The MathFinance Newsletter, Edition 110, January 14 2005.

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

In this issue:

1. MathFinance Job Exchange
   1. Tenure-track Position in Stochastic Analysis/Mathematical Finance, University of Pittsburgh
   2. Mathematiker, Physiker oder Wirtschaftsinformatiker: d-fine GmbH, Frankfurt
   3. Le 2ème "Job Market" de la Finance, Paris, 5 - 6 Avril 2005
   4. Quantitativer Analyst und C++/Java Entwickler, Quanteam, Frankfurt
   5. Quantitativer Analyst/in bei Sal. Oppenheim im Investment Banking / Equity Derivatives Group
2. MathFinance Events
   1. Finance Day at CoFaR (Mainz, Germany) 2005 am 31. Januar 2005
   2. Mathématiques Financières, le Mardi 1er Février 2005
   3. Securitisation Structuring and Modelling Workshop, London, 28 Feb.- 1 Mar. 2005
   4. Interest Rate Hybrid Products and Inflation Linked Derivatives Workshop, London, 10-11 Mar. 2005
   5. Equity / Credit Hybrid Products Workshop, London, 14-15 Mar. 2005
   6. International Conference on Risk Management and Quantitative Approaches in Finance, 6-8 Apr. 2005, University of Florida
   7. 5th Frankfurt MathFinance Workshop, 14-15 Apr. 2005
   8. Brockhaus and Jaeckel Workshop: The Practicalities of Equities Modelling, London, 21-22 Apr. 2005
   9. Modelling and Measuring Energy Risk, Rotterdam, 10-12 May 2005
   10. Capital Structure Arbitrage workshop In conjunction with Value Consultants Ltd, London, 16-17 May 2005
   11. Modelling and Practical Implementation Strategies for Portfolio Credit Derivatives, London, 16-17 May 2005
   12. New Directions in Risk Modelling and Financial Planning, London, 18-19 May 2005
3. MathFinance Resources
1. An Introduction to Credit Risk Modeling by Christian Bluhm, Ludger Overbeck, Christoph Wagner

• 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, HfB, Frankfurt; Abhishek Dutta, University of Twente
Technical Editor: Tom Heide, University of Applied Science, Frankfurt
Database Solutions: Dr. Thorsten Schmidt, Leipzig University

In detail:
 
 

1. MathFinance Job Exchange
   
   

   1. Tenure-track Position in Stochastic Analysis/Mathematical Finance, University of Pittsburgh

      The Mathematics Department of the University of Pittsburgh invites applications for a tenure-track position in Stochastic Analysis/Mathematical Finance to begin in the Fall Term 2005, pending budgetary approval. The appointment is at the Assistant Professor level.

      We seek excellence in teaching and research so applicants should demonstrate substantial research accomplishment and dedication to teaching.

      Send a vita, three letters of recommendation, a research statement and evidence of teaching accomplishments to:

      Search Committee in Stochastic Analysis,
      Department of Mathematics,
      University of Pittsburgh,
      Pittsburgh, PA 15260.
      
      

      Review of completed files will begin on January 3, 2005 and continue until the position is filled.

      The University of Pittsburgh is an Affirmative Action, Equal Opportunity Employer. Women and members of minority groups under-represented in academia are especially encouraged to apply.

      http://www.math.pitt.edu/
      
      

   2. 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
      
      

   3. Le 2ème "Job Market" de la Finance, Paris, 5 - 6 avril 2005

      L'Institut Europlace de Finance organise, les 5 et 6 avril 2005, le 2ème "Job Market" de la Finance. L'objectif est d'améliorer les échanges en France et en Europe entre les entreprises et la recherche académique en finance afin, notamment, de faciliter le recrutement, de créer des passerelles entre ces deux pôles d'activité et d'élaborer des projets scientifiques communs.

      Ce "Job Market" donnera l'occasion à de jeunes chercheurs et à des professionnels de la finance de présenter leurs travaux et permettra également aux candidats et recruteurs potentiels (académiques et non académiques) de se rencontrer dans le cadre d'entretiens individuels. Les participants pourront assister par ailleurs à des conférences et tables rondes sur les thèmes de la finance, de ses métiers et de la place qu'elle accorde à la recherche.

      Pour de plus amples informations et/ou pour s'inscrire :
      http://www.europlace-finance.com/jobmarket/index.htm
      
      

   4. Quantitativer Analyst und C++/Java Entwickler, Quanteam, Frankfurt

      Quanteam ist eine kleine Beratungsfirma, die sich auf die Entwicklung von quantitativen Modellen im Finanzwesen, sowie deren Integration in die IT-Systeme eines Finanzinstituts spezialisiert hat. Die Stärke von Quanteam liegt in der Vereinigung von Kompetenzen aus den Bereichen angewandte Finanzmathematik und Informationstechnologie. Unsere Kunden erwarten von uns hochwertige Lösungen aus einer Hand. Wir setzen dies um, von der ersten Idee über Konzeptionierung bis hin zur professionellen Implementierung, Live-Stellung und anschliessenden Betreuung.

      Nach unserer Gründung 2003 haben sich schnell erste Erfolge eingestellt, so dass wir uns nun personell verstärken wollen, um diese auszubauen. Hierfür suchen wir zwei Mitarbeiter mit folgendem Profil:

      Quantitativer Analyst
      
      
      • Sie haben Ihr Studium in einem mathematisch/wirtschaftswissenschaftlich orientieren Fach mit sehr gutem Erfolg abgeschlossen und können eventuell sogar eine Promotion vorweisen.
      • Idealerweise (aber nicht zwingend notwendig) haben Sie bereits erste Berufserfahrung gesammelt.
      • Sie besitzen vertiefte Kenntnisse in Stochastischer Analysis und Optionspreistheorie. Begriffe wie stochstische Volatilität, Heston Modell oder Dupire Formel sind Ihnen nicht fremd.
      • Sie haben Grundkenntnisse in numerischen Methoden der Finanzmathematik, wie Monte-Carlo Simulation oder finite Differenzen Verfahren.
      • Sie schätzen die selbständige, eigenverantwortliche Arbeit in interessanten Projekten, in denen Sie Ihre bereits vorhandenen Kenntnisse weiterentwicklen können und müssen.
      
      
      C++/Java Entwickler
      
      
      • Sie haben ein Studium Mathematik oder Informatik mit sehr guten Erfolg abgeschlossen.
      • Sie konnten entweder erste Berufserfahrungen sammeln oder haben umfangreiche Praktika im Studium oder studienbegleitende Projektarbeiten mit nachweisbaren Ergebnissen absolviert.
      • Sie besitzen Interesse sowohl an mathematischen Problemstellungen wie auch an deren programmiertechnischer Umsetzung.
      • Von den Programmiersprachen Java und dessen APIs sowie C++ beherrschen Sie zumindest eine bereits jetzt und die andere wenigstens in ihren Grundzügen.
      • Sie haben intensiven Kontakt mit Unix-Systemen gehabt, idealerweise mit Linux oder Solaris.
      • Sie schätzen die selbständige, eigenverantwortliche Arbeit in interessanten Projekten, in denen Sie Ihre technischen Kenntnisse ständig weiterentwicklen können und müssen.
      
      
      Wir bieten
      
      
      • Vom ersten Tag an arbeiten Sie selbständig in langfristigen Beratungsprojekten in den Bereichen Entwicklung von Bewertungsmodellen für Derivate, API-Programmierung eines Handelssystems und Entwicklung von Front-Office-Technologien mit.
      • In der täglichen Zusammenarbeit mit einem hochqualifizierten Team werden Sie Ihre vorhandenen Fähigkeiten zügig ausbauen.
      • Zusätzlich unterstützen wir Ihre Weiterqualifikation mit einem auf Ihr Profil zugeschnittenen Fortbildungsprogramm.
      
      
      

      Wenn Sie sich für eine der beiden Positionen interessieren, senden Sie Ihre Bewerbungsunterlagen bitte an

      Quanteam
      Herrn Sören Gerlach
      Basaltstrasse 28
      60487 Frankfurt
      
      oder elektronisch an
      .
      
      Telefonische Anfragen beantworten Ihnen Herr Dr. Engelmann: 0172 6944776 (Quantitativer Analyst) oder Herr Gerlach 0170 9626653 (C++/Java Entwickler).
      
      Homepage: http://www.quanteam.de/
      
      

   5. Quantitativer Analyst/in bei Sal. Oppenheim im Investment Banking / Equity Derivatives Group, Frankfurt

      Datum: 11.01.2005
      Ort: Frankfurt
      Bereich: Investment Banking
      Abteilung: Quantitative Analyse Produktentwicklung
      
      Tätigkeitsprofil / Aufgaben
      
      
      • Konzeptionelle Entwicklung von Pricingmodellen für Aktienderivate
      • Implementierung dieser Modelle in C++
      • Zeitreihenanalysen zur wirtschaftlichen Sinnhaftigkeit von unterschiedlichen Modellannahmen
      • Erstellung von Fachspezifikationen für Projekte in Zusammenarbeit mit dem Handelstisch
      • Durchführung von fachlichen Abnahmetests für Modellimplementierungen
      
      
      Ausbildung
      
      
      • Dipl.-Mathematiker/in oder Dipl. Informatiker/in mit Schwerpunkt Numerik, vorzugsweise Numerik partieller Differentailgleichungen oder Monte-Carlo-Methoden
      
      
      Erfahrungen / Kenntnisse
      
      
      • Eigenständige Weiterbildung durch kontinuierliches Aufarbeiten von aktueller Fachliteratur ( (Journal of Computational Finance, Journal of Derivatives, Risk Magazine, etc.)
      • Sehr gute Programmierkenntnisse in C++
      • Sehr gute Englischkenntnisse in Wort und Schrift
      
      
      Persönliche Qualitäten
      
      
      • Hohe Belastbarkeit
      • Teamfähigkeit
      • Fähigkeit zur allgemeinen Darstellung komplexer Sachverhalte
      • Hohe Eigeninitiative und Engagement
      
      
      Haben wir Ihr Interesse geweckt?
      
      

      Dann freuen wir uns über die Zusendung Ihrer aussagefähigen Bewerbung mit Lebenslauf, Zeugniskopien und Lichtbild. Gerne können Sie Ihre Bewerbung auch online an uns senden.

      Sal. Oppenheim jr. & Cie. KGaA
      Personalbereich
      Frau Sigrid Mayer
      Unter Mainanlage 1
      60329 Frankfurt
      
      Tel.: +49 (0)69 / 7134-5327
      E-Mail:
      
      http://www.oppenheim-karriere.de/de/oppenheim/karriere/vakanzen/vakanzen_details_jsp/0,1164,InvstmBnkng_000985,00.html
      
      
   
   
   
2. MathFinance Events
   
   
   
   
   

   1. Finance Day 2005 am 31. Januar 2005

      Am 31. Januar 2005 veranstaltet CoFaR den "Finance Day 2005" an der Johannes Gutenberg-Universität Mainz, mit Vorträgen von

      • Heise, Michael (Allianz-Gruppe): "Demographie, Ersparnisse und Zinsen: Langfristige Perspektiven",
      • Knoflach, Barbara (SEB Immobilien-Investment): "Transparenz - Durchblick oder Datenflut?",
      • Krahnen, Jan Pieter (Goethe-Universität, Frankfurt): "Risikotransfer zwischen Banken und Kapitalmarkt: zur Bedeutung von Kreditverbriefungen",
      • Leisen, Dietmar (CoFaR): "Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing",
      • Linder, Tobias (CoFaR): "Exercising Warrants: Robustness of the Block Exercise Assumption",
      • Stark, Jürgen (Deutsche Bundesbank): "Finanzstabilität aus der Sicht einer Notenbank",
      • Wagner, Niklas (TU München): "Zeitvariables, extremes Aktienkursrisiko",
      
      
      Anmeldung und Details auf http://www.cofar.uni-mainz.de/programm_finance_day_2005.pdf
      
      

   2. Mathématiques Financières, le Mardi 1er Février 2005

      A l'attention des responsables de Master 2 de Mathématiques Financières et de leurs étudiants
      
      

      Vous êtes cordialement invités à participer à la Journée de Présentation des Mathématiques organisée à l'Académie des Sciences,

      le Mardi 1er Février 2005, de 14h30 à 17h30 - Salle Hugot
      
      
      • N. El Karoui -- École Polytechnique
      • H. Geman -- Université Paris Dauphine, ESSEC
      • H. Föllmer -- Humboldt Universität, Berlin, Membre de Deutsche Akademie der Naturforscher Leopoldina et de International Statistical Institute, Lauréat du Prix Gay-Lussac / Humboldt
      • W. Schachermayer -- Vienna University of Technology, Lauréat du Prix Wittgenstein
      • D. Lamberton -- Université de Marne-la-Vallée
      • E. Gobet -- École Polytechnique
      • G. Pagès -- Université Pierre et Marie Curie
      
      
      Cette journée est organisée sous la responsabilité de M. Yor, Université Pierre et Marie Curie, Membre de l'Académie des Sciences
      
      Mardi 1er Février 2005, de 14h30 à 17h30 - Salle Hugot
      
      
      • M. Yor: Bienvenue et Introduction à la Journée
      • H. Föllmer: Relations entre Mathématiques Financières, Economie et Sciences sociales Préférences, incertitude, régulation et mesures de risques
      • W. Schachermayer: Introduction aux notions d'arbitrage Qu'est-ce qu'un Free Lunch ?
      • N. El Karoui: Qu'est-ce qu'une option financière ? Quelques aspects de la célèbre formule de Black-Scholes
      • H. Geman: Les Options sur Matières Premières, La notion d'horloge transactionnelle
      • D. Lamberton: L'équation de la chaleur et les travaux de L. Bachelier, Les méthodes numériques : Monte-Carlo/, …
      • E. Gobet et G. Pagès: Bilan temporaire et conclusions de la journée
      Contact
      
      Service des Colloques de l'Académie des sciences
      23 Quai de Conti - 75006 Paris
      Email :
      
      

   3. Securitisation Structuring and Modelling Workshop, 28th Feb.- 1st Mar. 2005

      Central London
      
      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 10% Wilmott.com discount
      
      Contact:
      
      Phone: 44(0) 1273 674400 F: 44(0) 1273 672333
      Email:
      http://www.wbstraining.com
      
      

   4. Interest Rate Hybrid Products and Inflation Linked Derivatives Workshop, 10th & 11th March 2005

      Central London
      
      Workshop Presenters:
      
      
      • Philippe Balland: Director in the fixed income division, Merrill Lynch
      • Nabyl Belgrade: Quantitative Analyst, IXIS Corporate Investment Bank
      • Dorje Brody: Royal Society University Research Fellow, Imperial College London
      • Dariusz Gatarek: Director of Quantitative Research, NumeriX LLC
      • Lane P Hughston: Professor of Financial Mathematics, King's College
      • Dherminder Kainth: Senior Quantitative Analyst, (Quarc), Royal Bank of Scotland
      • Fabio Mercurio: Head of Financial Models, Banca IMI
      • Dariush Mirfendereski: Head of Inflation Linked Trading Europe & USCPI Derivatives, UBS
      • Vladimir Piterbarg: Co-Head of Quantitative Research, Bank of America
      
      
      Aim of the workshop:
      
      

      This dynamic workshop covers two of the hot topics in the interest rate field, hybrid products and Inflation Linked Derivatives. Fixed Income desk are becoming increasingly involved in the development of cross-market products involving interest rates combined with one or more of foreign exchange, credit and equity securities. Day 1 examines the latest modelling and pricing techniques of hybrid interest rate derivative products.

      Hybrid topics covered:
      
      
      • Overview of the General Theory of Interest Rate Hybrid Models
      • Interest rate/credit hybrids
      • Models for pricing equity interest rate hybrids
      • Hybrid pricing of callable products
      • Stochastic Volatility for Hybrid Model
      
      
      

      The global market for inflation-indexed securities has ballooned in recent years, and this trend is set to continue. Day 2 of this workshop provides a unique insight into the development of inflation-indexed derivative products, and the analytical tools required to value such instruments. Inflation is once again being discussed and inflation-linked instruments have stepped back into the spotlight.

      Inflation Linked topics covered:
      
      
      • Arbitrage-free pricing of inflation-indexed derivatives
      • Practical Perspectives on Pricing, Trading, and Hedging Inflation-Indexed Derivatives
      • Impact of Seasonality in Pricing of Inflation Derivatives
      
      
      Who should attend?
      
      
      • Quantitative Analysts
      • Traders
      • Structured Products Desks
      • Financial Engineers
      • Risk Managers
      • Researchers
      
      
      with exposure to:
      
      
      • Interest Rate Derivatives
      • Inflation Linked Derivatives
      • Interest Rate Hybrid Products
      • Interest Rate Research
      • Counter-party risk
      • Structured Finance
      • Multi factor products Research
      • Market Risk
      
      
      Day 1:Interest-Rate Derivatives Hybrid Products
      
      09:00 - 10:30 Dorje C Brody, Imperial College & Lane P Hughston, King's College London
      Overview of the General Theory of Interest Rate Hybrid Models: 1 hour 30 minutes
      
      
      • Interest rate modelling in general
      • HJM and beyond
      • Interest Rate and Foreign Exchange hybrid models
      • Interest Rate and Inflation hybrid models
      • Interest Rate and Equity hybrid models
      • General interest rate hybrids
      • Summary of relevant modelling and risk management issues
      
      
      10:30 - 10:45 Morning Coffee Break
      10:45 - 12:05 Interest rate/credit hybrids: 1 hour 20 minutes
      Vladimir Piterbarg: Co-Head of Quantitative Research, Bank of America
      
      
      • PDE models for interest rate/credit hybrids, single credit underlying
      • Monte-carlo models for the same
      • Effects of interest rate/credit correlation on hybrids
      • Extensions to basket-linked interest rate exotics
      
      
      12:05 - 13:25 Hybrid pricing of callable products: 1 hour 20 minutes
      Dariusz Gatarek: Director of Quantitative Research, NumeriX LLC
      
      
      • Pricing of callable products - numerical methods
      • Pricing of hybrid products - some examples, curse of dimensionality
      • Pricing of callable products - simulation methods: stochastic mesh, regression and direct approaches
      • Optimal stopping and pricing of Bermudan options
      • Hermite polynomials, Wick formula and free field quantisation
      • Hermite expansion of payoff functions
      • Calculation of expectations
      • Example of stock put option
      
      
      13:25 - 14:25 Lunch
      14: 25 - 15:45 Stochastic Volatility for Hybrid Model 1 hour 20 minutes
      Philippe Balland: Director, Fixed Income Division, Merrill Lynch
      
      
      • Review of existing literature
      • Extension of Hagan's formula to control wings and allow for mean-reversion
      • Controlling the 'dynamic' of the smile to ensure optimal hedging
      • Forward smile versus future smile and the volatility puzzle
      • Adding interest-rate volatility and effect of interest-rate skew on long-dated option
      • Correlation structure between stoch-vol models
      • Calibration and Simulation techniques
      
      
      15:45 - 16:00 Afternoon Coffee break
      16:00 - 17:30 Models for pricing equity interest rate hybrids: 1 hour 30 minutes
      Dherminder Kainth: Senior Quantitative Analyst, (Quarc), Royal Bank of Scotland
      
      
      • How to Combine the Hull White model for interest rates with:
      • The Dupire local volatility model
      • The Jump diffusion local vol model of Andersen and Andreasen
      • In both cases methods for rapidly computing the local vol.
      • How to fuse a stochastic volatility and local vol. model. In all cases concentrating on Monte Carlo pricing techniques
      • Also within these models:
      • Pricing of exotic products; focusing on the different behaviour of exotic options despite the fact of perfect calibration to the vanilla market
      • Different behaviour of the smiles
      
      
      Cocktail Party: 17:30 - 19:30
      
      Day 2 Inflation-Linked Derivatives
      
      09:00 - 11:00 Arbitrage-free pricing of inflation-indexed derivatives: 2 hours
      Fabio Mercurio: Head of Financial Models, Banca IMI
      
      
      • Definition of inflation-indexed swaps and caps;
      • Brief review of the Jarrow and Yildirim (2003) model
      • Two market models for pricing general inflation-indexed derivatives
      • Derivation of closed form formulas for inflation-indexed swaps and caps;
      • Examples of calibrations to market data;
      • Possible extensions with stochastic volatility.
      
      
      11:00 - 11:15: Morning Coffee Break
      11:15 - 14:45 Practical Perspectives on Pricing, Trading, and Hedging Inflation-Indexed Derivatives - from the Dark Ages to the Present: 2 hours 30 minutes
      Dariush Mirfendereski: Head of Inflation Linked Trading Europe & USCPI Derivatives, UBS
      Including 1 hour Lunch Break: 12:30 - 13:30
      
      
      • Seasonality: measurement, modelling, impact on swap prices
      • Asset Swaps vs Zero Coupon Swaps: which has primacy?
      • Three thresholds for Asset Swap Prices--why they are important
      • The UK, Euro-zone, and US markets: lessons from three distinctly different markets
      • Hedonic adjustments
      • "Carry" in Bonds vs "Carry" in Swaps
      • The Inflation Options "market": limited implied information and dangers of extrapolation to price other strikes/options
      • interpolated vs month fixing: simplicity/complexity
      • year-on-year inflation swap convexity
      • Dynamically hedging swaps with bonds--correlation between nominal swap spreads and IL bond breakevens, another convexity?
      • Practical examples: retail structures, rental securitization, pension liability hedging, overlay swaps for corporates or pensions, swapped long-dated issues
      • The Road Ahead: what to watch out for in this fast developing market
      
      
      14:45 - 15:00: Afternoon Coffee Break
      15:00 - 16:30 Impact of Seasonality in Pricing of Inflation Derivatives 1 hour 30 minutes. Nabyl Belgrade: Quantitative Analyst, IXIS Corporate Investment Bank
      Importance of seasonality in inflation derivatives prices:
      
      
      • What's seasonality?
      • CPI historical view.
      • Inflation ZC view.
      
      
      Principe of CPI curve correction:
      
      • Additive and multiplicative adjustment.
      • Formulae
      
      
      Seasonality modeling and estimation in Times Series?
      
      • Non parametric tools: the W11 method.
      • Parametric models:
      
      
      Numerical example
      
      • French Inflation
      • European
      • US inflation.
      
      
      Pricing results
      
      • Inflation swaps prices impact.
      • Inflation floors prices impact.
      
      
      Workshop Fee: £1799:00 + UK VAT
      
      Contact:
      
      Phone: 44(0) 1273 674400 F: 44(0) 1273 672333
      Email:
      http://www.wbstraining.com
      
      

   5. Equity / Credit Hybrid Products Workshop

      Central London: 14th / 15th March 2005
      

      Workshop Presenters:

      • Claudio Albanese: Chair of Mathematical Finance, Imperial College London
      • Damiano Brigo: Head of Credit Models: Banca IMI
      • Oliver Brockhaus: Senior Quantitative Researcher, Bayerische Hypo- und Vereinsbank
      • Dorje Brody: Royal Society University Research Fellow, Imperial College London
      • Lane P Hughston: Professor of Financial Mathematics, King's College
      • Norbert Jobst: Associate Director, Standard & Poors
      • David Murphy: Value Consultants
      • Thibault Scaramanga: BARCAP
      • Philipp J. Schonbucher: Assistant Professor, Department of Mathematics, ETH Zurich

      Topics covered:

      • Overview of the General Theory of Credit Hybrid products
      • Equity-Credit Models: A Survey
      • Equity Default Swaps: Pricing, Modelling, Historical Perspective & Applications
      • Equity/Credit trading floor techniques
      • Connecting Firm's Value to Intensity Models
      • Model Risk and Capital Structure Arbitrage

      Aim of the workshop:

      Credit Derivatives have become one of the fastest growing areas of financial capital markets. Marketing and structuring desks specializing in equity derivatives are increasingly interested in products with links to the more fashionable credit area. While modelling of credit with equity models was limited to convertible bonds, now credit events and equities markets are becoming seen as closely linked. This workshop will focus on the latest theory and practical techniques for Equity/Credit Hybrid products.

      Who should attend?

      o Quantitative Analysts o Traders o Structured Products Desks o Financial Engineers o Risk Managers o Researchers

      with exposure to:

      o Equity Derivatives o Credit Derivatives o Credit-Equity hybrids o Foreign Exchange Derivatives o Multi factor products Research o Counter-party risk o Credit Research o Credit Risk

      Day 1

      09:00 - 11:00 Overview of the General Theory of Credit Hybrid Products: 2 hours
      Dorje C Brody: Imperial College & Lane P Hughston: King's College London

      • Credit modelling in general
      • Reduced form and structural hybrid models
      • Credit and Foreign Exchange hybrid models
      • Credit and Inflation hybrid models
      • Credit and Equity hybrid models
      • General credit hybrids
      • Summary of relevant modelling and risk management issues
      11:00 - 11:15 Morning Coffee Break
      
      11:15 - 13:15 Equity-Credit Models: A Survey: 2 hours
      Oliver Brockhaus: Senior Quantitative Researcher, Bayerische Hypo- und Vereinsbank
      Introducing and assessing known and less known Equity-Credit models in view of:
      
      Model Assumptions:
      Market Information: Stock Price, Credit Default Swap, Vanilla Equity
      Option, Rating, Recovery
      · Model Paradigm: Asset Value, Hazard Rate, Default Barrier
      
      Model Properties:
      · Implied volatilities
      · Implied CDS spreads
      · Empirical evidence
      
      Applications
      · Relative Value Trading
      · Hybrid Products Trading
      · Illiquid Markets
      · Portfolio Modelling
      
      13:15 - 14:15 Lunch
      
      14:15 - 15:45 Equity Default Swaps: Historical Perspective and Application: 1 hour 30 minutes
      Norbert Jobst: Standard & Poors
      
      
      • Estimation of "equity default" events from historical data
      • Credit scoring models for EDS
      • Explanatory variables
      • Dependency/Correlation: Empirical insights
      • GBM, GARCH, MV-GARCH ...
      • CDO's referencing EDS (and CDS)
      • Ratings approach
      
      15:45 - 16:00 Afternoon Coffee Break
      
      16:00 - 17:30 Equity vs Credit: Trading the Volatility Link: 1 hour 30 minutes
      Thibault Scaramanga: BARCAP
      
      Structural Model: Being consistant through the entire risk spectrum
      
      Hedge strategies:
      · Measuring the Greeks: Analytical vs Statistics
      · Playing the Gamma
      
      Performance
      · Historical back testing
      · Last year recommendations
      
      Current status of trading
      
      Cocktail Party: 17:30 - 19:30
      
      Day 2:
      
      09:00 - 11:00 Connecting Firm's Value to Intensity Models: 2 hours
      Philipp J. Schonbucher: Assistant Professor, Dept of Mathematics, ETH Zurich
      
      
      • The term structure of credit spreads in barrier-default models
      • Problems at the short end: defaults are predictable
      • Fundamental qualitative differences to intensity-based models
      • Calibration problems
      • Reconciliating of the models by modelling the information flow
      • The idea of Duffie and Lando
      • A simple (really) specification: delayed observation
      • Connection to the CreditGrades model
      • Consequences on a portfolio level:
      • Joint spread dynamics
      • From equity correlation to default correlation
      
      11:00 - 11:15 Morning Coffee Break
      
      11:15 - 12:30 Volatility models for equity default swaps: a comparison analysis: 1 hour 15 Minutes
      Claudio Albanese, Chair of Mathematical Finance, Imperial College London
      
      
      • Pricing credit-equity hybrids and EDSs
      • Selecting the right volatility model
      • Calibrating local volatility models for EDSs
      • Are there jumps? Evidence from fallen angels and credit derivative pricing
      • Using credit barrier models for EDSs
      
      12:30 - 13:30 Lunch
      
      13:30 - 15:00 Credit Default Swap Calibration and Equity Swap Valuation with a time varying Black-Cox type Structural Model: 1 hour 30 minutes
      Damiano Brigo: Head of Credit Models, Banca IMI
      
      
      • A Black Cox type structural model with general time varying coefficients
      • Analytical default probabilities and curved default barrier
      • Exact Calibration to CDS data for different maturities
      • Calibration case study for Parmalat CDS
      • Possible use for Equity swaps and hybrid equity/credit products
      • Extensions
      
      15:00 - 15:15 Afternoon Coffee Break
      
      15:15 - 16:45 Model Risk and Capital Structure Arbitrage: 1 hour 30 minutes
      David Murphy: Value Consultants
      
      Part 1: Capital Structure Arbitrage
      The Merton Model
      Calibration and the Miller-Modigliani Theory
      Using the Merton Model in Practice
      The KMV Approach
      Equity Skew and Default
      
      Part 2: Model Risk
      Mark to Market
      Mark to Model and Model Risk
      · Parameter Risk
      · Assumption Risk
      Implementation Risk
      
      Part 3: Model Risk Applications
      Equity vs. Debt Hedge Analysis
      Modelling Equity Default Swaps
      CSA Ideas and Convertible Bonds
      
      Workshop Fee: £1799:00 + UK VAT
      
      Contact:
      http://www.wbstraining.com
      
      T: 44(0) 1273 674400 F: 44(0) 1273 672333
      
      
      

   6. International Conference on
      Risk Management and Quantitative Approaches in Finance

      Date: April 6-8, 2005
      Location: Hilton Hotel - Conference Center, University of Florida, Gainesville, FL

      The conference will present state-of-the-art results and latest advances in risk management and finance, including market, credit, and operational risk; algorithms and techniques for portfolio management, optimization and statistical estimation; assets and liability management; optimal trading and execution strategies; simulation and optimization approaches to pricing derivatives. While its main focus will be on finance applications, the conference will also cover risk management approaches in energy, military, medical, and supply chain operations management. The conference will be organized into several sections, including: (1) modern techniques for portfolio management and optimization; (2) theory and practice of risk management; and (3) modeling financial and energy derivatives; (4) extensions beyond financial markets.

      Website of the conference: http://www.ise.ufl.edu/rmfe/events/qf2005/

      Organizers: Prof. Farid AitSahlia and Prof. Stan Uryasev, Risk Management and Financial Engineering Lab, University of Florida.

      The conference will be preceded by the Workshop on "Integrated Risk-Return Management: New Approach to Management of Bank Portfolio" on April 4-5, 2005. Workshop website: http://www.ise.ufl.edu/rmfe/events/ws2005/

      Workshop 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

      Workshop Lecturers

      Dr. Ursula A. Theiler, Risk Training, CEO, is a professional training consultant.
      For additional information, see personal site
      http://www.ursula-theiler.de
      and Risk Training site
      http://www.risk-training.org/.

      Prof. Stan Uryasev at the University of Florida is the director of the Risk Management and Financial Engineering (RMFE) Lab. For additional information, see personal site http://www.ise.ufl.edu/uryasev and site of the RMFE Lab., http://www.ise.ufl.edu/rmfe.

      For further information please contact:
      Sergey Sarykalin
      Risk Management and Financial Engineering Lab
      University of Florida
      303 Weil Hall, Gainesville, FL 32611-6595
      Tel.:(352) 283-2608, Fax.: (352) 392-3537
      E-mail:

      
      
      

   7. 5th Frankfurt MathFinance Workshop, 14 - 15 April 2005

      Derivatives and risk management in theory and practice
      
      

      The workshop is intended for practitioners of the areas of trading, quantitative or derivative research and risk management as well as for academics studying or researching in the field of financial mathematics or finance in general. The talks during the two days of the workshop cover a broad range of current topics and are presented by internationally known academics and practitioners. This time we will focus on Portfolio Management, Calibration Techniques and Credit. There will be enough time for questions and discussions after each talk and additional breaks provide you the opportunity to build networks within the quantitative finance community. The workshop will be held in English.

      List of Speakers
      
      
      • Herman Brodie - Cognitrend
      • Diana Diaz - Dresdner Kleinwort Wasserstein
      • Vitaly Dovgal - CMT Trading, Frankfurt
      • Dr Hans-Peter Deutsch - d-fine
      • Dr Götz Giese - Commerzbank
      • Dr Werner Koch - ComInvest
      • Prof Christoph Kühn - Frankfurt MathFinance Institute (Goethe University)
      • Prof Ludger Overbeck - Giessen University / Hypervereinsbank
      • Ghislain Perissé - Société Générale Asset Management
      • Prof Eckhard Platen - Sydney University of Technology
      • Dr Matthias Reimer - Postbank
      • Prof Wolfgang Schmidt - HfB - Business School of Finance and Management
      • Milind Sharma - Deutsche Bank, New York
      • Prof Robert G Tompkins - HfB - Business School of Finance and Management
      • Dr Thomas Weber - Weber und Partner
      • Prof Uwe Wystup - HfB - Business School of Finance and Management
      
      
      Organising Committee
      
      
      • Prof Uwe Wystup, HfB - Business School of Finance and Management
      • Tino Kluge, University of Oxford, OCIAM
      
      
      Sponsors
      
      This workshop is supported by HfB and sponsored by
      
      • Commerzbank AG, Financial Engineering Team
      • d-fine GmbH
      • Lucht Probst Associates GmbH
      • UnRisk 2
      
      
      Info Line
      
      If you have further questions, please do not hesitate to contact us at:
      
      
      The homepage of the event is http://workshop.mathfinance.de.
      
      

   8. Brockhaus and Jaeckel Workshop:
      The Practicalities of Equities Modelling
      

      Central London: 21-22 April 2005
      

      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 -12.30 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 Volatility Products
      
      
      • Products: Variance, Corridor Variance, Volatility, Covariance, Correlation Swaps
      • Pricing and Risk Management Techniques Effect of Volatility Dynamics
      
      16.00 -17.00 Equity / Credit
      
      
      • Risky Equity Models
      • Equity Default Swaps versus Credit Default Swaps
      • Convertible Bonds and Credit
      
      17:00 - 19:00 Cocktail Party
      
      DAY 2
      
      9.00 -10.15 American Options and Volatility Smile
      
      
      • The replication method
      • The rationale behind it
      • The exercise boundary
      • Smoothing the boundary and increasing convergence
      
      10:15 - 10:30 Morning Coffee
      
      10.30 -12.30 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
      
      12:30 - 13:30 Lunch
      
      13.30 -14.45 Greeks with Monte Carlo
      
      
      • Finite differencing with path recycling
      • Finite differencing importance sampling
      • Pathwise differentiation
      • The likelihood ratio method
      • Including a skew
      
      14:45 - 15:00 Afternoon Coffee
      
      15.00 -17.00 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
      
      Workshop Fee: £1799:00 + UK VAT
      
      
      Contact:
      http://www.wbstraining.com
      
      T: 44(0) 1273 674400 F: 44(0) 1273 672333
      
      
      

   9. Conference: Modelling and Measuring Energy Risk in Rotterdam the 10-12 May 2005

      The annual event "Modelling and Measuring Energy Risk" highlights the latest development in the modelling of energy risk. Excellent speakers from both the industry and academic institutions present their insights on new modelling techniques. This state-of-the-art conference has become a meeting place for both academics and energy companies.

      Confirmed speakers:
      
      
      • Hélyette Geman (University Paris Dauphine & ESSEC),
      • Ronald Huisman (Erasmus University),
      • Juri Hinz (ETH),
      • Alexander Boogert (Essent Trading),
      • Fred Espen Benth (Oslo University),
      • Rutang Thanawalla (Heriot-Watt University),
      • Franz Zehner (Nuon Holding),
      • Robert Doubble (BP, London).
      
      
      

      After the two-day conference, you are welcome to attend an optional work shop with more involved hands-on exercises on how to practically use Monte Carlo simulations as a tool for managing risk.

      For more information, please contact Karin Rask at
      
      or +46 87365572.
      
      Homepage:http://www.energyforum.net/conferences/C507/index.asp
      
      

   10. Capital Structure Arbitrage workshop
       In conjunction with Value Consultants Ltd
       

       Central London: 16-17 May 2005
       

       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
       
       Contact:
       http://www.wbstraining.com
       
       T: 44(0) 1273 674400 F: 44(0) 1273 672333
       
       
       

   11. Modelling and Practical Implementation Strategies for Portfolio Credit Derivatives, 16th / 17th May 2005

       By Professor Philipp J. Schonbucher
       The Times Square Hilton, New York City
       
       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
       
       08:30 - 09:00 Breakfast
       Theory: Latest Models
       
       09:00 - 10:30 Introduction: Instruments, Problems. What is available? What is wanted?
       Single-name CDS, FtD, single-tranche CDOs
       Market liquidity: indices, index options
       Semi-closed-form solutions
       
       • STCDOs, FtDs
       
       
       10:30 - 10:45 Morning Coffee Break
       10:45 - 13:00 Copula models
       The mechanism of copula models
       The market standard 1-faktor Gauss copula
       
       • 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
       
       13:00 - 14:00 Lunch Break
       14:00 - 15:30 Alternatives to Copula Models
       Frailty models
       
       • Mechanism and results
       • The dependency structure: similarities and differences to copula models
       
       
       15:30 - 15:45 Afternoon Coffee Break
       15:45 - 17:30 Alternatives to Copula Models, continued.
       Multi-obligor intensity models
       
       • Connection to the Gauss copula
       
       
       Day 2
       
       08:30 - 09:00 Breakfast
       Practical Implementation
       
       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
       Connecting the model to other pricing models
       
       10:30 - 10:45 Morning Coffee Break
       10:45 - 12:15 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
       
       12:15 - 13:00 Semi-Closed Form Solutions and Transform Methods
       The "Manual Convolution" trick
       
       • Extension for continuous average recovery rates (mean and variance)
       
       FFT convolution
       
       • The algorithm
       
       
       13:00 - 14:00 Lunch Break
       14:00 - 14:45 Semi-Closed Form Solutions and Transform Methods, continued.
       Application to factor and sector models:
       
       • Case study: pricing of FtD baskets
       • Case study: pricing of STCDOs
       
       
       14:45 - 15:30 Monte-Carlo Simulation
       Special problems for Monte-Carlo simulations
       Mixed analytical/simulation methods
       
       15:30 - 15:45 Afternoon Coffee Break
       15:45 - 17:00 Monte-Carlo Simulation, continued.
       Importance sampling
       Calculation of sensitivities
       
       Workshop Fee: $2899:00
       Contact:
       Phone: 44(0) 1273 674400 F: 44(0) 1273 672333
       Email:
       http://www.wbstraining.com
       
       

   12. New Directions in Risk Modelling and Financial Planning, London, 18-19 May 2005

       • Day One: New Directions in Risk Modelling and Measurement
       • Day Two: Risk-based Approaches to Financial Planning in a Dynamical Setting
       
       
       (CARISMA Launch - Evening of 18 May)
       
       Background and Objectives
       
       

       The objective of the two-day seminar is to bring together practitioners, academics and PhD students working in the area of financial planning, optimisation and risk modelling. The seminar will provide an opportunity for participants engaged at the forefront of this area to discuss problems and challenges and suggest fruitful directions for future research which focus on the emerging requirements of the finance industry.

       The speaker panel includes world leaders such as David Heath, Carnegie Mellon University, Stanley R Pliska, University of Illinois at Chicago and many others. All the speakers have achieved distinction through their research contributions and also possess wide experience of real world applications of highly sophisticated quantitative models.

       Benefits of Attending
       
       

       You will learn about the latest developments in the field from acknowledged research leaders, gathered together in London. By networking and listening to the presentations, you will gain valuable knowledge and practical techniques to apply to your own area of practice or research. You will gain first hand experience of the innovative thinking and best practices currently being developed in some of the world's leading educational institutions.

       Who should attend:
       
       
       • Industry
         • Portfolio Managers
         • Investment Analysts
         • Controllers, auditors, accountants
         • Treasurers and risk managers
         • Chief financial Officers
         • Senior Management
         • Quants Teams in:
           • Banks
           • Insurance
           • Pensions
           • Financial Brokerage Firms
           • Market Makers
           • Stock Exchange
       • Academics and researchers in the field of Quantitative Finance
       
       
       Day One (18 May): New Directions in Risk Modelling and Measurement
       
       9.00 Registration and coffee
       09.30 Introduction and scene setting
       
       Keynote 1:
       "The quest for a good measure of risk" -- David Heath, Carnegie Mellon University
       Risk Measures - the primal and the dual view -- Georg Pflug, University of Vienna
       
       • How to measure risk for one- and multi-period income processes
       • How to incorporate information to risk measuring
       • How to combine measuring risk with managing risk
       
       
       Portfolio Optimisation Models and Properties of Return Distributions -- Gautam Mitra, D Roman and K Darby-Dowman, CARISMA
       
       • Constructing a portfolio whose return distribution has specified desirable properties.
       • Different aspects and measures of risk considered
       • Decisions made in respect of a reference distribution
       
       
       New Developments in Backtesting -- Kevin Dowd and Carlos Blanco, Black Swan Risk Advisors
       
       • Frequency vs. distribution-equality tests
       • Standardising forecasts - the Rosenblatt and Berkowitz transformations
       • Testing for model adequacy - a moments-based approach
       
       
       17.30 CARISMA* Launch and Reception
       
       *CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications - http://carisma.brunel.ac.uk/
       
       Day Two (19 May): Risk-based Approaches to Financial Planning in a Dynamical Setting
       
       Valuation and Optimal Refinancing of Mortgages -- Stanley R Pliska, University of Illinois at Chicago
       
       • Empirical versus option-based approaches
       • Intensity-based valuation with endogenous mortgage rates
       • Markov decision chain model for optimal refinancing
       • Equilibrium valuation and determination of both endogenous mortgage rates and optimal refinancing strategies
       
       
       Portfolio Management: the Quest for Useful Mathematics -- Stanley R Pliska, University of Illinois at Chicago
       
       • Limitations of single-period, Markowitz mean-variance models
       • Utility maximization: dynamic programming versus risk neutral approaches
       • Risk sensitive portfolio management: incorporating economic factors
       • The "no-statistics" gap between mathematical theories and practice
       • A new approach: using a pool of experts who ignore statistics
       
       
       Methods for Risk & Fund Management -- Nicos Christofides, Centre for Quantitative Finance, Imperial College
       
       • Modelling asset price dynamics
       • Constructing an arbitrage-free state-space transition graph
       • Solving risk- and fund-management problems through an innovative use of dynamic programming
       • Case study; implementation issues
       
       
       Queuing Network Models: a brand-new approach to large portfolio credit risk -- Mark H A Davis, Imperial College
       
       • A new dynamic model for rating changes and defaults in large heterogeneous portfolios
       • Order-of-magnitude reduction in computational complexity using fluid and diffusion limits
       • Accurate price calibration to market tranche quotes
       • Accurate risk analysis and computation of credit risk greeks.
       
       
       Dynamic Stochastic Optimization for Pension Funds -- Michael Dempster, Centre for Financial Research, Judge Institute of Management, Cambridge University
       
       • Risk measures for hedging portfolios in incomplete markets
       • Risk measures for guaranteed return products
       • Trading off risk and return for closed end funds
       • Coping with contributions in open end funds
       • Back testing case studies
       
       
       Pricing of Books of Derivatives -- Stan Uryasev, University of Florida
       
       • Pricing a book of derivatives using quadratic programming: linear regression with constraints
       • Hedging strategies in incomplete markets
       • Balancing of risks and returns
       • Easy treatment of American options
       • Case studies for portfolios of options on futures in natural gas
       
       
       H Bhattacharya, Reserve Bank of India (tbc)
       
       End of seminar
       
       Registration fee:
       
       

       		Industry	Academic
       1 day		£300	£175
       2 day		£550	£295
       3 day		£750	£330

       
       
       30% early bird discount for booking received by 16 March 2005 More Information and Registration at
       http://www.unicom.co.uk
       
       
   
   
   
3. MathFinance Resources
   
   

   1. An Introduction to Credit Risk Modeling by Christian Bluhm, Ludger Overbeck, Christoph Wagner

      Book Description (by amazon.com):
      
      

      In today's increasingly competitive financial world, successful risk management, portfolio management, and financial structuring demand more than up-to-date financial know-how. They also call for quantitative expertise, including the ability to effectively apply mathematical modeling tools and techniques. An Introduction to Credit Risk Modeling supplies both the bricks and the mortar of risk management. In a gentle and concise lecture-note style, it introduces the fundamentals of credit risk management, provides a broad treatment of the related modeling theory and methods, and explores their application to credit portfolio securitization, credit risk in a trading portfolio, and credit derivatives risk. The presentation is thorough but refreshingly accessible, foregoing unnecessary technical details yet remaining mathematically precise. Whether you are a risk manager looking for a more quantitative approach to credit risk or you are planning a move from the academic arena to a career in professional credit risk management, An Introduction to Credit Risk Modeling is the book you've been looking for. It will bring you quickly up to speed with information needed to resolve the questions and quandaries encountered in practice.
      
      Features
      

      • Concisely presents the most fundamental and up-to-date concepts of credit portfolio management
      • Introduces modeling frameworks such as KMV, CreditMetrics, and CreditRisk+
      • Presents best practices in credit risk modeling
      • Keeps mathematical proofs to a minimum while remaining mathematically solid
      Product Details
      
      Hardcover: 304 pages
      Publisher: Chapman & Hall/CRC; 1st edition (September 27, 2002)
      ISBN: 158488326X