The MathFinance Newsletter #112

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The MathFinance Newsletter #112

The MathFinance Newsletter, Edition 112, February 18 2005.

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, 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:

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. 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/
4. Two Assistant Professorships in Finance at the University of Zurich
  Deadline: 28 Feb. 2005
  
  The positions are available starting in September 2005. Applicants should have a high research potential and should be nearing completion of their Ph.D. degree. Applications are invited in all fields of Finance.
  
  Appointments will be for a three-year period, renewable once. The candidates are expected to take teaching responsibilities at different levels, including the MAS in Finance and the Ph.D. program in Finance. The teaching load is competitive. The teaching language is German or English.
  
  Further information on the profile of the open positions may be obtained from Prof. Marc Chesney ()
  
  The University of Zurich has defined Finance as one of its strategic areas of development for research and teaching activities. Through its educational and research objectives, the University of Zurich hopes to attract candidates with international exposure who are willing to contribute to its development into a strong centre for academic research in Finance.
  
  The University of Zurich is also the 'leading house' of the NCCR-FINRISK Program financed by the Swiss National Science Foundation.
  
  Interested candidates should send their curriculum vitae, recent publications and research papers, and three letters of recommendation.
  
  Applicants should submit their application before 28. February 2005 to:
  University of Zurich
  Prof. Dr. Wehrli
  Dean of the Faculty of Economics, Business Administration and Information Technology
  Raemistrasse 71
  CH-8006 Zurich
  
  E-Mail:
  
  http://zeit.stellenanzeigen.de/asp/portal/zeit/anzeigenlink.asp?tabelle= true&mode=email&p_autowert=87589
5. Tenured position: Scientific Associate linked to the Chair of Insurance Mathematics, ETH Zurich
  Deadline for applications: 31 Mar. 2005
  
  At the Departement of Mathematics of the ETH Zurich there is a vacancy for a tenured position as Scientific Associate linked to the Chair of Insurance Mathematics (Prof. Paul Embrechts).
  
  The salary is negotiable depending on the relevant experience.
  Details how to apply: see the link
  
  http://www.math.ethz.ch/finance/newsletter/Versicherungsmath_Embrechts.pdf
6. Quantitative Analysts/Traders: Systematic Analytics/Trading/Arbitrage/Hedging/Equities/Fixed Income
  Location: New York/CT
  Compensation: Open
  
  Prop. Trading group of a leading Investment Bank and aggressively expanding Hedge Fund seek Quantitative Analysts/Traders for Low, Mid and High-Frequency Proprietary Equity (Cash, Derivatives) Trading, Statistical Arbitrage.
  
  Candidates for Mid and High Frequency Trading positions should be experienced in the development of statistical arbitrage trading strategies in the US, EUR or Japan and typically come from customer or proprietary trading groups in a bank or hedge fund.
  Requirements:
  - Experience with development of one or more of the medium/high frequency statistical arbitrage trading strategies (e.g. mean reversion, analyst revisions, volume momentum, pairs, etc.).
  - Experience with statistical methods and time series modeling methods (various regression methods, hypothesis testing, ANOVA, ARIMA, etc.).
  - Experience formally evaluating/backtesting trading strategies.
  - Experience working with the Thomson-First Call data set a plus
  - Experience working with traditional equity risk management methods (mean/variance optimization, factor analysis, etc.).
  - Experience using machine learning techniques (neural nets, GA's, hidden markov models, etc.).
  - Experience working hands-on with non-linear constrained optimization methods on high dimensional problems.
  - Experience in the analysis and modeling of high frequency equity (tick) data.
  - Strong academic credentials (degree from a leading university, PhD preferred, MS considered, in Mathematics, Statistics, Physics, Economics, Econometrics, Finance or Computer Science; publication record helpful.)
  Candidates for Low Frequency Trading positions should have experience in the analysis of trading/investment opportunities based on economic fundamentals/fundamental data, and typically work either as a Quantitative Analyst or Portfolio Manager in the Capital Management industry or in the quantitative side of equity research.
  Requirements:
  - Experience with statistical methods (regression, hypothesis testing, etc.).
  - Understanding of economic fundamentals that effect equity valuations.
  - Experience working with the Compustat data set a plus
  - Experience working with traditional Equity Risk Management methods (mean/variance optimization, factor analysis, etc.).
  - Experience formally evaluating and backtesting trading and investment strategies.
  - Experience working with statistical analysis tools such as Splus, Gauss, SAS or SPSS.
  - Exceptional educational background: advanced degrees from leading universities in computational sciences, with preference for majors in Math, Statistics, Physics, Economics/Finance; math/physics, etc. competitions participations, publications records are all plusses
  (Pragmatically, it is understood that lack of some of the academic credentials may be compensated by direct Quantitative Research/Trading experience in Investment Management industry)
  
  Please reply for confidential consideration to:
  
  Internal Hedge Fund of a prominent Investment Banks developing a new diversified Global Macro Fund, seeks 3 Quantitative Analysts/Traders to develop and trade a multi-asset class model-driven strategies combining the finest Equities and Fixed Income Derivatives, Arbitrage analytics.
  Requirements:
  - Experience in modeling for pricing and hedging including Interest Rate Derivatives, Exotics, Credit Derivatives, Pre-Payments in MBS
  - Strong experience in numerical methods and stochastic modeling as applied to Fixed Income asset pricing
  - Background in developing hedging/arbitrage strategies (Statistical, Index, Capital Structured Arbitrage knowledge a big plus
  - Hands-on in programming: Matlab/Splus/VBA/Excel and/or C++/Java skill-sets
  - Exceptional educational background: advanced degrees from leading universities in computational sciences, with preference for majors in Math, Statistics, Physics, Economics/Finance; math/physics, etc. competitions participations, publications records are all plusses
  (Pragmatically, it is understood that lack of some of the academic credentials may be compensated by direct Quantitative Research/Trading experience in Investment Management industry)
  
  Please reply for confidential consideration to:
MathFinance Events
1. 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
2. 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
3. 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
4. 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:
5. 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
  - Dr Diana Diaz - Dresdner Kleinwort Wasserstein
  - Dr Vitaly Dovgal - Capital Markets Trading GmbH, 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 / Hypovereinsbank
  - 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
  - Dr John Schoenmakers - Weierstrass Institute, Berlin
  - Milind Sharma - Deutsche Bank, New York
  - Jurgen Tistaert - ING SWE Brussels
  - 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
  - Susanne Griebsch, HfB - Business School of Finance and Management
  - 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, UnRisk Consortium
  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.
6. 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
7. 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
8. 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
9. New Directions in Risk Modelling and Financial Planning, London, 18-19 May 2005
  http://www.unicom.co.uk/riskmodelling
  
  Two-day seminar that brings together practitioners, academics & researchers working in financial planning, optimization & risk modelling. Delegates will gain first hand experience of innovative thinking & best practices currently being developed in some of the world's leading educational institutions.
  
  A special feature of this event is the final launch of CARISMA (The Centre The Centre for the Analysis of Risk and Optimisation Modelling Applications - http://carisma.brunel.ac.uk/) 18 May at 18.00hrs. Attendance at the launch is complimentary by invitation.
  Titles and Speakers:
  
  Day One (18 May): New Directions in Risk Modelling and Measurement
  
  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
  
  Portfolio Optimisation Models and Properties of Return Distributions
  Gautam Mitra, D Roman and K Darby-Dowman, CARISMA
  
  New Developments in Backtesting
  Kevin Dowd and Carlos Blanco, Black Swan Risk Advisors
  
  Risk Management, Optimisation and Option Pricing; Stable Non-Gaussian Models in Finance
  Svetlozar (Zari) T. Rachev, University of Karlsruhe, University of California at Santa Barbara and FinAnalytica
  
  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
  
  Portfolio Management: the Quest for Useful Mathematics
  Stanley R Pliska, University of Illinois at Chicago
  
  Methods for Risk & Fund Management
  Nicos Christofides, Centre for Quantitative Finance, Imperial College
  
  Queuing Network Models: a brand-new approach to large portfolio credit risk
  Mark H A Davis, Imperial College
  
  Dynamic Stochastic Optimization for Pension Funds
  Michael Dempster, Centre for Financial Research, Judge Institute of Management, Cambridge University
  
  Pricing of Books of Derivatives
  Stan Uryasev, University of Florida
  
  Who Should Attend:
  - Finance Professionals - Portfolio Managers;
  - Investment Analysts; Controllers, Auditors, Accountants;
  - Treasurers, Risk Managers;
  - Chief Financial Officers;
  - Senior Management;
  - Quants Teams in Banks, Insurance, Pensions, Financial Brokerage Firms;
  - Academics & researchers.
  For more information visit http://www.unicom.co.uk/riskmodelling
  Tel: +44 (0) 1895 256 484
  Email:
MathFinance Resources
1. Research Primer on Credit Portfolio Modeling by the Portfolio Strategy Group at Credit Suisse First Boston
  
  The Fixed Income Portfolio Strategy Group at Credit Suisse First Boston develops and oversees quantitative models focusing on credit risk at the security and portfolio level.
  
  The group's objective is to help clients integrate analytical credit techniques into their investment process towards achieving greater transparency around risk. The group uses the CUSP® (Credit Underlying Securities Pricing) model, which is designed to relate an issuer's capital structure, stock price, and the implied volatility of its shares to credit risk. CUSP® incorporates this market-priced information to provide investors with forward-looking measures of risk and expected returns in the global credit markets.
  
  In addition to CUSP®, the group has developed PortfolioRisk+, a full-distribution portfolio risk system. PortfolioRisk+ allows investors to quantify the credit risk of a portfolio, without forcing the investor to assume normality of distributions (an assumption that is inappropriate for credit risk). By combining PortfolioRisk+ with the non-normal distributions generated by CUSP®, investors can review forward-looking measures of credit risk within a portfolio. Advanced analytics quantify the contribution of this risk from each holding in the portfolio, and identify the investment that optimizes the risk-return profile of the portfolio.
  
  The Portfolio Strategy Team is comprised of professionals based in New York, London and Tokyo, all of whom are focused on servicing their clients' credit risk management needs around the globe. The group's analytical methods can be adapted to the requirements of total-rate of return investors, leveraged investors, CDO managers, insurance companies and pension funds.
  Homepage: http://www.csfb.com/institutional/research/portfolio_strategy.shtml
  Credit Portfolio Modeling Primer: http://www.csfb.com/institutional/research/CreditPortfolioModeling.pdf
2. Collections of Articles on Advanced Technical Analysis
  Please visit http://www.performancetrading.it/AT/TechnicalAnalysis.htm to see into
  - On the complete model with stochastic volatility by Hobson and Rogers,
  - Technical analysis on foreign exchange: 1975-2004,
  - The Partial Distribution:Definition, Properties and Applications in Economy,
  - Volatility and Structure: Building Blocks of Classical Chart Pattern Analysis,
  - Technical Analysis in the Madrid Stock Exchange,
  - Moving Averages and Market Inefficiency,
  - Swingtum – A Computational Theory of Fractal Dynamic Swings and Physical Cycles of Stock Market in A Quantum Price-Time Space,
  - Essays on Exchange Rates Deterministic Chaos and Technical Analysis,
  - Strong Taylor Schemes for Stochastic Volatility,
  - Introduction to Implied, Local and Stochastic Volatility,
  - Chartists and Fundamentalists in the Currency Market and the Volatility of Exchange Rates: First Results.
3. Calling C/C++ Methods within a Java Program
  
  At http://www.planet-source-code.com/vb/scripts/ShowCode.asp?txtCodeId=3067&lngWId=2 you can find an introduction to the Java Native Interface and instructions how you can incorporate native (C/C++ or even Assembly) code into your java programs.
  
  The lessons in this trail http://java.sun.com/docs/books/tutorial/native1.1/index.html show you how to integrate native code with programs written in Java. You will learn how to write native methods. Native methods are methods implemented in another programming language such as C.
4. Mathematics of Financial Markets by R. J. Elliott and P. E. Kopp
  Reihe: Springer Finance
  2nd ed., 2005, XI, 352 p. 7 illus., Geb.
  ISBN: 0-387-21292-2
  
  The book "Mathematics of Financial Markets" is aimed at those who need to understand the mathematics behind the multitude of current financial instruments used in derivative markets, including risk managers and other practitioners. This book provides a rigorous introduction for those who do not have a good background in stochastic calculus. The mathematics of martingales and stochastic calculus is developed where it is needed and the treatment is careful and detailed. The emphasis is on keeping the discussion self-contained rather than giving the most general results possible. It begins with the mathematics used in discrete-time models and then moves into the more difficult continuous-time models. The book "Mathematics of Financial Markets" includes detailed analyses of the famous Black-Scholes theory, American put options, term structure models, and consumption-investment problems and provides a clear understanding of pricing and hedging for call and put options.
5. Risk Management: Challenge and Opportunity by M. Frenkel, U. Hommel, M. Rudolf (Hrsg.)
  2nd revised and enlarged ed., 2005, XXVII, 838 p. 100 illus., Geb.
  ISBN: 3-540-22682-6
  
  Dealing with all aspects of risk management that have undergone significant innovation in recent years, this book aims at being a reference work in its field. It has been written for academics as well as practitioners, in particular finance specialists. Different to other books on the topic, it addresses the challenges and opportunities facing the different risk management types in banks, insurance companies, and the corporate sector. The papers included in this book were written by a mixed group of individuals, whom were selected because of their outstanding writing and scientific capacities. The emphasis of this volume is placed on highlighting the linkage between the academic literature and practical issues related to the organization of the risk management function. Due to the rising volatility in the financial markets as well as political and operational risks affecting the business sector in general, capital adequacy rules are equally important for non-financial companies. For the banking sector, the book emphasizes the modifications implied by the Basel II proposal.