The MathFinance Newsletter, Edition 128, November 14 2005.

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

In this issue:

1. MathFinance Job Exchange
   1. Permanent Senior Lecturer/Lecturer/Associate Lecturer Position in Mathematical Finance - University of Witwatersrand, Johannsburg
   2. Quantitative/r Analyst/in at Quanteam, Germany
   3. Mathematiker, Physiker oder Wirtschaftsinformatiker: d-fine GmbH, Frankfurt
   4. PhD students and PostDocs, Financial and Actuarial Mathematics, Vienna University of Technology
   5. Senior Quant, Quant - Trainee und Senior Risiko-Controller / Financial- & Derivatives Analysts in der Bankgesellschaft Berlin
2. MathFinance Events
   1. Equity / Credit Hybrid Products Workshop, 17th - 18th Nov. 2005, London
   2. Computational Finance I: C++ in Financial Engineering with a Focus on Monte Carlo Methods, 21-25 Nov 2005, HfB, Frankfurt
   3. Inflation Linked Derivatives & Interest Rate Hybrid Products Workshop, 23rd - 25th Nov. 2005, London
3. MathFinance Resources
1. Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Rüdiger Frey, Paul Embrechts
2. EqWorld - the World of Mathematical Equations
3. New Book by Matthias Fengler: Semiparametric Modeling of Implied Volatility

• 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
Database Solutions: Dr. Thorsten Schmidt, Leipzig University

In detail:
 
 

1. MathFinance Job Exchange
   
   

   1. Permanent Senior Lecturer/Lecturer/Associate Lecturer Position in Mathematical Finance

      School of Computational and Applied Mathematics
      University of Witwatersrand, Johannsburg

      Programme in Advanced Mathematics of Finance

      Applications are invited for a permanent position in Mathematical Finance at the University of the Witwatersrand, Johannesburg, to be taken up with effect from 1 February 2006 or as soon as possible thereafter.

      Candidates for the Lecturer or Senior Lecturer position should have a PhD and, in the case of the Senior Lectureship, an established track record of research in some area of financial mathematics. Candidates for the Associate Lecturer position should have an MSc and be engaged in PhD studies. Applications are encouraged from candidates with a background in stochastic calculus or numerical mathematics, but this is not a prerequisite. We are also keen to attract applicants who are already established applied mathematicians and who wish to change their academic focus.

      The appointee to this permanent post in the School of Computational & Applied Mathematics will be expected to maintain an active programme of research, and to play a significant role in all aspects of the organisation and teaching of financial mathematics at all levels.

      The School of Computational & Applied Mathematics has a history of teaching and research in Mathematical Finance dating back to 1989. The Programme in Advanced Mathematics of Finance is the pre-eminent financial mathematics degree in South Africa. Graduates are employed worldwide in leading financial institutions. It has had numerous research collaborations and funding agreements with local and international investment banks.

      The appointment will be made at the appropriate point on the Associate Lecturer, Lecturer or Senior Lecturer scale. Further particulars of the post, including information about remuneration, may be obtained from Prof David Taylor at or +27-11-717-6149 (fax).

      More information can be found on our website: www.cam.wits.ac.za/mfinance Information on living in South Africa can be found on: www.safrica.info

      To apply, please submit a covering letter, detailed CV with names and contact details of three referees & certified copies of degrees to:

      Mrs Kalpana Patel,
      Human Resources Manager
      Faculty of Science
      Wits University
      Private Bag 3
      Wits 2050
      South Africa
      
      

      The closing date for the receipt of completed applications is 31st December 2005.

      Equality of opportunity is University policy
      
      
      

   2. Quantitative/r Analyst/in

      Quanteam

      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 die 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 einen Mitarbeiter mit folgendem Profil:

      Quantitative/r Analyst/in

      • Sie haben Ihr Studium in einem mathematisch/wirtschaftswissenschaftlich orientierten Fach mit sehr gutem Erfolg abgeschlossen und können eventuell sogar eine Promotion vorweisen.
      • Sie besitzen vertiefte Kenntnisse in stochastischer Analysis und Optionspreistheorie. Zudem haben Sie gute Grundkenntnisse in numerischen Methoden der Finanzmathematik, wie Monte-Carlo Simulation oder Finite Differenzen Verfahren.
      • Sie haben bereits erste Erfahrung in der Implementierung fortgeschrittener finanzmathematischer Modelle wie beispielsweise dem Heston-Modell oder dem LIBOR Marktmodell in der Programmiersprache C++ gesammelt.
      • Neben Ihren vorhandenen Fähigkeiten im Bereich Finanzderivate besitzen Sie die Bereitschaft, sich in quantitative Problemstellungen außerhalb dieses Gebiets einzuarbeiten.
      • Sie schätzen die selbständige, eigenverantwortliche Arbeit in interessanten Projekten, in denen Sie Ihre bereits vorhandenen Kenntnisse weiterentwicklen können und müssen.

      Wir bieten

      • Vom ersten Tag an arbeiten Sie selbständig in langfristigen Beratungsprojekten im Bereich Entwicklung von Bewertungsmodellen für exotische Finanzderivate 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 diese Position 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 unter 0172 6944776.

      
      
      

   3. 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
      
      

   4. PhD students and PostDocs, Financial and Actuarial Mathematics, Vienna University of Technology

      We are looking for PostDocs and PhD students for the newly established Christian Doppler Laboratory on Portfolio Risk Management (PRisMa).

      The laboratory will be located within the research group for financial and actuarial mathematics at the Vienna University of Technology, it is headed by Prof. Uwe Schmock. The laboratory is jointly funded by the Bank Austria Creditanstalt (the largest bank in Austria) and the Christian Doppler Research Association, which is a non-profit association aiming to promote high-quality research, development and knowledge transfer in Austria.

      Your main area of activity will be high-quality research with a view towards practical applicability. Your possible research areas can be operational risk, risk-adjusted value functionals, risk-based capital allocation, risk measures, dependence modelling, interest rate modelling, credit risk, credit derivatives, stochastic processes with jumps, or numerical methods in finance.

      We offer you to work on the forefront of current mathematical research, within a highly active and distinguished research group (Prof. Walter Schachermayer, Prof. Uwe Schmock, Prof. Peter Grandits, Prof. Josef Teichmann, Dr. Friedrich Hubalek, Dr. Reinhold Kainhofer, Dr. Johannes Leitner) and in close cooperation with the specialists of our financial industry partner Bank Austria Creditanstalt. We expect you to have a strong background in financial modelling and the theory of stochastic processes. Nevertheless, a high motivation and a strong desire to learn and adapt new material can fill almost any gap you might have in the requirements.

      There are no teaching duties associated with these positions. The start date is flexible and can be anytime in 2006, however, we plan to start soon. The duration of the laboratory will be initially for two years with an expected extension to seven years. The salaries are based on the FWF guidelines. For a postdoc, a full- or a part-time contract is possible. We strongly encourage applications of female candidates.

      Your application has to be in English or German and should be sent by November 28, 2005. Ideally it should include:

      • Application letter, indicating your preferred start date, your preferred area of research (if any), full-time/part-time contract
      • Complete curriculum vitae
      • List of publications and preprints (if any), links to online versions if available
      • Copies of academic transcripts and certificates (please include a translation if these are not in English, German or French)
      • Letters of reference or contact details of academics who can provide a letter of reference upon request
      • If you send your application in electronic form, please include (a part of) your name in every file name.
      
      
      Prof. Uwe Schmock
      Financial and Actuarial Mathematics
      Vienna University of Technology
      Wiedner Hauptstraße 8-10/105-1
      A-1040 Vienna
      Austria
      eMail:
      URL: http://www.fam.tuwien.ac.at/ (department)
      
      

   5. Senior Quant, Quant - Trainee und Senior Risiko-Controller / Financial- & Derivatives Analysts in der Bankgesellschaft Berlin

      1. Die Bankgesellschaft Berlin AG ist die Universalbank der Hauptstadt. Die Abteilung Quantitative Analysis unterstützt das strategische Geschäftsfeld Kapitalmarktgeschäft in sämtlichen quantitativen Belangen, insbesondere im Pricing exotischer und strukturierter Kapitalmarktprodukte in sämtlichen gängigen Asset-Klassen
         
         
         1. Senior Quant in der Bankgesellschaft Berlin
            
            Ihre Aufgabe in der Abteilung Quantitative Analysis
            
            
            • Entwicklung von Modellen und Verfahren zur Bewertung von Derivaten und strukturierten Produkten und korrespondierenden Hedging-Strategien, insbesondere im Interest Rate und Credit Derivatives Market.
            • Entwicklung adaptierter, optimierter Handelsstrategien
            • Konzeption und Realisierung der Entwicklungen in C++
            
            
            Ihr Profil
            
            
            • Mindestens 3 Jahre Erfahrung in einer Bank oder bei einem Finanzdienstleister
            • Vertiefte Kenntnis der Finanzmathematik, insbesondere fortgeschrittener Zinsstruktur-, Volatilitäts- oder Kreditrisikomodelle auf Basis eines adäquaten, quantitativen Hochschulstudiums wie der (Finanz-)Mathematik oder der Physik
            • Umfangreiche Kenntnis numerischer Verfahren zur Bewertung von derivativen Finanzinstrumenten, insbesondere Baum- und Gitter-Methoden sowie Monte-Carlo-Verfahren
            • Professionelle Programmierkenntnisse in einer objektorientierten Programmiersprache, vorzugsweise in C++
            • Ausgeprägte Teamorientierung
            • Hohes Maß an Kreativität und Flexibilität
            • Strukturierte, projektorientierte Arbeitsweise
            • Gute deutsche und englische Sprachkenntnisse in Wort und Schrift.
            
            
            
         2. Quant - Trainee in der Bankgesellschaft Berlin
            
            Traineeprogramm Quantitative Analysis
            (http://www.bankgesellschaft.de/bankgesellschaft/10_bgb/40_berufsleben/05_Jobboerse/02_BM.pdf )
            
            
            • Sie nutzen finanzmathematische Techniken zur Entwicklung von Preisbewertungs-modellen und Risikomeßmethoden für das Front Office sowie für quantitative Analysen im Zusammen-hang mit Handelsprodukten und -strategien in intensiver Interaktion mit Handel und Sales.
            • Während Ihres Trainee-Programms lernen Sie die gesamte Wertschöpfungskette vom Frontoffice in Kunden- und Eigenhandel bis hin zur technischen Abwicklung im Back- und Middle-Office kennen.
            
            
            Ihr Profil
            
            
            • Hochschul-Studium der (Finanz-)Mathematik, Physik oder eines anderen quantitativen Studienfachs mit Nebenfach oder Vertiefung in einer ökonomischen Disziplin.
            • Gute allgemeine Kenntnisse der Mathematik, insbesondere in angewandten Disziplinen wie Stochastik, Numerik und Statistik.
            • Gute Programmierkenntnisse in einer objektorientierten Programmiersprache, idealerweise in C++
            • Erste Erfahrungen in einer Bank oder bei einem Finanzdienstleister im Rahmen eines Praktikums wünschenswert
            • Ausgeprägte Teamorientierung
            • Hohes Maß an Kreativität, Flexibilität und Motivation
            • Strukturierte, projektorientierte Arbeitsweise
            • Begeisterung für das Marktgeschehen und das Handelsgeschäft
            • Gute deutsche und englische Sprachkenntnisse in Wort und Schrift.
            
            
            Was wir bieten
            
            
            • Ein hochinteressantes, vielschichtiges Betätigungsfeld inmitten der Handelsabteilung über alle gängigen Asset-Klassen
            • Mitarbeit in einem kompetenten, hochmotivierten, sympathischen Team.
            • Kooperation mit international angesehenen akademischen Spezialisten der Finanzmathematik
            • Attraktive Bezahlung und Sozialleistungen
         
         
         Ihre Ansprechpartner
         
         Bankgesellschaft Berlin AG
         Bereich Personal
         Andreas Tieke
         BG-PE 4
         Alexanderplatz 2
         D-10178 Berlin
         
         
         Bankgesellschaft Berlin AG
         Bereich Business Management
         Dr. Christoph März
         BG-BM 5
         Alexanderplatz 2
         D-10178 Berlin
         
      
      
      
      2. Senior Risiko-Controller / Financial- & Derivatives Analysts in der Bankgesellschaft Berlin
         
         

         Die Bankgesellschaft Berlin AG ist die Universalbank der Hauptstadt. Unser Bereich Risikocontrolling ist zuständig für die Messung, die Kontrolle und das Reporting sämtlicher Risiken des Konzerns. Des weiteren gehört die Umsetzung aufsichtsrechtlicher Anforderungen (z.B. Basel II) zu den Aufgaben des Risikocontrollings. Darüber hinaus ist der Bereich in diversen Steuerungsgremien des Konzerns vertreten, um die effiziente Umsetzung des Risikomanagements zu gewährleisten.

         Ihre Aufgabe in der Abteilung Markt- und Liquiditätsrisiko
         
         
         • Erstellen und Ausbau des täglichen MaH-Reports zu den Handelsaktivitäten und Ergebnissen der Geschäftsfelder des Investment Bankings sowie des Konzerns an den Vorstand
         • Weiterentwicklung und Betreuung einer eigenentwickelten dezentralen Middle-Office-Software
         • Analyse der Geschäftsaktivitäten der einzelnen Handelseinheiten in Bezug auf Gewinn-Ermittlung, Kredit-, Liquiditäts- und Marktrisiko
         • Methodische Weiterentwicklung von Risikokonzepten
         • Bewertung von derivativen Strukturen (Exotische Optionen, strukturierte Produkte - Emissionen, Convertibles)
         • Entwicklung und Anwendung von Konzepten zur Risikoermittlung von Einzelgeschäften und Portfolios
         • Unterstützung des Middle-Office Teams bei der Evaluierung und Neuprogrammierung der Financial Library
         • Weiterentwicklung von Risk-Monitoring Systemen
         
         
         Ihr Profil
         
         
         • Quantitativ orientierte Hochschulausbildung, wie (Wirtschafts-) Mathematiker, Physiker, Wirtschaftsingenieure, Ökonometriker und Betriebs-, bzw. Volkswirte mit quantitativem Schwerpunkt (Statistik, Operations Research)
         • sehr gute Kenntnisse in Mathematik und Statistik
         • ausgeprägte Kenntnisse in Finanzmathematik
         • theoretische und/oder praktische Erfahrung im Umgang mit Produkten aus dem Investment Banking (wünschenswert sind 2-3 Jahre Erfahrung im Risikocontrolling)
         • vertiefte Kenntnisse in Office-Produkten wie WORD, EXCEL, POWERPOINT und ACCESS, Kenntnisse in C++ und Microsoft SQL
         • ausgeprägtes analytisches Denkvermögen, Präsentations- und Diskussionssicherheit sowie Teamfähigkeit
         • gute Englischkenntnisse
         • Ausgeprägte Teamorientierung
         • Hohes Maß an Kreativität und Flexibilität
         • Strukturierte, projektorientierte Arbeitsweise
         
         
         Ihre Ansprechpartner
         
         Bankgesellschaft Berlin AG
         Bereich Personal
         Corinna Popowski
         BG-PE 4
         Alexanderplatz 2
         D-10178 Berlin
         
         
         Bankgesellschaft Berlin AG
         Bereich Risikocontrolling
         Dr. Michael Dziedzina
         BG-RC
         Alexanderplatz 2
         D-10178 Berlin
         
      
      
      
   
   
   
2. MathFinance Events
   
   
   
   
   

   1. Equity / Credit Hybrid Products Workshop, 17th - 18th Nov. 2005, London

      Central London, Thursday 17th / Friday 18th November 2005
      
      Workshop Presenters:
      
      Claudio Albanese, Damiano Brigo, Dorje Brody, Jochen Felsenheimer, Lane P Hughston, Norbert Jobst, Thibault Scaramanga, Philipp J. Schonbucher, Tolga Uzuner
      
      Topics covered:
      
      
      • Overview of the General Theory of Credit Hybrid products
      • Connecting Firm's Value to Intensity Models
      • Credit Default Swap Calibration and Equity Swap Valuation
      • Volatility models for Equity Default Swaps
      • Equity-Credit Trading Floor Techniques
      • Equity-Credit Correlations
      • Equity Default Swaps: Pricing, Modelling, Historical Perspective & Applications
      • Playing Equity Versus Debt in the DAX universe
      
      
      Day 1: Latest Theory
      
      Overview of the General Theory of Credit Hybrid Products: 2 hours, Dorje Brody & Lane P Hughston
      
      • 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
      
      
      Volatility Models for Equity Default Swaps: Acomparison analysis:1 hour 30 minutes Claudio Albanese: 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
      
      
      Credit Default Swap Calibration and Equity Swap Valuation with a time varying Black-Cox type Structural Model: 1 hour 30 minutes. Damiano Brigo: 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
      
      
      Connecting Firm's Value to Intensity Models: 2 hours, Philipp J. Schonbucher: 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
      
      
      Day 2: Practical Techniques
      
      Equity Default Swaps: Historical Perspective and Application: 1 hour 45 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
      
      
      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
      
      
      Equity-Credit Correlations: 1 hour 45 minutes, Tolga Uzuner: CSFB
      
      • Summary of empirical findings
      • R ole of correlations in different models
      • Risk management of correlation risk
      • Practical modelling of correlation risk
      • Trade examples
      
      
      Playing Equity Versus Debt in the DAX Universe: 1 hour 45 minutes, Jochen Felsenheimer: HVB
      
      • Pricing the 30 DAX names in CDS format
      • The DAX 30 basket default swap
      • Index EDS versus Basket EDS
      • Trading opportunities in the DAX universe: EDS, CDS and equity options
      
      
      Workshop Fee: £1799:00 + UK VAT
      
      Contact:
      T: 44(0) 1273 674400 F: 44(0) 1273 672333
      Email:
      http://www.wbstraining.com/html/courses/echb.php
   
   
   

   2. Computational Finance I: C++ in Financial Engineering with a Focus on Monte Carlo Methods, 21-25 Nov 2005, HfB, Frankfurt

      Christoph Becker, Dr. Bernd Engelmann and Prof. Dr. Uwe Wystup
      MathFinance, Quanteam and HfB - Business School of Finance and Management
      
      5 Day Seminar
      
      Contents
      
      
      • Short introduction of C (Transfer of your Basic / FORTRAN / Pascal - programming knowledge to C)
      • Detailed introduction of object oriented programming with C++
      • Basic Monte Carlo – principles
      • Enhanced Monte Carlo techniques for the computation of Greeks
      • Variance reduction with control variates
      • Using C++ in practice: Compilers, debuggers, creating libraries (DLLs), linking with Excel, class framework for a real life option pricer, aspects of numerical stability, optimization.
      • Standard template library (STL)
      • Many supervised exercises and group projects with real applications
      
      
      Who should take this course
      
      
      • Students of the Master Program in Quantitative Finance,
      • Financial Engineers,
      • Risk Controllers,
      • Financial Consultants
      
      
      Prerequisits
      
      Working knowledge in a programming language such as Pascal, Basic, FORTRAN etc.
      
      You need to bring
      
      Your own notebook with a C++ compiler installed. In the course we will only support Borland C++ Builder and Microsoft Visual Studio. A free trial version of the Borland compiler is available from the net.
      
      Participants
      
      at most 20
      
      Fee
      
      2000 EUR 1200 EUR for HfB-students or HfB-alumni free for students enrolled in the Master of Quantitative Finance Program at HfB
      
      Registration
      
      please contact Mrs. Claudia Klemens (). You may download a registration form here.
      Monday to Friday 21-25 November 2005 daily 9:00 - 17:00 HfB Room 7
      
      

   3. Inflation Linked Derivatives & Interest Rate Hybrid Products Workshop, 23rd - 25th Nov. 2005, London

      Central London: 23rd / 24th / 25th November 2005
      
      Day 1: Inflation-linked Derivatives: Introductory/Intermediate Level
      Day 2: Inflation-linked Derivatives: Intermediate/Advanced Level
      Day 3: Interest Rate Hybrid Products
      
      Day 1:
      
      Introducing Inflation-linked Securities and Derivatives: Introductory / Intermediate
      Presenters: Dr David Murphy & Dr Andrew Street
      
      9:00 – 12:30 Inflation and Inflation-Linked Bonds
      Including Morning Coffee Break 10:30 – 10:45
      
      • What is Inflation? Indices and Calculation
      • The Economics of Inflation
      • Basic Inflation-Linked Bond Features
      • The Universe of Inflation Linked Bonds
      • UK, Eurozone, US, Corporate issuers, Emerging market issuers
      • Investors and the Demand for Inflation-Linked Products
      
      12:30 – 13:30 Lunch
      13:30 – 17:00 Inflation-Linked Securities and Derivatives: Perspectives for Traders and Issuers
      Including Afternoon Coffee Break 15:00 – 15:15
      
      • Natural Inflation-Linked Issuers
      • Inflation and Real Interest Rate Analysis
      • Inflation Swaps and Inflation-Link Product Structuring
      • Building the Inflation Curve
      • Inflation-Linked Retail Products
      • Pricing and Trading Options on Inflation
      • Workshop and spreadsheet exercises
      
      
      Day 2:
      
      Inflation-Linked Derivatives: Intermediate/Advanced Level
      
      08:30 – 10:00: 1 Hour 30 minutes: Models for real interest rates and inflation: new directions: D.C. Brody: Royal Society University Research Fellow, Imperial College, London & P. Hughston Professor of Financial Mathematics, King's College London.
      
      • Inflation-linked bonds
      • Payout structures for inflation-linked products
      • General theory of inflation dynamics
      • The foreign exchange analogy
      • Price processes for real and nominal discount bonds
      • Valuation of inflation-linked derivatives
      • Structural approach to inflation dynamics
      • "Hidden variables" models for inflation.
      
      10:00 – 13:00: 2 Hours 45 Minutes; Practical Perspectives on Pricing, Trading, and Hedging Inflation-Indexed Derivatives - from the Dark Ages to the Present: Dariush Mirfendereski, Managing Director, Head of Inflation Linked Trading, UBS London
      
      • 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
      
      11:00 – 11:15 Morning Coffee Break
      13:00 – 14:00 Lunch
      14:00 – 16:00: 2 Hours, Arbitrage-free Pricing of Inflation-Indexed Derivatives: 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;
      • Extensions with stochastic volatility
      • Pricing Inflation-Indexed derivatives with stochastic volatility
      
      Coffee Break 16:00 – 16:15
      16:15 – 17:45: 1 Hour 30 Minutes: Andre Sanchez: Head of Inflation Trading, IXIS Corporate & investment Bank
      Latest Trading techniques. Bullet points to follow!
      
      Day 3:
      
      Interest-Rate Derivatives Hybrid Products
      
      08:30 – 10:00: 1 hour 30 minutes, Overview of the General Theory of Interest Rate Hybrid Models: Dorje C Brody, Imperial College & Lane P Hughston, King's College London.
      
      • Overview of the General Theory of Interest Rate Hybrid Models
      • Interest rate modelling in general, probabilistic foundations
      • Discount bonds and interest rates, dynamics of discount bonds
      • HJM and beyond
      • Positive interest framework, chaos representation of interest rate dynamics
      • International models for interest rates and foreign exchange
      • Interest Rate and Foreign Exchange hybrid modelsInterest Rate and Equity hybrid models
      • General interest rate hybrids
      • Summary of relevant modelling and risk management issues
      
      10:00 – 10:15 Morning Coffee Break
      10:15 – 11:45: 1 hour 30 minutes, Pricing by Replication with Credit Risk: Frederic Abergel: Director, Head of Paris Quantitative Analytics, Barclays Capital
      
      • Dynamic hedging of credit risk in reduced-form models
      • Deterministic and stochastic models for hazard rate
      • Calibration issues: hazard rate parameters and risk premia
      • Credit contingent options: analysis of some equity- and FX-linked products
      • Numerical issues
      
      11:45 – 13:15: 1 hour 30 minutes, Hybrid pricing of callable products, 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
      
      13:15 – 14:15 Lunch
      14: 15 – 15:45: 1 hour 30 minutes, Interest rate / Equity Hybrids, Tariq Dennison: Vice President, Bear Sterns
      Bullet points to follow
      15:45 – 16:00 Afternoon Coffee break
      16:00 – 17:30: 1 hour 30 minutes: Practical methods for the valuation of a variety of hybrid products: Peter Jäckel: Global Head of Credit, Hybrid, and Commodity Derivatives, ABN Amro
      
      • Hybrid products for retail and wholesale investors
      • Minimal process assumption valuation
      • Calibration to all available plain vanilla options
      • The time copula: generated by the driving process
      • The space copula: rank correlation for parametrisation
      • Enforceable arbitrage considerations
      • Forward forward arbitrage
      • Continuous corection
      • Discrete correction
      • Approximations for the handling of convexity effects
      • Mean reversion for commodity and interest rate components
      
      
      Cocktail Party Thursday 24th November: 17:45 – 20:00 (for delegates attending all three workshop days)
      
      Any One day: £899:00 + UK VAT
      Any Two days: £1698:00 + UK VAT (2 days £100 discount)
      All Three days: £2497:00 + UK VAT (3 days £200 discount)
      
      Contact:
      
      T: 44(0) 1273 674400 F: 44(0) 1273 672333
      Web link: http://www.wbstraining.com/html/courses/irhp-ildw.php
      Email:
      
   
   
   
3. MathFinance Resources
   
   
   
   
   

   1. Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Rüdiger Frey, Paul Embrechts

      Princeton University Press 2005
      
      Book description:
      
      

      The implementation of sound quantitative risk models is a vital concern for all financial institutions, and this trend has accelerated in recent years with regulatory processes such as Basel II. This book provides a comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management and equips readers--whether financial risk analysts, actuaries, regulators, or students of quantitative finance--with practical tools to solve real-world problems. The authors cover methods for market, credit, and operational risk modelling; place standard industry approaches on a more formal footing; and describe recent developments that go beyond, and address main deficiencies of, current practice.

      The book's methodology draws on diverse quantitative disciplines, from mathematical finance through statistics and econometrics to actuarial mathematics. Main concepts discussed include loss distributions, risk measures, and risk aggregation and allocation principles. A main theme is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers. The techniques required derive from multivariate statistical analysis, financial time series modelling, copulas, and extreme value theory. A more technical chapter addresses credit derivatives. Based on courses taught to masters students and professionals, this book is a unique and fundamental reference that is set to become a standard in the field.

      URL:http://www.pupress.princeton.edu/titles/8056.html
      
      

   2. EqWorld - the world of mathematical equations

      Equations play a crucial role in modern mathematics and form the basis for mathematical modelling of numerous phenomena and processes in science and engineering.

      The EqWorld website presents extensive information on solutions to various classes of ordinary differential, partial differential, integral, functional, and other mathematical equations. It also outlines some methods for solving equations, includes interesting articles, gives links to mathematical websites, lists useful handbooks and monographs, and refers to scientific publishers, journals, etc. This site will be kept up to date to include new equations with solutions and other useful information.

      The EqWorld website is intended for researchers, university teachers, engineers, and students all over the world. All resources presented on this site are free to its users.

      URL:http://eqworld.ipmnet.ru/index.htm
      
      

   3. New Book by Matthias Fengler: Semiparametric Modeling of Implied Volatility

      Series: Springer Finance
      2005, XV, 224 p. 61 illus., Softcover
      ISBN: 3-540-26234-2
      
      Book description:
      
      

      The implied volatility smile is pivotal for the pricing and the risk management of options portfolios. In typical textbooks, however, the implied volatility smile is usually treated either in a single paragraph as an empirical rejection of the Black-Scholes model, or used as a basis for moving far beyond the Black-Scholes pricing world. This approach does not reflect the fact that modeling implied volatility is a daily topic haunting any trading desk and risk management unit. The textbook Semiparametric Modeling of Implied Volatility authored by Matthias Fengler and recently published by the Springer-Verlag accounts for this problem in concentrating uniquely on implied volatility as financial variable. The book brings together both latest advances in the theory of implied volatility and addresses at the same time the empirical challenges in discussing non- and semiparametric estimation strategies and dimension reduction methods for implied volatility surfaces.

      Semiparametric Modeling of Implied Volatility is devided into two main parts. The first two chapters give an up-to-date treatment of smile-consistent pricing approaches: the theory of implied and local volatility is developped in a clear and precise manner, and particular care is given in highlighting the relationships between the volatility concepts and models studied at each stage of the derivations. The most popular smile-consistent pricing approaches such as implied trees, mixture diffusions, or stochastic implied volatility models are in detail, and the limitations of local volatility approach, such as the delta dynamics, are covered. The second part of the book focuses on the practical challenges in implied volatility modeling, such as capturing the rich patterns of implied volatility surfaces and reducing the complexity of their dynamcis. The reader is introduced to estimation techniques that meet these challenges, namely non- and semiparametric smoothing techniques. Finally, dimension reduction methods are discussed, among them common principal components, functional principal components models and dynamic semiparametric factor models. The book comprises relatively new literature that is mostly available in preprints and papers only, and many of these techniques are from the author’s own research on implied volatility. Throughout the exposition is illustrated with empirical investigations, simulations and figures.

      Semiparametric Modeling of Implied Volatility is recommended to students, researchers and practitioners in finance seeking a concise resource of the current state-of-the art on implied volatility research and modeling, but it should be accessible to novices in Finance as well.

      Available from
      http://www.springer.com/3-540-26234-2