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The MathFinance Newsletter #105

The MathFinance Newsletter, Edition 105, October 01 2004.

Previous editions and this edition in html format can be found on http://www.mathfinancenews.com/.

In this issue:

Never leave out an opportunity to recommend http://www.mathfinance.de/ or to forward the MathFinance Newsletter to a friend. Please , if you want to

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, Student of 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
1. Mathematiker, Physiker oder Wirtschaftsinformatiker: d-fine GmbH, Frankfurt
  
  Sie haben in der Wissenschaft viel bewegt? Dann können Sie auch in der Wirtschaft viel bewegen! Davon sind wir bei d-fine fest überzeugt.
  
  d-fine ist mit über einhundert Beratern eines der größten auf die Finanzwelt spezialisierten Beratungsunternehmen in Europa. Wir fokussieren höchste naturwissenschaftlich- technische Kompetenz auf die anspruchsvollen Herausforderungen unserer Kunden.
  
  Wir beraten Banken, Versicherungen und Industrieunternehmen beim Aufbau ihrer Handels- und Risikomanagementsysteme von der ersten Idee bis zur professionellen Implementierung der Lösung, vom finanzmathematischen Modell bis zur real-time Schnittstelle, vom einfachen Kredit bis zum exotischen Derivat, vom Ratingsystem bis zur Portfoliosteuerung, von IAS 39 bis Basel II.
  
  Unsere Kunden schätzen unseren kompromisslos hohen Qualitätsanspruch und vor allem, dass wir diesen Anspruch auch realisieren. Das beginnt schon bei der Auswahl unserer Mitarbeiter: Wir suchen Sie als Naturwisssenschaftler, Mathematiker oder Informatiker. Sie besitzen einen exzellenten Hochschulabschluss, sprechen fließend Englisch und haben überdurchschnittliche IT- sowie Programmierkenntnisse. Idealerweise sind Sie darüber hinaus mit Statistik, Numerik und Finanzmathematik vertraut und beherrschen Simulationsmethoden wie beispielsweise Monte Carlo.
  
  Unbedingt erwarten wir von Ihnen analytisches Denken, ergebnisorientiertes Vorgehen und exzellente Kommunikationsfähigkeiten. Sie sind teamfähig, erfassen auch sehr komplexe Aufgaben schnell und können sich rasch in neue IT-Umgebungen einarbeiten. Sie haben Beratungstalent, hohe Einsatzfreude und sind flexibel und belastbar.
  
  Selbstverständlich geben wir Ihnen eine intensive Einführung in Ihr zukünftiges Aufgabenfeld sowie ein anspruchsvolles finanzmathematisches Training auf höchstem Niveau in Zusammenarbeit mit führenden internationalen Universitäten.
  
  Wenn Sie in einem Team hoch begabter und hoch motivierter Kollegen mitarbeiten wollen, große individuelle Freiräume, viel Eigenverantwortung sowie hervorragende Entwicklungsperspektiven suchen, freut sich Frau Peggy Schäl auf Ihre Bewerbung.
  Willkommen im d-fine Team!
  
  Starten Sie durch!
  
  d-fine GmbH
  Opernplatz 2
  60313 Frankfurt am Main
  Telefon: +49-69-90737-0
  E-mail:
  Homepage:http://www.d-fine.de
2. Quantitative Risk Analyst, German Bank
  Focus: Valuation methods
  
  Tasks are a/o. :
  - Model-development and implementation for valuation of mainly (exotic) interest rate and credit derivatives
  - Analysis and Valuation of Structured Products
  - Contribution to risk method questions (VAR, Credit Risk,...)
  - Validation of valuations in the new product process
  - Contribution to product or quantitative related questions within projects
  - Contribution to the conception of product implementations in the front office
  Skills:
  - Quantitative education in mathematical finance, mathematics, physics or related fields
  - Good knowledge of financial theory and related mathematics
  - Knowledge of mathematical finance, i.e. interest rate models, credit derivative models
  - Programming Skills (EXCEL-VBA, C++, SQL of advantage)
  - Knowledge of Financial Products
  - Team Spirit, Enthusiasm and Flexibility
  - 1 or 2 years practical experience in related fields of advantage
  - German (fluent in speaking and writing) and English
  Please mail your applications for this position to
  
  Uwe Wystup
  Mathfinance AG
  Camberger Strasse 12
  65529 Waldems
  Germany
  
  Or by email to
3. Sophis Risque Financial Engineers/ Quantitative Developers
  
  Sophis Risque Financial Engineers / Quantitative Developers Leading Pan-European Consultancy that specialises on assisting Financial clients with keeping a competive edge on Derivatives trading seeks multiple Sophis Risque consultants to be deployed on client projects.
  
  Skill-sets currently required include Financial Engineers, Quantitative Developers, Tool-Kit Developers, Business Analysts and Business Supporters to work on Implementation, Upgrade and Enhancement work in a range of locations that include London, Paris, Germany, Brussels and Amsterdam.
  
  Multiple clients are preparing to trade highly complex structured instruments and need to incorporate the required pricing and risk functionality. Any experience of Sophis Risque or Sophis Value will be considered.
  Please submit CV to and a full spec will be provided.
4. Two Faculty Positions in Actuarial Science/Mathematical Finance at Georgia State University
  J. Mack Robinson College of Business
  
  The Department of Risk Management and Insurance at Georgia State University invites applications for two tenure-track positions at the assistant professor level (entry to experienced) to begin in fall 2005. The Department is in the second year of hiring a total of six additional faculty members for the purpose of forming a cross-disciplinary group to conduct fundamental research on the economics of uncertainty and on the management and pricing of risk. Two new faculty members were added in fall 2004. This year we seek two faculty members with interests in actuarial science, financial risk management, and/or financial econometrics.
  Job Qualifications
  Qualified candidates for the two positions will have a completed Ph.D. in actuarial science, economics, finance, mathematics, statistics, or related field by the time of their appointment. Preference will be given to candidates who have attained membership in a professional actuarial organization or who are willing to attain professional accreditation.
  About the Enviroment
  The Department of Risk Management and Insurance is one of the oldest and most influential risk management programs in the U.S. In addition, the Department houses the largest actuarial science program in the U.S. It has a distinguished history of serving students, alumni, and the actuarial profession. Hundreds of our graduates have become Fellows or Associates of the Society of Actuaries and/or the Casualty Actuarial Society and many have become leaders in the professional risk management communities.
  
  Beginning in academic year 2003, and continuing in 2004 and 2005, the Department began assembling a group of six junior faculty members trained in the most advanced methods for a coordinated study of risk management problems at their most fundamental levels. Salaries will be competitive and appropriate research support and funds will be provided. Teaching loads will be commensurate with the highest research expectations to ensure that the group has the opportunity to publish in the major journals of economics, finance, and actuarial science.
  Further Information and Application Procedure
  For further information, contact the chair of the search committee. Applicants should send a curriculum vita, a statement of research interests and teaching experience, three letters of recommendation, and recent publications or working papers to:
  Richard D. Phillips, Chair
  Search Committee
  Department of Risk Management and Insurance
  Robinson College of Business
  P.O. Box 4036
  Atlanta, GA 30302-4036
  Tel: 404-651-3397
  
  Applicants are strongly encouraged to submit their materials electronically via e-mail to .
  
  Interviews can be scheduled for the 2005 Allied Social Sciences Association Annual Meeting in Philadelphia, the 2004 Society of Actuaries Annual Meeting in New York City, the 2004 Casualty Actuarial Society Annual Meeting in Montreal, or the 2004 International AFIR Colloquium in Boston. Preference will be given to applications received by December 1, 2004.
  
  Georgia State University is an equal Opportunity Educational Institution/Affirmative Action Employer and encourages applications from qualified minorities.
5. Risk Manager for Invesco
  
  Invesco is one of four operating groups of AMVESCAP, one of the largest independent global investment managers.
  
  Invesco is looking for a risk manager for its German office who will work under the supervision of the Investment Risk Management department located in London.
  
  After a training program in London, the candidate will be fully responsible for the risk management of all funds with derivatives and hedge funds registered in Germany in compliance with the high standards recently set by the Bundestanstalt fuer Finanzdiensleistungen: VaR, backtesting and stresstesting. The risk manager will also be the ideal contact person of the German regulatory body (BAFIN).
  The right candidate must:
  - Have a solid mathematical background equivalent to an education in Physics, Mathematics or Engineering (FH/Uni). A good aptitude in financial engineering will be a must as risk modelling activities will be part of the job.
  - Have ideally a work experience in finance through internships, …
  - Be fluent in German and English.
  - Have the ability to integrate into a worldwide risk management team
  - Is interested in interaction with portfolio managers (quantitative equity and fixed income teams)
  The soonest starting date will be the best. If the above internship appeals to you please send us an email at the following address:
  Mrs. Renate Möller
  INVESCO Kapitalanlagegesellschaft mbH
  Bleichstr. 60 - 62
  60313 Frankfurt am Main
  Germany
  
  Phone: +49 (0)69 29807-196
MathFinance Events
1. 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
  
  http://www.wbstraining.com
2. 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
3. Brockhaus & Jaeckel Workshop: The Practicalities of Equities Modelling
  Central London
  21st / 22nd October 2004
  
  Due to a complete sell out of 30 delegates in May 2004, WBS Training is pleased to announce new dates for this highly popular event.
  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).
  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
  
  http://www.wbstraining.com
4. Modelling & Practical Implementation Strategies for Portfolio Credit Derivatives
  By Professor Philipp J. Schonbucher
  The Times Square Hilton, New York City
  Thursday 2nd & Friday 3rd December 2004
  
  Workshop Introduction:
  
  This workshop will bring the participants up-to-date with the latest developments for the modelling and practical implementation strategies of portfolio credit derivatives. A brand new practical workshop for 2004 showcasing in New York the latest research by Philipp Schonbucher, and using for the first time new readily available data for implementation and estimation of credit derivatives. This workshop is essential to everyone trading these exciting new instruments.
  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).
  Who Should Attend:
  - Counter-party risk
  - Credit Risk
  - Risk Management
  - Credit Derivatives
  - Financial Engineering
  - Structured Finance
  - Credit Research
  - Quantitative Analysis
  - Structured Credit Products
  Day 1: Theory: Latest Models
  
  08:30 - 09:00 Breakfast
  Introduction: Instruments, Problems. What is available? What is wanted?
  
  09:00 - 10:30 Instruments: Structures, Payoffs, Risk Drivers
  Single-name CDS, CDX indices
  Baskets: First-to-Default, n-th-to-Default
  Single-tranche CDOs
  Nonstandard instruments
  Cash-flow CDOs
  CDOs on CDOs (CDO-squared)
  Options on tranches
  Market liquidity: indices, index options
  Semi closed-form solutions
  Synthetic single-tranche CDOs
  First-to-Default Swaps
  
  10:30 - 10:45 Morning Coffee Break
  10:45 - 13:00 Copula models
  The mechanism of copula models
  Efficient simulation strategies
  Automatic calibration to marginal distributions
  The market standard 1-factor Gauss copula
  Exploiting conditional independence
  Large-portfolio approximations
  Exponential marginal distributions
  Case study:
  Single-tranche CDOs and the correlation smile
  Modelling the dependency structure: properties of different copulae
  Gauss copula
  Clayton copula
  Generalisations of (Clayton and Gauss) copulae
  Factor models, sector models
  Properties of copula models and caveats
  Which risks are captured and which risks are not?
  
  13:00 - 14:00 Lunch Break
  14:00 - 15:30 Alternatives to Copula Models
  Multi-obligor firm's value models
  The single-obligor Black-Cox model
  Calibration with time-dependent default barriers
  Connection to the Gauss copula
  Multi-obligor intensity models
  Affine jump-diffusion models
  
  15:30 - 15:45 Afternoon Coffee Break
  15:45 - 17:30 Alternatives to Copula Models, continued.
  Frailty models
  Introducing default contagion
  Bayesian updating
  The dependency structure: similarities and differences to copula models
  Combining models
  
  Day 2: Practical Implementation
  
  08:30 - 09:00 Breakfast
  09:00 - 10:30 Dynamic Spread Models for Options on CDS and Options on CDS Indices
  The relationships between Index options and STCDOs
  Decomposing the index options by numbers of defaults
  Pricing with suitable numeraire assets
  Connecting the model to other pricing models
  
  10:30 - 10:45 Morning Coffee Break
  10:45 – 13:00 Estimation and Calibration of Parameters
  Input Data in general:
  Recovery rates: watching the ctd
  Spread curves: calibration issues
  Equity prices: E2C arbitrage
  Historical vs. implied data
  Estimation / stationarity problems
  Calibration of correlation smiles
  
  13:00 - 14:00 Lunch Break
  14:00 – 15:30 Semi-Closed Form Solutions and Transform Methods
  The direct recursive construction of the loss distribution
  Choosing the loss unit
  Extension for continuous average recovery rates (mean and variance)
  FFT convolution
  The algorithm
  Application to factor and sector models
  Case study: pricing of FtD baskets
  Case study: pricing of STCDOs
  
  15:30 - 15:45 Afternoon Coffee Break
  15:45 - 17:00 Monte-Carlo Simulation:
  Special problems for MC simulations
  Mixed analytical/simulation methods
  Importance sampling
  Calculation of sensitivities
  
  End of Workshop
  
  Workshop fee $2899:00
  
  http://www.wbstraining.com/index.php?m=WS&p=courses/mpi.php
5. Quant Congress Europe, London, 8 - 9 Nov 2004
  http://www.incisive-events.com/quanteurope
  
  Over 200 quant professionals attended Risk magazine's 2003 Quant Congress in New York. Due to the positive feedback we received we are holding a sister event in London this year - register your place now for this year's inaugural European event.
  
  The program has been specifically designed to provide you with valuable insights from some of the most respected individuals in the industry. You will benefit from a unique combination of keynote and plenary sessions, discursive panel debates, practical case studies, practitioner experiences and new academic research. And as an added benefit we are offering you a complimentary Risk Book if you register before 30 September 2004*… (not to mention the Early Bird discount of £112 that you will also receive when you book before this date)
  This year's exclusive keynote speaker:
  Professor Elroy Dimson
  BGI Professor of Investment Management, Finance,
  London Business School
  
  This exclusive forum is where senior executives and leading academics meet to examine the latest issues across the quantitative analysis, trading, risk management and investment markets.
  
  Book your place today online at http://www.incisive-events.com/quanteurope (you save £35 by booking via the website) or phone Tracey Huggett on +44 (0) 207 968 4551 or email mailto:
  
  *Risk Books - Special Offer
  Register before 30 September 2004 and you will receive a voucher to claim a complimentary book of your choice! This voucher should be presented to the Risk Books stand at the event where you will be able to view a wide range of our books to make your choice.
  
  The exclusive growth in trading of financial derivatives and the increasing sophistication of the risk management and investment markets makes Quant Congress Europe a must attend event for every member of the quant community.
  Price:
  
  Early Bird discount - bookings before 30 September 2004
  £1154 - £112 discount = £1042 + 17.5% VAT = £1124.35
  
  Congress rate - bookings after 30 September 2004
  £1154 + 17.5% VAT = £1355.95
  
  Risk* subscriber discount
  £1154 - 25% = £865.50 + 17.5% VAT = £1016.96
  
  Shortened congress programme
  (Visit http://www.incisive-events.com/quanteurope to view the full congress progress)
  
  8.00 Registration and breakfast
  8.30 Welcome address
  8.40 Keynote address: Professor Elroy Dimson, BGI Professor of Investment Management, Finance, London Business School
  9.20 Trader's Roundtable:
  - Stephen Blyth, Head of European Arbitrage Trading, Deutsche Bank
  - Philippe Jeanne, Head of Emerging Markets Trading, Capital Markets, Calyon
  - Javier Martin-Artajo, Managing Director, Global Head of Credit Derivatives Trading
  - Dariush Mirfendereski, Executive Director, Head of Inflation Linked Tradingin Europe and USCPI Derivatives, UBS
  Moderator: Eric Reiner, Managing Director, Group Market Risk, UBS
  10.20 Morning break and opportunity to visit the exhibition
  Choice of Stream One or Stream Two:
  
  Stream One: Development and Strategies towards Optimal Pricing and Hedging
  11.00 Semi-Lagrangian methods for PDE option pricing
  Peter Forsyth, professor and Associate Director, School of Computer Science, University of Waterloo
  11.50 Volatility options: hedging effectiveness, pricing and model error
  George Skiadopoulos, Lecturer, Department of Banking and Financial Management, University of Piraeus
  12.30 A numeraire-invariant option framework and application to American and Bermudan streams
  Farshid Jamshidian, Coordinator of Quantitative Research, NIB Capital Bank
  1.10 Lunch and opportunity to visit the exhibition
  2.30 New results on the history of investments
  Mark Rubinstein, Professor of Finance, Haas School of Business, University of California, Berkeley
  3.10 Trading, pricing, hedging and arbitrage of volatility derivatives
  Bruno Dupire, Researcher, Quantitative Research, Bloomberg LP
  3.50 Afternoon break and opportunity to visit the exhibition
  4.20 Developments in the economic derivative market
  William Cassano, Vice president, Economic Derivatives, Goldman Sachs & Co
  5.00 Pricing and hedging Libor exotics in forward Libor models
  Vladimir Piterbarg, Co-head of Quantitative Research, Managing Director, Bank of America
  
  Stream Two: Advances in Credit Risk Modelling, Pricing and Hedging
  11.00 Chairman's opening remarks
  11.10 Credit default analysis using capital structures and trded markets
  Dong Qu, Head of Quantitative products Group, Abbey
  Francis Sweeney, Quantitative Analyst, Quantitative Products Group, Abbey
  11.50 Using importance sampling to accelerate the pricing of portfolio credit derivatives Mark Joshi, Head of QUARC, Group Risk Management, Royal Bank of Scotland
  12.30 In the core of correlation and beyond the 1F Gaussian copula
  Jon Gregory, Global Head of Credit Derivatives Research, BNP Paribas
  2.30 New results on the history of investments
  Mark Rubinstein, Professor of Finance, Haas School of Business, University of California, Berkeley
  3.10 Recent developments in CDO and CDO2 pricing
  David Shelton, Quantitative Analyst, Credit Derivatives Research, Credit Derivatives Research, Citigroup
  3.50 Afternoon break and opportunity to visit the exhibition
  4.20 Cash CDO/CLO simulations
  Volkan Kurtas, Senior Risk and Analytics Manager, Uniqa Alternative Investments GMBH
  5.00 Model driven strategies in credit
  5.40 Chairman's closing remarks
  6.00 Cocktail reception
  7.00 End of Day One
  
  Day Two: Tuesday, 9 November
  
  8.00 Registration and breakfast
  8.30 Plenary address: Valuation concepts for investment companies and financial institutions and their stakeholders
  Choice of Stream Three or Stream Four
  
  Stream Three: Current Issues in Trading
  9.10 Chairman's opening remarks
  9.20 Statistical deterministic implied volatility model
  Daniel Bloch, Manager, Quantitative Analytics, Barclays Capital
  10.00 Volatility market model and integral test
  Youssef Randjiou, Director, Hybrid Derivatives Research, Citigroup
  10.40 Morning break and opportunity to visit the exhibition
  11.10 What is volatility arbitrage, and has it worked?
  Kevin Chang, Director, Derivatives Solutions, CSFB
  11.50 Position management strategies for quantitative trading models
  Paul Tolman, Head of Quantitative Trading, Financial Markets, Royal Bank of Scotland
  12.30 Lunch and opportunity to visit the exhibition
  2.00 Panel session: Assessing the pros and cons of trading models
  - Professor Nicos Christofides, director of Centre for Quantitative Finance, The Business School, Imperial College
  - Fabio Mercurio, Head of Models, Product and Business Development, Banca IMI
  - Stephen Rees, Head of Investment Process Research, Schroders
  2.50 Models in theory and practise
  Emanuel Derman, Professor, Columbia University
  3.30 Afternoon break and opportunity to visit the exhibition
  4.00 Improving hedging strategies for portfolio of options
  Bas Peeters, Head of Structured Products, Structired Products, ING Investment Management
  4.40 Development of the "PCsurf": a principal component approach fro simulating equity implied volatility surfaces
  Eduardo Epperlein, Vice President, Risk Architecture, Citigroup
  
  Stream Four: Hedge Fund Forum
  9.10 Chairman's opening remarks
  9.20 Hedge fund investment strategies and identifying risks for the alternative asset investment
  David Shen, Senior Financial Officer, Corporate Risk and Financial Policy, The World Bank Group
  10.00 The role of hedge funds for pension plans and other long term investors
  Hélène Harasty, Head of Quantitative Research, Lombard Odier Darier Heintsch and Cie - Private Bank
  10.40 Morning break and opportunity to visit the exhibition
  11.10 Pricing and hedging of hedge fund structured products
  Bernard Lee, Centre for Quantitative Finance, Imperial College, London
  11.50 Contrast with long only: intolerance of loss or long draw-down periods
  Stephen Rees, Head of Investment Process Research, Equities, Schroders
  12.30 Lunch and opportunity to visit the exhibition
  2.00 Panel session: Assessing the pros and cons of trading models
  - Professor Nicos Christofides, director of Centre for Quantitative Finance, The Business School, Imperial College
  - Fabio Mercurio, Head of Models, Product and Business Development, Banca IMI
  - Stephen Rees, Head of Investment Process Research, Schroders
  2.50 Models in theory and practise
  Emanuel Derman, Professor, Columbia University
  3.30 Afternoon break and opportunity to visit the exhibition
  4.00 The merits of quantitative absolute return strategies
  Dmitris Melas, Global Head of Quantitative Research, Global Research Group, HSBC Asset Management
  4.40 Economic capital allocation to hedge fund structured products
  Jacques Vigner, Head of Capital Management, Strategy and Business Development, Global Equities & Derivatives, BNP Paribas
  5.20 Chairman's closing remarks
  5.30 End of congress
6. Capital Structure Arbitrage Workshop in Conjunction with Value Consultants Ltd, London, 1 - 2 Nov 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.
  Some of the comments from delegates on the recent May course:
  - "Thank you for the insightful introduction into the CSA concepts, which will be very valuable for my current line of work" - Director, Debt Equity Products, A Far Eastern Bank
  - "A very useful and informative workshop" - Assistant Director, Proprietary Trading, A Major European Bank
  - "Andrew - thanks for all your help during the last 2 days. The course was much enjoyed and was very useful" - Director, Equity Derivatives Trading, A London based Global Investment Bank
  - "Up until now Capital Structure Arbitrage was just something others talked about but didn't know squat - Now I do. Thank you" - Hedge Fund Trader, based in New York
  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
MathFinance Resources
1. A new issue of Review of Financial Studies, Vol. 17, No. 4
  Articles
  - Whence GARCH? A Preference-Based Explanation for Conditional Volatility - Grant McQueen and Keith Vorkink
  - Robust Portfolio Rules and Asset Pricing - Pascal J. Maenhout
  - Public Trading and Private Incentives - Antoine Faure-Grimaud and Denis Gromb
  - Prospect Theory and Mean-Variance Analysis - Haim Levy and Moshe Levy
  - Technical Analysis and Liquidity Provision - Kenneth A. Kavajecz and Elizabeth R. Odders-White
  - Bank Competition and Credit Standards - Martin Ruckes
  - A Theory of Corporate Capital Structure and Investment - Miguel Cantillo
  - Why Does Book Building Drive Out Auction Methods of IPO Issuance? Evidence from Japan - Kenji Kutsuna and Richard Smith
  - The Value of Voting Rights to Majority Shareholders: Evidence from Dual-Class Stock Unifications - Shmuel Hauser and Beni Lauterbach
  - Board Composition, Board Effectiveness, and the Observed Form of Takeover Bids - Mary M. Bange and Michael A. Mazzeo
  URL: http://rfs.oupjournals.org/content/vol17/issue4/?etoc
2. Fall 2004 Issue of the Journal of Derivatives, Vol. 12 No. 1
  
  The Fall 2004 issue of The Journal of Derivatives is now available online at http://www.iijod.com !
  
  You are invited to sample The Journal of Derivatives online for 14 days. Just click here to register for your online trial. You will receive immediate access to this quarter's articles which include how to forecast default in the face of uncertainty; quanto pricing with copulas; and an introduction to Fast Fourier in finance.
  
  It's easy to register for your no-obligation 14-day access to the premier journal on how derivatives theory works in practice.
  Table of Contents
  - Forecasting Default in the Face of Uncertainty
    Kay Giesecke, Cornell University and Lisa R. Goldberg, MSCI Barra
    Structural default models, starting with Merton, 1974, specify that default occurs when the value of the firm falls and hits a boundary that is a function of the firm's debt liabilities. This means that [read more...]
  - Quanto Pricing with Copulas
    Michael N. Bennett and Joanne E. Kennedy, University of Warwick
    Valuing a derivative that depends on more than one underlying asset, like a currency quanto, which pays off in one currency based on the exchange rate between two others, requires knowledge of the correlation structure among them. Pricing is not difficult if one knows [read more...]
  - Interest Rate Swaps: Model Reconciliation
    Peter Klein, Simon Fraser University
    The standard textbook explanation shows how two corporate counterparties of differing credit quality can swap fixed for floating interest payments and both end up ahead. But this explanation only provides [read more...]
  - Futures Expiration, Contract Switching, and Price Discovery
    Arjun Chatrath, University of Portland and Rohan Christie-David, Louisiana Tech University
    Futures markets have the interesting feature that contracts mature regularly. This affects both hedgers, who regularly need to roll over their futures positions into later contract months, and researchers, who want to understand the linkage between futures and the underlying cash markets. In this article, Chatrath and Christie-David take a very close look at five [read more...]
  - Introduction to Fast Fourier Transform in Finance
    Ales Cerny, Tanaka Business School, Imperial College London
    Many MBA students are daunted by the requirement that calculus is a prerequisite for the program. But those who are already familiar with finance know that most of the "hard stuff" of calculus is rarely used in practice. The real key is [read more...]
3. Vorlesungsankündigung: "Finanzmathematik: Bewertungsmodelle für Zinsderivate - Theorie, Modellierung, Implementierung"
  Im Wintersemester 04/05 findet an der Universität Frankfurt eine Vorlesung zum Thema
  
  "Finanzmathematik: Bewertungsmodelle für Zinsderivate - Theorie, Modellierung, Implementierung"
  
  statt.
  Weitere Informationen finden sich unter http://ismi.math.uni-frankfurt.de/teaching/ws0405.php#Lecture.fb12.mathsto.zentr.finanz
4. fit-for-finance.com - website of Michael Verhofen
  http://www.fit-for-finance.com a website for links in the following topics:
  - Finance (Finance Link Sammlung,...)
  - Bonds (DefaultRisk.com The largest collections of credit risk modeling resource,...)
  - Extremwerte (RiskLab International,...)
  - Investmentsfonds (Dow Jones Corporate Home Page,...)
  - Konferenzen (10th Annual Meeting of the German Finance Association in Mainz, Germany, October 10-11 2003,...)
  - Executive Education (The Financial Training Company,...)
  - Finance(Computational Finance, Deutsche Bundesbank Statistik - Zeitreihen-Datenbank, RiskMetrics Group - Technical Documents,...)
  - Data (Bloomberg.com, Reuters Online Professional Services,...)
  - Finance Chairs (John Hull's Web Site, Shreve,...)
  - Research (Center for Financial Studies, ECONbase,...)
  - Econometrics and MatLab (Econometrics Toolbox for MATLAB, Numerical Software Tools, The R Project for Statistical Computing,...)
  - Finance Software(Automatic Forecasting Systems Inc., Minitab,...)
  - Risk Neutral Density Estimation(American Stock Exchange, CNN.com In-depth Specials,...)
  - Hedge Funds and Alternative Investments(Hedge Fund Association, Linkssammlung AIMA,...)
  - Treasury Inflation Bonds(Treasury Inflation-Indexed Securities (TIPS),...)
  - Weather Derivatives(Weather Data Files Historical FTP Historical Data DTA,...)
  - Forthcoming Papers(Journal of Finance - Forthcoming Papers,...)
  - Libor Market Model(LIBOR Market Model Web by Ahsan Amin,...)
  - Call for Papers (Call for Papers - SSRN,...)
  - Studentenseiten (student-online - Homepage,...)
  - Tex (DANTE, MiKTeX Project Page,...)
  - Unterhaltung (ByteComics.de, Börsenwitz,...)
  - Verlage - Deutsch (Springer Lecture Notes, Uhlenbruch Verlag,...)
  - Verlage - Englisch (Cambridge University Press, Prentice Hall Academic Catalog, Wiley Finance & Investments,...)
  - Zeitungen (Financial Times Deutschland, Handelsblatt.com,...)
  - Universität St. Gallen

new instance of http://www.mathfinance.de/

Ads

Suchen in:

Suchbegriffe:

Mathematiker, Physiker oder Wirtschaftsinformatiker: d-fine GmbH, Frankfurt

Quantitative Risk Analyst, German Bank

Sophis Risque Financial Engineers/ Quantitative Developers

Two Faculty Positions in Actuarial Science/Mathematical Finance at Georgia State University

Risk Manager for Invesco

Basket Credit Derivatives & Synthetics CDOs Workshop

Securitisation Structuring and Modelling Workshop

Brockhaus & Jaeckel Workshop: The Practicalities of Equities Modelling

Modelling & Practical Implementation Strategies for Portfolio Credit Derivatives

Quant Congress Europe, London, 8 - 9 Nov 2004

Capital Structure Arbitrage Workshop in Conjunction with Value Consultants Ltd, London, 1 - 2 Nov 2004

A new issue of Review of Financial Studies, Vol. 17, No. 4

Fall 2004 Issue of the Journal of Derivatives, Vol. 12 No. 1

Vorlesungsankündigung: "Finanzmathematik: Bewertungsmodelle für Zinsderivate - Theorie, Modellierung, Implementierung"

fit-for-finance.com - website of Michael Verhofen