The MathFinance Newsletter, Edition 219, December 4, 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. Credit Suisse - Global Modelling and Analytics Group - Quantitative Summer Institute (QSI) 10 week internship program
   2. Junior Research Professorship in Mathematical Finance at the Scuola Normale Superiore, Pisa
   3. Postdoctoral Researcher in Financial Mathematics (3 year contract), DCU, Dublin
   4. (Senior) Associate (m/w) Advisory FRM Financial Engineering, KPMG
   5. Risikomanagement Financial Risk Solutions, Deloitte, Düsseldorf
   6. Mathematiker (m/w), Naturwissenschaftler (m/w), oder (Wirtschafts-) Informatiker (m/w) bei d-fine GmbH, Deutschland
2. MathFinance Events
   1. Advanced C++ for Computational Finance with Daniel Duffy, London, 9th - 11th December 2009
      
   2. 9th Winter School on Mathematical Finance, The Netherlands, 18th - 20th January 2010
      
   3. Seminar on GPU-Accelerated Derivative Pricing and Risk Models, Frankfurt, January 20, 2010
      
   4. Counterparty Credit Risk: The New Challenge for Global Financial Markets by Jon Gregory, London, 15th & 16th March 2010
      
   5. Counterparty Credit Risk: Credit Valuation Adjustment, Stress Testing & Modelling Workshop, London, 22nd - 24th March 2010
      
   6. Interest Rate Modelling for the New Era, London, 15th & 16th April 2010
      
   7. Current Developments in Valuation and Hedging in Incomplete Markets, Cass Business School, London, 30th April - 1 May 2010
      
   8. Financial Asset Management and Engineering (FAME) Program, Lausanne, 19th July - 20th August 2010
      
3. MathFinance Resources
1. Working paper on FX Volatility Smile Construction
2. MathFinance Discussion Series started
3. FX Option Pricer from MathFinance
4. The Ultimate Quant Cheat Sheet
5. Book: Vinzenz Bronzin's Option Pricing Models, eds. Hafner, Wolfgang; Zimmermann, Heinz, Springer Verlag

• 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. Credit Suisse - Global Modelling and Analytics Group - Quantitative Summer Institute (QSI) 10 week internship program

      Apply now to our 10-week internship program. The QSI program provides an opportunity to gain first hand experience of quantitative modelling and development work at a top tier investment bank.

      Europe, Middle East and Africa
      Global Modelling and Analytics Group - Quantitative Summer Institute
      

      Credit Suisse provides private banking, investment banking and asset management services to clients across the world. Active in over 50 countries and employing more than 46,000 people, we are one of the world's premier banks.

      The Global Modelling and Analytics Group (GMAG) produces state-of-the-art pricing, trading and risk management models for Credit Suisse. These models are used across a range of businesses in the Fixed Income and Equity departments. The group performs the full spectrum of quantitative work, from mathematical modelling through software implementation and delivery, to risk analysis of trades and existing portfolios, and its mandate covers all major asset classes. Quantitative Analysts in GMAG carry out a range of activities that include the creation of sophisticated mathematical models for the valuation of complex derivatives, development of the technology platform used to deliver models and driving the use of these models throughout the bank.

      GMAG has over 100 members located in London, New York, Hong Kong, Zurich, Tokyo and São Paolo. Established in 1990, GMAG stands out as a unified quant group that has been covering all major product areas since its inception. The group has always enjoyed a strong relationship with Trading, Structuring and Sales, assisting them with trade pricing and risk management. Based on the trading floor, GMAG is ideally placed to respond to the financial modelling needs of the businesses it supports. Over time, the group has developed an extensive suite of pricing models on a common platform with complete integration across all asset classes.

      The Program
      

      The Quantitative Summer Institute (QSI) is a 10-week internship program which provides an opportunity to gain first hand experience of quantitative modelling and development work at a top tier investment bank. The program is run simultaneously in our London and New York offices and takes place at the same time as Credit Suisse's traditional Analyst and Associate Summer Programs. As such, QSI interns will also participate in a variety of social and corporate events organized by the Graduate Recruitment Department. Successful QSI interns will be invited to join GMAG for a full-time position at the end of their studies.

      Training and Development
      

      The QSI program is divided into two distinct 5-week modules - an intensive training module, followed by individual desk placements in one of the GMAG teams. The training module consists of seminars and exercises to introduce participants to the principles of financial modelling, key derivatives markets and products, as well as practical training on GMAG's core models and technologies. It is based on the GMAG Training Program, which has been developed in-house over many years and is taught by experienced modellers. The practical exercises make use of the same models and tools as used by Traders and Structurers throughout the Bank.

      The individual desk placements give participants a valuable opportunity to contribute to a real world project relevant to the business. During the placements interns will sit with one of the GMAG teams and interact closely with their new colleagues, both professionally and socially. Interns will be expected to present the results of their project to a panel of senior members of the group at the end of the program.

      What we look for
      

      You will have, or be studying to obtain, a PhD or other advanced degree in a quantitative field such as Mathematics, Physics, Engineering, Computer Science, Operations Research or Quantitative Finance. You'll need advanced analytical, quantitative, and problem solving skills. Programming experience and exposure to algorithms are generally essential. Prior knowledge of finance is not required, however you should have a genuine interest in the area. You'll need to be fluent in English and a team player with a positive cooperative attitude.

      As QSI is the primary route of entry into full-time roles in GMAG, we also look for outstanding interpersonal and communication skills, good organizational skills and the potential to work on multiple projects simultaneously. All GMAG roles also require a talent for creating innovative and practical solutions to real problems. You'll need to be available for a 10 week period between June and September 2010.

      Please apply online at:www.credit-suisse.com/careers
      
      Deadline: 5 February 2010
      
      
      
      

   2. Junior Research Professorship in Mathematical Finance at the Scuola Normale Superiore, Pisa

      The Scuola Normale Superiore of Pisa (SNS) invites expressions of interest for a three year position, renewable for two further years, from brilliant researchers with at least two years of post-doctoral experience in the field of Mathematical Finance.

      Depending on the experience of the candidate, the salary will be in the range between 40.000 and 46.000 EU/year. Research funds will be available following the procedures of the SNS.

      The expressions of interest should be addressed not later than January 29, 2010 to the Director of the SNS, together with a CV, a research project and the indication of three referees.

      More details about the position and the application can be found at http://jobopportunities.sns.it/mathematical_finance. All inquiries can be addressed to

      
      
      

   3. Postdoctoral Researcher in Financial Mathematics (3 year contract), DCU, Dublin

      Faculty of Science & Health
      School of Mathematical Sciences
      
      Financial Mathematics Computation Cluster (FMC2)
      
      

      The Financial Mathematics Computation Cluster (FMC2) is a collaboration between Industry, University College Dublin, Dublin City University, and NUI Maynooth, and brings together expertise in Mathematical Finance, Financial Economics, and Computer Science, to create a research programme in asset and risk management.

      The FMC2 has an opening for a Postdoctoral Researcher, externally funded by Science Foundation Ireland (SFI) in the area of Mathematical Finance, based in the School of Mathematical Sciences at Dublin City University.

      Applicants must possess a PhD in Mathematics or a related discipline, and show strong commitment for research in their career to date. The successful candidate will primarily conduct research in Financial Mathematics, the main areas ideally including, but not necessarily confined to: Portfolio Choice, Derivatives Pricing and Performance Evaluation. It is expected that the post-holder will publish articles out of this research in high impact journals, and may collaborate with industry partners.

      It is expected that the successful candidate will contribute to the teaching portfolio within the school, particularly within their own area(s) of expertise. The post-holder will also be expected to supervise and support postgraduate students within the school and any perform other duties that may arise over time.

      Strong written and oral communication skills are essential, and the candidate will need to work effectively as part of a multi-disciplinary team to achieve the project goals.

      The expected starting date for this position is September 2010. The successful applicant will be subject to a twelve month probationary period.

      Salary scale:
      Post doctorate researcher: €40,000 - €49,195
      Research (Senior) Fellow: €55,098 - €67,432
      
      

      It is anticipated that appointment will be made on the post doctorate researcher scale. However, for the exceptional candidate, appointment may be made on the Research Fellow/Senior Research Fellow scale within the range specified above. To be appointed at this level, the candidate would have a minimum of two to three years of highly relevant postdoctoral experience, and an established independent research and publication record.

      Closing date: Friday 15th January 2010.
      
      

      Application forms are available from: Human Resources Department, Dublin City University, Dublin 9. Tel: +353 (0)1 700 5149 Fax: +353 (0)1 700 5500

      E-mail:
      
      Dublin City University is an equal opportunities employee
      
      
      

   4. (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.

      
      
      

   5. 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.
      
      

   6. 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. 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
      
      

   2. 9th Winter School on Mathematical Finance, The Netherlands, 18th - 20th January 2010

      
      Special Topics:
      Numerical Methods and Illiquid Markets
      January 18-20, 2010 The Netherlands
      

      The Winter School is supported financially by AMaMeF, NWO, Thomas Stieltjes Institute, MRI and CentER

      Training will be provided by a number of renowned international lecturers at the conference center "De Werelt" in the heart of the beautiful forest of the Veluwe.

      Special price CANdiensten - EURO 1.700,- VAT included
      
      

      The registration fee includes accommodation (single room) for the nights of January 18 and 19, all meals starting with lunch on Monday up to and including lunch on Wednesday, and tea and coffee during breaks.

      Minicourses
      
      Peter Forsyth, (University of Waterloo, Waterloo)
      
      • Numerical methods for Hamilton-Jacobi-Bellman equations in Finance
      Alexander Schied, (Mannheim University, Mannheim)
      
      • Market impact models and optimal execution
      
      Special Invited Lectures
      
      Pauline Barrieu (London School of Economics, London)
      
      • Robust asset allocation under model uncertainty
      Mark Davis (Imperial College, London)
      
      • Risk-sensitive asset management with jump-diffusion price processes
      Peter Tankov (Ecole Polytechnique, Palaiseau )
      
      • Discrete hedging in exponential Lévy models
      
      
      Short Lectures
      
      Dion Bongaerts (Universiteit van Amsterdam)
      
      • Corporate bond liquidity and the credit spread puzzle
      Alexander van Haastrecht (Universiteit van Amsterdam)
      
      • Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
      Vincent Leijdekker(Universiteit van Amsterdam, ABN AMRO)
      
      • Sample-path large deviations in credit risk
      Mitja Stadje (Eurandom, Eindhoven)
      
      • Extending time-consistent risk measures from discrete time to continuous time: a convergence approach
      
      
      

      Registration, more information and Abstracts of the mini courses and the lectures:

      http://www.can.nl/events/details.php?id=32
      
      

   3. Seminar on GPU-Accelerated Derivative Pricing and Risk Models, Frankfurt, January 20, 2010

      Presented by SciComp Inc. and NVIDIA Corporation
      

      SciFinance® automatically generates GPU-enabled pricing & risk model source code that runs up to 220x faster than serial code using NVIDIA® TeslaTM GPUs.

      SciFinance® is a derivatives pricing and risk model development tool that automatically generates C/C++ and GPU-enabled source code from concise, high-level model specifications. No parallel computing or CUDA programming expertise is required.

      Find out more about creating GPU-enabled pricing and risk models by signing up for this FREE seminar. Learn about:

      • How to automatically generate GPU-enabled source code for any Monte Carlo derivative pricing and risk model (including path dependency and early exercise)
      • How you can easily generate GPU-enabled code for your own proprietary pricing models
      • How to reduce the cost of your compute farm by more than 10X
      • Keys to NVIDIA® CUDATM programming
      • Typical SciFinance® GPU-enabled pricing model speed-ups
      • Cost/benefit considerations
      • Evaluation packages
      
      

      Register to see how easy it is to get started on accelerating your derivative pricing models

      http://www.scicomp.com/seminars/Frankfurt
      
      When: Wednesday, January 20, 2010
      17.00-18.00 hour
      Reception to follow
      
      Where: Auditorium der Commerzbank AG
      Große Gallusstraße 19
      D-60261 Frankfurt am Main
      
      
      

   4. 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
      
      Pdf: http://www.wbstraining.com/pdf/Counterparty_Credit_Risk_by_Jon_Gregory_(March_2010).pdf
      
      
      
      

   5. Counterparty Credit Risk: Credit Valuation Adjustment, Stress Testing & Modelling Workshop, London, 22nd - 24th March 2010

      Day 1: Counterparty Risk & Credit Modelling: Damiano Brigo & Massimo Morini

      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 Valuation Adjustment
      
      09.00 - 10.30: Pricing and Hedging Counterparty Credit Risk
      Presenter: Peter Whitehead, Head of Methodology and Models for Global Rates, Global Finance and Global FX, Deutsche Bank
      
      
      • CVA as the price of counterparty credit risk
      • Methodologies for calculating CVA
      • CVA on IR and cross currency swaps
      • Hedging CVA
      • CVA management
      • Regulatory expectations and accounting requirements
      
      10.30 - 11.00 Break
      
      11.00 - 12.30: Why Counterparty Risk Managers must talk to Market Risk Managers
      Presenter: Jerome Brun: Head of Model Validation, Societe Generale
      
      
      • Issuer risk vs. counterparty risk
      • Mitigating counterparty risk: margin calls and clearing houses
      • Traditional measures: Credit VaR and Expected Positive Exposure
      • Wrong way risk and dynamic hedge : CVA is the answer
      
      12.30 - 13.30 Lunch
      
      13.30 - 17.00: Counterparty Credit Risk
      

      Presenters: Joao Garcia: Head of the Credit Modelling Team, Treasury and Financial Markets, Dexia & Serge Goossens: Senior Quantitative Analyst, Treasury and Financial Markets, Dexia

      
      
      • OTC derivatives and counterparty risk
      • Contract level vs. counterparty level and netting
      • Credit or market risk: actuarial or risk neutral exposure
      • Counterparty risk and the credit crunch
      • Bilateral counterparty risk and liability CVA
      • CVA on a credit default swap
      • Wrong way and correlation
      • Monoliner failure
      • Central clearing?
      
      15.00 - 15.30 Break
      
      Day 3: Stress Testing & Modelling
      
      09.00 - 12.30: Stress Testing and Scenario Analysis for Credit Risk
      Presenters: Christoph Konvicka: Head of Credit Analytics Group, Unicredit Bank Austria & Matthias Baron: Senior Quantitative Analyst, Unicredit Bank Austria
      
      
      • Regulatory framework
      • Stress testing methods
      • Macroeconomic scenario generation for stress events
      • Dependency model: Transformation of macro scenarios into P&L impact
      • Integration of credit and market risk stress tests
      • Case study
      
      10.30 - 11.00 Break
      
      12.30 - 13.30 Lunch
      
      13.30 - 15.00: A Spot Stochastic Recovery Extension of the Gaussian Copula
      Presenter: Norddine Bennani: Head of Credit Derivatives Quantitative Research, Barclays Capital
      
      
      • Spot Stochastic Recovery Modelling
      • Spot Recovery vs. Recovery-to-Maturity
      • Time Consistency and Default Risk
      • A Specific Form for the Spot Recovery
      
      15.00 - 15.30 Break
      

      15.30 - 17.00:Addressing Credit Risk Stress Testing in Response to Recent Market Conditions (To be confirmed)

      Presenter: Colin Burke is Head of Credit Modelling at HBOS Treasury Services PLC
      http://www.wbstraining.com/php/events/showevent.php?id=162
      
      
      
      

   6. Interest Rate Modelling for the New Era, London, 15th & 16th April 2010

      Day 1 : Interest Rate Modelling for the New Era

      Presenter: Pat Hagan: Head of Quantitative Analytics, Chief Investment Office, JP Morgan

      09.00 - 10.30: Managing Smile Risk
      
      • Swap market basics and delta trading
      • Vanilla interest rate options and managing vega risk
      • Theory of Dupire and local vol models
      • The SABR model, vanna, volga and managing smile risk
      • Levy based models
      
      10.30 - 10.45 Break
      

      10.45 - 12.30: Managing Exotic Interest rate Products

      • Key interest rate risks
      • Calibration/pricing/hedging cycle
      • Models for exotics
      
      HJM models
      BGM models
      Short rate models
      Markovian models
      
      • Summary
      
      12.30 - 13.30 Lunch
      

      13.30 - 15.15: Practical Pricing of Exotics

      • Auto-calibration/global calibration
      • LGM model
      • Calibration strategy and choice of calibration instruments
      • Example: calibration and pricing Bermudan swaption
      • Price, risks, hedging and the calibration instruments
      • Extension to other callable exotics
      
      Callable Inverse Floaters, Superfloaters, Range Notes and Captions
      
      15.15 - 15.30 Break
      
      15.30 - 17.15: Pricing Callable Range Notes
      
      • Adjusters and risk migration
      
      The need for risk migration
      Adjusters
      Adjusted price
      • Callable range notes
      
      Deal definition
      LGM model (reprise)
      Convexity adjustment and payoff replication
      Pricing with adjusters
      Swaption and caplet risks
      
      

      Day 2 : Interest Rate Modelling: Back to Basics

      09.00 - 11.00 Interest Rate Modelling: Back to Basics

      Presenters:
      Dr Dorje C Brody: Reader in Mathematical Finance, Imperial College London
      Professor Lane P Hughston: Professor of Mathematical Finance, Imperial College London
      
      
      • Bullets to follow
      
      11.00 - 11.15 Break
      
      11.15 - 12.45 Revisiting CMS Spread Options (Cap, Floor, Digital, Range Accrual)
      
      Presenter: Eric Benhamou: CEO, Pricing Partners
      
      • Product description
      • CMS Replication
      • Presentation of the various approaches: Normal, Bi Lognormal, Bi-SABR with copula, Bi Heston with copula, and Hagan adjuster method
      • Comparisons and price differences
      • Fast computation of CMS Range accrual
      • Real time calibration of SABR model
      • Impact of the copula assumption
      • Impact of multi curve construction
      
      12.45 - 13.45 Lunch
      
      13.45 - 15.15: Bases between Rates and Implications on Curve Construction and Pricing
      
      Presenter: Jochen Theis: Director, Markit
      
      • Bullets to follow
      
      15.15 - 15.30 Break
      

      15.30 - 17.00 Multiple Curves, One Price: New Approaches for Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves

      Presenter: Marco Bianchetti: Risk Management - Market Risk - Pricing & Financial Modelling, Intesa SanPaolo Bank
      
      Market Context and Practices:
      
      • Pre-Credit Crunch Single-Curve Framework
      • Post-Credit Crunch Multiple-Curve Framework
      • No Arbitrage and Forward Basis
      
      Foreign-Currency Analogy, No Arbitrage and Quanto Adjustment:
      
      • Single Currency Spot and Forward Exchange Rates
      • Quanto Adjustment
      • Pricing & Hedging FRAs, Swaps, Caps/Floors/Swaptions
      
      No Arbitrage and Counterparty Risk
      Other Approaches:
      
      • Multi-Curve Market Model Approach
      • Axiomatic Approach
      • Counterparty Risk Approach
      
      http://www.wbstraining.com/php/events/showevent.php?id=166
      
      
      
      

   7. 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

      
      
      

   8. 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. Working paper on FX Volatility Smile Construction

      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
      
      

   2. 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/
      
      
      
      

   3. 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

      
      
      

   4. 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.
      
      

   5. Book: Vinzenz Bronzin's Option Pricing Models, eds. Hafner, Wolfgang; Zimmermann, Heinz, Springer Verlag

      In 1908, Vinzenz Bronzin, a professor of mathematics at the Accademia di Commercio e Nautica in Trieste, published a booklet in German entitled Theorie der Prämiengeschäfte (Theory of Premium Contracts) which is an old type of option contract. Almost like Bachelier’s now famous dissertation (1900), the work seems to have been forgotten shortly after it was published. However, almost every element of modern option pricing can be found in Bronzin’s book. He derives option prices for an illustrative set of distributions, including the Normal. - This volume includes a reprint of the original German text, a translation, as well as an appreciation of Bronzin's work from various perspectives (economics, history of finance, sociology, economic history) including some details about the professional life and circumstances of the author. The book brings Bronzin's early work to light again and adds an almost forgotten piece of research to the theory of option pricing.

      Option Pricing Models