The MathFinance Newsletter, Edition 198, February 14, 2009.
Previous editions and this edition in html format can be found on
http://www.mathfinance.com/Newsletter/.
In this issue:
- MathFinance Job Exchange
- Position for a Project Leader for Applied R&D Projects in Quantitative Risk Management at the Zurich University of Applied Sciences
- (Senior) Associate (m/w) Advisory FRM Financial Engineering Frankfurt
- Risikomanagement Financial Risk Solutions, Deloitte, Düsseldorf
- Mathematiker (m/w), Naturwissenschaftler (m/w), oder (Wirtschafts-) Informatiker (m/w) bei d-fine GmbH, Deutschland
- MathFinance Events
- Pricing Exotic Interest Rate Derivatives, The LIBOR Market Model in QuantLib, MoneyScience Masterclass with Mark Joshi, London, 25 - 27 February 2009
- Risk Management in Commodity Markets: from Shipping to Agriculturals and Energy by Professor Helyette Geman,
London, 9th & 10th March 2009
- Monte Carlo Methods in Finance by Dr. Jörg Kienitz, London, 16th & 17th March 2009
- 2nd Financial Risks International Forum, Paris, March 19-20 2009
- Financial E'trics Conferences, Berlin, March 19-21 2009
- Frankfurt MathFinance Conference 23-24 March 2009
- Latest Developments: Foreign Exchange Options, London, 23rd - 25th March 2009
- Latest Developments: Interest Rate Modelling & Interest Rate Exotic & Hybrid Products, London, 30th March - 1st April 2009
- Conference on Numerical Methods in Finance, Paris, 15-17 April 2009
- Inflation Derivatives: Modelling and Trading Challenges ahead, London, 20th - 22nd April 2009
- Fourth General AMaMeF Conference, Norway, 4th - 10th May 2009
- Interest-Rate Models: Theory and Practical Applications,Geneva, 8th - 12th June 2009
- Financial Econometrics and Forecasting, Geneva, 2nd - 6th November 2009
- Volatility and Correlation, Geneva, 9th - 13th November 2009
- Pricing Exotic Interest Rate Derivatives, The LIBOR Market Model in QuantLib, MoneyScience Masterclass with Mark Joshi, London, 25 - 27 February 2009
- MathFinance Resources
- find quantitative staff
- recommend your book or educational institute
- invite to a workshop
- introduce your research to a wider audience
The MathFinance Newsletter - produced by MathFinance AG
- MathFinance Job Exchange
-
Position for a Project Leader for Applied R&D Projects in Quantitative Risk Management at the Zurich University of Applied Sciences
Zurich University of Applied Sciences (ZHAW) is one of the largest multi-discipline universities of applied sciences in Switzerland with a total of about 6000 students and 1500 staff members.
The Institute of Data Analysis and Process Design (IDP) analyzes, models, and opti-mizes complex systems in Engineering, Economics, Environment and Society by means of quantitative methods. For the further development of our section "Finance, Risk Man-agement and Econometrics" we are looking for a project leader for applied R&D projects in
Quantitative Risk Management.
Current projects cover the full spectrum of quantitative risk management (market, credit and operational risk). Important in this context are stochastic price and cash flow modelling and valuation, development of performance indicators and (algorithmic) trading and business strategies. Future activities will focus on modelling the international financial system and should contribute to a better understanding of phenomena such as the current financial crisis and the impact of interventions. Most projects are carried out in close co-operation with commercial partners. Beside financial modelling empirical and statistical work is also important. The position has been created within the scope of the further ex-pansion of our institute. Beside project management, the successful candidate will be re-sponsible for fundraising and project acquisition. The position requires enthusiasm in interdisciplinary and customer-oriented work in small teams.
You have a university degree in mathematics, physics, quantitative economics or engi-neering and in-depth knowledge in financial mathematics and related computational and data analysis techniques. You should have experience in applying theoretical concepts in practice as well as the proven capacity to both modifying standard solutions according to project requirements and our customers' needs and developing new solutions/methods if necessary. In addition to an excellent theoretical training this requires experience in handling applied projects as well as a high degree of self motivation.
For more detailed information as to the position please contact
Further information at:
Prof. Dr. Jürg Hosang
Tel. 058 934 78 05
E-Mail![[spam save email]](http://mathfinance.de/email.png.php?addr=juerg__hosang_xx_zhaw__ch)
Technical questions may be addressed directly to
Prof. Dr. Wolfgang Breymann (![[spam save email]](http://mathfinance.de/email.png.php?addr=wolfgang__breymann_xx_zhaw__ch)
).
Please send your application in German to
Zurich University of Applied Science
Gabi Giger, Human Resources
P.O. Box 805
8401 Winterthur
Switzerland.
www.zhwin.ch
and www.idp.zhwin.ch
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(Senior) Associate (m/w) Advisory FRM Financial Engineering Frankfurt
Ihre Perspektive:
Quantitative Lösungen bei Bewertungsfragestellungen, im Risikomanagement und im Risikocontrolling.
KPMG ist eines der weltweit größten Wirtschaftsprüfungs- und Beratungsunternehmen und bietet mit ca. 8.000 Mitarbeitern in Deutschland und ca.18.000 Mitarbeitern in der KPMG Europe LLP einen hervorragenden Einstieg in Ihre internationale Karriere. Zu unseren Kunden zählen die weltweit größten Banken, Versicherungen und Asset Manager, welche wir im Rahmen von Prüfungs- und Beratungsprojekten zu verschiedensten Schwerpunktthemen betreuen. Neben herausfordernden Projekten bietet KPMG Ihnen enorme Entwicklungsmöglichkeiten. Sie besuchen unser umfangreiches und individuelles Schulungsprogramm sowie unsere zahlreichen fachspezifischen Ausbildungsveranstaltungen an attraktiven internationalen Standorten. Ihr Potential werden Sie in einem sehr flachen Hierarchiegefüge unter Beweis stellen können.
Ihre Aufgaben:
In unserem hochqualifizierten Financial Engineering Team im Financial Risk Mangement arbeiten Sie mit an der Bewertung und Risikomessung von komplexen derivativen Finanzinstrumenten in Bezug auf Zinssätze, Aktien, Währungen und Kreditrisiken, beurteilen und validieren Modelle führender Banken, entwickeln eigene Modelle zur Bewertung spezifischer Transaktionen und analysieren und bewerten Portfolien im Zusammenhang mit Unternehmens- und Portfolioverkäufen. Innerhalb von KPMG agieren Sie als Experte auf Ihrem Fachgebiet und übernehmen dabei sehr früh eigene Verantwortung. Für Ihre Analysen und Modellierungen nutzen Sie fortschrittliche Bewertungstools und numerische Verfahren. Ihre Projekte führen Sie zusammen mit hervorragenden Experten im In- und Ausland durch - ob in Europa, China oder an anderen Plätzen der Welt. Helfen Sie mit, KPMG Financial Engineering weiterhin als den zentralen Ansprechpartner für Fragen der Bewertung und Risikomessung von Derivaten innerhalb von KPMG weltweit zu etablieren.
Ihr Profil:
Sie haben ein Universitätsstudium der Mathematik, Wirtschaftsmathematik oder Physik absolviert und Ihre überdurchschnittliche Qualifikation z.B. durch einen sehr guten Abschluss und/oder eine Promotion bewiesen. Ihr Interesse und Grundverständnis für Finanzmathematik und Finanznumerik zeichnet Sie aus. Neben Ihrer ausgeprägten Affinität zu technischen Lösungen und Modellierungsfragestellungen reizt es Sie mathematische Methoden zur Lösung praktischer Fragestellungen aus dem Finanzbereich anzuwenden. Ihr analytisches Verständnis und Ihre Kreativität ermöglichen es Ihnen innerhalb kurzer Zeit Problemstellungen zu strukturieren und zu lösen. Ihre sicheren Kenntnisse in der Programmierung und der MS Office-Programme werden Sie anwenden können.
Sie sind nicht nur sicher im Auftreten, sondern schätzen insbesondere auch die Arbeit im Team sowie den intensiven Kundenkontakt. Ihre sehr guten Englischkenntnisse ermöglichen es Ihnen im Rahmen von international besetzten Projekten im In- und Ausland sicher zu kommunizieren.Ihr Kontakt:
Bewerben Sie sich auf www.kpmg.de/careers mit unserem Online-Bewerbungsformular oder senden Sie Ihre Bewerbung per E-Mail unter Angabe des Referenzcodes AdvFestFMathe50755224 an
![[spam save email]](http://mathfinance.de/email.png.php?addr=recruiting_xx_kpmg__com)
. Für Rückfragen stehen Ihnen unsere Mitarbeiter vom HR Service Phone unter 0800 5764 562 (0800 KPMG JOB) gerne zur Verfügung. Profitieren Sie von den Entwicklungsmöglichkeiten bei KPMG International, einem weltweiten Verbund rechtlich selbstständiger, nationaler Mitgliedsfirmen. Neben abwechslungsreichen Projekten im In- und Ausland bieten wir Ihnen Raum für Ihre persönliche Weiterentwicklung. Mehr wissen, mehr können - bei uns hat Erfolg, wer team- und mandantenorientiert arbeitet und gleichzeitig seine persönliche Entwicklung vorantreibt.
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Risikomanagement Financial Risk Solutions, Deloitte, Düsseldorf
- Business Analysts, Consultants, Senior Consultants (m/w) - Risikomanagement Financial Risk Solutions
Job-Nr. H6-CO-BA-DU-157
Standort: Düsseldorf
Es erwartet Sie ein teamorientiertes Arbeitsumfeld mit sehr guten Aufstiegschancen. Das interessante und abwechslungsreiche Aufgabenspektrum bietet Ihnen die Möglichkeit, am Ausbau unserer Service Line Financial Risk Solutions aktiv mitzuwirken. Die Einbindung in das weltweite Netzwerk von Deloitte ermöglicht internationalen Know-how-Transfer und die Mitarbeit an grenzüberschreitenden Projekten.
Ihre Aufgaben
Im Spannungsfeld von Mathematik und regulatorischen Anforderungen erarbeiten Sie für unsere Mandanten betriebswirtschaftliche Lösungen unter Einsatz von finanzmathematischen Modellen. Sie verstärken unser Quant-Team, das für quantitative, betriebswirtschaftliche und aufsichtsrechtliche Fragestellungen kompetenter Ansprechpartner für unsere Mandanten ist, zu denen bedeutende Banken, Versicherungen, Finanzdienstleister sowie Energieund Industrieunternehmen geören. Ein Schwerpunkt Ihrer Tätigkeit wird auf Methoden und Verfahren der Steuerung von Kredit-, Marktpreis- und operationellen Risiken liegen.
Ihr Profil
Sie haben Ihr Hochschulstudium mit Bezug zu Wirtschaftswissenschaften und quantitativer Ausrichtung überdurchschnittlich erfolgreich abgeschlossen oder erwarten, dies in naher Zukunft zu tun. Bei der Lösung praktischer Problemstellungen fühlen Sie sich sicher im Umgang mit statistischen Verfahren, finanzmathematischen Fragestellungen sowie dem Einsatz und der Bewertung von Derivaten. Vertiefte Kenntnisse der Ökonometrie bzw. schließenden Statistik, der stochastischen Methoden zur Bewertung von Derivaten oder der Versicherungsmathematik bringen Sie idealerweise mit.
Neben Fragen der mathematischen Modellbildung sind für Sie Projekte mit vorrangig qualitativem Fokus ebenso reizvoll. Dazu zählen beispielsweise Projekte in den Bereichen Treasury, Risikocontrolling, Portfoliomanagement oder zur Internationalen Rechnungslegung von Finanzinstrumenten sowie zur Regulierung von Finanzdienstleistern nach Basel II und den Mindestanforderungen an das Risikomanagement. Idealerweise haben Sie bereits während Ihres Studiums oder in den ersten Berufsjahren praktische Erfahrungen in o. g. Themengebieten sammeln können. Einschlägige Berufserfahrung als "Quant", beispielsweise in der Bewertung von strukturierten Finanzinstrumenten, der Erstellung von Ratingsystemen oder der Modellierung des ALM bei Lebensversicherern, ist für uns besonders wertvoll. Dank Ihrer analytischen Fähigkeiten stellen Sie sich gerne komplexen Herausforderungen, erarbeiten sich neue Themen weitgehend selbständig und präsentieren Ihre Arbeitsergebnisse ohne Schwierigkeiten auch in Englisch. Sie suchen den Kontakt mit Kunden und bauen dabei auf Ihr gesundes Selbstvertrauen.
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Praktikanten (m/w) - Risikomanagement Financial Risk Solutions, Deloitte
Job-Nr. H7-CO-PR-DU-010
Standort: Düsseldorf
Es erwartet Sie ein teamorientiertes Arbeitsumfeld mit sehr guten Aufstiegschancen. Das interessante und abwechslungsreiche Aufgabenspektrum bietet Ihnen die Möglichkeit, am Ausbau unserer Service Line Financial Risk Solutions aktiv mitzuwirken. Die Einbindung in das weltweite Netzwerk von Deloitte ermöglicht internationalen Know-how-Transfer und die Mitarbeit an grenzüberschreitenden Projekten.
Ihre Aufgaben
Sie unterstützen unsere Service Line Financial Risk Solutions bei der Implementierung von Bewertungsmodellen für unterschiedliche Finanzprodukte. Des Weiteren sind Sie in aktuelle Projekte mit quantitativem Schwerpunkt eingebunden. Zu Ihren Aufgaben zählen insbesondere:
- Entwicklung und Implementierung von Bewertungsalgorithmen
- Kalibrierung von Bewertungsmodellen
- Marktdatenrecherche in Bloomberg
- Literaturrecherche zu Spezialfragen aus der Finanzmathematik
- Unterstützung des Quant-Teams im Rahmen der täglichen Projektarbeit
Ihr Profil
Sie befinden sich im Hauptstudium eines naturwissenschaftlichen Studienganges mit finanzwirtschaftlichen Schwerpunkten und verfügen über sehr gute Programmier-Kenntnisse in Java und/oder C++. Eine systematische und lösungsorientierte Arbeitsweise sowie kommunikative Kompetenz zeichnen Sie aus. Gute Englischkenntnisse runden Ihr Profil ab.
Neben Fragen der mathematischen Modellbildung sind für Sie auch Aufgabenstellungen mit vorrangig theoretischem Fokus reizvoll. Idealerweise haben Sie bereits während Ihres Studiums im Rahmen von Praktika (etwa im Front Office einer Bank) Erfahrungen in o. g. Themengebieten sammeln können. Grundkenntnisse im Bereich Finanzmathematik und Derivate setzen wir voraus. Einschlägige Kenntnisse in der Bewertung von strukturierten Finanzinstrumenten und komplexen Produkten sind für uns besonders wertvoll.
Dank Ihrer analytischen Fähigkeiten stellen Sie sich gerne komplexen Herausforderungen, erarbeiten sich neue Themen weitgehend selbständig und präsentieren Ihre Arbeitsergebnisse ohne Schwierigkeiten auch in Englisch. Zudem sind Sie mindestens 8 Wochen verfügbar.
Dann bewerben Sie sich bitte online unter http://www.deloitte.com/careers oder schicken Sie Ihre aussagekräftigen Unterlagen bitte an Deloitte, Jessica Voß, Schwannstraße 6, 40476 Düsseldorf. Wir freuen uns auf Ihre Bewerbung. - Business Analysts, Consultants, Senior Consultants (m/w) - Risikomanagement Financial Risk Solutions
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Mathematiker (m/w), Naturwissenschaftler (m/w), oder (Wirtschafts-) Informatiker (m/w)bei 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 250 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, der Warwick Business School, der Université de Lausanne und der Mannheim Business School durchführen. Dabei können Sie sogar einen Master of Science (MSc) in Finanzmathematik, einen Executive MBA oder einen Abschluss als Chartered Financial Analyst (CFA) erwerben.
Wenn Sie in einem Team hoch begabter und hoch motivierter Kollegen mitarbeiten wollen, große individuelle Freiräume, viel Eigenverantwortung sowie hervorragende Entwicklungsperspektiven suchen, freuen wir uns auf Ihre Bewerbung.
Und durch unser flexibles Wohnortkonzept können Sie sogar Ihren jetzigen Wohnort beibehalten.
Willkommen bei d-fine!
d-fine GmbH
z. Hd. Frau Sabrina Adam
Opernplatz 2
60313 Frankfurt am Main
Telefon +49-69-90737-555
![[spam save email]](http://mathfinance.de/email.png.php?addr=careers_xx_d-fine__de)
homepage: http://www.d-fine.de
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- MathFinance Events
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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, UKFurther 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.
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Risk Management in Commodity Markets:
From Shipping to Agriculturals and Energy by Professor Helyette Geman London: 9th & 10th March 2009Risk Management in Commodity Markets: from Shipping to Agriculturals and Energy by Professor Helyette Geman, is the follow up seminar to the hugely successful Latest Developments: Commodities & Commodity Derivatives. All delegates will receive a complimentary copy of the Wiley 2008 publication: Risk Management in Commodity Markets: from Shipping to Agriculturals and Energy by Professor Helyette Geman.
Topics:
Day 1: Risk Management in Commodity Markets: from Shipping to Agriculturals and Energy
- Spot and Forward Commodity Markets
- Metal markets
- Energy Markets
- Case study
Modelling the dynamics of Commodity Forward Curves: Seasonality and Stochasticity.
The Borovkova- Geman model
Day 2: Risk Management in Commodity Markets: From Shipping to Agriculturals and Energy Financial and Physical Options in Commodities - Investing in Commodities
Part 1
- Electricity and its Unique Features
- The Carbon Market and some issues around it
- Agricultural Commodities: the Old and the New
- Ethanol and Biofuels Revisited
- Water as the next commodity
Part 2
- Increasing correlations across Commodity Classes
- Increasing volatilities in Commodity Spot and Option prices
- Spread options in Commodities: crush spreads, sparkspreads, darkspreads
- Valuation of Physical Assets in the Commodities space
Part 3
- Investing in Commodities The major Commodity Indexes The choice of weights, rebalancing rule and time to maturity of the Futures The importance of the shape of the forward curve in the roll yield
- Commodity Structured Notes and ETFs
- Investing in Shares of Oil and Mining companies
Day schedule: 09:00 - 17:00
Event page:
Break: 10:30 - 10:45
Lunch: 12:30 - 13:30
Break: 15:15 - 15:30
http://www.wbstraining.com/php/events/showevent.php?id=151
Pdf:
http://www.wbstraining.com/pdf/Risk_Management_in_Commodity_Markets_(March_2009).pdf
Neil Fowler
World Business Strategies Ltd.
http://www.wbstraining.com
Tel: +44 (0) 1273 201352
Fax: +44 (0) 1273 201360Early Bird Discount:
15% Before 31st December 2008
10% Before 31st January 2009 -
Monte Carlo Methods in Finance by Dr. Jörg Kienitz London, 16th & 17th March 2009
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.
Topics:
Day 1: Monte Carlo Methods in Finance
- Applications of Monte Carlo Methods in Finance and Mathematical Background
- Random Number Generation
- Path Generation - One-Dimensional Cases
- Path Generation - Multi-Dimensional Cases
Day 2: Monte Carlo Methods in Finance
- Stochastic Volatility Models
- Variance Reduction Methods
- Advanced Monte Carlo I - Calculation of Sensitivities
- Advanced Monte Carlo II - Early Exercise Features
Day schedule: 09:00 - 17:00
Event page:
Break: 10:30 - 10:45
Lunch: 12:30 - 13:30
Break: 15:15 - 15:30
http://www.wbstraining.com/php/events/showevent.php?id=147
Pdf:
http://www.wbstraining.com/pdf/Monte_Carlo_Methods_in_Finance_(March_2009).pdf
Neil Fowler
World Business Strategies Ltd.
http://www.wbstraining.com
Tel: +44 (0) 1273 201352
Fax: +44 (0) 1273 201360Early Bird Discount:
15% Before 31st December 2008
10% Before 31st January 2009 -
2nd Financial Risks International Forum in Paris
Call for papers for Risk Management and Financial Crisis in Paris, March 19 & 20, 2009
The Financial Risks International Forum on "Risk Management & Financial Crisis" is an international Research Forum for academics and professionals organised by Finance INNOVATION: http://finance-innovation.org/risk09/
We invite you to submit papers for this meeting which will take place in Paris on March 19th & 20th, 2009.
The results of the selection procedure will be available by mid-January 2009. For any inquiry:
![[spam save email]](http://mathfinance.de/email.png.php?addr=risk_xx_finance-innovation__org)
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Financial E'trics Conferences 2009 in Berlin
March 19, 2009: CASE-QPL Distinguished Lecture Series
Tim Bollerslev and Torben Andersen: "Recent Developments in Measuring and Modeling Financial Market Volatility"
Torben G. Andersen and Tim Bollerslev are leading experts in the area of financial econometrics and are particularly well recognized for their contributions to the measuring and forecasting financial market volatility. The quantification of an asset's or a market's volatility is a central aspect in financial practice. It is of enormous importance for asset pricing, portfolio allocation and risk management. The lecture series deals with recent developments in the areas of implied and realized volatility modelling. Besides implications for forecasting, newest insights into the relations between both volatility concepts will be discussed. For further information please see on http://www.case.hu-berlin.de/events/events/Archive/DLS2009/
March 20/21, 2009: Humboldt-Copenhagen Conference 2009:
"Recent Developments in Financial Econometrics"Keynote speakers: Neil Shephard and Joel Hasbrouck
The Humboldt-Copenhagen Conference 2009 aims to present and discuss recent topics in Financial Econometrics such as:
- Volatility and Correlation
- Dynamic (Latent) Factor Models
- High-Frequency Finance and Market Microstructure Analysis
- Risk Management and Asset Pricing
You are cordially invited to submit papers in all areas of financial econometrics/statistics and quantitative finance. Submission Deadline is October 24, 2008. For further information please see on http://www.hu-ku-conference.de/.
Electronic submissions to:
![[spam save email]](http://mathfinance.de/email.png.php?addr=blaskowitz_xx_wiwi__hu-berlin__de)
Location:
Humboldt-Universität zu Berlin
School of Business and Economics
Spandauer Straße 1
10178 BerlinContacts:
Prof. Dr. Nikolaus Hautsch
Phone: +49 - 30 - 2093 5711
E-mail:![[spam save email]](http://mathfinance.de/email.png.php?addr=nikolaus__hautsch_xx_wiwi__hu-berlin__de)
Oliver Blaskowitz
Phone: +49 - 30 - 2093 5705
E-mail:
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Frankfurt MathFinance Conference
March 23-24 2009http://conference.mathfinance.com
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Latest Developments: Foreign Exchange Options London: 23rd - 25th March 2009
Day 1: Foreign Exchange Derivatives Workshop
- Model Agnostic Financial Engineering
- Stochastic volatility and stochastic reversals
- Pricing FX derivatives
- Vanilla derivatives and market conventions
- Global Calibration Methods
- Calibrating against barrier options and exotics
- Long dated FX derivatives
- Power reversal dual currency TARNs
Presenter:
Claudio Albanese: Independent Consultant
Day 2: Foreign Exchange Options
- Cross Currency Models
- Two economy Hull and White with FX skew
- Short-dated FX Options - Calibration and Pricing using Fourier Methods and PDEs
- Stochastic volatility (SABR, Heston)
- Pricing exotics consistently with market volatility surfaces
- Second generation - forward start options, range accruals, Asian options, target redemption products
- Consistent Pricing of FX Options on Primary and Cross Rates
- Construct FX dynamics from stochastic discount factors for each economy
- Go beyond the triangle: Infer option values on cross rates from options quotes on primary rates
- An illustration: Consistent pricing of FX options on dollar, euro, pound, and yen
Presenters:
Messaoud Chibane: Senior Quantitative Analyst, Bank of America
Iain Clark: Head of FX Quantitative Analysis, Dresdner Kleinwort
Professor Liuren Wu:Associate professor of economics and finance at Zicklin School of Business, Baruch College, City University of New York
Julien Turc: Head of Quantitative Strategy, Société Générale
Day 3: Foreign Exchange Options
- Building the FX Volatility Surface
- Smile Interpolation among Strikes: the Vanna-Volga Approach
- Building the Volatility Matrix in Practice
- FX volatility arbitrage and Statistical Analysis of FX Volatility Surfaces
- Extreme market movements and strategies for out of the money options
- Techniques used by Currency Managers
- Techniques and trading styles used by currency managers to generate returns through active currency management
- Modelling Multi Currency Derivatives
- Pricing single maturity options with copulas
- Pricing quantos quickly
Presenters:
James Binny: FX Analytics and Risk Advisory, ABN Amro
Event page:
Antonio Castagna: Independent Consultant, Iason ltd
Dherminder Kainth: QuARC, Royal Bank of Scotland
Lorenzo Ravagli: Quantitative FX Strategist, Société Générale
http://www.wbstraining.com/php/events/showevent.php?id=149
Pdf:
http://www.wbstraining.com/pdf/Foreign_Exchange_Options_(March_2009).pdf
Neil Fowler
World Business Strategies Ltd.
http://www.wbstraining.com
Tel: +44 (0) 1273 201352
Fax: +44 (0) 1273 201360Early Bird Discount:
15% Before 31st December 2008
10% Before 31st January 2009 -
Latest Developments: Interest Rate Modelling & Interest Rate Exotic & Hybrid Products London: 30th March - 1st April 2009
Day 1: The LMM-SABR Model: The New Paradigm for Pricing, Calibrating, Hedging Interest-Rate Derivatives Modelling in the Presence of Smiles
- The LIBOR Market Model framework (deterministic volatility)
- The SABR Model
- Combining LMM and SABR
- Calibrating
- Empirical Evidence
- Hedging
Presenter:
Riccardo Rebonato:Global Head of Market Risk & Global Head of Quantitative Research, Royal Bank of Scotland
Day 2: Interest Rate Modelling & Interest Rate Exotic & Hybrid Products
- Analytical Formulas for Pricing CMS Products in the LMM Model
- Simultaneous calibration to European swaptions and European CMS products
- Approximation of the CMS swaps and CMS caps & Approximation of the CMS spread options
- Numerical Methods for Markov Functional Models and Their Stability
- Interest Rate Exotics and GPU Computing
- Benchmarking against market models and methods with adjustors
- Modeling correlations and multicurrency exotics
- Adjusters, Internal Adjusters, and Pricing Callable Exotics
Presenters:
Claudio Albanese: Independent Consultant
Alexandre Antonov: Senior Quantitative Analyst, NumeriX
Pat Hagan:Head, Quantitative Analytics, Chief Investment Office, JP Morgan
Jochen Theis: Head of Quantitative Risk Management EMEA, Merrill Lynch
Day 3: Interest Rate Modelling & Interest Rate Exotic & Hybrid Products
- Theory of Interest Rate Term Structure: Dynamics and Calibration with Stochastic Volatility
- New interest rate models with stochastic volatility
- Valuing and Trading Interest Rate Derivatives in a Short Rate Model with Stochastic Volatility
- How the model simulates changes in the curve and in the volatility surface
- Stochastic Interest Rates for Local Volatility Hybrids Models
- Bias for local volatility model with stochastic Interest rates
- Pricing Long-Dated Derivatives with Stochastic Interest Rates and Stochastic Volatility
- Incorporating stochastic interest rates in stochastic volatility models
Presenters:
Eric Benhamou: CEO, Pricing Partners
Event page:
Dorje C. Brody: Reader in Mathematics, Imperial College London
Professor Lane P Hughston: Professor of Mathematical Finance, Imperial College London
Roger Lord: Quantitative Analyst/Associate director, Rabobank International
Julien Turc: Head of Quantitative Strategy, Société Générale
http://www.wbstraining.com/php/events/showevent.php?id=148
Pdf:
http://www.wbstraining.com/pdf/Interest_Rate_Modelling_&_Hybrids_Workshop_(March_2009).pdf
Neil Fowler
World Business Strategies Ltd.
http://www.wbstraining.com
Tel: +44 (0) 1273 201352
Fax: +44 (0) 1273 201360Early Bird Discount:
15% Before 31st December 2008
10% Before 31st January 2009 -
Conference on Numerical Methods in Finance, Paris, 15-17 April 2009
The Department of Applied Mathematics (CERMICS) of Ecole des Ponts ParisTech organizes the third edition of the Conference on Numerical Methods in Finance, 15-17 April 2009 at Ecole des Ponts ParisTech (Paris Est, Marne-la-Vallee)
Web link : http://cermics.enpc.fr/cnf.htm
It benefits from the support of the chair "Risques Financiers" of the Fondation du Risque, which involves Ecole Polytechnique, Ecole des Ponts ParisTech and Societe Generale.
This three-day conference will be devoted to recent scientific results on Computational Finance.
Plenary Speakers include :
Yacine Ait Sahalia: Princeton University
Rama Cont: CNRS & Columbia University
Peter Forsyth: University of Waterloo
Pierre Henry-Labordere: Societe Generale
Arturo Kohatsu-Higa: University of Osaka
Contributions on the following topics are expected:
- Monte Carlo methods (variance reduction techniques, rare events,simulation,...)
- Discretization of Stochastic Differential Equations and Backward Stochastic Differential Equations
- Quasi-Monte Carlo methods
- Quantization methods
- Deterministic methods for Partial (Integro) Differential Equations
- Algorithms for optimal control
- Model calibration and statistics
The support of the chair "Risques Financiers" makes it possible to organize the conference free of inscription fees but registration is compulsory.
Inscription and abstract submission:
http://cermics.enpc.fr/cnf/inscription.htm
Scientific Committee:
Denis Talay (head): INRIA
Henri Berestycki: EHESS
Jaksa Cvitanic:CalTech
Pierre Garampon: Societe Generale (SGCIB)
Gilles Pages: University Paris 6
Chris Rogers: Cambridge University
Organization Committee:
Aurelien Alfonsi
Jean-Francois Delmas
Benjamin Jourdain
Bernard Lapeyre -
Inflation Derivatives: Modelling and Trading Challenges ahead London: 20th - 22nd April 2009
Day 1: Models for Inflation and for Inflation-linked Financial Products
- Overview of main issues for inflation modelling
- Pricing kernel techniques for inflation
- Calibration of the term structure models for real and nominal interest rates
- Foreign exchange, equity indices, commodities, and inflation
- Modelling inflation-linked derivatives
- Modelling commodity prices and their relation to inflation
Presenter:
Dr Dorje C Brody:Reader in Mathematical Finance, Imperial College London Professor Lane P Hughston:Reader in Mathematical Finance, Imperial College London Dr Andrea Macrina:Lecturer in Financial Mathematics, King's College London
Day 2: Inflation Derivatives
- Inflation Derivatives
- Curve construction
- Inflation volatility products
- Strategies in Inflation-Linked Markets
- Review of technical aspects - seasonality, effective duration and beta...
- Inflation and liability management
- The main inflation payers
- Accounting considerations
Presenters:
Jeroen Kerkhof: Executive Director, European Head of IR Desk Strategies, Morgan Stanley
Nicolas Sagnes: Head of Inflation Structuring, BNP Paribas
Stephane Salas:Head of Inflation Trading, Societe Generale
Khrishnamoorthy Sooben: Inflation-Linked Strategist, Barclays Capital
Day 3: Inflation Derivatives
- "Theory and Practice of Inflation Derivative vs Inflation-Indexed Bond Relative Value Pricing"
- Practical trading perspectives
- "Post-Credit Crunch Approaches to Trading Inflation Derivatives"
- Mark-to-market issues when market illiquidity result in uncertainty in Closing prices
- Fixing risks in a deflationary scenario
- Global Inflation Products Portfolio: A Practical Approach of Managing Inflation & Deflation Risks
- Understanding their different risks (credit risk, the greeks in the nominal world and inflation world)
- Building its trading tools (forward CPI curve, seasonality, asset swap spread)
- Practical issues of managing an International Inflation products portfolios
- Inflation Risk and Asset and Liability Management
- Example of inflation risk within pension funds and insurance companies
Presenters:
Brice Benaben: Global Head of Inflation Trading, Deutsche Bank
Event page:
Dariush Mirfendereski: Head of Inflation Linked Trading, UBS
http://www.wbstraining.com/php/events/showevent.php?id=150
Neil Fowler
World Business Strategies Ltd.
http://www.wbstraining.com
Tel: +44 (0) 1273 201352
Fax: +44 (0) 1273 201360Early Bird Discount:
15% Before 31st December 2008
10% Before 31st January 2009 -
Fourth General Conference ADVANCED MATHEMATICAL METHODS FOR FINANCE
The European Science Foundation program Advanced Mathematical Methods in Finance was established in April 2005. Today 15 European countries are members of this program. The purpose of the program is to enhance the research in advanced mathematics and its applications to finance. Researchers from all countries in the world are welcome to participate it this activity. More information about the program can be found at the web site: http://www.iac.rm.cnr.it/amamef/
The Fourth General AMaMeF Conference will be held at: Rica Parken Hotel in Ålesund, Norway Monday 4 May 2009 (arrival day) - Sunday 10 May 2009 (departure day).
We encourage interested researchers form academic and industry to attend the conference. To apply for a communication or a poster presentation, the deadline for registration is March 15, 2009.
Please visit the website of the conference:
http://www.cma.uio.no/conferences/2009/amamef.html
or
http://www.cma.uio.no/amamef-2009 for details on the invited speakers, location and registration procedure.
Giulia Di Nunno and Bernt Øksendal
Centre of Mathematics for Applications - CMA Department of Mathematics
University of Oslo
P.O. Box 1053 Blindern N
0316 Oslo, Norway.![[spam save email]](http://mathfinance.de/email.png.php?addr=giulian_xx_math__uio__no)
![[spam save email]](http://mathfinance.de/email.png.php?addr=oksendal_xx_math__uio__no)
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Interest-Rate Models: Theory and Practical Applications
Title: Interest-Rate Models: Theory and Practical Applications Date: June 8-12, 2009 Price: CHF 6'500.- Location: Geneva, Switzerland Lecturer: Professor Yacine Aït-Sahalia Organizer Swiss Finance Institute (home page) Accreditation: CFA 36 CE credits Interest-rate models and fixed-income instruments represent one of the most active areas of financial research and practice. Recent advances in this area are essential to the correct pricing and hedging of interest-rate sensitive financial instruments and derivatives, to the accuracy of firm-wide risk management, as well as to gain an understanding of what went wrong and caused the financial crisis that started in 2007.
Objectives
This intensive course provides a full treatment of the state-of-the-art theory of interest-rate models and their practical application. Participants will gain an understanding and enhance their knowledge of the fundamental mathematical tools and econometric techniques from the academic world, as well as of the latest research used throughout the financial industry. Most of the models discussed and econometric techniques are implemented in spreadsheets which are reviewed at the end of each day in the form of hands-on exercises and given to the participants. The course is mathematically self-contained, but familiarity with calculus is expected. The instructor's award-winning teaching approach is to emphasize the commonality between fixed-income modeling and that relevant for other types of financial instruments and derivatives. As a result, participants will be able to apply many of the tools learned in the course beyond fixed-income instruments and interest-rate models to other types of derivatives. Among the course's unique features is the integrated mix of the financial mathematics of interest-rate modeling with the econometric aspects of such modeling: How to estimate or calibrate an interest-rate model to the data? What feature(s) of a model is(are) essential? Which model(s) fit(s) best? Why?
Key Topics
Interest rates; term structure; yield curve; arbitrage; risk management; derivatives; futures; swaps; financial crisis.
Target Audience
Traders, central bankers, fixed-income analysts, quantitative researchers, financial engineers, asset managers, risk managers, derivatives salespeople, financial software developers, senior management of financial institutions.
Fees
The fee for this course is CHF 6.500 (incl. VAT). This covers tuition, extensive course material (including pre-course readings), lunches and an official cocktail and dinner.
COURSE CONTENT
Monday
- Fixed-income instruments review: Bonds; the term structure: Spot rates; forward rates; duration and convexity.
- Continuous-time calculus: Brownian motion; Itô's Lemma; discrete-time approximation; Euler and Milstein schemes; trees.
- Arbitrage and risk-neutral pricing: Partial differential equations; risk-neutral density; Feynman-Kac formula; no-arbitrage prices.
- Applications of risk-neutral pricing to interest-rate derivatives: Forwards; bond options; caps; floors and collars; swaps; swaptions.
- Numerical methods for interest-rate models: Trees; risk-neutral and actual densities; partial differential equations; finite-differences; Crank-Nicholson algorithm; Feynman-Kac solution; Monte Carlo simulations; comparison of the methods.
- Classical interest-rate models: The Vasicek and Cox-Ingersoll-Ross models; other models; constructing trees.
- Multifactor interest-rate models: Affine and quadratic Gaussian models.
- Credit risk and default: Adding default to existing models.
- Arbitrage free interest-rate models: Yield and volatility data; Ho-Lee model; extended Vasicek model; Black-Derman-Toy model; Heath-Jarrow-Morton model; non-recombining tree; forward-rate measures; changes of numeraire; the Libor market model.
- Calibrating interest-rate models to market data: The forward curve; bond price volatility; implied volatility of interest-rate caps.
- The econometrics of interest-rate modeling.
- Nonparametric density estimation for interest rates: Kernel estimator; bandwidth; practical implementation; nonparametric estimation of volatility; nonparametric pricing of interest-rate derivatives.
- Practical model building: How to model nonlinear mean reversion and volatility; testing the resulting model; how to decide whether a model fits the data; density-matching.
- Testing whether interest rates are Markovian: Non-Markovian dynamics in the HJM context.
- Testing for the presence of jumps in interest rates: Jumps dues to macroeconomic announcements; monetary policy.
- Maximum likelihood estimation for interest-rate models: Applications to multifactor term structure models and stochastic volatility.
Other suggested links:
Swiss Finance Institute
Organization, Admission, Procedure & Fee
Application Form [writable PDF]
2009 Brochure
For further queries, please contact:
Fabienne Garcelon
Program Manager
Swiss Finance Institute
Rue des Gares 9
CH-1201 Geneva, Switzerland
T +41 22 748 16 70
F +41 22 731 95 75
![[spam save email]](http://mathfinance.de/email.png.php?addr=finance_xx_sfi__ch)
http://www.SwissFinanceInstitute.ch
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Financial Econometrics and Forecasting
Title: Financial Econometrics and Forecasting Module 1: Modern Techniques (from Nov. 2-4, 2009) - CHF. 4'700.- Module 2: Advanced Techniques (from Nov. 5-6, 2009) - CHF. 3'500.- Price: CHF 6'500.- if both Modules are taken together Location: Geneva, Switzerland Lecturer: Professor Francis X. Diebold Organizer: Swiss Finance Institute (home page)
Accreditation
CFA 36 CE credits for Module 1 and 2 taken together. If taken separately:
CFA 21 CE credits for the Modern Techniques Module;
CFA 15 CE credits for the Advanced Module.
Course Description
Over the past twenty-five years, a revolution in financial modeling and forecasting has swept both academic research and the financial services industry. This course surveys both traditional and new methods of forecasting financial markets, their successes and failures and their future potential. Hands-on application using modern forecasting software is an integral part of the course, as are daily detailed afternoon tutorials of cutting-edge research papers. * the two modules can be taken separately or in combination
Objectives
The course develops an appreciation and understanding of methods of modeling and forecasting the fundamentals that underlie financial asset returns, the financial asset returns themselves and their volatility and correlation, as well as the pitfalls and opportunities that arise as technologies move forward. The level of the discussion is designed to strike a balance between intuition and mathematical rigor.
Target Audience
Professionals in the financial services industry, central banks and international organizations from a variety of backgrounds, including banking, asset management, risk management, insurance and consulting, as well as financial engineers and analysts, economists, managers and statisticians who want to understand and use financial forecasting models.
Fees
The fee for Module 1 and 2 taken together is CHF 6.500 (incl. VAT). If taken separately:
COURSE CONTENT
Module 1 - Modern Techniques: CHF 4.700
Module 2 - Advanced Techniques: CHF 3.500
The fee covers tuition, extensive course material (including pre-course readings), lunches and official event when appropriate.
Module 1 - Modern Techniques
Monday-Wednesday
Key topics
Trend; seasonality; cycles; vector autoregressions; volatility; forecast evaluation and combination; model selection; structural change.
Intensive course on the basics of financial forecasting in a variety of contexts, covering most of Professor Diebold's book, Elements of Forecasting, as well as articles on special topics. All participants will receive Professor Diebold's book, as well as copies of his lecture slides and articles discussed in the course.
Pre-course required reading: Elements of Forecasting, Thomson, South-Western, Chapters 1-4
- Modeling and forecasting cycles: Trends; seasonality and calendar effects; autoregressive models; moving average models; mixed (ARMA) models; mechanics of constructing point, interval, density and probability forecasts.
- Model selection and structural change: Optimizing out-of-sample forecast performance; parsimony principle; AIC, SIC and degrees-of-freedom penalties; diagnosing structural change; recursive estimation and structural change diagnostics; cusum and related procedures.
- Modeling and forecasting volatility and correlation: GARCH and related models; leverage effects; long and short-run variance components; exogenous variables affecting volatility; time-varying market risk premia; fat-tailed conditional densities.
- Multivariate models: Dynamic regression models for fundamentals and returns; explanatory versus forecasting models; vector autoregressions; predictive causality; impulse-response functions.
- Backtesting: Measuring and evaluating forecast accuracy; comparing forecast accuracy; testing for differences in forecasting accuracy; forecast encompassing; forecast combination.
- The cutting edge: Throughout, several presentations of new and cutting-edge research will be given.
Module 2 - Advanced Techniques
Thursday-Friday**
Key topics
State space modeling; Kalman filtering; nonlinear filtering; simulation and Monte Carlo; Markov chain methods; Bayesian methods. New and intensive course on advanced financial forecasting, introduced from a state space perspective. Covers dozens of cutting-edge models in a unified and powerful state-space framework for measurement, modeling, simulation and forecasting. Covers both classical and Bayes approaches using cutting-edge simulation methods, including Gibbs, Metropolis, particle filtering and sequential Monte Carlo. Familiarity with basic matrix algebra, as well as general mathematical maturity, is assumed. **Note: Professor Diebold encourages all those who took his course in earlier years to register for this new course. This is all new material, no redundancy with previous years!
- A classical, linear, Gaussian perspective: Conditionally linear and Gaussian state space representations; optimal filtering, smoothing, and prediction with the Kalman filter; likelihood-based analysis; simulation, Monte Carlo and variance reduction methods; numerous applications including dynamic factor models, unobserved components models, integration, cointegration and error correction, structural change and time-varying parameters, long memory, and more.
- The cutting edge: Throughout, several presentations of new and cutting-edge research will be given.
Other suggested links:
Swiss Finance Institute
Organization, Admission, Procedure & Fee
Application Form [writable PDF]
2009 Brochure
For further queries, 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
Volatility and Correlation
Title: Volatility and Correlation Date: November 9-13, 2009 Price: CHF 6'500.- Location: Geneva, Switzerland Lecturer: Professor Tim Bollerslev Organizer: Swiss Finance Institute (home page) Accreditation: CFA 36 CE credits The past year has seen some unprecedented changes in day-to-day asset prices within and across most financial markets, clearly highlighting the need for accurate and reliable volatility and correlation measurement, modeling, and forecasting procedures. This course surveys the most prominent volatility and correlation techniques developed over the past two decades, along with their many practical uses ranging from asset and option pricing, portfolio allocation, risk measurement and management, to direct volatility and correlation trading. The discussion is designed to strike a balance between intuition and mathematical rigor and also includes consideration of practical computational issues as well as a guest lecturer from the financial services industry illustrating the importance of volatilities and correlations in financial market risk assessments.
Objectives
The course develops an appreciation and understanding of the importance of time-varying volatility and correlation in financial asset returns, the tools and techniques of modern financial volatility and correlation measurement, modeling and forecasting, as well as the pitfalls and opportunities that arise as the new technologies move forward.
Key Topics
Time-varying volatilities and correlations; GARCH and stochastic volatility models; market risk; high-frequency data and realized volatilities; options implied volatilities and the VIX; volatility trading; macroeconomic and financial forecasting.
Target Audience
Professionals in the financial services industry from a variety of backgrounds, including risk management, portfolio management, trading, regulation, derivatives valuation and research, consulting, as well as financial engineers, economists, managers and statisticians who wish to understand and use cutting-edge volatility and correlation models. The course is self-contained, but some mathematical and statistical maturity is expected.
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- Who uses volatility models and why? Risk measurement and management; portfolio choice; asset allocation; asset pricing; hedging; speculation; market timing; forecasting.
- Financial asset return data: Unconditional and conditional return distributions; measures of volatility; volatility clustering; fat tails; jumps; high, mid and low-frequency return distributions; calendar effects; macro-economic news announcement effects.
Tuesday- ARCH and GARCH models: Basic structures and properties; ARMA representations; time- varying volatility and prediction; volatility timing; volatility scaling; RiskMetrics™ and exponential smoothing; maximum likelihood estimation and testing.
- Variations on GARCH models: Volatility asymmetry and leverage effects; time-varying risk premia; non-normal error distributions and Value at Risk; long-memory models; component structures; regime switching models; software review.
Wednesday- Multivariate volatility models and correlations: Covariance risk and diversification; commonalities in volatilities; multivariate GARCH and exponential smoothing; factor structures; dynamic correlation models; asymmetries in correlations; copulas.
- Skewness, VaR and extreme value theory: Skewness, kurtosis, and higher order dependencies; GARCH-based VaR and bootstrap techniques; catastrophic risk; extreme value theory.
Thursday- High-frequency data and volatility modeling: Continuous-time models; practical date considerations; spreads; discreteness; non-synchronous trading; intraday patterns; duration models.
- Realized volatility: Theory of realized volatility; practical construction; volatility signature plots; distributional properties; realized volatility forecasting; return distributions and VaR; jumps; realized CAPM betas and factor loadings.
Friday- Stochastic volatility models: Basic structures and properties; state space representations; estimation strategies; filtering and forecasting; information arrivals and time deformation; stochastic volatility models versus GARCH.
- Option pricing and implied volatilities: Model-based versus market-based volatilities; general principles of option pricing; Black-Scholes implied volatilities; volatility smiles; risk-neutral distributions; model-free implied volatilities and VIX; volatility trading and variance swaps; variance risk premia and return predictability.
Other suggested links:
Swiss Finance Institute
Organization, Admission, Procedure & Fee
Application Form [writable PDF]
2009 Brochure
For further queries, 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
- MathFinance Resources
-
Release of the Local-Grid Version UnRisk 3.1M
The UnRisk PRICING ENGINE has been introduced 2001. Now, UnRisk 3.1M is the 15th release of the fast-paced and accurate derivatives analytics platform.
Serving the Multi-core Revolution
UnRisk 3.1M supports Mathematica 7 with its built-in parallel computing as a key for a new area of parallel programming and integration. Every copy of UnRisk 3.1M comes standard with a foundation of parallelized functions and interactive reference documents for the customization of parallel constructs. Each copy of UnRisk 3.1M comes with four computational processes. More processes can be added easily.
"UnRisk's single-core speed is already first class", says Andreas Binder, CEO of the UnRisk makers MathConsult, "coarse grain parallelization steps up performance with little effort". "Quad-core computers are now widely used, and we want to have programmers in quantitative finance access to their power", he adds.
UnRisk 3 integrates an optimized C++ engine into Mathematica and so that models such as Hull & White, Black Karasinski and LMM in fixed income use the most advanced numerical schemes, correctly and efficiently solving the inverse problems of model calibration correctly.
Great Opportunity for Solution Makers
UnRisk 3.1M offers the technologies applied by the UnRisk team when developing the grid-enabled version of the UnRisk PRICING ENGINE, which builds the computational foundation for UnRisk's risk-analytics-in-real-time platform, the UnRisk FACTORY.
UnRisk 3.1M offers four computational processes without price uplift.
Find more here: http://www.unrisk.com/
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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
The MathFinance Newsletter - media kits - subscribe
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