Once again: MathFinance Conference (20-21 April) – for the 17th time we will bring the quantitative finance community in Europe together to discuss many cutting edge issues and research results.
We are looking forward to the keynote speech of Wolfgang Hartmann (CEO of Frankfurt Institute of Risk Management and Regulation, and former CRO of Commerzbank).
I would like to share some of the upcoming highlights of the conference:
Christoph Burgard (Head of Risk Analytics for Global Markets, Bank of America Merrill Lynch) will address The Second Quantization of Banks which will take us from derivatives pricing to portfolio modeling, from bilateral to multilateral risks and network effects ++.
For the numerics fan club:
- Karel in’t Hout (Uni Antwerp) is back with a Symposium on Numerical Methods. In particular, this will include a presentation on SLV model calibration with an adjoint method.
- Hans Bühler (Global Head of Equities and Investor Services Quantitative Research, JP Morgan & Chase) is back and will present in his talk on Discrete Local Volatility a very efficient, large time step local volatility-type approach.
- Matthias Fengler (Uni St. Gallen) is going to show us a brand new Multi-Factor Stochastic Volatility Modelwith Meixner-Innovations based on autoregressive gamma processes for the variance.
- Wolfgang Scherer (Head of Model Validation Credit Trading, Commerzbank) will challenge Quantum Computing in Finance: Hype or Hyperspeed?
- Sebastian Schlenkrich (d-fine) is back with a talk on Quasi-Gaussian Model for Model Validation and Pricing Analysis.
For the markets fan club:
- Roel Oomen (Global Co-Head of electronic FX spot trading, Deutsche Bank) will share his current research on The Practice of FX Spot Trading and Competition amongst Liquidity Providers.
- Rolf Poulsen (Uni Copenhagen) is back, this time with the question How Accurately Did Markets Predict the GBP/USD Exchange Rate around the Brexit Referendum?
For the risk fan club:
- Frank Lehrbass (Professor at FOM) will take us through Replacing VaR by ES – much ado about nothing?He will take this regulatory initiative ad absurdum by showing in an empirical investigation of credit and equity portfolios the opposite of the intended impact is achieved and that the whole exercise turns out to be much ado about nothing.
- Natalie Packham (Berlin School of Economics and Law) will present Current Developments in Model Risk Management. She will in fact combine VaR and ES in a model. I am sure Natalie and Frank will have lots to argue about.
- Peter Quell (Head of Portfolio Analytics for Market/Credit Risk, DZ Bank) is ready for Adaptive Market Risk Measurement in the Trading Book, a straightforward extension of already existing internal market risk models to cope with rapidly changing market conditions.
- Thorsten Schmidt (Uni Freiburg) will continue with Unbiased Estimation of Risk Measures.
In our panel discussion Christoph Burgard, myself and others will cover Recent Advances in Derivatives Technology. What do we need to run a successful derivatives business in the current environment?
I wish all our readers a happy, healthy and prosperous New Year and look forward to seeing you at our Conference in Frankfurt.
Uwe Wystup – Managing Director of MathFinance
MATHFINANCE CONFERENCE ON APRIL 20-21, 2017 IN FRANKFURT
Dear MathFinance Community,
we would like to take this opportunity to invite you to join us again at our next MathFinance Conference on April 20 – 21, 2017 in Frankfurt.
MathFinance Conference has been successfully running now since 2000 and has become one of the top quant events of the year. The conference is specifically designed for practitioners in the areas of trading, quantitative and derivatives research, risk and asset management, insurance, as well as academics.
As always, we expect around 100 delegates both from the academia and the industry. This ensures a unique networking opportunity which should not be missed. A blend of world renowned speakers ensure that a variety of topics and issues of immediate importance are covered.
Our confirmed speakers for 2017 include:
- Dr. Hans Bühler (JP Morgan – Global Head of Equities and Investor Services Quantitative Research): Discrete Local Volatility
- Christoph Burgard (BAML- Head of Risk Analytics for Global Markets) – The Second Quantization of Banks
- Prof. Dr. Matthias Fengler (University of St. Gallen): TBA
- Wolfgang Hartmann (CEO – FIRM): TBA
- Prof. Dr. Frank Lehrbass (FOM): Replacing VaR by ES – much ado about nothing?
- Roel Oomen (Deutsche Bank – Global Co-Head of electronic FX spot trading): The practice of FX spot trading and competition amongst liquidity providers
- Prof. Dr. Natalie Packham (Berlin School of Economics and Law): Current developments in model risk measurement
- Prof. Rolf Poulsen (University of Copenhagen): How Accurately Did Markets Predict the GBP/USD Exchange Rate Around the Brexit Referendum?
- Dr. Peter Quell (DZ Bank – Head of Portfolio Analytics for Market/Credit Risk): Adaptive Market Risk Measurement in the Trading Book
- Dr. Wolfgang Scherer (Commerzbank – Head of Model Validation Credit Trading): Quantum Computing in Finance: Hype or Hyperspeed?
- Dr. Sebastian Schlenkrich (dfine): Quasi-Gaussian Model for Model Validation and Pricing Analysis
- Prof. Dr. Thorsten Schmidt (University of Freiburg): Unbiased estimation of risk measures
- Dr. Peter Schwendner (ZHAW School of Management and Law): Sovereign Bond Network Dynamics
- Dr. Manuel Wittke & Dr. Mikhail Beketov (Deloitte): Robo Advisors: The Algorithms behind the User Screens
- A panel on Recent Challenges in Derivatives Technology
- A symposium on numerical methods
Book your tickets now to avail of our prime price, at EUR 693 (+VAT) which ends on January 30, 2017.
You can still benefit from a discounted price of EUR 792 (+VAT) until 28th Feb. Academics pay EUR 495 (+VAT) at all times. Group prices (3 or more from the same institution) are at EUR 693 (+VAT) pp.
Should you have any further questions please do not hesitate to contact us, either by email to firstname.lastname@example.org or by calling +49 69 6783 17200.
MathFinance OpeningsSenior Quant/ Consultant
We are looking for senior quant/ consultant in the areas of
- Actuary with 5 to 7 years of experience in insurance or re-insurance
- Experience in quantitative Risk Management in relation to regulatory issues (Solvency II)
- Experience in Capital Management
- Quant with 5 to 7 years of experience in Banking, ideally in Trading
- Experience in quantitative Risk Management in relation to regulatory issues (Basel III)
- Experience in Capital Management
- Quant with 5 to 7 years of experience in Asset Management (Funds, Insurance and Family Offices), ideally with emphasis on Risk Management
- Experience in quantitative Risk Management in relation to regulatory issues (German KAGB and KARBV)
Please send us your CV to email@example.com
Do the following apply to you?
- Master degree or diploma in (business) mathematics or physics
- PhD or CFA is a bonus
- First experiences in mathematical finance is desirable
- Very good programming skills, e.g. C++, Python or Matlab
- Good language skills in German and English
- Outstanding analytical skills and a problem-solving attitude
- High motivation to develop your knowledge and skills
- Good communication skills and team spirit
Then we would like to hear from you. Please send us your CV to firstname.lastname@example.org