The MathFinance Newsletter, Edition 91, January 26 2004.
Previous editions and this edition in html format can be found on
http://www.mathfinancenews.com/.
In this issue:
- MathFinance Job Exchange
- MathFinance Events
- Bachelier Finance Society Third World Congress
- "The Mathematics of Credit Derivatives" - A 2 - Day course led by Prof. Philipp Schönbucher
- Interest-Rate Modelling & Stochastic Volatility Workshop
- Basket Credit Derivatives & Synthetics CDO's Workshop
- Zweite Ankündigung: Karlsruher Stochastik-Tage 2004
- Frankfurt MathFinance Workshop on Derivatives and Risk Management in Theory and Practice
- 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: Uwe Wystup, MathFinance
Assistant Editors: Susanne Griebsch, Student at Goethe-University, Frankfurt; Tino Kluge, University of Oxford; Abhishek Dutta, University of Twente
Technical Editor: Tom Heide, University of Applied Science, Frankfurt
Database Solutions: Dr. Thorsten Schmidt, Giessen
University
In detail:
- MathFinance Job Exchange
-
Associate Professor/Senior Lecturer in Financial Mathematics
School of Mathematics, Applied Mathematics and Statistics
University College CorkThe School of Mathematics, Applied Mathematics and Statistics invites applications for a full-time permanent position in Financial Mathematics. The position will be filled at either Associate Professor or Senior Lecturer level. The mathematical and computational sciences are among the major research strengths of UCC, Irelands leading research university. The candidate will be expected to enhance UCC's excellence in research and teaching in the area of financial mathematics and to have the ability to lead in the development of degree programes in this area. The level at which the appointment is made will be based on the experience and expertise of the candidate.
Salary scales [new entrants]:
- Associate Professor: €79,914 - €93,854 p.a.
- Senior Lecturer: €56,216 - €79,653 p.a.
For further details on the post please visit: http://euclid.ucc.ie/ and http://www.ucc.ie/appointments/academic/
Informal enquiries may be made to Dr. J.J. Grannell, Chairman, School of Mathematics, Applied Mathematics and Statistics. Email: j.grannell@ucc.ie
Application forms must be completed and are available, with further particulars, from: http://www.ucc.ie/appointments/academic/ or
Recruitment Office
Department of Human Resources
University College Cork
Cork
Ireland
Tel: + 353 21 4903690
Email: recruitment@per.ucc.ie
Fax: + 353 21 4276995
University College Cork is an Equal Opportunities Employer.
-
PhD and Post-doc Positions at University of Konstanz
-
Post-doc (1 position) at the Department of Economics
Candidates for this position are expected to develop a record of research, which enables them to apply for positions as Professor of Finance. Conduct independent research and teach courses (4 hours per week in German or English) at Konstanz University in finance. Advise PhD students and help with the administration of the institute. Pre-requisites are a PhD and the willingness to learn German. Salary is € 35,700 - 40,800 per year depending on family status and age (BAT II a). The term is limited to a maximum of 6 years (2 years initially with the intention of extending for a maximum of another 4 years).
Please submit
- your CV,
- copies of transcripts and degrees,
- teaching evaluations,
- three letters of recommendation,
- language certificates in English and German if available,
- up to three samples of research (working papers, PhD thesis),
- and a statement of purpose.
Starting date: As soon as possible.
In principle, this position can be divided into two half-time positions.The university is an equal opportunity employer and tries to increase the number of woman in research and teaching. Also, the university encourages disabled persons, who will be given preference if appropriately qualified, to apply (Contact +49-7531-883725).
University of Konstanz
Department of Economics
Prof. Dr. Jens Jackwerth
Room F 327, PO Box D-134
Universitätsstraße 10
78457 Konstanz, Germany
Tel.: +49-(0)7531-882196 / 2038
Fax: +49-(0)7531-883120
Closing date for application: 13.02.2004
- your CV,
-
PhD (2 positions) at the Department of Economics
Candidates for this position are expected to develop a record of research, which enables them to receive a doctorate. Attend classes and study financial economics and related subjects. Conduct independent research and assist teaching courses (2 hours per week in German or English) at Konstanz University in finance. Assist with the administration of the institute. Pre-requisites are a completed university degree at the master's level and the willingness to learn German. Salary is € 17,800 - 20,400 per year depending on family status and age (50 % of BAT II a). The term is limited to a maximum of 6 years (2 years initially and after the first year will the candidate take a qualifying exam. Successful candidates have their contracts extended for a maximum of another 4 years).
Please submit
- your CV,
- copies of transcripts and degrees,
- teaching evaluations,
- three letters of recommendation,
- language certificates in English and German if available,
- up to three samples of research (working papers, Master thesis),
- and a statement of purpose.
Starting date: As soon as possible.The university is an equal opportunity employer and tries to increase the number of woman in research and teaching. Also, the university encourages disabled persons, who will be given preference if appropriately qualified, to apply (Contact +49-7531-883725).
University of Konstanz
Department of Economics
Prof. Dr. Jens Jackwerth, Room F 327
PO Box D-134
Universitätsstraße 10
78457 Konstanz, Germany
Tel.: +49-(0)7531-882196 / 2038
Fax: +49-(0)7531-883120
Closing date for application: 13.02.2004 - your CV,
http://www.uni-konstanz.de/struktur/org/personal/stellen/ -
-
Interest Rate Derivative Quantitative Analyst
A leading European Investment Bank, is currently looking to hire an Interest Rate Derivative Quantitative Analyst to be based in their Frankfurt office. The successful candidate will be based on the trading floor and will focus on providing workable solutions for the structuring and pricing of derivative transactions for the Structured Products and Exotic Options desks.
The ideal candidates will have between 3-5 years experience in a similar trading floor based role and a proven track record of providing analytics to an interest rate derivative business in order to price new structures within a short period of time. They will also have strong C++ skills and an excellent academic background. German language skills are not essential.
If you would like to hear more about this opportunity please contact Jonathan Swannell at Alexander Mann in London on +44 207 905 1309 or at jonathan.swannell@alexmann.com
-
- MathFinance Events
-
Bachelier Finance Society Third World Congress
July 21-24, 2004 - Chicago
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
For Additional Information
http://www.uic.edu/orgs/bachelier/
bfs2004@uic.edu -
"The Mathematics of Credit Derivatives" - A 2 - Day course led by Prof. Philipp Schönbucher
Course Dates: 22nd / 23rd March 2004
Course Location: New York
Due to three successful London based Credit Derivatives events in 2003, WBS Training are now taking one of the Europe's most popular Credit Derivatives events to the Americas in 2004.
Who should attend?
- Counter-party risk
- Credit Derivatives
- Credit Research
- Credit Risk
- Financial Engineering
- Quantitative Analysis
- Risk Management
- Structured Finance
- Structured Credit Products
Course Leader: Prof. Philipp Schönbucher
Prof. Philipp J. Schönbucher is assistant professor of Quantitative 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. Philipp is a consultant and professional trainer to a number of leading financial institutions. Furthermore he is author of a book on "Credit Derivatives Pricing Models" (Wiley, 2003).
Aim of the course
This course covers the latest developments in the pricing and risk management of Credit Derivatives. The first day examines state-of-the-art techniques of modelling and hedging the risks of single-name credit derivatives, whilst in the second day you will learn the most recent developments in the modelling and pricing of portfolio and basket credit risks. Each major model is illustrated with a practical case study. All cases studies use real-world data (quoted prices, CDS rates, historical default rates).
All delegates will receive a complimentary copy of Philipp Schonbucher's "Credit Derivatives Pricing Models" Wiley May 2003.
Pre Course Service:
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.
All attendees to WBS Training events in 2004 will automatically receive 20% discount to The Inaugural Fixed Conference Prague 2004 (see PDF Page 4 for details)
Course Programme:
Day 1: Single-Name Credit Derivatives:
9:00-10:30 Credit Derivatives: Instruments and Structures
10:30-11:00 Coffee Break
11:00-12:30 Spread-Curves and Intensity-based Models
12:30-14:00 Lunch Break
14:00-15:30 Dynamics in Spread Curves
15:30-16:00 Coffee Break
16:00-17:30 Firm's value approaches: Hedging Credit with Shares: Does it Work?
Day 2: Basket- and Portfolio Credit Derivatives
9:00-9:45 Basket and Portfolio Credit Derivatives: Instruments and Structures
9:45-10:30 Pricing Multi-Name Credit Derivatives: Static Models
10:30-11:00 Coffee Break
11:00-12:30 Default dependency using the Gaussian Copula: Semi-dynamic Models
12:30-14:00 Lunch Break
14:00-15:30 Fully Dynamic Models
15:30-16:00 Coffee Break
16:00-17:30 Advanced Fully Dynamic Models
Email contact with Philipp Schonbucher for all post-course questions!
All delegates will receive a CD-ROM (together with full course documentation) to take home with all excel spreadsheet examples from the event!
Course fee: $2799:00
For a detailed course programme please see: http://www.wbstraining.com/frame.php
Event contact:
Neil Fowler + 44 (0) 1273 674400
neil@wbstraining.com
-
Interest-Rate Modelling & Stochastic Volatility Workshop
Monday 1st / Tuesday 2nd March 2004
Central London
This dynamic workshop covers two of the hot topics in financial research: Smile Modelling and Interest Rate Modelling. The two days will centre on key developments in Interest Rate Modelling, including new research on Wiener Chaos and return modelling with Levy Processes plus new research on stochastic volatility for interest rate models in various approaches (stochastic volatility, uncertain volatility and jump diffusion). The speaker faculty for this event will include some of the world's key pioneers, innovative academics and top practitioners from the fixed income arena.
This programme features the following Interest Rate experts:
- Philippe Balland: Director in the fixed income division Merrill Lynch, London
- Dorje Brody: Royal Society University Research Fellow, Imperial College London
- Dariusz Gatarek: Manager in the Capital Markets Group, Deloitte & Touche, Warsaw
- Lane Hughston: Professor of Financial Mathematics, King's College London
- Vladimir Piterbarg: Managing Director and co-Head of Quantitative Research, Bank of America
- Riccardo Rebonato: Head of Group Market Risk and Quantitative Research Centre, RBOS
- Nick Webber: Finance Lecturer, Cass Business School, City University, London
Day 19:00 - 12:30 Wiener Chaos Representations for the Practical Foundations of Interest Rate Modelling and Interest Rate Derivatives Pricing (New Research) (Morning Break 10:30 - 11:00)
Lane Hughston: Professor of Financial Mathematics, King's College London
Dorje Brody: Royal Society University Research Fellow, Imperial College London- Overview of the fundamental requirements for term structure dynamics
- Positive interest HJM models and the volatility structure approach
- The role of the state-price density and its interpretation as a potential
- Conditional variance representation for the state-price density
- Elements of Wiener chaos, introduction to the calculus of Wiener functionals
- Wiener chaos expansion for term structure dynamics
- First and second chaos interest rate models
- Coherent representations for arbitrary term structure models
- Option and Swaption pricing in second chaos models
- Calibration and implementation of the second chaos models
Lunch: 12:30 - 13:30
13:30 - 15:00 A Stochastic Volatility Forward Libor Model with a Term Structure of Volatility Smiles (New Research)
Vladimir Piterbarg: Managing Director and co-Head of Quantitative Research, Bank of America.
- Build a Stochastic Volatility BGM model consistent with volatility smiles for the whole swaption grid
- Introduce a Time-dependent skew in a Stochastic Volatility BGM model to account for differences in volatility smiles for swaptions of different expiries and maturities
- Develop fast calibration methods to all market smiles
- This new model is important for consistent pricing/hedging of the new generation of interest rate exotics such as callable range accruals, callable inverse floaters, etc. that depend on skews of swaptions with different expiries and maturities
- Develop accurate approximations, based on homogenization methods, for European options in non-stationary local and stochastic volatility models
Coffee Break 15:00 - 15:30
15:30 - 17:30 Returns Modelling and Interest Rate Option Pricing with Levy Processes
Dr Nick Webber: Finance Lecturer, Cass Business School, City University, London
- Lévy processes and their properties: modelling jumps
- Examples and applications of Lévy processes in finance and interest rate modelling
- Smiles and Lévy processes
- Fitting to the term structure of volatility
- Efficient pricing methods for use with Lévy processes Monte Carlo methods and lattice methods
- Pricing money market instruments
17:30 Cocktail party
19:00 End of day one.
Day 29:00 - 11:00 What Do we Really Need to Model Interest-Rate Smiles? (And Why Do We Want To Do It?)
Riccardo Rebonato: Head of Group Market Risk and Quantitative Research Centre, RBOS
- A hierarchy of smile-producing mechanisms
- Lack of proportionality between rate changes and rate levels
- Stochasticity of the diffusion
- Existence of two volatility regimes
- Empirical evidence and its relevance for modelling
- Modelling approaches
- CEV/Displaced Diffusions
- Stochastic Instantaneous Volatility
- A discrete Markov chain model
- Comparing model results and empirical evidence
- Eigenvectors and Eigenvalues
- Skewness and kurtosis
- Fitting the market smile
- Relevance for Pricing
Morning Break 11:00 - 11:30
11:30 - 14:30 Effective Volatility Technique for Stoch-Vol BGM (Lunch 12:30 - 13:30)
Philippe Balland: Director in the fixed income division Merrill Lynch, London.
- Libor Market Models: framework and extensions
- Analytic Formula when interest-rate follows CEV and mean-reverting stochastic volatility
- Controlling joint evolution of interest-rate and volatility
- Analytic Calibration of Libor Model to smile
- Effect of smile on CMS and Bermudan
14:30 - 15:30 Uncertain Volatility Approach for Interest Rate Modelling
Dariusz Gatarek: Manager in the Capital Markets Group, Deloitte & Touche, Warsaw.
- Modelling smiles for interest rate options
- Relation to smile problem for equity/FX options - what is easier and what is more difficult
- Local volatility versus stochastic volatility versus jump diffusions
- Stochastic volatility for long term options - what is wrong
- Should smiles and skews be modelled by the same framework?
- LIBOR market model with uncertain volatility and displaced diffusion
- Various calibrations and their implications.
Coffee Break 15:30 - 16:00
16:00 - 16:30 Conclusions
Pros and cons. Which model to choose and why?
Workshop fee £1699:00 + UK VAT
Event contact: Neil Fowler
Tel: + 44 (0) 1273 674400
Fax: +44 (0) 1273 672333
neil@wbstraining.com
http://www.wbstraining.com -
Basket Credit Derivatives & Synthetics CDO's Workshop
Central London 15th & 16th March 2004
Special Offer through wilmott.com: 10% off
This workshop will bring the participants up-to-date with the latest developments in the pricing and hedging methodologies used for basket and portfolio credit derivatives. The programme covers all aspects from model development and theoretical considerations over techniques for numerical implementation and risk measurement and risk-management to dynamic hedging and parameter estimation, presented by leading experts in the field. This workshop is essential to everyone trading these exciting new instruments.
This Programme features the following Credit Risk experts:
- Rita Laura D'Ecclesia: Associate Professor of Applied Mathematics University of Rome
- Recai Gunesdogdu: Portfolio Strategy Group CSFB
- Lane Hughston: Professor of Financial Mathematics King's College London
- Richard Martin: Director, Portfolio Strategy Group CSFB
- Lutz Schloegl: Director, Lehman Brothers
- Philipp J. Schonbucher: Assistant Professor, Department of Mathematics (ETH) Zürich
- Robert Tompkins: Professor of Finance Hochschule für Bankwirtschaft
All delegates who attend WBS Training Ltd workshops in 2004 will automatically receive 20% discount for The Inaugural Fixed Income Conference Prague September 2004.
Day 1
9:00 - 9:15 Introduction Philipp J. Schonbucher: Assistant Professor, Department of Mathematics (ETH) Zürich
09:15 10:15 Basket Credit Derivatives and Single-Tranche CDOs: Overview and Market Structure Lutz Schloegl: Director, Lehman Brothers
CDS
- Payoffs, payoff timing and important payoff properties
- Typical spread dynamics: stylised facts
- Market structure: liquidity, typical flows, where do demand and supply arise from?
FtD and other Basket Credit Derivatives
- Payoffs, payoff timing and important payoff properties
- Simple price bounds
- Market structure and liquidity
Single-Tranche Synthetic CDOs
- Payoffs, payoff timing and important payoff properties
- Differences to basket credit derivatives
- TRAC-X and IBOXX reference portfolios
- Market structure
10:15 - 10:30 Morning Coffee
10:30 - 12:30 Mathematical overview of single-credit reduced form models Lane Hughston Professor of Financial Mathematics King's College London
- Pricing models in general, and the role of the underlying interest rate model
- Pricing kernel, money market account and default-free discount bonds
Relation to HJM theory
- The role of stopping times in the modelling of default
- Hazard rates, and generalised Poisson processes (Cox processes)
- Change-of-measure formulae for models involving jump sensitivity
- On the relationship between the hazard rate in the "real" probabilitymeasure and the "pricing" measure
- Valuation formulae for defaultable discount bonds
- Valuation formulae for credit default swaps and other creditderivatives.
- Corporate bonds and revolver loans
- Elementary pricing models for single credit structures
Models withdeterministic interest rates and hazard rates
Models with "rational"hazard rates
Case Studies
12:30 - 13:30 Lunch
13:30 - 14:30 Case Study: CDS Price Dynamics
Lutz Schloegl: Director, Lehman Brothers
Simple CDS pricing with spreadcurve and recovery rate
- Marking-to-market of CDS positions
- Using Bloomberg functions for CDS
- CDS spread dynamics: What to watch out for? Jumps and volatility bursts
14:30 - 15:30 Models for Credit Spread Dynamics and Portfolio Credit Risk: Theory Philipp J. Schonbucher: Assistant Professor, Department of Mathematics (ETH) Zürich
- Joint Diffusions
- Affine Jump-Diffusions
- Copula Models
- Frailty Models
15:30 - 15:45 Afternoon Coffee
15:45 - 17:00 Portfolio Models Made Concrete: Workshop Philipp J. Schonbucher: Assistant Professor, Department of Mathematics (ETH) Zürich
- A simple specification of joint spread dynamics
- What is the resulting joint loss distribution?
Case Study: Analysing Hedge Strategies for FtD-swaps and Single-tranche CDOs
First-to-default:
- The fallacy of the cost free unwind.
- Spread-only hedging
- Default-only hedging
- Combined hedging
- Practical problems for the implementation
STCDOs
- Average spread risk
- Dispersion risk
- Can we hedge with the underlying index alone?
Diversification
- The advantages of risk management on a portfolio/ book -wide level.
- How it works, does it work?
- Can we diversify a portfolio of FtD? of Credit Derivatives? of CDO tranches?
Cocktail Party: 17:00 - 19:00
Day 2
09:00 - 10:30 Innovations in Credit Portfolio Analysis: The Saddle-Point Technique Richard Martin: Director, Portfolio Strategy Group CSFB
What modelling is about
- Systematic & unsystematic risk, conceptually
- Systematic risk - factor models - limiting forms of loss distribution - copulas
- Unsystematic risk - analytics - numerics - granularity adjustment - Central Limit Thm - Saddle -point method
- Risk measures
- Risk contribuitions - what portfolio optimisation is - delta and gamma - mean/variance framework
- VaR framework
- Counterparty risk
10:30 - 10:45 Morning Coffee
10:45 - 1145 Case Study
Recai Gunesdogdu: Portfolio Strategy Group CSFB
- Structural default models and CUSP(tm)
- Applications of the portfolio modelling: a case study (PortfolioRisk+)
11:45-12:45 Tricks and Tipps for the Numerical Implementation of Portfolio Credit Risk Models
Philipp J. Schonbucher: Assistant Professor, Department of Mathematics (ETH) Zürich
- Problems with brute/-force Monte-Carlo simulation
- Manual convolution of the loss distribution
- Importance sampling
- Transform techniques (Fourier transforms and Laplace transforms)
12:45-13:45 Lunch
13:45-14:45 Workshop Numerical Implementation
Philipp J. Schonbucher: Assistant Professor, Department of Mathematics (ETH) Zürich
- A simple first approximation for the pricing of synthetic CDOs
- Improving with numerical convolution
- Analysing sensitivities
14:45-15:45 Dynamic Hedging of Basket and Portfolio Credit Derivatives
Philipp J. Schonbucher: Assistant Professor, Department of Mathematics (ETH) Zürich
- Sensitivities
- Convexities
- Spread-change risk and default arrival risk
- Workshop: Basket credit derivatives hedging
15:45 - 16:00 Afternoon Coffee
16:00 - 17:00 Estimating Default Probabilities using the Unconditional Disturbances Approach
Rita Laura D'Ecclesia: Associate Professor of Applied Mathematics University of Rome
Robert Tompkins: Professor of Finance Hochschule für Bankwirtschaft
An Introduction to the Unconditional Disturbances Approach
- Non Parametric Estimation of Asset Price Processes
- Simulation of Alternative Price Paths by Volatility Perturbation
- Mixing and Re-projection of Alternative Price Paths
Existing Estimation Approaches for Default Probabilities
- Rating Services Approaches
- Historical Simulations
- Parametric Models of Default Frequency
- Estimation of Recovery Rates
A non-parametric model approach to estimate Default Probabilities
- Definition of Default - Value of Assets less than Debt
- Historical Analysis of Risky Debt by Ratings Classes
- Asset Process of Corporate Ratings Classes
- Debt / Equity Ratios of Pooled Corporate Issuers
- Estimation of Frequency of Possible Default Events by Simulation
- Estimated Default Probabilities Vs Ratings Services DP
- Examination of Average Default Time
- Estimation of Transition Default Probabilities
Estimation of Correlation among Default Probabilities
- Unconditional Disturbances for Multiple Asset Classes
- Simulated Paths of Alternative Asset Classes
Estimation of Conditional Probability and Time to Default
Workshop fee £1699:00 + UK VAT
Event contact: Neil Fowler
Tel: + 44 (0) 1273 674400
Fax: +44 (0) 1273 672333
neil@wbstraining.com http://www.wbstraining.com -
Zweite Ankündigung: Karlsruher Stochastik-Tage 2004
Nach den Stochastik-Tagen in Marburg 1993, Freiberg (Sachsen) 1996, München 1998, Hamburg 2000 und Magdeburg 2002 führt die Fachgruppe Stochastik ihre sechsten Stochastik-Tage
von Dienstag, 23.03.2004 bis Freitag, 26.03.2004
an der Universität Karlsruhe (TH) durch.
Wie bereits bei den bisherigen Stochastik-Tagen sollen auch die Karlsruher Stochastik-Tage Vertretern aus Hochschule, Industrie und Verwaltung Gelegenheit bieten, neuere Ergebnisse auf dem Gebiet der Stochastik - in Theorie und Praxis - vorzustellen und im internationalen Kollegenkreis zu diskutieren. Tagungssprachen sind Deutsch und Englisch.
Programmkomitee
Claudia Czado, Rainer Dahlhaus, Lutz Duembgen, Friedrich Goetze, Wilfried Grecksch, Norbert Henze, Waltraud Kahle, Friedrich Liese, Volker Schmidt (Vorsitzender), Dietrich Stoyan, Anton Wakolbinger
Örtliche Tagungsleitung
Wolfgang Bischoff, Nina Gantert, Norbert Henze (Tagungsleiter), Christian Hipp, Dieter Kadelka, Bernhard Klar, Günter Last, Wolfgang Stummer, Karl-Heinz Waldmann
Adressen
Karlsruher Stochastik-Tage 2004
c/o Prof. Dr. Norbert Henze
Universität Karlsruhe (TH)
Institut für Mathematische Stochastik
Englerstraße 2
D-76128 Karlsruhe
Fax: 0049-(0)721-608 6691
Telefon: 0049-(0)721-608 3265
e-mail: stoch2004@uni-karlsruhe.de
URL: http://www.stoch2004.uni-karlsruhe.de/stoch2004/
Sektionen der Karlsruher Stochastik-Tage 2004
- Stochastic Analysis
Chair: Sylvie Roelly, Potsdam
Invited Speaker: Patrick Cattiaux, Paris - Limit Theorems and Large Deviations
Chair: Erwin Bolthausen, Zürich
Invited Speaker: Alice Guionnet, Lyon
- Stochastic Geometry, Spatial Statistics and Image Analysis
Chair: Wolfgang Weil, Karlsruhe
Invited Speaker: Eva B. Vedel Jensen, Aarhus
- Random Structures, Algorithms and Simulation
Chair: Matthias Löwe, Münster
Invited Speaker: Jeffrey Steif, Göteborg - Time Series and Stochastic Processes
Chair: Hans-Rudolf Künsch, Zürich
Invited Speaker: Tobias Ryden, Lund
- Stochastic Models in the Sciences
Chair: Hans-Otto Georgii, München
Invited Speaker: Yvan Velenik, Marseille
- Extreme Values and Risk Modeling
Chair: Claudia Klüppelberg, München
Invited Speaker: Andreas Kyprianou, Utrecht - Nonparametrics, Semiparametrics and Resampling
Chair: Enno Mammen, Heidelberg
Invited Speaker: Oliver Linton, London
- Mixtures, Bayesian Methods and Markov-Chain-Monte-Carlo
Chair: Katja Ickstadt, Dortmund
Invited Speaker: Robert L. Wolpert, Durham, NC
- Multivariate Statistics and Model Checks
Chair: Winfried Stute, Gießen
Invited Speaker: Miguel Delgado, Madrid - Stochastic Methods in Optimization and Operations Research
Chair: Silvia Vogel, Ilmenau
Invited Speaker: Georg Pflug, Wien - Quality Control, Reliability and Experimental Design
Chair: Elart v. Colani, Würzburg
Invited Speaker: Monica Dumitrescu, Bucaresti
- Finance and Insurance
Chair: Walter Schachermayer, Wien
Invited Speaker: Paul Malliavin, Paris
- Statistics in Genetics and Bioinformatics
Chair: Arndt von Haeseler, Düsseldorf; Dirk Metzler, Frankfurt
Invited Speaker: David Balding, London
- Machine Learning, Pattern Recognition and Data Mining
Chair: Peter Bühlmann, Zürich
Invited Speaker: Bin Yu, Berkeley - Stochastics in Industry
Chair: Friedrich Jondral, Karlsruhe
Invited Speaker: Bernd Friedrichs, Backnang
- Open Session
Chair: Wolfgang Bischoff, Eichstätt
Zum Programmablauf
Das wissenschaftliche Tagungsprogramm beginnt am Dienstag, den 23. 3. 2004, um 10.00 Uhr mit der Eröffnungsveranstaltung und endet am Freitag, den 26. 3. 2004, gegen 13.00 Uhr.
In jeder Sektion ist ein 40-minütiger Hauptvortrag durch eingeladene Referenten vorgesehen. Vorträge von 25 Minuten Dauer (einschließlich Diskussion) finden in parallelen Sitzungen statt. Über die Annahme eines Sektionsvortrages entscheiden die Sektionsleiter.
Neben den Hauptvorträgen und den Kurzvorträgen sind vier Plenarvorträge sowie ein geselliger Abend geplant. Ferner findet die Mitgliederversammlung der Fachgruppe Stochastik statt. Bei Bedarf können Poster Sessions eingerichtet werden, ferner besteht die Möglichkeit zur Demonstration von Software.
For detailed information please see http://www.stoch2004.uni-karlsruhe.de/stoch2004/f_second_de.html - Stochastic Analysis
-
Frankfurt MathFinance Workshop on Derivatives and Risk Management in Theory and Practice
1st-2nd April 2004
The workshop is intended for practitioners of the areas of trading, quantitative or derivative research and risk management as well as for academics studying or researching in the field of financial mathematics or finance in general. The talks during the three days of the workshop cover a broad range of current topics and are presented by internationally known academics and practitioners. There will be enough time for questions and discussions after each talk and additional breaks provide you the opportunity to build networks within the quantitative finance community. The workshop will be held in English.
The HfB is organising a three day seminar Mathematik für Finanzderivate preceding the workshop (29-31 March). It focuses on the basics of financial mathematics. Please note that the seminar will be mainly held in German. Further details will be published as soon as they become available.
List of speakers
- Dr Andreas Binder, MathConsult GmbH
- Dr Damir Filipovic, ETH Zurich
- Dr Götz Giese, Commerzbank
- Dr Jürgen Hakala, Commerzbank
- Dr Martin Hellmich, LBBW
- Prof Thomas Heidorn, HfB, Frankfurt
- Prof Dieter Hess, HfB, Frankfurt
- Dr Peter Neu, Dresdner Bank
- Prof Wolfgang Schmidt, HfB, Frankfurt
- Prof Robert Tompkins, HfB, Frankfurt
- Gerald Weinhold, Deka Investment GmbH
- Prof Uwe Wystup, HfB/Commerzbank
Organising committee
Prof Uwe Wystup, HfB/Commerzbank
Tino Kluge, University of Oxford, OCIAM
Sponsors
This workshop is sponsored and supported by
Commerzbank AG, Securities
d-fine GmbH
For more information please see http://workshop.mathfinance.de
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- MathFinance Resources
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R Project
R is a language and environment for statistical computing and graphics. It is a GNU project which is similar to the S language and environment which was developed at Bell Laboratories (formerly AT&T, now Lucent Technologies) by John Chambers and colleagues. R can be considered as a different implementation of S. There are some important differences, but much code written for S runs unaltered under R.
R provides a wide variety of statistical (linear and nonlinear modelling, classical statistical tests, time-series analysis, classification, clustering, ...) and graphical techniques, and is highly extensible. The S language is often the vehicle of choice for research in statistical methodology, and R provides an Open Source route to participation in that activity.
One of R's strengths is the ease with which well-designed publication-quality plots can be produced, including mathematical symbols and formulae where needed. Great care has been taken over the defaults for the minor design choices in graphics, but the user retains full control.
R is available as Free Software under the terms of the Free Software Foundation's GNU General Public License in source code form. It compiles and runs out of the box on a wide variety of UNIX platforms and similar systems (including FreeBSD and Linux). It also compiles and runs on Windows 9x/NT/2000 and MacOS.
The R environment
R is an integrated suite of software facilities for data manipulation, calculation and graphical display. It includes an effective data handling and storage facility, a suite of operators for calculations on arrays, in particular matrices, a large, coherent, integrated collection of intermediate tools for data analysis, graphical facilities for data analysis and display either on-screen or on hardcopy, and a well-developed, simple and effective programming language which includes conditionals, loops, user-defined recursive functions and input and output facilities.
The term "environment" is intended to characterize it as a fully planned and coherent system, rather than an incremental accretion of very specific and inflexible tools, as is frequently the case with other data analysis software.
R, like S, is designed around a true computer language, and it allows users to add additional functionality by defining new functions. Much of the system is itself written in the R dialect of S, which makes it easy for users to follow the algorithmic choices made. For computationally-intensive tasks, C, C++ and Fortran code can be linked and called at run time. Advanced users can write C code to manipulate R objects directly.
Many users think of R as a statistics system. We prefer to think of it of an environment within which statistical techniques are implemented. R can be extended (easily) via packages. There are about eight packages supplied with the R distribution and many more are available through the CRAN family of Internet sites covering a very wide range of modern statistics.
R has its own LaTeX-like documentation format, which is used to supply comprehensive documentation, both on-line in a number of formats and in hardcopy.
The R Foundation Statutes can be downloaded as PDF file in English or German.
This is taken from http://www.r-project.org/
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