphere with plenty of time for discussion. Topics covered include, but are not limited to, application of BSDEs in finance, stochastic control and liquidity risk.

      We recommend to arrive in Berlin on Sunday, October 5. The workshop starts on Monday. A dinner is planned for Monday evening. The event ends on Tuesday evening. A detailed schedule will be made available shortly. The workshop takes place at Technische Universität Berlin, Mathematics building, Room MA005.

      Deadline for registration and paper submission is July 31, 2008.

      Keynote Speakers:

      • Jan Kallsen, Christian-Albrechts Universität zu Kiel
      • Ioannis Karatzas, Columbia University New York
      • Roel C.A. Oomen, Deutsche Bank AG London
      • Halil Mete Soner, Sabanaci University Istanbul

      Organizing Committee:

      • Humboldt-Universität zu Berlin: Gregor Heyne, Ulrich Horst, Felix Naujokat
      • Technische Universität Berlin: Peter Bank, Antje Fruth, Alla Slynko

      In case of any questions, contact us:

      

      More Information:

      http://www.qplab.com/EN/showpage.asp?pageid=85

      
      
      

   5. 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

      
      
      

   6. 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

      
      
      

   7. FX Exotic Options Seminar with Prof. Uwe Wystup
      London, 27 - 29 October 2008

      For detailed information please visit http://www.londonfs.com/programmes/fxex_outline.htm.

      
      
      

   8. Pricing Exotic Interest Rate Derivatives
      The LIBOR Market Model in QuantLib
      MoneyScience Masterclass with Mark Joshi
      25 - 27 February 2009
      The Institute of Physics, London, UK

      Further Information and Course Outline at http://www.moneyscience.com/Events_Noticeboard/article558

      Book before September 30th to Receive a 20% 'Early Bird' Discount and before November 30th to receive a 10% Discount.

      This three-day course will be led by an international expert who played a large role in the coding of the LIBOR market model in the QuantLib C++ open-source project. He will examine the practical problems that arise when implementing the LIBOR market model to price exotic interest rate derivatives. Each issue will be discussed at theoretical, practical and coding levels. The solution of these using QuantLib classes will be the focus of the course.

      We will see how QuantLib provides a free easily-extendible implementation that achieves rapid pricing and sensitivity computation, and stable calibration to the market; whilst being able to cope with path-dependence, discontinuous pay-offs and early exercise features.

      • "Great Interactivity"
      • "Relevant and timely coverage of recent developments"
      • "Very Practical"
      • "Relaxed, Broad coverage"

      Mark Joshi obtained a B.A. in mathematics from the University of Oxford in 1990, and a Ph.D. in pure mathematics from the Massachusetts Institute of Technology in 1994. He was an Assistant Lecturer in the department of pure mathematics and mathematical statistics at Cambridge University from 1994 to 1999. Following which he worked for the Royal Bank of Scotland from 1999 to 2005 as a quantitative analyst at a variety of levels, finishing as the Head of Quantitative Research for Group Risk Management. He joined Melbourne University in November 2005 as an Associate Professor.

      
      
      

   9. Frankfurt MathFinance Conference
      March 30-31 2009

      http://conference.mathfinance.com

      
      
      
3. MathFinance Resources
   
   

   1. Master of Quantitative Finance at Frankfurt School

      Study Quantitative Finance in 11 block weeks tought by industry practioners in English

      Detailed information is at
      http://www.frankfurt-school.de/content/en/education_programmes/academic_programmes/master_science/mqf