Once again: MathFinance Conference (16-17 April) – for the 18th 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 speeches:
- William A. McGhee (Global Head of Quantitative Analytics, NatWest Markets) on Machine Learning in Quantitative Finance
- Tomasz R. Bielecki (Professor of Applied Mathematics, Illinois Institute of Technology, Chicago) on A Dynamic Model of Central Counterparty Risk
I would like to share some more upcoming highlights of the conference:
For the Numerics fan club:
- Karel in’t Hout (University of Antwerp) is back with a Symposium on Numerical Methods. In particular, this will include a presentation on Quantifying Credit Portfolio Losses under Multi-Factor Models, where for the first time multi-factor t-copula models are considered outside the MC framework.
- Adil Reghaï (Head of Quantitative Research for Equities and Commodities, Natixis) is back and will present in his talk on The Fair Pricing under Local Stochastic Volatility introducing new formulae linking the mixing weight and the skew stickiness ratio.
- Christoph Reisinger (University of Oxford) is going to propose a novel approach based on Kolmogorov forward and backward PDEs for a highly Efficient Exposure Computation by Risk Factor Decomposition.
- Jacopo Mancin (Quant, Barclays Capital) will deal with the challenge that hedging of Volatility Swaps is model-dependent and highly exposed to volatility oscillations and the concavity effect and present PDE Pricing Improvements for LSV Frameworks.
- Christian Kappen (d-fine) will Approximate MVA along Low-Dimensional State Spaces. The Initial Margin Valuation Adjustment (MVA) is the present value of the opportunity and funding costs generated by future initial margin amounts.
For the Markets fan club:
- Jessica James (Senior Quantitative Researcher, Commerzbank) will share her current research on Cross Currency Basis – what drives it?
- 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 Investment fan club:
- Artur Sepp (Quantitative Strategist, Julius Bär) will take us through Applications of Machine Learning for Volatility Trading and Asset Allocation
- Bereshad Nonas (Scope Ratings) will show that a carefully selected set of market indices is sufficient to capture most features of hedge fund return distributions and present Simulating Hedge Fund Strategies: Generalizing Fund Performance.
- Brian Liang (Senior Quant Researcher, Bloomberg) is ready for the Corridor Variance Swap Spread: two-underlying corridor variance swap spreads have become very popular in recent years. Dealers use them to hedge the vega exposure of their retail structured product flows (autocallable and Uridashi notes); For investors they provide attractive opportunities to capture the relative variance risk premium between different markets.
In our panel discussion we will cover Recent Experiences with MiFiD2.
We are still accepting contributions to the Poster Session, so go for it!
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
We are pleased to once again host a poster session at the Conference. This is an excellent opportunity, particularly for doctoral and post-doctoral students to present their research results to a broader community of academics and professionals.
- Submission of posters latest by February 23, 2018
- Winner Award on March 12, 2018
Our independant jury consisting of
Prof. Dr. Natalie Packham, Professor of Mathematics and Statistics, (Berlin School of Economics and Law)
Dr. Michael Einemann, Risk Methodology Specialst, (Deutsche Bank)
Prof. Dr. Andrija Mihoci, Professor of Statistics and Econometrics, (Technical University Cottbus)
will nominate the best five posters to be presented at the conference. Participation in the Conference is mandatory for exhibiting the posters.
The winner of the best poster will receive free admittance to the whole conference.
Poster size should be A1 (841 x 594 mm /33.1 x 23.4 in). Please submit your ideas as a pdf document to firstname.lastname@example.org.
Date: April 16 – 17, 2018
Venue: Frankfurt School of Finance & Management, Adickesallee 32-34, 60322 Frankfurt am Main
+++ Prime Price for single tickets of EUR 735 (+VAT) will end on January 31, 2018 – register soon +++
Academics pay 525 EUR (+VAT) at all times. We kindly ask for proof of your affiliation.
Group prices (3 or more from the same institution) are at EUR 735 (+VAT) pp.
Discounted price of EUR 840 (+VAT) is valid from February 1 until February 28, 2018. Regular price from March 1, 2018 is EUR 1.050 (+VAT).
MathFinance Conference has been successfully running 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.
Click here for more information on the upcoming conference.
FX EXOTIC OPTIONS IN FRANKFURT 2018
August 20 – 22, 2018
Lecturer: Prof. Dr. Uwe Wystup
This advanced practical three-day course covers the pricing, hedging and application of FX exotics for use in trading, risk management, financial engineering and structured products.
FX exotics are becoming increasingly commonplace in today’s capital markets. The objective of this workshop is to develop a solid understanding of the current exotic currency derivatives used in international treasury management. This will give participants the mathematical and practical background necessary to deal with all the products on the market.
Senior 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