The MathFinance Newsletter, Edition 96, April 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
- Capital Structure Arbitrage Workshop, London
- Brockhaus & Jaeckel Workshop: The Practicalities of Equities Modelling -- Date Change!
- The Inaugural Fixed Income Conference, Prague
- Basket Credit Derivatives & Synthetics CDOs Workshop
- 2-nd Workshop on Smart Adaptive Systems in Finance, Rotterdam
- HfB Conference 2004, Frankfurt
- Interest-Rate Models: Theory and Practical Applications, Geneva
- Integrated Risk-Return Management: New Approach to Management of Bank Portfolio, New York
- 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, Goethe-University, Frankfurt; Abhishek Dutta, University of Twente
Technical Editor: Tom Heide, University of Applied Science, Frankfurt
Database Solutions: Dr. Thorsten Schmidt, Leipzig University
In detail:
- MathFinance Job Exchange
-
Readerships, Senior Lectureships and Lectureships at Heriot-Watt University, Edinburgh
School of Mathematical and Computer Sciences
Department of Actuarial Mathematics and Statistics
http://www.ma.hw.ac.uk/~andrewc/vacancy/ref34_04.html
As a result of sustained expansion over a number of years, the Department of Actuarial Mathematics and Statistics has three new permanent academic positions open from September 2004. Research and teaching in the Department covers Actuarial Mathematics, Financial Mathematics, Probability Theory and Statistics. Applications are welcome from anyone with research interests in one or more of these areas.
The Department has an outstanding international research reputation and was awarded Grade 5 in RAE2001. It is also one of the world's leading centres of actuarial education. This is an exciting opportunity to join a vibrant and successful academic group. Ideally, you:
- have a strong track record in research in one of the above fields,
- have the technical skills necessary to make a significant contribution to the research and the reputation of the Department, and,
- possess the communication skills to teach at a range of levels.
Angus Macdonald (Actuarial),
Andrew Cairns (Financial),
Serguei Foss (Probability), or,
Gavin Gibson (Statistics)
on +44 131 451 3202.
Application forms and further information may be obtained from:
Human Resources, Heriot-Watt University, Riccarton,
Edinburgh, EH14 4AS, UK, or phone +44 (0)131 451 3475 (24 hours).
Please quote job reference 34/04/E.
The closing date for applications is 7 May, 2004. -
Dozierende/n für angewandte Finanz- und Versicherungsmathematik
Zürcher Hochschule Winterthur (ZHW)
Die Zürcher Hochschule Winterthur (ZHW) ist die grösste Mehrsparten-Fachhochschule der Schweiz mit 2600 Studierenden, 740 Dozierenden, Assistierenden und Mitarbeitenden. Das Institut für Datenanalyse und Prozessdesign (IDP) ist auf die quantitative Beschreibung und Optimierung komplexer Systeme in Technik, Wirtschaft und Umwelt spezialisiert. Das IDP verfügt über anerkannte Kompetenz im Bereich der Analyse von Finanz- und Versicherungsdaten sowie in der Ökonometrie und intensiviert seine Tätigkeit in den Gebieten Finanzen, Versicherung/Vorsorge und Volkswirtschaft weiter.
Wir suchen per sofort oder nach Vereinbarung eine/n
Dozierende/n für angewandte Finanz- und Versicherungsmathematik
Ihre Tätigkeit umfasst die Akquisition, Leitung und Durchführung von anwendungsbezogenen Forschungs- und Dienstleistungsprojekten mit Wirtschaftspartnern. Aus diesem Grund ist Vertrautheit mit dem schweizerischen Finanz- und Versicherungsmarkt von Vorteil. Sie gestalten den weiteren Ausbau unseres Instituts mit, indem Sie die vor-handenen empirischen Kompetenzen mit Ihren Kenntnissen in finanz- und versicherungsmathematischer Modellierung und Simulation ergänzen. Im Weiteren unterrichten Sie im Rahmen eines Lehrpensums von rund 40% im Studiengang „Datenanalyse und Prozessdesign“ sowie in Weiterbildungsprogrammen.
Sie verfügen über ein abgeschlossenes Studium idealerweise in Mathematik oder Physik in Verbindung mit Statistik/Stochastik und haben Ihr Wissen über mehrere Jahre erfolgreich in der Praxis umgesetzt. Sie haben ein grundlegendes Verständnis von Monte-Carlo-Simulationstechniken sowie Verfahren zur Analyse empirischer Daten und sammelten in beiden Bereichen praktische Erfahrung. Zudem sollten Sie eine hohe Selbstmotivation mitbringen, gerne in kleinen Projektteams tätig sein und Freude an einer interdisziplinären sowie kunden- und ergebnisorientierten Arbeitsweise haben.
Bei uns erwartet Sie ein lebhaftes, interessantes Arbeitsumfeld und ein engagiertes, motiviertes Team.
Sind Sie interessiert? Wir freuen uns auf Ihre Bewerbungsunterlagen! Zürcher Hochschule Winterthur, Carmen Althaus, Personal, Postfach 805, 8401 Winterthur.
Für Auskünfte steht Ihnen Prof. Dr. Jürg Hosang, Tel. 052 267 78 05, Email juerg.hosang@zhwin.ch, gerne zur Verfügung. Weitere Informationen zur ZHW und zum IDP finden Sie unter www.zhwin.ch bzw. www.idp.zhwin.ch.
-
- 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 -
Capital Structure Arbitrage Workshop, London
In conjunction with Value Consultants Ltd
Central London 10th & 11th May 2004
Topics Covered
- Fundamental models of corporate structure
- Trading opportunities suggested by these models
- Equity derivatives in capital structure arbitrage
- Credit derivatives in capital structure arbitrage
- Cross market opportunities and pitfalls
- Detailed examples and case studies
Aim of the course
Capital Structure Arbitrage is one of the most exciting areas in contemporary capital markets. To exploit these opportunities, a good understanding is needed of equity derivatives, credit derivatives, and their relationship via a model of corporate structure. This course provides a practical introduction to this rewarding type of arbitrage trading, delivered by experienced and well qualified market professionals in a highly interactive and practical manner. The course is aimed at traders, analysts, fund managers, fund of fund managers and senior management involved in proprietary risk taking in this area. Regulators and other professionals having oversight of this type of activity will also benefit considerably. The course will consist of lectures, practical demonstrations and hands on workshops in this new and exciting trading area.
Course trainers:
Dr. David Murphy is another skilled member of the Value team. He specialises in integrated strategy and solutions for risk businesses and the valuation and risk management of derivatives products. He has had extensive experience in both credit derivatives/alternative risk transfer and equity derivatives, with a variety of roles in major global investment banks. His last position before joining Value was as Chief Operating Officer for the Reinsurance Group within Merrill Lynch after moving into Debt Markets from Merrill's Global Equity Derivatives Group. David's interests in the management of risk extend to regulatory capital, and he has been influential representing the industry in the recent revisions to the Basel Capital Accord. Dr. Murphy graduated from Oxford University with an MA in Physics, and an MSc in Computation. He holds a PhD in theoretical computer science, and was a Research Fellow for some years before entering the city, working at a range of Universities including Stanford, Sydney, Rome, Glasgow and Sussex.
Andrew Street is the Managing Director of Value Consultants Ltd (VC Ltd), a trading, risk management and regulation consultancy. He has worked in the Banking and Securities industry for almost two decades. Andrew was formerly Executive Director - Head of Arbitrage and prior to that, Director - Head of Equity and Commodity Derivatives at Mitsubishi Finance Intl (Bank of Tokyo-Mitsubishi). Before moving to Mitsubishi he was Head of Equity Derivative Trading at Nomura International and Senior Equity Derivatives Trader at Paribas Capital Markets (BNP-Paribas). Andrew began his career in the City in the mid 1980's as a fixed income quantitative analyst and structured products specialist at Barings (ING-Barings). In addition to his extensive market experience Andrew was a senior financial regulator, acting as Head of Traded Risk at the Financial Services Authority (FSA) and Assistant Director - Head of Market Risk at the Securities and Futures Authority (SFA). This has provided him with a unique insight in to the control, regulation and modelling of financial risk across the whole spectrum of financial institutions internationally. Andrew has also authored a number of articles and books on mathematical and structured finance including contributions to 'Over The Rainbow' (Risk Magazine) and 'The Handbook Of Risk Management' (Wiley). He is also a member of the advisory council to New York University Courant Institute Masters Program in Mathematics in Finance. He holds advanced degrees in theoretical physics from the Universities of Durham and Oxford.
Course Outline
-
Key Ideas in Capital Structure Arbitrage
- Basic Concepts
- The Merton model of corporate structure
- The Mechanics of the Model
- Consequences for Trading
- Implementations of the Merton Model
- Other Approaches
- Understanding Equity Derivatives and Convertible Bond Structures
- Single stock options
- Using the Volatility Smile
- Dividend Risk and Stock Borrow
- Basket Options and Correlation
- Convertible Bonds, Convertible Asset Swaps and CB Options
- Convertible Arbitrage
- Credit Derivatives in Capital Structure Arb
- Practical Credit Derivatives
- Asset Swaps, Total Return Swaps, and The Role of Funding
- Credit Events and Documentation Issues
- Tranche Products and the Uses of Equity Tranches
- Understanding Market Drivers
- Pricing Credit Derivatives
- Credit Spreads, Default Probabilities and Recoveries. Pitfalls in Pricing Default Swaps
- Credit Spread Migration Models and Pricing Credit Spread Options
- Models of Corporate Structure and Inferred Pricing
- Cross Market Arbitrage
- Why might an Arbitrage Exist?
- Real World Problems: Understanding them and Avoiding them
- Executing Successful Transactions
- Risk Monitoring and the Causes of P/L Volatility
- Typical Transactions in Detail
Workshop fee £1950:00 + UK VAT
Event contact: Neil Fowler
Event Web link: http://www.wbstraining.com/index.php?m=WORKSHOPS&p=courses/csa.php
Tel: + 44 (0) 1273 674400
Fax: +44 (0) 1273 672333
neil@wbstraining.com
-
Brockhaus & Jaeckel Workshop: The Practicalities of Equities Modelling
Central London
13th / 14th May 2004
Aim of Course
Practical Equity Derivatives Modelling has to bridge the gap between scientific research and pragmatic solutions for the trading floor. In order for a smile model to be successful in a competitive environment the quantitative researcher has to present practical tools for trading, risk management and structuring desks.
This event is focussing on practical topics such as:
- Incorporation of smile models for risk management of exotic equity derivatives portfolios
- Efficient management of continuous features such as barriers and lookbacks
- Understanding and managing market and model risk of cliquet products
- There will be an emphasis on the latest developments in the equity derivatives market featuring
- Hedging complex volatility and correlation products
- Successful trading equity against credit
- New models for risky equity, local and stochastic volatility mixture and cliquets
Workshop Trainers:
Dr. Peter Jäckel received his DPhil from Oxford University in 1995. He started his career in quantitative analysis and financial modelling in 1997, when he joined Nikko Securities. Following that he worked with Riccardo Rebonato in the Quantitative Research Centre of the enlarged Royal Bank of Scotland Group where his primary responsibilities were independent model validation and derivatives modelling research. In December 2000, he joined Commerzbank Securities as a quant in their front office product development and derivatives modelling unit (Financial Engineering). Since May 2003 he has been global co-head of the team. Peter Jäckel is the author of the book "Monte Carlo methods in finance" published by John Wiley's in March 2002.
Oliver Brockhaus has more than six years experience in quantitative modelling of Equity Derivatives. He is responsible for Credit modelling at Bayerische Hypo- und Vereinsbank (HVB). Prior to joining HVB he was Senior Quantitative Researcher in the Equity Derivatives Research groups of Deutsche Bank (1997-2000) and JP Morgan Chase (2000-2003) in London. He holds a doctorate in mathematics from the University of Bonn (Prof. H. Foellmer) and a Diploma (DEA) in probability from the University P. et M. Curie in Paris (Prof. M. Yor). He is co-author of the RISK books Modelling and hedging equity derivatives (1999) and Equity derivatives and market risk models (2000).
Who should attend?
The course is aimed at the following audience:
- Quantitative Analysts
- Trader
- Structured Products
- Financial Engineering
- Risk manager
- Research
with exposure to:
- Equity derivatives
- Credit derivatives
- Credit-Equity hybrids
- Foreign exchange derivatives
- Multi factor products Research
and an interest in:
- Monte Carlo simulation
Day 1
9.00-9.15 Introduction
9.15-10.00 Equity Dynamics
- Implied Volatility Dynamics
- Sticky Strike versus Sticky Delta
- Hedging and Incomplete Markets
10.00 -10.30 Case Study: Marking to market with Smile Models
10:30 - 10:45 Morning Coffee
10.45-11.45 Forward Starting Options
- Forward Volatility versus Spot Volatility
- Level, skew and convexity relationships
- Understanding vol of vol
- Models and Forward Skew Propagation
11.45 -12.15 Case Study: Pricing and Risk Management of Cliquet Products: Napoleon
12:15 - 13:30 Lunch
13.30 -14.45 Implied Distribution
- Volatility Parameterisations
- No Arbitrage Conditions
- Interpolation and Extrapolation
- Efficient Monte Carlo Methods
- Efficient Tree Methods
14:45 - 15:00 Afternoon Coffee
15.00 -16.00 Fast Skew Models
- Analytical Local Volatility Models
- Stochastic Volatility Models with Jumps
- Mixture Models (LV and SV)
- Levy Processes
- Generalisations: Time dependent parameters, exotic payoffs
16.00 -17.00 American Monte Carlo
- Markov Chain
- Regression
- Simulated Tree
- Stochastic Mesh
- Upper and Lower Bounds
- Bermudan Style Options
17:00 - 19:00 Cocktail Party
Day 2
9.00 -9.45 American Options and Volatility Smile
- The replication method
- The rationale behind it
- The exercise boundary
- Smoothing the boundary and increasing convergence
10.00 -11.00 Stochastic Volatility Models
- Why stochastic volatility?
- What stochastic volatility?
- One model for all applications?
- A stochastic skew model
- Mathematical features of stochastic volatility models
- Monte Carlo methods and stochastic volatility models
- Finite differencing methods and stochastic volatility models
11:00 - 11:15 Morning Coffee
11.15 -12.00 Greeks with Monte Carlo
- Finite differencing with path recycling
- Finite differencing importance sampling
- Pathwise differentiation
- The likelihood ratio method
- Including a skew
12.00 -13.00 Continuous Barriers
- Review of continuous versus discrete monitoring
- Finite differencing methods
- Copula based approximations
- The Broadie-Glassermann-Kou approximation
- The BGK approximation near the barrier: a conundrum
13:00 - 14:00 Lunch
14.00 -14.45 Volatility Products
- Products: Variance, Corridor Variance, Volatility, Covariance, Correlation Swaps
- Pricing and Risk Management Techniques Effect of Volatility Dynamics
14:45 - 15:00 Afternoon Coffee
15.00 -16.00 Equity and Credit
- Risky Equity Models
- Equity Default Swaps versus Credit Default Swaps
- Convertible Bonds and Credit
16.00 -17.00 Correlation Modelling
- Hedging Correlation
- Copulas for Equities
- Understanding Correlation Risk
Workshop fee: £1699:00
Event contact: Neil Fowler
Tel: + 44 (0) 1273 674400
Fax: +44 (0) 1273 672333
neil@wbstraining.com
http://www.wbstraining.com -
The Inaugural Fixed Income Conference, Prague
15-17th September 2004
Put the event in your diary now and book early for a maximum discount of 20%!
Early bird discount rates:
15% discount before 31st May 2004
10% discount before 31st July 2004
Receive an extra 5% discount with 3 or more delegate bookings from same institution. Maximum discount 20% (no concurring offers).
Conference fee: £1499:00 + UK VAT
Download event pdf: http://www.wbstraining.com/pdf/conference.pdf
This Conference covers all the latest developments in the Fixed Income arena over three streams: Credit Derivatives, Credit Risk and Interest Rate Derivatives. The speaker facility for this event will include some of the world's key pioneers, innovative academics and top practitioners from the fixed income arena.
Confirmed Speaker List:
- Jesper Andreasen: Nordea Markets
- Navneet Arora: Manager, Moody's KMV
- Jeff Bohn: Research Director, MKMV
- Damiano Brigo: Head of Credit Models, Banca IMI
- Mark Davies: Professor of Mathematics, Imperial College London
- Dariusz Gatarek: Capital Markets Group, Deloitte & Touche
- Kay Giesecke: Post-Doctoral Fellow, Cornell University
- Lisa Goldberg: Vice President, Credit Research, Barra
- Stephen Kealhofer: Managing Director, Founding Principal of KMV
- David Lando: Professor, PhD. Department of Finance Copenhagen Business School
- Jean Paul Laurent: BNP Paribas & University of Lyon
- Fabio Mercurio: Head of Financial Models, Product Banca IMI
- Antoon Pelsser: ING-Insurance & Erasmus University Rotterdam.
- Vladimir Piterbarg: co-Head of Quantitative Research, Bank of America
- Riccardo Rebonato: Head of Group Quants research centre, RBOS
- Philipp Schonbucher: Assistant Professor of Risk Management, ETH Zurich
- Oldrich Vasicek: Founding Principal of KMV
- Alan White: Professor, Rotman University of Toronto
Wednesday 15th September will be a practical workshop day with three different events taking place simultaneously.
Jesper Andreasen: Interest Rate Modeling: From the Basic to the Advanced
Navneet Arora & Jeff Bohn: Moody's KMV Credit Risk Workshop: Building and Testing Debt Valuation Models
Philipp Schonbucher: Basket Credit Derivatives Workshop Available Soon!Workshop fee: £699:00 + UK VAT. (No discount on workshops)
Thursday 16th September: Day 1
End of day open forum all Streams: 1 hour
Oldrich Vasicek: "How do you derive the Heath-Jarrow-Morton model in three lines?"
Short replies from the following:
Dariusz Gatarek, Kay Giesecke, Lisa Goldberg, Fabio Mercurio, Jean Paul Laurent, Vladimir Piterbarg, Philipp Schonbucher.
Thursday 16th September: Day 1: Credit Derivatives Stream
Chairman's comments: Alan White
Synthetic CDO Tranches: Comparing the Performance of different Default Dependency Models.
Philipp Schonbucher: 1 Hour 30 Minutes
Basket Credit Derivatives & Synthetic CDO's
Fully Interactive Q&A session get involved and ask the questions that matter to you: 1 Hour
Panel: Jean-Paul Laurent & Alan White
CDS calibration and related option pricing: Tractable intensity model and Market models Damiano Brigo: 1 Hour 30 Minutes
Mark Davis's Presentation & Q&A Questions Available soon!
Friday 17th September: Day 2: Credit Derivatives Stream
Valuation of CDO's under different assumptions
Alan White: 1 Hour 15 Minutes
Comparing copula models for the pricing of basket credit derivatives and CDO's
Jean Paul Laurent: 1 Hour 15 Minutes
CDS Market Models
Fully Interactive Q&A session get involved and ask the questions that matter to you: 1 Hour 20 Minutes
Panel: Damiano Brigo Mark Davis & Philipp Schonbucher.
Thursday 16th September: Day 1: Credit Risk Stream
Chairman's comments: Oldrich Vasicek
Calibrating Credit with Incomplete Information
Kay Giesecke & Lisa Goldberg: 1 Hour 30 Minutes
Credit Risk
Fully Interactive Q&A session get involved and ask the questions that matter to you: 1 Hour 20 Minutes
Panel: Navneet Arora, Jeff Bohn, David Lando & Philipp Schonbucher
A model for corporate bonds, swaps and treasury securites
David Lando: 1 Hour 15 Minutes
Friday 17th September: Day 2: Credit Risk Stream
Bond Market Clearing
Olrich Vasicek: 1 Hour 30 Minutes
Analyzing the credit component of corporate bond returns
Stephen Kealhofer: 1 Hour 15 Minutes
Corporate Bond Valuation: Does Size Matter?
Jeff Bohn & Navneet Arora: 1 Hour 15 Minutes
Kay Giesecke, Lisa Goldberg & Stephen Kealhofer Q&A Panel Questions Available soon!
Thursday 16th September: Day 1: Interest-Rate Modelling Stream
Chairman's comments: Riccardo Rebonato
Riccardo Rebonato: Calibrating, pricing and hedging interest-rate products in the presence of smiles 1 Hour 30 Minutes
Fabio Mercurio: Pricing of Inflation-Indexed Derivatives 1 Hour 15 Minutes
Implied dynamics of the swaption skew surface
Vladimir Piterbarg: 1 Hour 15 Minutes
Volatility Smiles Q&A
Fully Interactive Q&A session, get involved and ask the questions that matter to you:
Panel: Damiano Brigo, Fabio Mercurio & Riccardo Rebonato: 1 Hour 20 Minutes
Friday 17th September: Day 2: Interest-Rate Modelling Stream
Pricing Swaptions in Affine Term Structure Models
Antoon Pelsser: 1 Hour 30 Minutes
Interest Rate Exotic Products
Fully Interactive Q&A session, get involved and ask the questions that matter to you:40 Minutes
Panel: Jesper Andreasen & Vladimir Piterbarg
How many factors in Term Structure Models?
Dariusz Gatarek:1 Hour 15 Minutes
A Framework for the Modeling of Vanilla and Exotic Interest Rate Derivatives.
Jesper Andreasen: 1 Hour 15 Minutes
Term Structure Models Q&A
Fully Interactive Q&A session get involved and ask the questions that matter to you: 1 Hour 20 Minutes
Panel: Dariusz Gatarek, Antoon Pelsser & Alan White
For all presentation details visit our conference page:
http://www.wbstraining.com/frame.php?m=CONFERENCES%202004
For all other inquires contact:
Neil Fowler
WBS Training Ltd
+44 (0) 1273 674400
neil@wbstraining.com
-
Basket Credit Derivatives & Synthetics CDOs Workshop
Central London: 22nd / 23rd November 2004
Due to this event being sold out in March 2004 (40 delegates) WBS Training Ltd are pleased to announce another opportunity to attend this highly popular workshop in November 2004!
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
Day 1
08:45 - 9:00 Introduction Philipp J. Schonbucher: Assistant Professor, Department of Mathematics (ETH) Zürich
09:00 - 9:30 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
09:30 - 11:15 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
10:15 - 10:30 Morning Coffee
11:15 - 12:15 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
12:45 - 13:45 Lunch
12:15 - 14:30 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
14:30 - 17:30 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
15:30 - 15:45 Afternoon Coffee
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: 17:30 - 19:00
Day 2
08:45 - 10:15 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
10:15 - 10:30 Morning Coffee
10:30 - 11:30 Case Study
Recai Gunesdogdu: Portfolio Strategy Group CSFB
- Structural default models and CUSP(tm)
- Applications of the portfolio modelling: a case study (PortfolioRisk+)
11:30-12:30 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)
12:30-13:30 Lunch
13:30-14:30 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
14:30-15:30 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
15:30 - 15:45 Afternoon Coffee
15:45 - 17:15 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 -
2-nd Workshop on Smart Adaptive Systems in Finance, Rotterdam
May 19, 2004, Rotterdam, the Netherlands
Purpose:
Understanding in which ways smart adaptive systems can contribute to the improvement of existing RA&M practices is considered of key importance and, therefore, the dissemination of knowledge and experience about the smart adaptive systems within this rapidly developing field. The workshop will provide a platform for the academics and professionals in the RA&M sector to exchange ideas, opinions and experience about the opportunities for computational techniques like data mining, neural networks, decision trees, (statistical) fuzzy modeling, evolutionary computation, and combinations of these.
The domain focus of the workshop is on the three main types of financial risk namely market risk, credit risk and operational risk. Examples of the state of the art in this field will be shown including recent academic developments and successful applications.
Call for Papers:
Submit your extended abstract (approximately 2 pages) of your contribution by email: jvandenberg@few.eur.nl before April 30, 2004.
Submissions should be in .pdf, .ps or .doc format.
Notification of acceptance will be sent via email by May 7, 2004.
Extended abstracts and presentations will be published in the Proceedings of the 2nd Workshop on Smart Adaptive Systems in Finance.
Organisation and Program Committee:
Dr.ir. Jan van den Berg and and Dr.ir. Uzay Kaymak
Dept. of Computer Science, Intelligent Systems in Business Economics,
Rotterdam School of Economics, Erasmus University Rotterdam, The Netherlands
More information (including an extended CFP) can be found at our website:
http://www.few.eur.nl/few/research/eurfew21/ibe/seminar/ -
HfB Conference 2004, Frankfurt
"Jede Schöpfung ist ein Wagnis."
Christian Morgenstern
"Invent the future - das ist die sicherste Methode, sie vorauszusagen."
Alan Kay, amerikanischer Computerspezialist
Am 15. Mai ist es soweit: Die HfB Conference findet statt zu dem Thema:
TRADInnovaTION
Living Tradition - Managing Innovation
Nach Jahrzehnten des "business as usual" und dem Hype an den Kapitalmärkten stehen Unternehmen heute vor der Aufgabe, sich verschärften Marktgegebenhei-ten anzupassen. Mehr Markttransparenz, hybrides Kundenverhalten und steigender Kostendruck zwingen Unternehmen zur Anpassung ihrer Organisationsform und ihres Auftretens am Markt. Auch Gesellschaft und Politik setzen sich auf Grund einer veränderten Wirtschaftslage mit Reformen und Neuerungen auseinander.
Die Referenten der diesjährigen HfB Conference zeigen, welchen Weg Unterneh-men, Gesellschaft und Politik hierbei eingeschlagen haben und diskutieren, welche Rolle Innovation und Tradition in Zukunft spielen werden.
Referenten namhafter Unternehmen und auch der Politik, wie zum Beispiel Dr. Lutz Rättig (Vorstandsvorsitzender der Morgan Stanley Bank AG Deutschland), Andreas Kindt (Vorstand der T-Online AG) oder Karlheinz Weimar (Finanzminis-ter des Landes Hessen) beschäftigen sich in ihren Vorträgen mit der Fragestellung, wie Unternehmen, Gesellschaft und Politik Wege zwischen Tradition und Innova-tion beschreiten. Insbesondere gehen die Referenten auf die Entwicklung an den Kapitalmärkten und der daraus resultierenden Entstehung von innovativen Fi-nanzprodukten, die Rolle von staatlicher Aufsicht bei Innovationen und auf Verän-derungen in der Finanzbranche durch Basel II ein. Aber auch die Entwicklungen in der Luftfahrtindustrie und der Medienlandschaft werden Thema der zahlreichen Vorträge sein. Wissenschaftlich beleuchtet werden die Themen Tradition und In-novation unter anderem von Professor Doktor Christian Scholz (Universität Saar-brücken) und auch von Professor Doktor Thomas Heidorn (HfB).
Studenten zahlen bei der HfB Conference 35 Euro,
Trainees 80 Euro und
Professionals 180 Euro.
Weitere Informationen und die Möglichkeit zur Anmeldung finden Sie auf unserer Homepage http://www.conference2004.de.
Sollten noch Fragen offen sein, wenden Sie sich bitte an Monika Pieper (pieper@hfb-conference.org) oder Susanne Hörig (hoerig@hfb-conference.org).
Referenten der HfB Conference 2004:
- B. Metzler seel. Sohn & Co. Holding AG: Emmerich Müller - Mitglied Partnerkreises -
Teilnahme an der Podiumsdiskussion "Zukunft und Wandel am Finanzplatz Deutschland" - Bundesanstalt für Finanzdienstleistungsaufsicht: Helmut Bauer - Leiter der Bankenaufsicht -
Thema: Basel II - Bayer AG: Dr. Wolfgang Plischke - Leiter Bayer HealthCare AG -
Thema: tba - Booz Allen Hamilton: Dr. Johannes Bussmann - Partner -
Thema: tba - Booz Allen Hamilton: Markus Lammer - Principal der Financial Services Group -
Thema: Kurswechsel: Von der traditionellen Hausbankphilosophie zum wertorientierten Mana-gement der Bank - Commerzbank AG: Nicholas Teller - Vorstand -
Teilnahme an der Podiumsdiskussion "Zukunft und Wandel am Finanzplatz Deutschland" - Deutsche Bahn AG: Dr. Alexander Hedderich - Wettbewerbsbeauftragter -
Thema: Innovation durch Privatisierung und Wettbewerb - Praxisbeispiel Deutsche Bahn AG - Deutsche Börse AG: Dr. Stefan Mai - Economist, Market Policy -
Thema: Entwicklungen im Kapitalmarkt/ Innovative Finanzierung - Faber-Castell AG: Rolf Schifferens - Leiter Profit-Center Deutschsprachige Märkte -
Thema: Auf dem Weg zur Weltmarke - Germanwings GmbH: Dr. Joachim Klein - Geschäftsführer -
Thema: Luftfahrt im Wandel - Gorr & Partner GmbH: Claus-Dieter Gorr - Geschäftsführer -
Thema: tba - HeidelbergCement AG: Hans Bauer - Vorstandsvorsitzender -
Thema: Unternehmenskultur und Marktpositionen von HeidelbergCement - Hessische Landesregierung: Karlheinz Weimar - Finanzminister -
Teilnahme an der abschließenden Podiumsdiskussion - Heye Communications Group: Jürgen Knauss - Vorstandsvorsitzender -
Thema: Neukreation einer Marke am Beispiel Mc Donald´s - Hochschule für Bankwirtschaft: Prof. Dr. Thomas Heidorn - Professor -
Thema: Risikosteuerung durch innovative Finanzmittelprodukte - Invesco: Dr. Jörg Krämer - Chefökonom -
Thema: tba - KPMG: Dirk Auerbach - Partner -
Thema: Bankenaufsicht als Motor und Kontrolle für Innovationen - Loewe AG: Dr. Roland Raithel - Pressesprecher -
Thema: Die Zukunft des interaktiven Fernsehen - Linklaters Oppenhoff & Rädler: Dr. Wolfgang Deselaers - Partner -
Thema: EU-Recht im Wandel / EU-Kartellrecht - McDonald`s Deutschland Inc.: Adriaan Hendrikx - Managing Director -
Thema: tba - Morgan Stanley Bank AG Deutschland: Dr. Lutz Raettig - Vorstandsvorsitzender -
Teilnahme an der Podiumsdiskussion "Zukunft und Wandel am Finanzplatz Deutschland" - Mummert + Partner: tba - Partner -
Thema: tba - PricewaterhouseCoopers: Prof. Dr. Norbert Winkeljohann - Vorstand -
Thema: Tradition Familienunternehmen - Zukunft und Wandel - PricewaterhouseCoopers: Friedemann Loch - Mitarbeiter -
Thema: Veränderungen durch Basel II - Saatchi & Saatchi AG: Dieter Romatka - Managing Director -
Thema: Love Mark - Siemens AG: Dr. Heinrich Stuckenschneider - Leiter Corporate Technology (CT) Strategisches Marketing -
Thema: tba - Springer Consulting: Gerd Springer - Vorstandsvorsitzender -
Thema: tba - T-Online AG: Andreas Kindt - Vorstand -
Teilnahme an der abschließenden Podiumsdiskussion - TriSolver AG: Dr. ing. Pavel Livotov - Vorstand -
Thema: Accountable Innovation - Universität Basel: Prof. Dr. Manfred Bruhn - Professor -
Thema: Tradition und Innovation der Kommunikation - Universiät Erlangen-Nürnberg: Prof. Dr. Wolfgang Gerke - Professor -
Teilnahme an der abschließenden Podiumsdiskussion - Université de Fribourg (CH): Prof. Dr. Hans-Joachim Schmidt - Professor -
Thema: Auf der Suche nach den Ursprüngen: Zur Entstehung der Fortschrittsidee in Europa! - Universität Saarbrücken: Prof. Dr. Christian Scholz - Professor -
Thema: Die neue Bankenlandschaft: Karriere ohne Stammplatzgarantie als gemeinsame Herausforderung - WestLB AG: Dr. Manfred Puffer - Vorstand -
Teilnahme an der Podiumsdiskussion "Zukunft und Wandel am Finanzplatz Deutschland"
tba= to be announced - B. Metzler seel. Sohn & Co. Holding AG: Emmerich Müller - Mitglied Partnerkreises -
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Interest-Rate Models: Theory and Practical Applications
Date: May 17- 21, 2004
Location: Geneva, Switzerland
Lecturer: Professor Yacine Aït-Sahalia
Organizer: International Center FAME (home page)
Course Description:
Interest-rate models represent one of the most active areas of finance research and practice. Recent advances in this area are essential to the correct pricing and hedging of interest-rate derivatives and the accuracy of risk management.
Objectives:
This intensive course provides a full treatment of the state-of-the-art theory of interest-rate models and their practical applications. Participants will learn and enhance their understanding of the fundamental mathematical tools and quantitative techniques as well as the latest research used throughout the derivatives industry.
Target Audience:
Central bankers, traders, derivatives sales people, quantitative researchers, financial engineers, fixed income asset managers, risk managers, financial software developers, senior management of financial institutions.
Course Content:
- Continuous-Time Calculus: Brownian motion, Itô's Lemma, discrete-time approximation, the Euler scheme, the Milstein scheme, trees.
- Arbitrage and Risk-Neutral Pricing: asset dynamics and pricing, factor and derivative price dynamics, traded and non-traded underlying, partial differential equations, the risk-neutral density, the Feynman-Kac formula, general characterization of no-arbitrage prices.
- Numerical Methods for Interest-Rate Models: methods for trees; replicating portfolio, risk-neutral and actual densities; methods for partial differential equations; finite-difference grid and algorithms, the Crank-Nicholson algorithm; methods based on the Feynman-Kac solution, Monte Carlo simulations; comparison of the methods.
- Classical Interest-Rate Models: the Vasicek model, term structure implications, constructing trees, the Cox-Ingersoll-Ross model.
- Multifactor Term Structure Models: affine and non-affine models.
- Credit Risk: incorporating the possibility of default into term structure models.
- Arbitrage-Free Interest-Rate Models: yield and volatility curves in the Vasicek model, risk-neutral dynamics of the forward rates, the Ho-Lee model, recombining binomial tree, the extended Vasicek model, the Black-Derman-Toy model, the HJM model, non-recombining tree. Forward rate measures. Changes of numeraire.
- Nonparametric Density Estimation for Interest Rates: the Kernel method, histogram, Kernel estimator, bandwidth, practical implementation.
- Nonparametric Pricing of Interest-Rate Derivatives: continuous-time models sampled discretely, nonparametric estimation of volatility, benefits of the nonparametric approach.
- Testing Interest-Rate Models: formulating the hypothesis, constraints, estimating the drift and diffusion with discrete data, density-matching, exploiting the information contained in the transitions of the process.
- Interest Rates and Markov Diffusions: the cost of dealing with non- Markovian dynamics in the HJM context; are interest rates continuous-time Markov processes?
- Conditional Densities for Interest-Rate Models: a new method to estimate diffusions: a closed-form approach, derivative pricing applications; applications to multifactor term structure models and stochastic volatility models.
Other suggested links:
FAME 2004 course program
Professor Yacine Aït-Sahalia's home page
Organization, Procedure and Fee
Application Form (pdf format)
For all other questions, please contact :
Fabienne Garcelon or Olga Solari
Coordinators
International Center FAME
Av. Blanc 49
CH-1202 GENEVA, Switzerland
Tel. +41 22 731 95 55
Fax +41 22 731 95 75
executive-courses@fame.ch
http://www.fame.ch -
Integrated Risk-Return Management: New Approach to Management of Bank Portfolio, New York
A joint workshop of Risk Management and Financial Engineering Lab, University of Florida, USA and Risk Traning, Bruckmuehl, Germany
July, 29-30, 2004, Hilton Times Square Hotel, New York, NY
Workshop WEB site: http://www.ise.ufl.edu/rmfe/events/ws2004s/
Topics
- New Risk Measures (VaR, CVaR, CDaR) for the Bank Portfolio
- Bank-wide Integrated Risk Measurement and Capital Allocation
- Integration of Risk- and Return Management
- Risk-Return Portfolio Optimization of the Bank Portfolio
- Integration of Regulatory and Internal Risk Management
By Attending this Workshop You Will Gain
- An understanding of innovative concepts of integrated risk-return management
- An experience in new risk measures, including, Conditional Value-at-Risk (CVaR) and Conditional Drawdown-at-Risk (CDaR)
- The knowledge of new methods of risk measurement and capital allocation that are appropriate for banks and other financial institutions
- The ability to develop the conceptual framework and a consistent key ratio system for an integrated risk-return management of a portfolio
- Insight into algorithms for finding risk-return optimum portfolios accounting for loss risk limitations from internal and regulatory points of view
Who Should Attend
The workshop is directed towards members of risk management groups as well as of financial controlling divisions, consultants and advisors active in providing services to financial institutions. It is also of interest to academics, who want to get an insight into the practical implementation of new concepts of risk and bank management.
Workshop Lecturers
Prof. Stanislav Uryasev at the University of Florida, is the director of the Risk Management and Financial Engineering (RMFE) Lab. His research is focused on the development of efficient computer modeling and optimization techniques and their applications in finance, including: risk management, portfolio optimization and optimal trading strategies. He holds a Ph.D. degree in applied mathematics from Glushkov Institute of Cybernetics, Ukraine. He has published three books (monograph and two edited volumes) and more than seventy research papers. For additional information, see personal site http://www.ise.ufl.edu/uryasev and site of the RMFE Lab., http://www.ise.ufl.edu/rmfe.
Dr. Ursula A. Theiler, Risk Training, CEO, is a professional training consultant who has conducted numerous trainings of financial institutions and companies related to bank and risk management. Dr. Ursula A. Theiler holds a Doctorate Degree of the Banking Business Department of the Ludwig-Maximilians-University of Munich, Germany. For additional information, see personal site http://www.ursula-theiler.de and Risk Training site http://www.risk-training.org/.
Fee
Regular Fee: $2500 USD; Government and Academic Fee: $2000;
Team discount (2 or more persons paying regular fee): deduct $500 per person.
Contact
Vladimir Bugera
Phone: (352) 2133457
Fax: (352) 3923537
E-Mail: bugera@ufl.edu
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- MathFinance Resources
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Scilab - A Free Scientific Software Package
Scilab is a scientific software package for numerical computations providing a powerful open computing environment for engineering and scientific applications. Developed since 1990 by researchers from INRIA and ENPC, it is now maintained and developed by Scilab Consortium since its creation in May 2003.
Distributed freely and open source via the Internet since 1994, Scilab is currently being used in educational and industrial environments around the world.
Scilab includes hundreds of mathematical functions with the possibility to add interactively programs from various languages (C, Fortran...). It has sophisticated data structures (including lists, polynomials, rational functions, linear systems...), an interpreter and a high level programming language.
Scilab has been designed to be an open system where the user can define new data types and operations on these data types by using overloading.
A number of toolboxes are available with the system:
- 2-D and 3-D graphics, animation
- Linear algebra, sparse matrices
- Polynomials and rational functions
- Simulation: ODE solver and DAE solver
- Scicos: a hybrid dynamic systems modeler and simulator
- Classic and robust control, LMI optimization
- Differentiable and non-differentiable optimization
- Signal processing
- Metanet: graphs and networks
- Parallel Scilab using PVM
- Statistics
- Interface with Computer Algebra (Maple, MuPAD)
- Interface with Tck/Tk
- And a large number of contributions for various domains.
Scilab has been built using a number of external libraries.
Scilab works on most Unix systems including GNU/Linux and on Windows 9X/NT/2000/XP. It comes with source code, on-line help and English user manuals. Binary versions are available.
For more information, please see: http://scilabsoft.inria.fr/ -
Learn programming with C#!
C# (pronounced "C sharp") is a new language for Windows applications. Along with the .NET framework it was designed as a direct competition to Java. It is a component-based, easy to learn language following the tradition of C++ and Java. C# is intended to be suitable for writing applications for both hosted and embedded systems, ranging from the very large that use sophisticated operating systems, down to the very small having dedicated functions. The C# compiler is free. There are versions in English, French, German, Italian, Spanish and Japanese available. It is a 131 MB download. For more information on the subject, read the official Microsoft C# Introduction and Overview. -
Kyriakos Chourdakis Homepage
http://www.theponytail.net is the homepage of Kyriakos Chourdakis, who is a lecturer at the University of London, Queen Mary. It is an excellent source for working papers, data, and computer code on derivatives, financial economics and Markov chain models and it provides lecture notes for derivatives course. -
Zinsderivate - Eine Einführung in Produkte, Bewertung, Risiken von S. Reitz,W. Schwarz und M.R.W. Martin
Broschiert - 228 Seiten -
Vieweg Verlag Wiesbaden
Erscheinungsdatum: Februar 2004
ISBN: 3528032030
Es handelt sich um ein einführendes Lehrbuch zum Thema Zinsderivate, das neben den mathematischen Grundlagen vor allem auch die für die Praxis relevanten Aspekte abdeckt. Nach einer Übersicht über die grundlegenden Begriffe und Produkte in Kapitel 1 werden in Kapitel 2 die theoretischen Grundlagen der praxisrelevanten Zinsstrukturmodelle gelegt, um dann in Kapitel 3 die aktuell am Markt gehandelten komplexeren Zinsoptionen zu bewerten. Die für das tägliche Risikomanagement in einer Investmentbank notwendigen Verfahren zur Risikomessung von Zinsderivaten stehen im Mittelpunkt von Kapitel 4. Das Buch wendet sich an Leser mit Grundkenntnissen in Wahrscheinlichkeitstheorie und Analysis; die für das Verständnis notwendigen speziellen mathematischen Techniken aus der Stochastik werden in zwei Anhängen erläutert.
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Wikipedia
Wikipedia is a multilingual project to create a complete and accurate free content encyclopedia. It is being maintained and extended by the internet community, i.e. anybody can modify or write new articles. Although, it is a general encyclopedia, many financial mathematics articles are already available. See http://en.wikipedia.org/wiki/Financial_mathematics
Red links indicate requested but non-existent articles and directly refer to a page where one can write about the subject. This is an invitation for everybody to extend the encyclopedia!
Editing pages is as simple as clicking on the "Edit this page" link and modifying the code. It is not necessary to have a login, although it is also possible to create user-accounts to gain more functionality. For detailed information on how it works see http://en.wikipedia.org/wiki/Wikipedia:Community_Portal
Despite the fact that anybody can create and modify articles, the quality appears to be very good. Occasional vandalism is usually reverted by the community within minutes. See the link "Page history" to see how the page has evolved.
All articles are published under the GNU Free Documentation License (GFDL), see http://en.wikipedia.org/wiki/Wikipedia:Copyrights for details.
Contributed by Tino Kluge, Oxford University
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