The MathFinance Newsletter, Edition 83, August 25 2003.
Previous editions and this edition in html format can be found on http://www.mathfinancenews.com/.
In this issue:
- MathFinance Job Exchange
- Tenure-track and Visiting Positions, National University Of Singapore
- Tenure-track Position, University Of Dayton
- Permanent Senior Lecturer/Lecturer Position in Mathematical Finance, University Of The Witwatersrand, Johannesburg
- Postdoctoral Research Fellowship in Financial Mathematics at King's College London (Theory of Real Options)
- Doktorandenstipendium, CASE - Center for Applied Statistics and Economics
- MathFinance Events
- The Mathematics of Exotic Options by Prof. Robert G. Tompkins
- "The Mathematics of Interest Rate Derivatives" - A 2 - Day course led by Dr. Dariusz Gatarek
- Bachelier Finance Society Third World Congress
- Asset-Backed Securities: Pricing and Hedging Aspects by Prof. Ian Giddy
- Paul Wilmott - Exotic Options, Pricing and Hedging
- Prof. Robert Tompkins: The Volatility Workshop
- Second Announcement of the 2nd Zurich Workshop on Quantitative Risk Management
- Call For Papers: Computational Finance 2004
- MathFinance Resources
- place a student
- recommend your book or educational institute
- find a quant
- invite to a workshop
- contribute to our website
- pose questions about mathematical finance
- introduce your research to a wider audience
The MathFinance Newsletter: Established November
1999
- supported by Landesbank Hessen-Thüringen -
Editor: Dr. Uwe Wystup, Frankfurt MathFinance
Institute
Assistant Editor: Susanne Griebsch, Goethe-University,
Frankfurt
Technical Editor: Tom Heide, University of Applied Science,
Frankfurt
Database Solutions: Thorsten Schmidt, Giessen
University
In detail:
- MathFinance Job Exchange
-
Tenure-track and Visiting Positions, National University Of Singapore
The Department of Mathematics at NUS invites applications for tenure-track and visiting positions beginning from August 2004. We seek promising young scholars as well as established researchers in all areas of Pure and Applied Mathematics, but we are particularly interested in candidates for Financial Mathematics, Computational Biology, Scientific Computing and Operations Research.
Application materials should be sent to
Search Committee
Department of Mathematics
National University of Singapore
2 Science Drive 2, Singapore 117543
Republic of Singapore
Fax: +65 6779 5452
and should include:
- an American Mathematical Society Standard Cover Sheet,
- a detailed CV including publications list,
- a statement of research accomplishments and plan,
- at least three letters of recommendation including one which indicates
the candidate’s effectiveness and commitment in teaching.
Inquiries may be sent via email to search@math.nus.edu.sg.
Review of applications will begin December 15, 2003, and will continue until positions are filled.
For further information about the department, please see http://www.math.nus.edu.sg/.
- an American Mathematical Society Standard Cover Sheet,
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Tenure-track Position, University Of Dayton
Applications are invited for a tenure track position in the Department of Mathematics at the assistant professor level starting in August 2004. Candidates must have a Ph.D. in mathematics, financial mathematics, statistics, or some related field. Preference will be given to applicants with experience in stochastic or computational methods in financial mathematics. Applicants must have a strong commitment to research, and the potential to become an effective teacher. Responsibilities include teaching, mentoring, and curriculum development in support of a newly developed MS program in Financial Mathematics. Further responsibilities include teaching in a strong undergraduate major in mathematics, research, and service.
The selection process begins December 15, 2003. To receive full consideration, all materials must be received by January 14, 2004. A complete application consists of a resume, three letters of recommendation, a statement of research and professional plans, and a statement of teaching philosophy. Both teaching abilities and research abilities should be addressed in the letters of recommendation. Please include an e-mail address in your correspondence.
Send applications to:
Dr. Joe Mashburn
Chair of the Mathematics Search Committee
Department of Mathematics
University of Dayton
Dayton, OH 45469-2316.
Contact the search committee at joe.mashburn@udayton.edu.
To obtain further information, see http://www.udayton.edu/~mathdept.The University of Dayton is a private comprehensive Catholic university founded by the Society of Mary in 1850. It has more than 6000 undergraduate and 3000 graduate students. The Department of Mathematics offers the B.A. and B.S. degrees in mathematics, the B.S degree in applied mathematical economics, and the M.S. degree in applied mathematics. The University of Dayton is an Equal Opportunity/Affirmative Action employer. Women, minorities, individuals with disabilities, and veterans are encouraged to apply. The University of Dayton is firmly committed to the principle of diversity.
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Permanent Senior Lecturer/Lecturer Position in Mathematical Finance, University Of The Witwatersrand, Johannesburg
School of Computational & Applied Mathematics
Applications are invited for a permanent position in Mathematical Finance at the University of the Witwatersrand, Johannesburg, to be taken up with effect from 1 January 2004 or as soon as possible thereafter.
Candidates should have a PhD and, in the case of the Senior Lectureship, an established track record of research in some area of financial mathematics. Applications are particularly encouraged from candidates with a background in stochastic analysis, or some other area of analysis. The appointee to this permanent post in the School of Computational & Applied Mathematics will be expected to maintain an active programme of research, and to play a significant role in all aspects of the organisation and teaching of financial mathematics at all levels.
The School of Computational & Applied Mathematics has a history of involvement in Financial Mathematics dating back to 1992, and the local finance community has been absorbing our graduates for over ten years. We have also had numerous research collaborations and funding agreements with local and international financial institutions.
The appointment will be made at the appropriate point on the Lecturer or Senior Lecturer scale.
Further particulars of the post, including information about remuneration, may be obtained from
Prof David Taylor at mfinance@cam.wits.ac.za or +27-11-717-6149 (fax).
More information can be found on our website: http:\\www.cam.wits.ac.za/mfinance
To apply, please submit a covering letter, detailed CV with names and contact details of three referees & certified copies of degrees to:
Mrs Saajida Ooni,
Human Resources Officer,
Faculty of Science
Wits University
Private Bag 3
Wits 2050
South Africa
The closing date for the receipt of completed applications is 31st October 2003.
Equality of opportunity is University policy
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Postdoctoral Research Fellowship in Financial Mathematics and Applied Probability at King's College London (Theory of Real Options)
Applications are invited for a three-year Postdoctoral Research Fellowship in Financial Mathematics and Applied Probability at King's College London, to be taken up 1 November 2003 or as soon as possible thereafter.
The appointment arises as a key component of a three-year EPSRC grant entitled "Mathematical Theory of Real Options". Candidates should have the mathematical qualifications appropriate for carrying out advanced research in mathematical finance. Applications are particularly encouraged from candidates with a background in stochastic analysis or aspects of PDE theory such as viscosity solutions for parabolic and elliptic equations. The appointment is on the RA1A scale with starting salary £24,325 (inclusive of London allowance).
Informal inquiries can be made to Dr. Mihail Zervos (Mihail.Zervos@kcl.ac.uk) or to Professor Lane P. Hughston (Lane.Hughston@kcl.ac.uk).
The Financial Mathematics and Applied Probability research group at King's College is developing into one of the more substantial of its kind in Europe. The group currently includes Professor L. P. Hughston, Dr. G. Iori, Dr. M. Pistorius, and Dr. M. Zervos as permanent faculty, and Dr. C. J. Hunter, Dr. A. Aslanyan and Dr. O. Brockhaus as Adjunct Lecturers, who hold positions at prominent financial institutions. Previous members of the group include Dr. W. T. Shaw, and Dr. F. Padilla. The group also includes about a dozen financial mathematics PhD students, and is responsible for the organisation and teaching of a Financial Mathematics MSc programme that is available both on a two-year part-time basis and on a one-year full-time basis, and currently has about forty students enrolled. There is a weekly Financial Mathematics Seminar, perhaps the largest and liveliest in the UK, that attracts a diverse audience from the London financial mathematics community on a regular basis, including many industry practitioners as well as academics from other institutions. Members of the financial mathematics and applied probability group carry out research in a number of different areas of mathematical finance, as well as other topics. Some active areas of research include for example the mathematical theory of interest rate models, the theory of credit risk management and credit derivatives, the theory of the valuation and risk management of real options, and the theory of financial contagion. For details of the research interests of current members of the group, recent publications, and the KCL Financial Mathematics Seminar series see the webpage www.mth.kcl.ac.uk/research/finmath/
The closing date for the receipt of applications is 26 September 2003. For further particulars of the fellowship, details of the application procedure, and downloadable application forms, please see the Mathematics Department website www.mth.kcl.ac.uk or contact: The Departmental Administrator, Department of Mathematics, King's College London, Strand, London WC2R 2LS, United Kingdom, tel.: (+44) (0) 20 7848 2216. Please quote reference W1/CCM/74/03 on all correspondence. Equality of opportunity is College policy.
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Doktorandenstipendium, CASE - Center for Applied Statistics and Economics
Gestiftet von Sal. Oppenheim (1. Oktober 2003-30. September 2006)
http:\\www.case.hu-berlin.de
Das Stipendium umfasst die Finanzierung eines CASE Doktoranden für die Promotionszeit von 3 Jahren.
Thema: Calibration of jump-diffusion & stochastic volatility option pricing models
Zur Bewertung komplexer Finanzprodukte werden seit kurzem Sprung-Diffusionsprozesse mit stochastischer Volatilität diskutiert. Diese Modellklasse behebt Unzulänglichkeiten des Standard Black-Scholes Modells und kann die im Black-Scholes Modell auftretenden Optionssmiles durch zusätzliche Modellparameter erklären. Sind die Modellparameter zu einem bestimmten Zeitpunkt definiert, können exotische pfadabhängige Derivate konsistent bewertet werden. Die Kalibrierung der Modellparameter an aktuelle Marktdaten ist ein anspruchsvolles, "schlecht gestelltes Problem". Die Zielgrössen sind dabei die Stabilität der gefundenen Parameterkonstellationen bei kleinen Marktbewegungen und die Rechengeschwindigkeit.
Die Entwicklung der Pricingalgorithmen ist genauso komplex, da mehrdimensionale PDEs numerisch gelöst werden müssen. Die Implementierung soll in der Programmiersprache C++ erfolgen. In der Praxis ist die Entwicklung und Implementierung performanter Algorithmen ein wichtiges und aktuelles Thema, da die Bewertung von Optionsportfolien in "realtime" den Marktkursen folgen muss. Die praxisnahe Evaluation der Effizienz der entwickelten Verfahren wird durch mehrere einmonatige Praktika bei Sal. Oppenheim gewährleistet.Mit dem Sal. Oppenheim Promotionsstipendium am CASE wird ein Doktorand im Fachgebiet Quantitative Finance auf hohem wissenschaftlichen Niveau gefördert. Durch die Anbindung an die Praxis bei Sal. Oppenheim wird ein hoher Verwertungsgrad der Promotionsergebnisse gewährleistet.
Auswahl des Doktoranden:
Das Stipendium richtet sich an erstklassige Studenten, die eine fundierte Ausbildung in Quantitative Finance und angewandter Mathematik haben und erweiterte Programmiererfahrung in C++ besitzen. Die Bewerbungsunterlagen sind bis spätestens 19. September 2003 in der Geschäftsstelle von CASE einzureichen.
Promotionsplan:
Am CASE ist die Promotion grundsätzlich auf 3 Jahre angelegt.
1.Jahr Oktober 2003 - September 2004. Studium der Statistik mit Schwerpunkten: Mathematical Finance, Computational Statistics. Praktika in den Semesterferien bei Sal. Oppenheim (insgesamt 3 Monate). Berichterstellung im Rahmen der Mastersarbeit.
2.Jahr Oktober 2004 - September 2005. Erstellen eines zweiten Papers mit Focus auf Implementierbarkeit und Anwendbarkeit im Handel. Praktika in den Semesterferien bei Sal. Oppenheim (insgesamt 3 Monate). Berichterstattung über den Promotionsfortschritt: September 2005.
3.Jahr Oktober 2005 - September 2006. Erstellen eines dritten Papers mit Focus auf Implementierbarkeit und Anwendbarkeit im Handel. Praktika in den Semesterferien bei Sal. Oppenheim (insgesamt 3 Monate). Verteidigung der Promotion Anfang November 2006.Der Beginn der Promotion muss der Wirtschaftswissenschaftlichen Fakultät mitgeteilt werden. Die Promotion kann nur im Semester erfolgen, daher der um 2 Monate zeitlich verzögerte Verteidigungstermin Anfang November 2006
Finanzierung:
Das Stipendium umfasst die Finanzierung eines CASE Doktoranden für die Promotionszeit von 3 Jahren zum Thema Calibration of jump-diffusion & stochastic volatility models
Beginn: 1. Oktober 2003
Ende: 30. September 2006
Diese Promotionszeit schliesst einen Master in Statistik ein, der im ersten Jahr der Promotion abgelegt wird. Eine administrative Tätigkeit am Lehrstuhl ist nicht vorgesehen.
Für das Stipendium ergibt sich eine Gesamtsumme von etwa 35000 EUR.
Bewerbungen bitte an: fengler@wiwi.hu-berlin.de
oder per Post an
Prof. Wolfgang Härdle
Humboldt-Universität
Institut für Statistik
Spandauer Strasse 1
10178 Berlin
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- MathFinance Events
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The Mathematics of Exotic Options by Prof. Robert G. Tompkins
Course Dates: 8th / 9th September 2003
Course Location: Central London
A 2 - Day course led by Prof. Robert G. Tompkins
Who should attend this course:
- Derivatives Traders
- Exotic Options Traders
- Financial Engineering
- Quantitative Analysis
- Risk Management
- Structured Finance
- Structured Credit Products
Course Leader: Prof. Robert G. TompkinsRobert Tompkins is a Professor of Finance at the Hochschule für Bankwirtschaft in Frankfurt. He is also an Honorary Professorship at the University of Warwick Business School. Dr. Tompkins was formerly the Head of International Quantitative Research at Kleinwort Benson Investment Management. Prior to this, he was the Futures and Options Specialist at Merrill Lynch, Europe and an Interest Rate Options Dealer and Currency Options Trader at two major Chicago banks. He has three degrees from the University of Chicago, including an MA in Quantitative Methods and an MBA (honours).
Robert has authored three books on Options and edited a book on exotic options "From Black Scholes to Black Holes". Robert is currently writing a series on Exotic Options, which appears in the Austrian Journal, Bank Archiv. Robert's current research interests include comparisons of established and emerging markets, volatility estimation and forecasting, implied volatility smile patterns and the hedging of exotic contingent claims.
Aim of the courseThis course covers the latest developments in the pricing and risk management of Exotic Derivatives. The first day examines state-of-the-art techniques for risk management and hedging the risks of exotic options, whilst in the second day these principles will be used to examine individual exotic option contracts. Each major type of exotic option is illustrated with a practical case study.
Course Programme:
Day 1: Option Risk Assessment, Hedging and Smiles:
9:00-10:30 Advanced Risk Analysis Of Options
10:30-11:00 Coffee Break
11:00-12:30 Discrete Option Hedging
12:30-14:00 Lunch Break
14:00-15:30 Defects In Dynamic Hedging Of Exotic Options
15:30-16:00 Coffee Break
16:00-17:30 Static Replication Of Exotic Options
Day 2: Exotic Options Hedging - Case Studies: Dynamic vs. Static Approaches
9:00-10:30 Simple Exotic Options
10:30-11:00 Coffee Break
11:00-12:30 Path Dependent Exotic Options
12:30-14:00 Lunch Break
14:00-15:30 Exotic Structered Products
15:30-16:00 Coffee Break
16:00-17:30 Options On Multiple Underlyings
More information on the content of the course can be found at:
http://www.wbstraining.com/index2.html
Contact: Neil Fowler: sales@wbstraining.com
Tel: +44 (0) 1273 674400 Fax: +44 (0) 1273 672333
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"The Mathematics of Interest Rate Derivatives" - A 2 - Day course led by Dr. Dariusz Gatarek
Course Dates: 15th / 16th September 2003
Course Location: Central London
Who should attend?
- Interest Rate Derivatives
- Market Risk
- Risk Management
- Counter-party risk
- Financial Engineering
- Structured Finance
- Interest Rate Research
- Quantitative Analysis
- Structured Products
Pre / Post Course Service:
WBS Training use simple Pre and Post event strategies to enhance you're learning from our seminars and extend beyond the two days seminar to maximise your understanding
Pre-course Questionnaire:
Enables delegates to inform the course trainers what they specifically require from this event, equally allowing the course trainer a prior knowledge of their audience.
Pre-course Reading:
An exhaustive list of relevant papers for preparation and suggestions for future research. The reading allows delegates an incite into what the event shall actually focus on, however most importantly preparing delegates fully to maximise the event taking them to the academic point where the course material takes over.
Post- course service:
An email contact with the course trainer to answer any follow up questions that may arise after the event.
Course Leader: Dr. Dariusz Gatarek
Dr. Dariusz Gatarek is a Manager in the Capital Markets Group, in the Warsaw office. He has over 6 years of financial markets experience within the banking environment. Since joining Deloitte & Touche in 2002, Dariusz advises clients on how to manage financial risks, evaluating risk management strategies and setting hedging objectives. He is also a specialist in pricing of financial derivatives.
Aim of the course
Prior to joining Deloitte &Touche, Dariusz spent 6 years with BRE Bank during which he created equity warrants in the Polish market and then was responsible for implementing modern risk measurement methods as Value at Risk. Before joining BRE Bank Dariusz served in the Faculty of Mathematics at University of New South Wales and in Polish Academy of Science, where he still is Associate Professor.
Dariusz has published a number of papers on financial models of which perhaps his work with Alan Brace and Marek Musiela on Brace-Gatarek-Musiela (BGM) models of interest rates dynamics is the most well-known. This model is used by leading investment banks worldwide and is becoming a benchmark model of interest rate derivatives. He also contributed to analytical methods for credit risk. He holds PhD and DSc in Applied Mathematics from Polish Academy of Sciences.
For the first time WBS Training can offer a unique opportunity for investment banks to spend two days in a fully interactive seminar with one of the Founding Fathers of the now infamous BGM Model. This course covers the latest developments in the pricing and risk management of Interest Rate Derivatives. Each major model is illustrated with a practical case study. All cases studies use real-world data.
Day One
9:00-10:30 Preliminaries
10:30-11:00 Coffee Break
11:00-12:30 Heath-Jarrow-Morton model
12:30-14:00 Lunch Break
14:00-15:30 Brace-Gatarek-Musiela model
15:30-16:00 Coffee Break
16:00-17:30 Swaptions in the BGM model
Open Questions on today's seminar.
Day Two
9:00-10:30 Pricing of European products
10:30-11:00 Coffee Break
11:00-12:30 Pricing of Bermudan options
12:30-14:00 Lunch Break
14:00-15:30 LIBOR market model with stochastic volatility
15:30-16:00 Coffee Break
16:00-17:30 Single factor forward rate models
Open Questions on today's seminar.
Special Offer through mathfinance.de: 10% off or free 2 nights 5* hotel accommodation
Contact: Neil Fowler: sales@wbstraining.com
Tel: +44 (0) 1273 674400
Fax: +44 (0) 1273 672333
For more details visit: http://www.wbstraining.com/
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Bachelier Finance Society Third World Congress
July 21-24, 2004 - Chicago
Call for Papers
Plenary Speakers
- Darrell Duffie
- Paul Embrechts
- Helyette Geman
- Robert Jarrow
- Masaaki Kijima
- Dilip Madan
- L.C.G. Rogers
- Martin Schweizer
Scientific/Organizing Committee
- Tomasz Bielecki
- Tomas Bjork
- Monique Jeanblanc
- Vadim Linetsky
- Eckhard Platen
Conference Organizer
Stanley R. Pliska University of Illinois at Chicago
Deadline For Submission Of Contributed Papers
January 1, 2004
For Additional Information
http://www.uic.edu/orgs/bachelier/
bfs2004@uic.edu
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Asset-Backed Securities: Pricing and Hedging Aspects by Prof. Ian Giddy
Special Offer through mathfinance.de: 10% off or free 2 nights 5* hotel accommodation
Course Dates: 16th / 17th October 2003
Course Location: Central London
Who Should AttendCFOs, Treasurers and risk managers in companies which finance using asset-backed securities; investment professionals involved in managing ABS portfolios; officers in banks and other financial institutions who manage portfolios of CDOs and other asset-backed securities; dealers who trade CDOs and credit-linked notes.
Course Leader: Prof. Ian GiddyIan Giddy has taught finance at NYU, Columbia, Wharton, Chicago and in 35 countries during the past three decades. He was Director of International Fixed Income Research at Drexel Burnham Lambert from 1986 to 1989. The author of more than fifty articles on international finance, he has served at the International Monetary Fund and the U.S. Treasury and has been a consultant with numerous corporations and financial institutions in the U.S. and abroad. He is the author or co-author of The International Money Market, The Handbook of International Finance, Cases in International Finance, Global Financial Markets, Asset Securitization in Asia and The Hudson River Watertrail Guide.
Pre / Post Course Service:WBS Training use simple Pre and Post event strategies to enhance your learning from our seminars and extend beyond the two days seminar to maximise your understanding
Pre-course Questionnaire: Enables delegates to inform the course trainers what they specifically require from this event, equally allowing the course trainer a prior knowledge of their audience. Pre-course Reading: The reading allows delegates an incite into what the event shall actually focus on, however most importantly preparing delegates fully to maximise the event taking them to the academic point where the course material takes over. Post- course service: An email contact with the course trainer to answer any follow up questions that may arise after the event.
Aim of the CourseThe European asset-backed securities market has provided fertile ground for financial hybridization. Originating in a number of countries and legal frameworks, ABS deals - securities backed by assets that have been separated from their originator and placed in a special-purpose company - often demand specialized pricing, risk analysis and hedging. Synthetic and unfunded asset-backed securities make this need more pressing. This workshop will explore some of these variants, and explore their components from the standpoint of quantitative analysis. Participants will get involved in the details of a number of deals and have the opportunity to work in groups on hands-on applications.
Course Programme:
Day One: Risk Analysis
9:00-10:30 Groundwork
10:30-11:00 Break
11:00-12:30 Risk Analysis of CDOs
12:30-14:00 Lunch
14:00-15:30 Rating Agency Revisionism
15:30-16:00 Break
16:00-18:00 When Things Fall Apart
Day Two: Pricing and Hedging
9:00-10:30 Capital Management
10:30-11:00 Break
11:00-12:30 Pricing and Quality of CDOs
12:30-14:00 Lunch
14:00-15:30 Price Behavior and hedging
15:30-16:00 Break
16:00-17:30 Price Behavior and Hedging (continued)
Course Fee £2295:00
More information on the content of the course can be found at:
http://www.wbstraining.com/index2.html
Contact: Neil Fowler: sales@wbstraining.com
Tel: +44 (0) 1273 674400 Fax: +44 (0) 1273 672333
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Paul Wilmott - Exotic Options, Pricing and Hedging
September 8-9, 2003 in Frankfurt
http://www.candiensten.nl/english/cursussen/cd.asp?id=49
Course Trainer
Paul Wilmott is a financial consultant in derivatives, risk management and quantitative finance. He also trains bank personnel in these subjects. He is a Partner in a statistical arbitrage hedge fund, K2, which specializes in volatility trading. Dr Wilmott is the author of "Paul Wilmott Introduces Quantitative Finance" and "Paul Wilmott on Quantitative Finance." He has written over 100 research articles on finance and mathematics. Dr Wilmott also runs http://www.wilmott.com/, the popular quantitative finance community website.
Content
A detailed course on the pricing and hedging of exotic derivatives, starting from the analysis of data to build up a vanilla pricing model and then extending this to over-the-counter products. We examine the mathematical modeling and the numerical aspects.
- The Black-Scholes pricing and hedging framework
- How to categorize exotic options
- The mathematics of path dependency and decision processes
- Numerical methods for pricing
Many real-life term sheets will be analyzed. Delegates are encouraged to bring their own term sheets for discussion.
More Information
Paul Wilmott - Exotic Options, Pricing and Hedging
September 8-9, 2003 in Amsterdam, price EURO 1.895,- VAT excluded. Special price for academic delegates EURO 1.495,- VAT excluded
http://www.candiensten.nl/english/cursussen/cursussendetail.asp?id=49
Subscribe via
http://www.candiensten.nl/english/cursussen/inschrijving.asp?id=229
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Prof. Robert Tompkins: The Volatility Workshop
Course Dates: 27th / 28th November 2003
Course Location: Central London
Who should attend this course:
- Derivatives Traders
- Exotic Options Traders
- Financial Engineering
- Quantitative Analysis
- Risk Management
- Financial Modellers
Course Leader: Prof. Robert G. Tompkins
Robert Tompkins is a Professor of Finance at the Hochschule für Bankwirtschaft in Frankfurt. He is also an Honorary Professorship at the University of Warwick Business School. Dr. Tompkins was formerly the Head of International Quantitative Research at Kleinwort Benson Investment Management. Prior to this, he was the Futures and Options Specialist at Merrill Lynch, Europe and an Interest Rate Options Dealer and Currency Options Trader at two major Chicago banks. He has three degrees from the University of Chicago, including an MA in Quantitative Methods and an MBA (honours).
Robert has authored three books on Options and edited a book on exotic options "From Black Scholes to Black Holes". Robert is currently writing a series on Exotic Options, which appears in the Austrian Journal, Bank Archiv. Robert's current research interests include comparisons of established and emerging markets, volatility estimation and forecasting, implied volatility smile patterns and the hedging of exotic contingent claims.
Pre / Post Course Service:
WBS Training use simple Pre and Post event strategies to enhance you're learning from our seminars and extend beyond the two days seminar to maximise your understanding
Pre-course Questionnaire:
Enables delegates to inform the course trainers what they specifically require from this event, equally allowing the course trainer a prior knowledge of their audience.
Pre-course Reading:
An exhaustive list of relevant papers for preparation and suggestions for future research. The reading allows delegates an incite into what the event shall actually focus on, however most importantly preparing delegates fully to maximise the event taking them to the academic point where the course material takes over.
Post- course service:
An email contact with the course trainer to answer any follow up questions that may arise after the event.
Aim of the course
This course covers the latest developments in the determination of volatility. The first day examines Historical Volatility estimation with current state of the art techniques for correlation estimation. The second day examines Implied Volatility with the presentation of practical techniques to estimate Volatility matrices and investigations of why implied volatility smiles exist. Markets examined will include stock, bond, interest rate and foreign exchange.
Course Programme Day 1: Historical Volatility
9:00 Volatility Estimation Techniques - With Historical Data
10:15 Coffee Break
10:30 What Historical Volatility Is Telling Us
12:30 Lunch Break
13:30 Stochastic Volatility
14:45 Afternoon Tea
15:00 Alternative Price Processes
15:00 Which Model Explain Historical Volatility
17:00 End Of Day One: Questions
Course Programme Day 2: Implied Volatility
9:00 Volatility Estimation Techniques - Implied Volatilities
10:30 Coffee Break
10:45 Modeling Implied Volatility Surfaces
12:00 Lunch Break
13:00 Impacts Of Stochastic Volatility On The Pricing And Hedging Of Contingent Claims
15:00 Afternoon Tea
15:15 The Relationship Of Volatilities Between Markets
17:00 End Of Course
More information on the content of the course can be found at:
http://www.wbstraining.com/ (Training Events)
Course Fee £2295:00
Contact: Neil Fowler: sales@wbstraining.com
Tel: +44 (0) 1273 674400
Fax: +44 (0) 1273 672333
For more details visit: http://www.wbstraining.com/
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Second Announcement of the 2nd Zurich Workshop on Quantitative Risk Management
A course organised by http:\\www.mathrisk.com
Venue and time: ETH Zurich, 8-10 October 2003
Workshop Instructors: Prof. Alexander McNeil (ETH Zurich), Prof. Rüdiger Frey (Leipzig)
Guest Lecturer: Prof. Philipp Schönbucher (ETH Zurich)
For full details of course and registration instructions go to course homepage.
This is an official event in the continuing education programme (Weiterbildung) of ETH Zurich.
Last year's Zurich Workshop was fully booked. Some reasons you might want to attend:
- a.. Discover how advanced quantitative methodology may be applied in credit and market risk management.
- b.. Learn about state-of-the-art risk management methodology including copulas, models for dependent extreme values and univariate and multivariate financial time series models.
- c.. Don't miss a special day on credit risk modelling including a guest lecture by Philipp Schönbucher, author of Credit Derivatives Pricing Models: Model, Pricing and Implementation.
- d.. Deepen your understanding with examples using S-PLUS and S+FinMetrics , the powerful data analysis products of Insightful. We will organize a hands-on session each day for participants to try out new data analysis techniques.
- e.. Enjoy a course in a beautiful location, including lunch with a view of lake and Alps every day!
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Call For Papers: Computational Finance 2004
First International Conference on Computational Finance and its Applications
21 - 23 April 2004, Bologna, Italy
http://www.wessex.ac.uk/conferences/2004/finance04/index.html
Contact:
Conference Secretariat
Comp Finance 04
Wessex Institute of Technology
Ashurst Lodge, Ashurst
Southampton, SO40 7AA, UK.
Telephone: 44 (0) 238 029 3223
Fax: 44 (0) 238 029 2853
Email: kbanham@wessex.ac.uk
Wessex Institute Of Technology
Wessex Institute of Technology acts as an international centre for knowledge transfer. It has developed a large network of prestigious contacts and links with many organisations throughout the world. Core activities include the organisation of over thirty international conferences annually and the publishing of numerous scientific books by WIT Press. The Institute also provides a programme of research at Master and PhD degree level as well as a schedule of short courses and seminars on Campus and abroad at partner institutions. Wessex Institute works closely with industry in providing computational solutions.
Look for further information at http:\\www.wessex.ac.uk
If you would like to receive regular updates from us about activities within your field of interest please complete our database registration form at: http://www.witpress.com/database.html
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Resources
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The Review Of Financial Studies, Volume 16, Issue 3
Articles
- Term Structure Dynamics in Theory and Reality
Qiang Dai and Kenneth Singleton
Rev. Financ. Stud. 2003 16: 631-678.
- Fundamental Properties of Bond Prices in Models of the Short-Term
Rate
Antonio Mele
Rev. Financ. Stud. 2003 16: 679-716.
- A New Approach to Measuring Financial Contagion
Kee-Hong Bae, G. Andrew Karolyi, and Rene M. Stulz
Rev. Financ. Stud. 2003 16: 717-763.
- Financial Development and Financing Constraints: International
Evidence from the Structural Investment Model
Inessa Love
Rev. Financ. Stud. 2003 16: 765-791.
- Nonlinear Mean Reversion in the Short-Term Interest
Rate
Christopher S. Jones
Rev. Financ. Stud. 2003 16: 793-843.
- Return Distributions and Improved Tests of Asset Pricing
Models
Keith Vorkink
Rev. Financ. Stud. 2003 16: 845-874.
- Statistical Arbitrage and Securities Prices
Oleg Bondarenko
Rev. Financ. Stud. 2003 16: 875-919.
- Information Technology and Financial Services
Competition
Robert Hauswald and Robert Marquez
Rev. Financ. Stud. 2003 16: 921-948.
- Underwriter Certification and Japanese Seasoned Equity
Issues
John W. Cooney, Jr., Hideaki Kiyoshi Kato, and James S. Schallheim
Rev. Financ. Stud. 2003 16: 949-982.
- Incomplete Consumption Risk Sharing and Currency Risk
Premiums
Sergei Sarkissian
Rev. Financ. Stud. 2003 16: 983-1005.
- Term Structure Dynamics in Theory and Reality
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Quantitative Finance Volume 3 Issue 4 (August 2003)
- Testing the Gaussian copula hypothesis for financial assets dependences - Y Malevergne and D Sornette
- The zero-capital approach to portfolio enhancement and overlay management - Roger J Bowden
- GARCH model selection criteria - Heather Mitchell and Michael D McKenzie
- Vol-Bond: an analytical solution - Roberto Baviera
- One-state variable binomial models for European-/American-style geometric Asian options - Min Dai
- The emergence of temporal correlations in a study of global economic interdependence - Eric J Friedman, Simon Johnson and A S Landsberg
- Risk trading, network topology and banking regulation - Stefan Thurner,Rudolf Hanel and Stefan Pichler
- Market heterogeneities and the causal structure of volatility - Paul E Lynch and Gilles O Zumbach
- Value at risk linear exponent (VARLINEX) forecasts - John Knight, Stephen Satchell and Guoqiang Wang
- Stocks, bonds and the investment horizon: a test of time diversification on the French market - Gilles Sanfilippo
Also
'Bringing economics into the laboratory' - Tim Chapman profiles Vernon Smith, Nobel Laureate, Economic sciences (2002)
'Breaking down barriers' - Steven Shreve describes quantitative finance as an interdepartmental activity at Carnegie Mellon University.
'Innovations in trading strategies' - Izzy Nelken and the speakers at the pre- conference summit of ICBI's Global Derivatives and Risk Management 2003 event, outline their presentations.
'Simple trend-following strategies in currency trading' - Jessica James discusses how simple trading rules, applied systematically, can yield intriguing results.
'Taking the pulse of the economy', Zbigniew Struzik draws parallels between two complex systems: That of the heart, as observed through the rate of the heatbeat, and the economy, measured by the stock index record.
Free featured articles include:
'Innovations in trading strategies', Izzy Nelken et al
Research Papers:
- 'Non-constant rates and over-diffusive prices in a simple model of
limit order markets' - Damien Challet and Robin Stinchcombe
- 'Time consistency of Lévy models' - Ernst Eberlein and Fehmi Özkan
- 'Financial networks with electronic transactions: modelling, analysis and computations' - Anna Nagurney and Ke Ke
For further information see http://quant.iop.org/
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Mountain Range Options
Mountain range options are essentially a combination of basket options and range options, two types of exotic derivatives which have particular characteristics which make them useful hedging tools. Broadly speaking, the characteristics include the price of the option being dependent on several underlying assets rather than an individual asset giving way to the ‘basket’ feature and the range attribute is related to the fact that there is a particular period of time when the option is active.
Types of Mountain Ranges
An overview of several types of mountain range options which have been on offer since these structured equity products were first issued include:
- Altiplano
This entitles the option holder to a large coupon if no stock in a given stock selection reaches a predetermined limit or barrier during a given time period. Otherwise, the option holder receives the payout of a plain vanilla, or sometimes Asian call on the basket. Sometimes considered as a Parisian basket option due to its barrier and Asian characteristics. The payoff is given as:
Where C is the prescribed payout amount if none of the stocks in the basket hits the barrier during the specified time, K is the strike, j represents the jth stock and h is a binary variable equal to the condition set for the index value as given as:
Where L is the predetermined limit, t1 represents the start of the limit period and t2 represents the end of the limiting period.
- Annapurna
Gives the option holder a payoff providing that none of the stocks within the basket falls below a predetermined fraction of the initial value during a period of time.
- Atlas
A call option which, at maturity, will remove some of the best and some of the worst stocks in the basket.
Where n is the number of stocks, j represents the jth stock given by the iteration counts, and the terms n1 and n2 are constrained by the condition: n1 + n2 < n
- Everest
Gives the option holder a payoff on the worst-performing member of a large basket of stocks at maturity. The main characteristic difference between the Everest and its predecessors is that the Everest is very long term (10-15 years) and the basket contains numerous stocks (usually 10-25 stocks)
Where n is the number of stocks and Si is the i-th stock.
- Himalayan
Like an Asian option, the Himalaya is a call on the average performance of the best stocks within the basket. Throughout the life of the option, there are particular measurement dates where the best performer within the basket is removed, and this process is continued until all the assets with the exception of 1 have been removed from the basket. The total return on this last stock is taken as the final measure. The payoff is the sum of all the measured returns over the life of the option.
- Others in the family include Etna options and Kilimanjaro options.
For more information see http://www.global-derivatives.com/options/mountainrange-options.php
- Altiplano
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Philipp J. Schonbucher: The Mathematics of Credit Derivatives DVD / Interactive CD-ROM
The Essential Credit Modelling and Pricing Companion
The Credit Derivatives phenomenon since the expansion into the investment-banking sector now firmly finds itself in a worldwide boom. The advancements into quantitative modelling has left it almost impossible for professionals not to directly address this product to run along side the more traditional. The Mathematics of Credit Derivatives DVD / CD-ROM for the first time offers a worldwide audience a unique chance to view the Credit Derivatives arena via Philipp J.Schönbucher's twice fully sold out training event "The Mathematics of Credit Derivatives" Central London February 17th / 18th & 14th / 15th May 2003. This DVD will take the viewer from the basics of the Credit Derivatives through to intermediate and on to more advanced topics. The DVD is not however positioned just for high level quants teams but as the research is predominantly new will benefit academics and practitioners alike at all levels "I designed the course in such a way that there should be something in it for everybody" Schönbucher.
The 6 hour 3 DVD package encompasses the key topics from the 2-day seminar detailing the latest developments in the pricing and risk management of Credit Derivatives, with total audience interaction. The seminar examines in depth state-of-the-art techniques of modelling and hedging the risks of single-name credit derivatives, through to the most recent developments in the modelling and pricing of portfolio and basket credit risks.
A key tool of this package coupled with the DVD is the CD-ROM which includes excel spreadsheet case studies using real-world data (quoted prices, CD's rates, historical default rates), pre-course reading for each section and a printable copy of the complete course material from The Mathematics of Credit Derivatives training seminar.
Jacket Content:
The mathematical models of credit risk which are used to price and risk-manage credit derivatives are a challenging and complex subject. In this DVD-set, Philipp J. Schönbucher introduces, explains and critically discusses the most important mathematical models on this subject.
Credit Default Swaps:
- Detailed discussion of payoffs, risk and potential:
- Payoff streams, the delivery option, cash- or physical settlement?
- Variants of CDSs: Default Digital Swaps, Credit-Linked Notes
Hedging with the Underlying Bond:
- The CDS-Asset Swap basis trade: Risks and Returns
- When is the asset swap spread a good indicator of the CDS spread?
- How close is the link between underlying bond and credit derivatives?
- How can we exploit mispricing?
Intensity-Based Models:
- Backing out implied default probabilities from observed market prices and reusing these probabilities to price other instruments
- Intensities, hazard rates, (conditional) survival probabilities: A suitable framework to think about the term structure of default risk?
- How large is the influence of the expected recovery rate on the implied default probabilities?
- Poisson processes and processes with stochastic intensities: Useful properties
- Case Study: Calibration of a term structure of hazard rates from bond prices.
Firm's Value Models:
- The Black-Scholes / Merton model: How does it work, how can we calibrate?
- Why does the Merton model have so many problems in practice and where can we improve it?
Basket- and Portfolio-Credit Derivatives:
- First-to-Default Swaps: A new variant of the CDS
- How is the spread of the FtD related to the spreads of the underlying CDS?
- Transferring portfolio credit risk using loss tranches of CDOs
- What are the new risks of basket- and portfolio credit derivatives?
- How can we handle default correlation risk?
Models for loss distributions:
- Moody's Binomial expansion technique:
- How does it work and is it useful for pricing?
- Alternative models for large portfolios: Factor models with loss distributions in closed-form
- Case study: Calibration of the model to historical data
- Are equity correlations a good indicator for asset correlations?
Models for joint default times: The Copula-Approach:
- Why do we need to model timing risk?
- What is a Copula?
- The Gauss copula and the t-copula: What is the difference and why is sometimes one preferred over the other?
- The copula-transformation: From default events to default times.
Author & Trainer:
Dr. Philipp J. Schönbucher is assistant professor of Risk Management at the Department of Mathematics of the Swiss Federal Institute of Technology (ETH) Zurich. He holds degrees in mathematics (Oxford) and economics (Bonn) and a PhD in economics (Bonn). His publications include papers on credit risk modelling, credit derivatives pricing, stochastic volatility modelling, option pricing in illiquid markets, real options and term structure models. His main area of research is credit risk modelling and credit derivatives pricing in which he has been active since 1996. Furthermore, he is author of a book on "Credit Derivatives Pricing Models" (J. Wiley & Sons, 2003), and he is consultant and professional trainer to a number of leading financial institutions.
http://www.wbstraining.com/html/dvd/mathfinance.php
The DVD will available from end of August 2003.
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