The MathFinance Newsletter, Edition 98, May 25 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 Inaugural Fixed Income Conference, Prague
- Basket Credit Derivatives & Synthetics CDOs Workshop
- Securitisation Structuring and Modelling Workshop
- Integrated Risk-Return Management: New Approach to Management of Bank Portfolio, New York
- Hot Business. UnRisk2. When accurate derivatives analytics counts.
- 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
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
-
Three Year Term Position in Financial Mathematics, University of Calgary
The University of Calgary invites applications for a three-year limited term position in financial mathematics at the rank of Assistant Professor in the Department of Mathematics and Statistics, commencing July 1, 2004. A later starting date may be negotiated.
Applicants should have (or be close to completing) a PhD in a relevant area (for instance mathematical finance, probability theory, numerical analysis of PDEs). Relevant industrial experience or postdoctoral experience in a research program in computational or mathematical finance would be an asset. The successful candidate will join the Mathematical and Computational Finance Laboratory and will be expected to participate in the group's research and teaching activities, including graduate student supervision, teaching for the new undergraduate programme in mathematical finance, and interacting with our industrial partners on various projects.
All qualified candidates are encouraged to apply; however, Canadians and permanent residents will be given priority.
The University of Calgary respects, appreciates, and encourages diversity.
To see all University of Calgary academic positions, please visit
http://www.ucalgary.ca/hr/career
The initial closing date is May 31, 2004 but applications will be accepted until the position has been filled.
Please submit a curriculum vitae together with a description of Research Expertise and a short statement about Teaching Philosophy and arrange to have three referees send confidential letters to:
Financial Math Search Committee
Department of Mathematics and Statistics
MS476 University of Calgary
2500 University Drive NW Calgary, Alberta,
T2N lN4.
Curriculum vitae may be sent by fax to: (403) 282-5150;
or by e-mail to:schuck@math.ucalgary.ca. -
Senior Specialist Financial Engineering, Commerzbank AG, Frankfurt am Main
Hire-Plan Number: 4999
Company: Commerzbank AG
Operational Area: Investment Banking - Securities
Professional Capacity: Specialist
Qualification: Experienced
Country: Germany
Location: Frankfurt / Main
ZIP Code: 60327
Working Time: Full Time
Start Date: as soon as possible
Responsibilities:- Development and support of pricing- and risk-management routines for derivatives, esp. exotic foreign exchange derivatives
- Integration of routines into various systems, e.g. risk management system Murex C+ and the In-house developed FXOptionPricer system
- Application of in-depth knowledge of mathematical finance and the implementation of prototypes in C++
- Close cooperation with and understanding of derivative trading and sales
- Work with risk management relevant parts of the Murex mxg2000 system
- Keep documentation up-to-date
Education: Ph.D. from a leading university in mathematics/theoretical physics/engineering or equivalent
Work Experience: Work experience: 4 years + in a similar position (quant. analyst, etc.)
Special Skills:- Proven ability to act as a leader for successful projects
- Strong implementation skills and experience in C++
- Knowledge of financial derivatives, their trading and risk-management, esp. for FX and interest rate products
- Knowledge of Murex mxg2000 a plus, but no prerequisite
Language Skills: Very good written and spoken english
Characteristics:- Interested in interaction with trading and sales departments
- Ability to integrate into the team
- Endurance and flexibility
Contact Person:
Commerzbank AG
Zentraler Stab Personal
Fachbereich 4
Investment Banking / Ausland
z. Hd. Frau Ludwig
Neue Mainzer Strasse 37-39
60311 Frankfurt
069/136-41270
-
- 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 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: Assistant Professor, 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 and Portfolio Credit Derivatives Workshop
Workshop fee: £699:00 + UK VAT. (No discount on workshops)
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
Valuation of CDO's under different assumptions
Alan White: 1 Hour 15 Minutes
Dynamic Hedging of Basket and Portfolio Credit Derivatives
Speaker to be confirmed : 1 Hour 15 Minutes
Friday 17th September: Day 2: Credit Derivatives Stream
CDS calibration and related option pricing: Tractable intensity model and Market models
Damiano Brigo: 1 Hour 30 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.
Mark Davis's CDS Presentation & CDS Q&A Questions Available soon!
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
A model for corporate bonds, swaps and treasury securites
David Lando: 1 Hour 15 Minutes
Credit Risk Q&A: 1 Hour 20 Minutes Panel: Navneet Arora, Jeff Bohn, Kay Giesecke, Lisa Goldberg & Philipp Schonbucher
Analyzing the credit component of corporate bond returns
Stephen Kealhofer: 1 Hour 15 Minutes
Friday 17th September: Day 2: Credit Risk Stream
Bond Market Clearing
Olrich Vasicek: 1 Hour 30 Minutes
Corporate Bond Valuation: Does Size Matter?
Jeff Bohn & Navneet Arora: 1 Hour 15 Minutes
Credit Risk Q&A: 1 Hour 20 Minutes Panel: Kay Giesecke, Lisa Goldberg, David Lando & Oldrich Vasicek
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/index.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 -
Securitisation Structuring and Modelling Workshop
Central London,
25th /26th November 2004
Highlights of Workshop
- This is NOT a basic course. The participants must have basic understanding of securitisation structures.
- A 100% practical course that looks at the financial structure and cash flow models of securitisation transactions
- Builds models from issuers, servicers and investors viewpoint
- Participants would be expected to build models for real-life transactions
- Participants must have good knowledge of Excel. Knowledge of VBA is NOT required for this course.
- To derive the most out of this course, participants must bring their own laptops/portable computing devices.
- This course does NOT deal with securitisation law, accounting or taxation, except as may be required for understanding transaction structures.
Workshop Trainer:
Vinod Kothari is recognised globally as an international author, trainer and expert in the areas of Securitisation, Asset Based Financing, Credit Derivatives and Derivative Accounting.
Vinod has delivered training workshops in more than 15 countries around the world, including South Africa, UK, Australia, Malaysia, Jordan, Egypt, Sri Lanka, Bangladesh, Zambia, South America and across India. Vinod is involved in Distance training in the USA, UK, Netherlands, Israel, South Africa, etc. Furthermore he owns the www.vinodkothari.com website which is a highly regarded research tool for banking and financial professionals across the world.
Vinod Kothari has published books in the areas of Securitisation, Credit derivatives and leasing. His books include:
- Securitisation: The Financial Instrument of the New Millennium
- Credit Derivatives and Synthetic Securitisation
- Lease Financing and Hire-purchase
- Securitisation, Asset Reconstruction and Enforcement of Security Interests
His portfolio also includes a variety of published articles for various journals, including Euromoney's Securitisation Review, Duke Journal of Comparative and International Law, Journal of International Banking Law, Asset Finance, US Banker, El Exportrador, Monitordaily, and Equipment Finance Journal. Vinod is a Chartered Accountant, a Company Secretary, acts as the Executive Director of the Asian Securitisation Forum and holds the position of Director at the Association of Leasing and Financial Services Companies (a body of over 500 top leasing companies in India).
Vinod Kothari is currently retained by the Asian Development Bank for a project related to secured lending reforms in India.
Workshop Outline:
Session 1: Securitisation: Quick introduction to securitisation transactions.
- Meaning and features of asset-backed securities
- Isolation of cashflows and originator-independence of securitisation transactions.
- Motivations for issuers and investors
Session 2: Concept of credit enhancement in asset backed securities.
- Equity in corporate finance and credit enhancement
- Credit enhancement and ratings
- Credit enhancement and weighted average cost of the transaction.
Session 3: Securitisation structures: pass through and bond structures.
- CDO structures. Reinvestment type transactions.
- Paydown structures and implications of each.
- Essentials of securitisation structuring - the underlying cashflows.
- Structures in various asset classes: RMBS, CMBS, retail credit, future flows, revolving type.
- Synthetic structures.
Session 4: Financial modeling for securitisation: various purposes of the model.
- Identifying the key determinants of the variables. Introducing each element into a classroom model to notice impact on the transaction. Impact of excess spread, over collaterleralisation and subordination.
Session 5: Model for stress testing of the portfolio and computation of credit enhancement levels. Using the model to stress the assumptions.
- Computing expected losses, mean, variance and volatility.
- Concept of probability of default and loss severity in connection with credit enhancements.
- Seeing the impact on weighted average cost of the transaction.
Session 6: Modeling for cashflow waterfall and investorservicing.
- Identifying inflows and outflows.
- Identifying specific situations - buyback, replacement, reinvestment, prepayment, etc. Using actual pool performance data for waterfall distribution.
- Distribution of losses.
Session 7: Modeling for investor reporting.
- Types of reports required.
- Loss distribution reports for investors.
- Modeling from investor viewpoint.
- Impact of different variables on investors' yield
Session 8: Preparing models based on information in legal documents.
- Studying a real life trust deed/ prospectus and deriving the required details for modeling.
Session 9: Preparing models for accounting reports
- Key requirements - gain on sale, retained asset amortization and valuation of residual interests.
- Valuation based on pool performance data
Participants will be expected to build models of several real life transactions.
Workshop fee £1499:00 + UK VAT
Event contact:
Neil Fowler
Tel: + 44 (0) 1273 674400
Fax: +44 (0) 1273 672333
http://www.wbstraining.com
neil@wbstraining.com -
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 -
Hot Business. UnRisk2. When accurate derivatives analytics counts.
Date: July 9, 2004, 2:30-5:45 PM
Location: London City
The UnRisk consortium is pleased to invite you to a free event demonstrating high-end numerical techniques for the pricing and risk analysis of derivatives.
The event will cover
- Finite Element and Streamline Diffusion Techniques
- Identification of Model Parameters in Computational Finance
- The world´s premiere UnRisk2 presentation
Event benefits.
- A concise presentation for practitioners. With details where necessary.
- Exclusive insight.
- Why numerical methods for convection-dominated flows are relevant for computational finance.
- How finite element and streamline diffusion techniques lead to unmatched accuracy.
- Sources of special errors.
- Traps of inverse problems. How, by disturbing the calibration problem, one can obtain better results.
- Live demonstration of UnRisk2.
- Generating values from UnRisk2.
- High-end numerics within a modern software architecture. Visual exploration.
- Working environments for traders, treasurers and quants all using the same pricing engine.
Who should attend.
- Front office professionals who are interested in an alternative derivatives analytics solution
- Quants and risk analysts who want rapid instrument building and modelling
- Managers who want a group solution for the front and mid office.
See: http://www.unriskderivatives.com/news/unriskdaylondon.html
-
- MathFinance Resources
-
Annals of Finance
Frequency of publication: Quarterly
Publisher: Springer-Verlag
Starting date: January 2005
Address for manuscript submission: http://gemini.econ.umd.edu/af
Aims and Scope
The purpose of Annals of Finance is to provide an outlet for original research in all areas of finance and its applications to other disciplines having a clear and substantive link to the general theme of finance. In particular, innovative research papers of moderate length of the highest quality in all scientific areas that are motivated by the analysis of financial problems will be considered.
Annals of Finance's scope encompasses-but is not limited to-the following areas.
- accounting and finance
- asset pricing
- banking and finance
- capital markets and finance
- computational finance
- corporate finance
- derivatives
- dynamical and chaotic systems in finance
- economics and finance
- empirical finance
- experimental finance
- finance and the theory of the firm
- financial econometrics
- financial institutions
- mathematical finance
- money and finance
- portfolio analysis
- regulation
- stochastic analysis and finance
- stock market analysis
- systemic risk and financial stability
Annals of Finance will also publish special issues on any topic in finance and its applications of current interest. In addition, it will publish special issues containing selected papers from conferences in finance and related subjects.
A small section, entitled Finance Notes, will be devoted solely to publishing short articles-up to ten pages in length-of substantial interest to finance. For example, elegant new proofs of known results in finance, examples and counterexamples that clarify critical points of known financial models, and short papers that complement and supplement financial models all fit into this category.
A necessary condition for a paper to be considered for publication in Annals of Finance is the requirement that its finance relevance be at the forefront. Correct and innovative mathematical analysis is not enough for consideration of the paper by Annals of Finance. Overall the paper must be motivated by-and contribute to-the understanding of substantive financial problems.
Editor: Charalambos D. Aliprantis
Co-Editors: Sudipto Bhattacharya, George Constantinides, Lars Hansen, Colin Mayer, Jean-Charles Rochet, José A. Scheinkman, Robert J. Shiller, Kenneth J. Singleton
Advisory Board: Franklin Allen, David Cass, Mordecai Kurz, Hayne E. Leland, Benoit B. Mandelbrot, Robert C. Merton, Heraklis P. Polemarchakis, Stephen Ross, Martin Shubik
Editorial Board: Mark Bagnoli, Peter Bossaerts, Svetlana Boyarchenko, Charles Calomiris, Alessandro Citanna, Jaksa Cvitanic, David Denis, John Donaldson, Charles A. E. Goodhart, Charles Kahn, Stephen LeRoy, John McConnell, Rajnish Mehra, Frank Milne, Gordon Phillips, Anna Pavlova, Charles Plott, Martine Quinzii, Michael A. Raith, Costis Skiadas, Hyun Song Shin, Eric Smith, Yeneng Sun, Ernst-Ludwig Von Thadden, Allan Timmermann, Rabee Tourky, Dimitrios Tsomocos, Dimitri Vayanos, Anne Villamil, Casper G. de Vries, Jan Werner, Fernando Zapatero
-
New Website for Jobs in Banking and Finance
http://www.imprintplc.com
In addition to an extensive review of their services, the site contains details of current mandated roles, a comprehensive investor relations section, and a summary of current vacancies.
-
Neu erschienen im Springer Verlag: Zinsderivate von Nicole Branger und Christian Schlag
Zinsderivate wie Swaps, Caps, Forwards oder Futures ermöglichen auf vielfältige Weise das Management von Zinsrisiken. Die Bewertung dieser Kontrakte erscheint jedoch meist wesentlich schwieriger und anspruchsvoller als die Bewertung von Aktien- oder Währungsderivaten, da Anleihen besondere Charakteristika, wie eine begrenzte Restlaufzeit und einen sicheren Rückzahlungsbetrag am Laufzeitende, aufweisen. Dieses Buch will dem interessierten Leser den Zugang zu den Modellen erleichtern, indem die allgemeine Bewertungstheorie ausgehend von einfachen Grundlagen in diskreten einperiodigen Modellen entwickelt wird. Die Palette der Modelle reicht dabei von diskreten Ansätzen über zeitstetige Short-Rate-Modelle bis hin zu zinsstrukturkonformen Ansätzen und den aktuell diskutierten LIBOR-Market-Modellen. Bei der Darstellung wird stets großer Wert auf die Vermittlung der ökonomischen Intuition gelegt. Das Buch bietet durch zahlreiche Übungsaufgaben mit Lösungshinweisen eine fundierte Grundlage zum Selbststudium.
Geschrieben für:
Studierende im Fach Finanzen und Praktiker aus der FinanzbrancheDas Buch ist sehr strukturiert aufgebaut und vermittelt dem Leser die Basiskenntnisse der Zinsderivate. Man findet viele geschlossene Formeln für Bondpreise, Anleiheoptionen, sowie etliche Zahlenbeispiele für die diskreten Modelle, sodass die Leserin die Vorgehensweise bei der Bewertung leicht nachvollziehen und auch programmieren kann.
Da die Autoren bewusst in die Materie einführen wollen, wird das LIBOR-Markt-Modell nur relativ kurz diskutiert. Aspekte der Kalibrierung oder die Frage, wie die Korrelationsstruktur in das Model basierend auf Marktdaten eingebunden werden kann (Hauptkomponentenanalyse) oder die Implementation des LIBOR-Markt-Modells werden nicht behandelt, würden aber auch den Rahmen des Buches komplett sprengen.
Besonders gelungen finde ich die erwähnten Verbindungen der short-rate Modelle zum Heath-Jarrow-Morton Modell.
Das Buch ist entstanden aus Vorlesungen für Diplomanden und Doktoranden, die von den Autoren an der Universita degli Studi di Bergamo, der Universität Karlsruhe (TH) und der Johann-Wolfgang-Goethe-Universität in Frankfurt am Main gehalten wurden und immer noch regelmäßig gehalten werden.
Es ist meines Erachtens äußerst erfreulich, dass diese an vielen Studierenden erprobte Vorlesung nun auch einem breiten Publikum zu einem günstigen Preis zugänglich gemacht wird.
Das Buch ist erhältlich bei http://www.springer.de für EUR 22,95 - 3-540-21228-0, Softcover, Versandfertig innerhalb von 3 Tagen
-
