The MathFinance Newsletter #115

Main Menu

Option Calculator

Discussion Series

Suchen in:

Suchbegriffe:

The MathFinance Newsletter #115

The MathFinance Newsletter, Edition 115, April 08 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. Lectureship in Financial Mathematics, University College Cork, Ireland
  School of Mathematical Sciences
  
  Applications are invited for a full-time permanent post at the level of Lecturer in the Department of Mathematics, which is a constituent part of the School of Mathematical Sciences. The mathematical and computational sciences are among the major research strengths of UCC. The candidate will be expected to enhance UCC's excellence in research and teaching in the area of financial mathematics and contribute to the development of the degree programmes in this area.
  Informal enquiries may be made to:
  Prof. Bernard Hanzon, Associate Professor in Financial Mathematics.
  Tel: +353-21- 4902376.
  Email:
  
  Salary scale: [new entrants] 31,304 - 50,851. There is provision for subsequent progression to a higher salary scale which has maximum of 74,720.
  
  Closing date: 15 April 2005.
  
  Application forms must be completed and are available, together with further particulars, on our website at: http://hr.ucc.ie/employment.php or from,
  
  Department of Human Resources
  University College Cork
  Cork
  Ireland
  Tel: + 353 21 4902671 / Email: / Fax + 353 21 4276995
  
  University College Cork is an Equal Opportunities Employer.
  
  For more information: http://hr.ucc.ie/employment.php
  
  Deadline for Applications: April 15, 2005
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. Professur für Entrepreneurial Risk Management, ETH Zürich
  
  Die Vision des neu gegründeten Departements Management, Technology, and Economics zielt dahin, das Zusammenwirken von Technologie, Gesellschaft und Organisationen sowie den nachhaltigen Einsatz natürlicher und menschlicher Ressourcen wissenschaftlich zu verstehen, in der Realität zu gestalten und die entsprechenden Zusammenhänge zu vermitteln. Für den weiteren Aufbau des Departements sucht die ETH Zürich eine herausragende Persönlichkeit.
  Professur für Entrepreneurial Risk Management
  
  Die Professur befasst sich schwergewichtig mit Analyse und Bewertung der Investitions- und Produkthaftungsrisiken von Unternehmen und Gebietskörperschaften in einem sich schnell wandelnden ökonomischen und technologischen Umfeld sowie mit Risiken neuer Unternehmensformen. Die dabei zu beachtenden Determinanten haben nicht nur betriebs- und finanzwissenschaftlichen, sondern in hohem Mass auch technologischen Charakter; weiter sind rechtliche, Markt- und Akzeptanz-Aspekte einzubeziehen.
  
  Kandidatinnen und Kandidaten verfügen über einen erstklassigen internationalen Forschungsausweis im Bereich des Managements unternehmerischer Risiken und über breite methodische wie auch über technologische Kenntnisse. Sie können die erfolgreiche Weiterentwicklung des Forschungsgebiets auf internationalem Niveau durch Forschungsvorhaben dokumentieren und sich über breite, anerkannte Lehrerfahrung ausweisen. Die Bereitschaft zur Zusammenarbeit innerhalb des eigenen Departements, mit anderen Professuren der ETH Zürich und mit der Wirtschaft wird vorausgesetzt.
  Bewerbungen mit Lebenslauf, Publikationsliste und einem Verzeichnis der bearbeiteten Projekte sind bis zum 15. Mai 2005 einzureichen beim
  
  Präsidenten der ETH Zürich,
  Prof. Dr. O. Kübler,
  ETH Zentrum,
  CH-8092 Zürich.
  
  Im Bestreben, den Frauenanteil in Lehre und Forschung zu erhöhen, fordert die ETH Zürich qualifizierte Wissenschafterinnen ausdrücklich zur Bewerbung auf.
  
  Website: http://www.president.ethz.ch/prof/profriskman.html
4. Postdoctoral Research Positions, University of Coimbra
  
  The Centre for Mathematics of the University of Coimbra (CMUC) accepts applications for one-year postdoctoral positions in all areas of Mathematics. CMUC has been recently classified as a research unit of excellence by an international funding panel.
  In particular, the Centre welcomes applications in the following areas:
  - Computational Mathematics & Scientific Computing.
  - Group and Algebras Representations. Category Theory.
  - Multilinear Algebra, Matrix Theory & Combinatorics.
  - Nonparametric Statistics. Nonlinear Time-Series Modelling.
  - Partial Di_erential Equations.
  - Quantum Groups. Symplectic and Poisson Geometry.
  - Stochastic Analysis. Mathematics of Finance.
  Applicants must have (or soon have) a Ph.D. in Mathematics and a good command of english.
  Applications will be accepted until April 30, 2005.
  
  Webpage: http://www.mat.uc.pt/~cmuc/index.php
5. Quantitative Researchers, Citadel Investment Group, L.L.C.
  Company: Citadel Investment Group, L.L.C.
  Position: Quantitative Researcher (Credit Risk/Fixed Income/High Frequency Trading/Equities)
  Location: Chicago, IL
  Web: http://www.citadelgroup.com
  - The quantitative research team of Citadel Investment Group L.L.C. is looking for junior candidates (Master's or Ph.D. degree) with an outstanding background in mathematical finance and/or related quantitative disciplines (mathematics or physics). The ideal candidate would have a first experience in the financial industry (as evidenced for instance by an internship) and would be proficient in C++.
    
    We are also looking for a more experienced candidate (post-doc or research level) who possesses exceptional skills in mathematics, theoretical physics, statistics or signal processing and who would be willing to join a fast expanding quantitative research team.
    We invite you to apply via email.
    Please submit your CV/resume to under the subject "mathfinance.de -Quantitative Researcher".
  - Quantitative Research Professional
    
    Duties and Responsibilities
    
    Develop core algorithms and statistical models describing the behavior of securities and commodities.
    
    Qualifications
    - Ph.D. in mathematics, statistics, computer science, engineering, or related fields.
    - Minimum of 5 years in C++ development
    - Expert in time series modeling, pattern recognition, machine learning with minimum 3 years work experience in applied setting
    - Expert user of one or more statistical packages (e.g. Splus, R, MatLab, SAS, etc) and proficiency in one or more scripting languages (e.g. PYTHON, PERL, etc.)
    - Demonstrated success operating on very large datasets (e.g. 100s of GBs up to Terabytes)
    - Excellent English grammar, written and oral communication skills
    We invite you to apply via email.
    Please submit your CV/resume to under the subject "mathfinance.de -Quantitative Research Professional".
MathFinance Events
1. "Monte-Carlo Simulations: Application to Risk Management", "Risk Management in the Insurance Industry", "Socially Responsible and Double Bottom Line Investing – Risks vs Returns", Chicago
  - Monte-Carlo Simulations: Application to Risk Management
    
    Date: 24th Mar 2005
    Venue: Chicago, Illinois, USA
    
    Presented by Stephan Schoess and Stan Ivanov of the Options Clearing Corporation. Event will be held at UBS Tower 1 North Wacker Drive, 2nd floor conference center. Hosted and sponsored by the Options Clearing Corporation.
  - Risk Management in the Insurance Industry
    
    Date: 28th Apr 2005
    Venue: Chicago, Illinois, USA
    
    Dennis Chookaszian, retired chairman and CEO of CNA will present.
  - Socially Responsible and Double Bottom Line Investing – Risks vs Returns
    
    Date: 23rd Jun 2005
    Venue: Chicago, Illinois, USA
    
    Presented by Steve Lydenberg - Chief Investment Officer of Domini Funds
  Homepage: http://www.prmia.org/cgi-bin/eventslist.cgi?orderFromdate&EventChicago
2. 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
  - 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.
3. 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
4. Stochastic Volatility & Risk Premium: pricing derivatives, hedging & optimal portfolio management, 2 - 3 May, 2005, New York (Jersey City) 9 - 10 May, 2005, London
  2 - 3 May, 2005, New York (Jersey City)
  9 - 10 May, 2005, London
  
  Course Leader:
  
  Srdjan D. Stojanovic, Professor of Mathematics, University of Cincinnati
  
  Have you registered for this intensive two-day training course? Seats are strictly limited and on a first come first served basis. Plus, take advantage of GARP's Group Discount: register 2 people from the same company the 3rd gets 50 per cent off; Or, register 4 people and the 5th comes for free! Plus, Attend this Course and Receive CPE Credits!
  Visit http://www.garp.com/events/stochasticvolatility for more information about the course, speaker and online registration.
  
  Course Content:
  - Basics on Itô calculus, stochastic modelling, and the relationship with PDEs: heuristics, mathematics and Monte-Carlo experiments; underlying price models: mean-reversion, momentum, stochastic volatility;
  - Classical analytical and numerical results on pricing European and American options under stochastic volatility;
  - General multi-factor (stochastic volatility) optimal portfolio theory for HARA wealth-utility functions; examples of solutions; the relationship with pricing options;
  - Theory of HARA risk premiums for fair and speculative pricing of European and American options under stochastic volatility; fair price spreads, term structure of risk premiums, stochastic interest rates; HARA theory vs. CARA theory;
  - Comprehensive class documentation, including the lecturer's book and presentations; many results fully implemented in Mathematica®; hands-on experience (in cooperation with Wolfram Research Inc., trial Mathematica distributed to the delegates for their laptops).
  Plus, registered delegates will also receive a complimentary copy of the course instructor's book, 'Computational Financial Mathematics using Mathematica: optimal trading in stocks and options'. Delegates are encouraged to bring their laptop computers to maximize the interaction, practical examples and benefit from this course.
  Full programme details at http://www.garp.com/events/stochasticvolatility.
  Small Class Sizes Guaranteed
  
  The number of participants is strictly limited to ensure that the course will be tailored to suit your precise needs. Our commitment to small class sizes means that the spaces on this course are allocated on a first come, first served basis. Therefore, we strongly recommend that you secure your place early to avoid disappointment.
  Course Instructor:
  
  Srdjan D. Stojanovic is professor of mathematics at the University of Cincinnati, where his emphasis is scientific research and graduate education in computational finance. Dr. Stojanovic latest paper "Risk premium and fair option prices under stochastic volatility: the HARA solution", accepted for publication by Comptes Rendus de l'Académie des Sciences - Série I - Mathematique, solves a long standing, and very important problem in the theory and practice of pricing options under stochastic volatility. He is also author of 35 papers, published by Journal of Computational Finance, SIAM Journal on Control & Optimization, Journal of Differential Equations, etc. The main research interests of Dr. Stojanovic are risk premium and pricing European and American options under stochastic volatility, optimal portfolio management under complete and incomplete model specifications, and financial inverse problems (market data analysis). In his research and education in computational finance Dr. Stojanovic emphasizes computational linear and non-linear partial differential equations and associated free boundary problems. Also, he extensively uses symbolic, numerical, and Monte-Carlo computations as an effective teaching method of otherwise difficult subjects.
  For further information about the course, please contact or visit the event website at http://www.garp.com/events/stochasticvolatility.
  
  For a full listing of all GARP courses and events please visit http://www.garp.com/events.
5. 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
6. Modelling and Practical Implementation Strategies for Portfolio Credit Derivatives, New York, 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
7. CDOs Workshop: The Latest Developments, London, Thursday 19th May & Friday 20th May 2005
  Workshop Presenters:
  - Dorje Brody: Royal Society University Research Fellow, Imperial College London
  - Jon Gregory: Global Head of Quantitative Credit Derivatives Research, BNP Paribas
  - Recai Gunesdogdu: European Head of Portfolio Strategy Group, CSFB
  - Lane P Hughston: Professor of Financial Mathematics, King's College
  - Matt King: Head of Quantitative Credit Strategy, Citigroup
  - Lee McGinty: Head of Credit Derivatives Index Strategy, JP Morgan
  - Dominic O’Kane: Head of Fixed Income Quantitative Research (Europe), Lehman Brothers
  - Bernd Schmid: Senior Vice President, Fitch Risk
  Aim of the workshop:
  
  Collateralised Debt Obligations (CDOs) have become a major feature of the asset-backed securities and credit risk markets over the last decade, however in recent years new issue volumes have risen considerably. This workshop will bring the participants up-to-date with the latest and ever changing developments for the modelling and practical implementation strategies in CDOs. This workshop is essential to everyone trading these exciting new instruments.
  Topics covered:
  
  The Latest Developments in:
  - Risk analysis of single CDO tranches
  - Pricing of Baskets and CDOs
  - CDO^2
  - Examining CDO tranches in an asset allocation/portfolio context
  - Base Correlation, Correlation Measures & Correlation Smiles
  - Tranche Deltas
  - The Gaussian Copula Model and beyond
  Who should attend?
  - Quantitative Analysts
  - Traders
  - Structured Products Desks
  - Financial Engineers
  - Risk Managers
  - Researchers
  with exposure to:
  - Credit Derivatives
  - Counter-party risk
  - Credit Research
  - Credit Risk
  - Market Risk
  - CDO Investment
  Day 1: CDOs Workshop: The Latest Developments
  
  09:00 - 11:00 Introduction and overview: 2 Hours
  Dorje C Brody: Imperial College & Lane P Hughston: King's College London
  
  How far have we progressed in modelling credit derivative structures?
  
  Single credit vs multi-credit models
  The ABCs of Asset-backed securities, Baskets, and Collateralised debt obligations
  Correlations and copulas - adapting the method to the product
  CDO, CDO^2, CDO^3, ... , CDO^{infinity}
  Beyond hazard rates - "hidden variable" models and non-linear filtering techniques
  
  11:00 – 11:15 Morning Coffee Break
  
  11:15 – 13:15 Putting together synthetic CDOs and looking at relative value: 2 Hours
  Recai Gunesdogdu: European Head of Portfolio Strategy Group, CSFB
  Importance of credit pool.
  How to use structural credit models to capture idiosyncratic risk for a pool of credits.
  How to use saddle point methodology to select an optimal pool for a synthetic CDOs.
  Alternative ways of looking at relative value for a single-tranche CDO.
  
  13:15 – 14:15 Lunch
  
  14: 15 – 17:30 The Gaussian Copula Model and beyond: 3 Hours Jon Gregory: Global Head of Quantitative Credit Derivatives Research, BNP Paribas
  Pricing of baskets and CDOs
  The Gaussian Copula Model - a market standard?
  Analytical and Monte Carlo implementations
  Multi-factor models
  Choice of copula
  Modelling the correlation skew
  CDO^2
  
  15:30 – 15:45 Afternoon Coffee
  
  Cocktail Party: 17:30 – 19:30
  
  Day 2
  
  09:00 – 11:00 Optimal Asset Allocation with CDOs: 2 Hours
  Bernd Schmid: Senior Vice President, Fitch Risk
  Risk analysis of single CDO tranches
  Standalone analysis of single CDO tranches
  Fair pricing of CDO tranches
  Specific CDO investment risks
  Risk/return characteristics of different tranches
  Stress tests of CDO tranches
  Sensitivity analyses of CDO tranches
  Managing risk exposures in CDO tranches
  Hedging delta, gamma and correlation risk
  Examining CDO tranches in an asset allocation/portfolio context
  
  CDOs as a source for diversification
  CDO Equity as an alternative investment
  What kind of tranche is most appropriate for what kind of investor?
  How much of the investor's overall exposure should be to CDO's?
  How much of a corporate credit portfolio should be allocated to CDO's?
  Robust CDO portfolio allocation
  Accounting for non-normal distribution of CDO returns
  Allocation decisions based on an integrated scenario framework
  
  11:00 – 11:15 Morning Coffee Break
  
  11:15 – 12:45 Base Correlation, Correlation Measures & Correlation Smiles: 1 Hour 30 Minutes
  Dominic O’Kane: Head of Fixed Income Quantitative Research (Europe), Lehman Brothers
  
  The correlation smile/skew: what is it and why does it exist
  Implied correlation: Base correlation versus compound correlation
  Understanding the deltas of synthetic tranches
  A fast analytical approach to tranche risk management
  A proper model for the correlation smile/skew
  
  12:45 – 13:45 Lunch
  
  13: 45 – 15:15 Small Tranche Topics in Detail: 1 Hour 30 Minutes
  Lee McGinty: Head of Credit Derivatives Index Strategy, JP Morgan
  
  The term structure of correlation
  What? Why?
  How best to measure it
  Tranche Deltas
  Different ways to calculate deltas
  Why doesn't everyone agree
  What do we recommend
  
  15:15 – 15:30 Afternoon Coffee Break
  
  15:30 – 16:30 How not to get blown up! 1 Hour
  Matt King: Head of Quantitative Credit Strategy, Citigroup
  
  How not to get blown up!
  A humorous guide to CDO investment
  The minefield analogy
  Know your tranches
  The art of war
  
  Workshop Fee: £1799:00 + UK VAT
  
  Contact:
  
  T: 44(0) 1273 674400
  F: 44(0) 1273 672333
  Email:
  Weblink: http://www.wbstraining.com/index.php?m=WORKSHOPS&p=courses/cdos.php
  Website: http://www.wbstraining.com
8. Interest Rate Hybrid Products & Inflation Linked Derivatives Workshop - Central London - 6/7 June 2005
  10th & 11th March 2005: Sold out 50 delegates!!!
  New dates: 6th / 7th June
  
  Workshop Presenters:
  - Philippe Balland: Director in the fixed income division, Merrill Lynch
  - Nabyl Belgrade: Quantitative Analyst, IXIS Corporate Investment Bank
  - Eric Benhamou: Head of Quantitative Research, 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 & Eric Benhamou: 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
  •Convexity correction Formulae
  Seasonality modeling and estimation in Times Series?
  • Time series traditional decomposition: trend + seasonality + random
  • Non parametric tools: the X11 method
  • Parametric models: the Buys-Ballot approach.
  Numerical example
  •French Inflation
  •European
  •US inflation
  Pricing results
  •Inflation swaps prices impact
  •Inflation floors prices impact
  Market model for inflation
  •Reconciling year on year and zero coupon swap
  •Sparse vol cube for inflation
  Pricing Hybrid product on inflation
  •Modeling challenge for hybrid on inflation
  •The Jarrow Yildirim approach vs the equity inflation model
  •2 factors with control on the correlation on interest rates : the use of multipliers
  Business case:
  •CMS spread floored on inflation.
  •Hymalaya floored on inflation.
  •other hybrid products
  
  Workshop Fee: £1799:00 + UK VAT
  
  Contact:
  
  T: 44(0) 1273 674400
  F: 44(0) 1273 672333
  Email:
  Website: http://www.wbstraining.com
  Weblink: http://www.wbstraining.com/index.php?m=WORKSHOPS&p=courses/irhp-ildw.php
9. The 2nd Fixed Income Conference: Prague, 14th - 16th Sept 2005
  Location: Prague Marriott Hotel
  
  Due to the huge success of the Inaugural Fixed Income Conference Prague with 130 delegates, WBS Training are pleased to announce that we will be back in Prague in 2005. The 3 streamed format will be retained with Credit Derivatives, Interest Rate Modelling and a new Hybrid products stream.
  Workshop day: Wednesday 14th September 2005 (Workshop fee £799:00 + UK VAT No Discount)
  
  Credit Derivatives Workshop: John Hull
  Recent developments in the valuation of Credit Derivatives
  
  Background
  - Credit default swaps.
  - Variations of the standard deal
  - Valuation and recovery rate assumptions
  - Alternative approaches to estimating default probabilities
  - Risk-neutral vs real-world probabilities
  Modelling Default Correlation
  - Alternative ways of measuring default correlation
  - Relationship between correlation measures
  - Survival time distributions
  - The use of copulas
  - Extensions of the Gaussian copula
  - Use of a strutural model
  kth to Default CDSs and CDOs
  - Valuing 1st, 2nd,...., Nth to default deals
  - Implementing copula models
  - Determining the probability distribution of the kth to default.
  - Valuing CDO tranches
  - Market quotes for CDO tranches
  Other Topics
  - Option structures
  - Estimating risk-neutral credit rating transitions to value rating-dependent derivatives
  - Using option volatilities to imply default probabilities
  Interest Rate Derivatives Workshop: Jesper Andreassen & Vladimir Piterbarg
  Interest Rate Modeling: From yield curve construction to hybrids
  
  The Basics
  - The basics: the yield curve and its construction
  - Short rate models of the yield curve
  - HJM and LMM models
  Yield Curve
  - Pricing Bermuda options by Monte-Carlo
  - Stochastic volatility models for European interest rate options
  - Markov yield curve models for exotic interest rate products
  - Stochastic volatility in HJM and LMM models
  Interest Rate Hybrids
  - Equity
  - FX
  - Inflation
  - Credit
  - Risk report generation
  - IT implementation
  Main Conference:
  
  Thursday 15th / Friday 16th September (Conference fee £1599:00 + UK VAT) Fee includes 2 day conference plus Wednesday evening Cocktail Party and Thursday night all inclusive Gala Dinner @ The Bellevue Restaurant http://www.pfd.cz (limited space only for the first 100 delegates only)
  Confirmed Speakers:
  - Jesper Andreasen: Head of Product development, Nordea Markets
  - Philippe Balland: Dircector Fixed Income, Merrill Lynch
  - Damiano Brigo: Head of Credit Models,Banca IMI
  - Paul Glasserman: Professor of Risk Management, Columbia Graduate School of Business
  - Dariusz Gatarek: Director of Quantitative Research, NumeriX LLC
  - Jon Gregory: Global Head Of Research Team, Credit Trading & Derivatives, BNP Paribas
  - Lane P Hughston: Professor of Financial Mathematics, King's College London
  - John Hull: Professor of Finance, University of Toronto
  - Chris Hunter: BNP Paribas, Hybrids
  - Peter Jaeckel: Global Head of Credit, Hybrid, and Commodity Derivatives, ABN Amro
  - Fabio Mercurio: Head of Financial Models, Banca IMI
  - Dariush Mirfendereski: Head of Inflation Linked Trading Europe & USCPI Derivatives, UBS
  - Vladimir Piterbarg: MD co-Head of Quantitative Research, Bank of America
  - Henrik Rasmussen: Oxford & Hibrium
  - Riccardo Rebonato: Head of Group Quants research centre, RBOS
  - Philipp Schonbucher: Assistant Professor of Risk Management, ETH Zurich
  - Jakob Sidenius: Bank of America
  - Stuart Turnbull: University of Houston
  - Oldrich Vasicek: Founding Principal of KMV
  Early Bird Discount:
  15% Discount on the main conference before 31st May 2005 & 10% Discount before 31st July 2005.
  
  Conference & Sponsorship Contact: Neil Fowler
  T: 44(0) 1273 674400 F: 44(0) 1273 672333
  Email:
  Website: http://www.wbstraining.com
  PDF: http://www.wbstraining.com/pdf/conference2005.pdf
10. Campus for Finance - Call for Papers: "Fixed Income - Lending, Borrowing and Taking Risk", Vallendar, Germany, 11th - 12th Jan 2006
  Wednesday 11th / Thursday 12th January 2006 at the "WHU - Otto Beisheim Graduate School of Management" in Vallendar, Germany
  
  Due to the increasing number of submitted papers and the great success of its Call for Papers, the Campus for Finance team decided to extend the academic part of the conference in a separate event, the "CFF Call for Papers". While the Campus for Finance conference is also aimed at practitioners and students, the "CFF Call for Papers" is purely academic. Both events take place on consecutive days.
  Paper Submission
  
  Academics are invited to submit papers whose topics are in some respect related to the topic "Fixed Income - Lending, Borrowing and Taking Risk". The papers must be in English. Submission deadline is August 31st, 2005. For further information regarding the submission procedure please refer to http://www.cff-call-for-papers.de. The academic board will award the WHU Finance Award including a prize of EUR 1000,- for the best paper and EUR 500,- for the second winner.
  
  If you want to participate but do not plan to submit a paper, please submit your registration through the online application device that will be available on http://www.cff-call-for-papers.de.
  For further questions please contact:
  
  Miriam Begtasevic
  Wissenschaftliche Hochschule für Unternehmensführung (WHU)
  Dresdner Bank Chair of Finance, Burgplatz 2, D-56179 Vallendar
  E-Mail:
  Phone: +49 - (0)261/ 6509 428
  Fax: +49 - (0)261/ 6509 409
MathFinance Resources
1. Numerical Recipes in C# Source Code
  Numerical Recipes in C# Source Code is available at http://won.hongik.ac.kr/~mhchung/index_files/Software.htm
2. General Algebraic Modeling System
  
  The General Algebraic Modeling System (GAMS) is a high-level modeling system for mathematical programming problems. It consists of a language compiler and a stable of integrated high-performance solvers. GAMS is tailored for complex, large scale modeling applications, and allows you to build large maintainable models that can be adapted quickly to new situations.
  Homepage: http://www.gams.com/
  
  Contributed by Dr. Matthias Fengler, Sal. Oppenheim