The MathFinance Newsletter, Edition 217, November 6, 2009.

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. (Senior) Associate (m/w) Advisory FRM Financial Engineering, KPMG
   2. Risikomanagement Financial Risk Solutions, Deloitte, Düsseldorf
   3. Mathematiker (m/w), Naturwissenschaftler (m/w), oder (Wirtschafts-) Informatiker (m/w) bei d-fine GmbH, Deutschland
2. MathFinance Events
   1. Statistical Programming in Finance with R with Patrick Burns, London, 9th - 11th November 2009
      
   2. Volatility and Correlation by Prof. Tim Bollerslev, Geneva, 9th - 13th November 2009
      
   3. Financial Engineering Workshops at Cass, London, 12th, 19th November, 2nd December 2009
      
   4. Central Clearing and Counterparty Credit Risk with Jon Gregory, London, 16th - 17th November 2009
      
   5. Interest Rate Modelling & Interest Rate Exotic Products, London, 23rd & 24th November 2009
      
   6. Finance-Seminar: Fortgeschrittene Finite-Differenzen-Methoden mit Daniel Duffy, Frankfurt, 26th und 27th November 2009
      
   7. Advanced C++ for Computational Finance with Daniel Duffy, London, 9th - 11th December 2009
      
   8. Credit Risk & Modelling, London, 10th & 11th December 2009
      
   9. Counterparty Credit Risk: The New Challenge for Global Financial Markets by Jon Gregory, London, 15th & 16th March 2010
      
   10. Current Developments in Valuation and Hedging in Incomplete Markets, Cass Business School, London, 30th April - 1 May 2010
       
   11. Financial Asset Management and Engineering (FAME) Program, Lausanne, 19th July - 20th August 2010
       
3. MathFinance Resources
1. UnRisk 4 is shipping
2. New working paper on FX Volatility Smile Construction
3. MathFinance Discussion Series started
4. FX Option Pricer from MathFinance
5. The Ultimate Quant Cheat Sheet
6. Handbook of Mathematical Functions by Abramowitz and Stegun

• 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. (Senior) Associate (m/w) Advisory FRM Financial Engineering KPMG

      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 . 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.

      
      
      

   2. 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.
      
      

   3. 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 über 250 Beratern und Büros in Frankfurt, München, London, Hong Kong und Bratislava eines der größten auf quantitative und technische Fragestellungen im Risikomanagement 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 IFRS bis Solvency 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
      
      homepage: http://www.d-fine.de

      
      
      
   
   
   
2. MathFinance Events
   
   

   1. Statistical Programming in Finance with R with Patrick Burns, London, 9th - 11th November 2009

      http://www.moneyscience.com/training/statistical-programming-in-finance-with-R.html

      10 % 'Early Bird' Discount before October 1st, 2009

      R, the open-source data analysis, statistics, and visualization platform has a significant, expanding following in the quantitative finance and risk analysis communities. Across the industry, the R language is employed at the cutting edge of financial analysis and the primary purpose of this course is to give users a thorough grounding in its fundamentals and implementation. Exercises will be largely from finance and focus on statistical resampling methods and stochastic optimisation.

      More Events: http://www.moneyscience.com/training/index.html

      
      
      

   2. Volatility and Correlation by Prof. Tim Bollerslev, Geneva, 9th - 13th November 2009

      Title:	Volatility and Correlation
      Date:	November 9th - 13th 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:
   2009 Geneva Executive Courses in Finance course program
   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
   
   
   

   3. Financial Engineering Workshops at Cass, London, 12th, 19th November, 2nd December 2009

      12th November: Christopher Finger (RiskMetrics Group)
      Testing Hedges Under the Standard Tranched Credit Pricing Model
      
      19th November: Damiano Brigo (Fitch Solutions)
      Counterparty risk valuation under dynamical models in the presence of wrong way risk
      
      *2nd December: Peter Carr (Bloomberg)
      Linking DOOM (deep out of the money) puts to CDS*
      
      
      

      Most Thursdays from 6pm until 7pm in Cass Business School, 106 Bunhill Row.
      Location link:
      http://www.cass.city.ac.uk/about/location/findus.html

      They are in Room 3003 at 6pm, with refreshments in the 2nd Floor Milling Area from 5.30pm.

      Note that the final seminar is on a Wednesday.
      Link to the web page with the programme

      
      
      

   4. Central Clearing and Counterparty Credit Risk with Jon Gregory, London, 16th - 17th November 2009

      http://www.moneyscience.com/training/central-clearing-and-counterparty-credit-risk.html

      10 % 'Early Bird' Discount before October 1st, 2009

      A practical and intensive course covering counterparty credit risk and its role in the credit crisis and focusing on important related aspects such as collateral management and wrong-way risk.

      More Events: http://www.moneyscience.com/training/index.html
      
      

   5. Interest Rate Modelling & Interest Rate Exotic Products, London, 23rd & 24th November 2009

      Day 1: The LMM-SABR Model: The New Paradigm for Pricing, Calibrating, Hedging Interest-Rate Derivatives Modelling in the Presence of Smiles

      Presenter: Riccardo Rebonato: Global Head of Market Risk & Global Head of Quantitative Research, Royal Bank of Scotland

      The LIBOR Market Model framework (deterministic volatility)
      
      
      • Deriving the Drifts of the Forward Rates
      • Specifying the volatility
      • Specifying the correlation
      • Calibrating
      
      The SABR Model
      
      
      • Pricing formulae
      • Special Cases
      • Qualitative Hedging Behaviour
      • Pitfalls
      
      Combining LMM and SABR
      
      
      • Deriving the Drifts of the Forward Rates
      • Deriving the Drifts of the Volatilities
      • Analytical Approximation to Swaption Prices
      
      Calibrating
      
      
      • Calibrating the Volatility Function
      • Calibrating the Volatility of Volatility
      • Calibrating the Correlation Structure
      • When to use to Implied Approach and When to Use the Historical Approach
      
      Empirical Evidence
      
      
      • Estimating the Volatilities
      • Estimating the Volatility of Volatility
      • Estimating the Correlation Structure
      • Statistical Behaviour of Fitted Parameters, and How to Use This Information for Hedging
      
      Hedging
      
      
      • Hedging under Normal Market Conditions: How to Quantify the Exposure to Level, Slope and Curvature of the Smile
      • Hedging under Conditions of Market Turmoil
      
      Day 2: Interest Rate Modelling & Interest Rate Exotic Products
      
      Presenters:
      
      Alexandre Antonov: Senior Quantitative Analyst, NumeriX
      Pat Hagan: Head, Quantitative Analytics, Chief Investment Office, JP Morgan
      Sandrine Ungari: Quantitative Strategy, Société Générale
      Eric Benhamou: CEO, Pricing Partners
      
      Interest Rate Modelling & Interest Rate Exotic Products
      
      Presentation topic headings:
      
      
      • Analytical Formulas for Pricing CMS Products in the LMM Model
      • Adjusters, Internal Adjusters, and Pricing Callable Exotics
      • Valuing and Trading Interest Rate Derivatives in a Short Rate Model with Stochastic Volatility
      • Stochastic Interest Rates for Local Volatility Hybrids Models
      
      
      http://www.wbstraining.com/php/events/showevent.php?id=160
      
      Contact Information:
      Chris Uduezue
      WBS Training
      Tel: +44 (0) 1273 201352
      Fax: +44 (0) 1273 201360
      http://www.wbstraining.com
      
      

   6. Finance-Seminar: Fortgeschrittene Finite-Differenzen-Methoden mit Daniel Duffy, Frankfurt, 26th und 27th November 2009

      im Deloitte Gebäude, 60486 Frankfurt am Main, Franklinstraße 50.

      Das zweitägige Seminar wird Dr. Daniel J. Duffy, Gründer der Firma Datasim und Experte für Softwareentwicklung im Bereich Financial Engineering, halten. Folgende Themen sind u.a. geplant:

      • PDE and FDM in computational finance
      • One-factor and multi-factor European and American options
      • Continuous and discrete monitoring
      • Calculating sensitivities ('Greeks')
      • Jumps

      Das Seminar bietet die wertvolle Gelegenheit, sich mit einem ausgewiesenen Experten, anderen erfahrenen Praktikern und Fachleuten von Deloitte über Treasury, Pricing und Risk Management auszutauschen.

      Über Ihre verbindliche Anmeldung bis zum 13. November 2009 würden wir uns freuen.

      Organisatorisches
      

      Während des Seminars ist für Ihr Wohlbefinden gesorgt. Die Teilnehmerzahl ist auf rd. 20 Personen begrenzt. Bei übergroßem Interesse muss die Teilnehmerzahl pro Unternehmen leider limitiert werden. Eine Absage seitens Deloitte ist bei zu geringem Interesse möglich. Der Kostenbeitrag für das zweitätige Seminar beträgt EUR 1000 zzgl. USt.. Ihre verbindliche Anmeldung erbitten wir mit per Faxantwort oder E-Mail bis zum 13. November 2009. Nach Rechnungsstellung durch uns bitten wir um Überweisung des Kostenbeitrags innerhalb von zwei Wochen. Im Verhinderungsfall behalten wir uns vor, den Kostenbeitrag einzubehalten, sofern wir keinen Ersatzteilnehmer finden.

      Anmeldung und weitere Auskünfte
      Frau Uta Rudolph (Anmeldung)
      Herr Dr. Thomas Siwik
      Tel:+ 49 / (0) 211 / 8772 --2133 -2147
      Fax:+ 49 / (0) 211 / 8772 --2443 -2443
      E-mail:
      
      Deloitte & Touche GmbH
      Financial Risk Solutions
      Schwannstraße 6
      40476 Düsseldorf
      
      

   7. Advanced C++ for Computational Finance with Daniel Duffy, London, 9th - 11th December 2009

      http://www.moneyscience.com/training/advanced-c-plus-plus-for-computational-finance.html

      15% 'Early Bird' Discount before October 15th - 20% Discount for first 5 delegates

      The goal of this three-day intensive hands-on course is to learn those advanced features in C++ that are of direct relevance to writing and extending applications for quantitative and computational finance. The course uses the object-oriented and generic (templates) programming models (OOP, GP) in combination with design patterns and the STL and boost libraries to allow you to create robust and flexible applications. We develop the contents of the course by discussing important C++ language features, using OOP and GP models to write clean and effective code. We also discuss how to improve the performance of your application. In all cases, the examples and test cases are based on finance experience.

      More Events: http://www.moneyscience.com/training/index.html
      
      

   8. Credit Risk & Modelling, London, 10th & 11th December 2009

      Day 1: Counterparty Risk & Credit Modelling
      
      Presenters:
      
      Damiano Brigo: Managing Director, FitchSolutions
      Massimo Morini: Head of Credit Models, Banca IMI
      
      
      Part I: Counterparty Risk
      
      
      • Counterparty risk valuation in general
      • Impact of dynamics, volatilities and correlation on the credit valuation adjustments (CVA)
      • Three examples: Interest rates, Commodities and CDS
      
      Part II: Credit Modeling Pre- and In-Crisis
      
      
      • Studying default cases with Realistic Structural Models
      • Application to multi name products and contagion
      • The relation between equity and credit implied by realistic structural models
      • Application to EDS and counterparty risk in equity
      • Intensity modelling with credit spread volatility and jumps
      • How sudden default will be?
      • Gap risk in Credit linked Notes
      • Default dependence modelling
      • How the static Gaussian Copula model missed the risk of losses concentrated in time
      • How flat correlation missed the link between skew and systemic risk
      • How mapping missed the role of dispersion in skew dynamics
      • Solutions in practice: making correlation a function of seniority and dispersion based mapping
      • Probability of a financial armageddon implied in CDX and i-Traxx markets
      • How it evolved in the crisis
      • The implication on Credit Market Models and the pricing of index options
      • Counterparty and liquidity risk in Libor during the credit crunch
      • Credit convexity adjustments for new term structure relations
      
      
      Day 2: Credit Derivatives & Risk Management
      
      Presenter: Jon Gregory: Independant Consultant
      
      Credit Derivatives and the Credit Crisis
      
      
      • Why did models fail?
      • Moral hazards
      • Rating agencies
      • Counterparty risk
      
      CDO Pricing
      
      
      • A history of CDO pricing and overview of the correlation market
      • Pricing a CDO and copula approaches
      • Base correlation, strike and term structure
      • Bespoke pricing and mapping methodologies
      • Stochastic recovery, systemic risk and other extensions
      • CDO pricing - What went wrong and why?
      
      Risk Management Issues in Structured Credit
      
      
      • CDO Greeks
      • Default risk and delta hedging
      • Risk management and base correlation
      • Mapping adjustments and break-even correlation
      
      Counterparty Risk in Credit Derivatives
      
      
      • CDS counterparty risk
      • Impact on indices and index tranches
      • Monolines
      • Centralised counterparty for counterparty risk
      
      
      http://www.wbstraining.com/php/events/showevent.php?id=159
      
      Contact Information:
      Chris Uduezue
      WBS Training
      Tel: +44 (0) 1273 201352
      Fax: +44 (0) 1273 201360
      
      http://www.wbstraining.com
      
      

   9. Counterparty Credit Risk: The New Challenge for Global Financial Markets by Jon Gregory, London, 15th & 16th March 2010

      Day 1: Counterparty Credit Risk: The New Challenge for Global Financial Markets

      
      
      I. Introducing Counterparty Risk
      
      
      • A history of counterparty risk
      • The development of the OTC derivatives market
      • Risk mitigation methods
      • The credit derivatives market
      • Wrong-way risk
      • Lessons from the crisis
      
      II. Mitigating Counterparty Risk
      
      
      • Default remote entities
      • Close-out
      • Netting
      • Collateral
      • Additional termination events
      
      III. Quantifying Credit Exposure
      
      
      • Defining credit exposure
      • Expected exposure (EE), potential future exposure (PFE) and expected positive exposure (EPE)
      • Exposure simulation methodologies
      • Accounting for netting
      • Accounting for collateral
      
      IV. Pricing Counterparty Risk - Credit Value Adjustment (CVA)
      
      
      • Default probability and recovery rate
      • Defining CVA
      • Computing CVA
      • Bilateral CVA
      • Netting - incremental and marginal CVA
      • CVA and collateral
      
      
      Day 2: Counterparty Credit Risk: The New Challenge for Global Financial Markets
      
      I. Hedging Counterparty Risk
      
      
      • Static hedging
      • Contingent credit default swaps (CCDS)
      • Hedging exposure components
      • Hedging credit components
      • Gamma and cross gamma
      • Hedging and bilateral CVA
      • Hedging collateralised positions
      
      II. Portfolio Level Counterparty Risk
      
      
      • Double default and CCDS
      • Random exposures in a portfolio context
      • Computation of unexpected losses due to counterparty risk
      • Introducing the alpha factor
      • Basel II
      
      III. Wrong-way Risks, Central Counterparties
      
      
      • Wrong-way risk in interest rate, FX and commodity products
      • Modelling approaches for wrong-way risk
      • Credit default swaps (CDS)
      • Credit derivatives portfolio products
      • Monoline insurers
      • Central counterparties (CCPs)
      • The validity of central clearing
      
      IV. Managing Counterparty Risk in a Financial Institution
      
      
      • Results from survey of 20 banks on CVA practices
      • Organisational aspects
      • Mechanics of pricing
      • Technology aspects
      • CVA desk - insurance company or trading desk?
      
      
      http://www.wbstraining.com/php/events/showevent.php?id=161
      
      Contact Information:
      Chris Uduezue
      WBS Training
      Tel: +44 (0) 1273 201352
      Fax: +44 (0) 1273 201360
      
      http://www.wbstraining.com
      
      

   10. Current Developments in Valuation and Hedging in Incomplete Markets

       Organisers:	Ales Cerny, Stewart Hodges and Radu Tunaru
       Date:	30 April -1 May 2010, one day and a half conference
       Location:	Cass Business School, City University London

       
       Plenary speakers
       

       Helyette Geman	Professor of Finance at Birkbeck College, University of London and ESCP/EAP.
       Elyes Jouini	Distinguished Professor, Universite de Paris-Dauphine
       Dilip Madan	Professor of Finance at the Robert H. Smith School of Business, University of Maryland
       William Perraudin	Chair in Finance, Imperial College Business School

       
       Thematic areas covered by conference
       
       
       1. Theoretical Financial Economics
       2. Mathematical Finance and Numerical Methods
       3. Applications to Unhedgeable Risks

       Main aims: Recognising the importance of developing suitable models for measuring and managing risk in incomplete financial markets this conference will bring together the latest theories and numerical methods in a range of applications. The aim is to create a strong path from theory to practical valuation and hedging. The last decade has experienced considerable theoretical development that has not been transferred to practice. This conference is the appropriate forum to bridge the gap and also to highlight some of the current challenges faced by the industry where the latest models could make a difference.

       Areas of interest: The conference will cover a rich spectrum of applications related to hedging performance for markets such as interest rates, credit, commodities, energy, exotic options and structured finance. Advances in numerical methods applicable to problems appearing in incomplete market context and comparative studies identifying the best performing models are especially welcome.

       Paper deadline:	31 January 2010. Please submit full papers in PDF format to
       Acceptance:	notification by email before 15 February 2010
       Registration fee:	£35
       Website:	http://www.cass.city.ac.uk/conferences/Incomplete_Markets/index.html

       
       
       

   11. Financial Asset Management and Engineering (FAME) Program, Lausanne, 19th July - 20th August 2010

       
       

       Title:	Financial Asset Management and Engineering (FAME) Program
       Date:	July 19th - August 20th, 2010
       Price:	CHF 17'000.-
       Location:	Lausanne, Switzerland
       Organizer:	Swiss Finance Institute (home page)
       Accreditation:	CFA 40 CE credits

       
       

       The FAME Program provides a unique experience in the modern practices of asset management and financial engineering. For four weeks practitioners are challenged to apply advanced thinking to investing in real world situations. It is this intense focus on application which allows the FAME program to achieve its singular impact.

       Concepts are important by themselves, but it is only through their application that a deeper understanding can be achieved. The FAME Program is therefore carefully structured to interweave both concepts and practical applications so as to achieve an optimal learning impact. A mix of teaching methods supports this goal, combining lectures with class discussions, PC-based applications, market data systems and case work, while regular short tests allow the participants to assess their own progress. A major investment project accompanies the whole FAME Program, enabling participants to integrate what they have learnt into a complex practical situation.

       Faculty
       The faculty of the FAME Program is made up of an international mix of renowned academics and highly experienced practitioners. Here too, the objective is to have the best of the conceptual and the practical world combined.

       Participants
       The last ingredient to the success of the FAME Program is the participants themselves. A small group of ca. 30 practitioners typically coming from around 15 countries, calling from all over the world, ensures an unparalleled diversity of experiences. The FAME Program draws heavily on this diverse background, emphasizing team work and group assignments to support the exchange of insights and to build an enduring professional network between the participants.

       Fees
       The price of the 4+1-week program is CHF 17.000 (CHF 15.000 for four weeks) and covers tuition, extensive course material, lunches during the program, and official events. An invoice will be sent with notification of admission. Payment is due upon receipt of the invoice in order to secure a place in the program.

       Click for Testimonials

       COURSE CONTENT
       
       

       The FAME Program
       
       The FAME program focuses on conceptual and practical knowledge in six key areas which are central to modern finance, and which are described further below:

       • Fundamentals of Finance and Investments (optional
       • Equity and bond portfolio management
       • Foreign exchange and money markets
       • Derivatives
       • Market and credit risk management
       • Financial engineering and structured products
       
       Fundamentals of Finance and Investments - Optional pre-program module
       

       This pre-program module is an optional week which lays the foundations for the financial techniques used in the FAME program. The module provides a concise introduction to classical concepts in finance, but its main emphasis is on applying these in a more formal way to real numerical situations, using prepared excel spreadsheets. Topics addressed are:

       • Statistics for asset management (computation of return and volatility, linear regression, hypothesis testing)
       • Modern portfolio theory (risk and return, diversification, efficient frontier)
       • Bond pricing (duration, convexity, interest rate immunisation)
       • Futures and options (spot -future parity, Black Scholes)
       • Value at risk

       While this module is optional, it is strongly recommended for all FAME participants except for those with excellent quantitative skills.

       Equity and Bond Portfolio Management
       

       This is the key module of the program. The objective of the module is to provide a thorough understanding of how the most recent quantitative techniques can be used in asset management. The module is placed in the context of a portfolio management project, where participants construct and manage a portfolio in real-time. They thus have the opportunity to apply the techniques taught in the course in a real-world environment.

       Building on the fundamentals of portfolio theory and fixed income management, the module investigates international asset allocation, analyzes the quantitative tools to manage passive and active portfolios, and discusses the various principal hedge fund strategies. More specifically, the module addresses the following:

       • Basic portfolio theory (efficient frontier, mean-variance portfolio allocation, multiple factor models, CAPM)
       • Fixed income management (duration and convexity, mortgage-backed securities, fixed income portfolio allocation, interest rate risk management)
       • Portfolio management (active versus passive management, portfolio risk, rebalancing strategies)
       • International asset allocation (international allocation and diversification, impact of currency risk, principles of overlay management)
       • Hedge funds (long-short, global macro, arbitrage strategies, hedge fund portfolio management).
       
       Foreign Exchange and Money Market
       

       The ever increasing economic and financial integration of countries has increased the internationalisation of portfolios. This in turn has had an impact on the importance of FX management as well as international money markets. This module addresses some of the most important instruments available, such as forward rates, FRAs, repos, interest rate futures, money market swaps, and indexed swaps.

       Derivatives
       

       A good grasp of derivatives and the working of the respective markets is essential for practitioners. This includes understanding both plain vanilla as well as complex derivative products on the one hand, but it also includes the knowledge of how to apply these products to hedge risks and manage exposure. Through case studies and applied workshops participants are able to gain practical experience with these more advanced products. Specifically, this module addresses the following topics:

       • Vanilla options (option pricing with the Black-Scholes, option strategies for hedging, directional trading)
       • Complex options (Exotic options, Double No-Touch options, etc.)
       • Managing the risk of a derivative position
       • Applying derivatives in portfolio management
       
       Market and Credit Risk Management
       

       The Risk Management module provides an overview of the most recent techniques used in risk management of portfolios. Participants are introduced to:

       • Risks faced by financial institutions (market risk, credit risk, operational risk, model risk and liquidity risk)
       • Principles of risk management (based on well known practical cases
       • Extreme value theory (Value at Risk estimation, historical simulations, Monte Carlo and delta normal method)
       • Empirical and theoretical issues on corporate credit risk (probability of default, recovery rates)
       • Structural and reduced-form models of default risk
       
       Financial Engineering
       

       Building on the knowledge acquired during the first weeks of the FAME Program, participants learn how to price derivative and structured products. Financial Engineering is the final module, and as such is highly participatory, and significant time is devoted to group work. This enables the participants to assess how well they are able to integrate what they have learnt in the first weeks into a more complex realistic scenario. Specifically, the module covered the following topics:

       • Construction and pricing of complex structured products
       • Reverse engineering of structured products
       • Measuring time-varying volatility in financial time series and implications on volatility trading strategies
       • Selected current examples (for example credit default swaps, collateral debt obligations, leveraged super senior notes).
       
       
       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
       
       
       
3. MathFinance Resources
   
   

   1. UnRisk 4 is shipping

      The UnRisk consortium takes UnRisk 4 to financial institutions, to valuate deals and analyse their risk concurrently in local or server grid-environments

      28-Oct-09 - UnRisk today announced it has released UnRisk PRICING ENGINE version 4, introduced as UnRisk 4. This release is free for all UnRisk Premium Service users and will be shipped to all new customers immediately. The UnRisk PRICING ENGINE has been introduced 2001. Now, UnRisk 4 is the 16th release and the fastest and most accurate release ever.

      UnRisk 4 on Mathematica 7
      

      With built-in parallel computing, every copy of UnRisk 4 comes standard with parallelized computation kernels over multiple local cores or over networks of UnRisk 4 deployed across a grid. Every copy of UnRisk 4 comes with four computation kernels that can be extended easily.
      UnRisk manages parallelization in the Mathematica and the Excel front-end.

      "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 communication losses". "Local and networked multi-core computers are now widely used, and we want quantitative finance experts to have access to their power", he adds.

      Best efforts to avoid risky model & method horrors
      

      New in UnRisk 4: a vast variety of interest rate based contracts can be analyzed across short rate and market models. Expected coupons rates, as well as survival probabilities (of callable/putable instruments) are calculated.
      Option analytics can be performed across generalized Black Scholes, Dupire and Heston models.
      The valuation and calibration engines are implemented the UnRisk way: with the most advanced numerical schemes, parameter identification and optimization techniques transferred from the most complex technical system solving to finance.

      Compute - develop
      

      UnRisk integrates a numerically optimized C+ engine into Mathematica 7. The PRICING ENGINE comes with a Mathematica and an Excel front-end. UnRisk-Q, dedicated to quant-programmers, with a Mathematica front-end.

      More about UnRisk:
      http://www.unrisk.com
      
      http://www.unriskinsight.blogspot.com
      
      e-mail:
      
      

   2. New working paper on FX Volatility Smile Construction

      New working paper on FX Volatility Smile Construction published on http://www.mathfinance.de/forum/

      
      Contents:
      
      • ATM and delta conventions in FX markets
      • Risk Reversals and Butterflies
      • Market Strangle and Smile Strangle
      • Interpolation and Extrapolation
      • Improved Malz formula
      
      By Dimitri Reiswich and Uwe Wystup
      
      

   3. MathFinance Discussion Series started

      MathFinance has started a discussion series of quantitative topics. There will be a series of topics concerning the FX Volatility smile construction.

      The first post discusses issues occurring in the calculation of strikes from a given delta and volatility. We appreciate your comments and contributions at

      http://www.mathfinance.com/forum/
      
      
      
      

   4. FX Option Pricer from MathFinance

      http://www.mathfinance.com/tools/calculator/index.php
      
      

      Including: Vanilla, Single and Double Barrier, Single and Double Touch

      Features: Theoretical Black-Scholes Value (TV) and Vanna-Volga Value

      Greeks: Delta, Gamma, Theta, Rho (domestic and foreign), Vega, Vanna, Volga

      Quotation: Amount, Pips, Percent in both currencies, premium-adjusted delta

      
      
      

   5. The Ultimate Quant Cheat Sheet

      • All you need to know as a quant to pass exams and interview questions
      • Every day easy to carry-on reference manual
      • Decades of practical knowledge condensed on 6 pages
      • A4 size when folded
      • Punched so you can file it
      • Laminated so it will survive a spill of your drink
      
      Check here for details.
      
      

   6. Handbook of Mathematical Functions by Abramowitz and Stegun

      Online version available here