The MathFinance Newsletter, Edition 130, December 23 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. Quantitative/r Analyst/in at Quanteam, Germany
   2. Mathematiker, Physiker oder Wirtschaftsinformatiker: d-fine GmbH, Frankfurt
   3. Chair in Financial Mathematics (Department of Mathematics), London School of Economics and Political Science
   4. Junior Risikocontroller Treasury, IKB Deutsche Industriebank AG, Düsseldorf
2. MathFinance Events
   1. Vinod Kothari Workshop: Securitisation Structuring & Modelling, 27 - 28 Feb 2006, Central London
   2. The Latest Developments: Interest Rate Derivatives & Hybrids Workshop, 20 - 22 Mar 2006, Central London
   3. International Conference on Financial Engineering, March 22-24, 2006, University of Florida, Gainesville
   4. Latest Developments: Credit Derivatives / Credit CPPI & Credit Hybrids, 27 - 29 Mar 2006, Central London
   5. Latest Developments: Equity Derivatives / Stochastic Volatility / Option Variance & Equity Hybrids, 5 - 7 April 2006, Central London
   6. Inflation Linked Derivatives Workshop, 10 - 12 April 2006, Central London
   7. Bachelier Finance Society 2006 Fourth World Congress, August 17-20 2006, Tokyo
3. MathFinance Resources
1. A Course in Derivative Securities by Kerry Back
2. Unified Pricing of Asian Options and its Implementation by Jan Vecer

• 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. 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.

      
      
      

   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. Chair in Financial Mathematics (Department of Mathematics), London School of Economics and Political Science

      Salary will be determined by the Director
      
      Applications are invited for the post of Chair in the Mathematics Department. The appointment will be from September 2006 or as soon as possible thereafter.
      
      The successful applicant will be a mathematician with international standing in financial mathematics. This new appointment represents a major investment by the School to expand the research activity and graduate teaching provision of the Department in the area of financial mathematics and we are looking for an outstanding scholar to lead this development.
      
      Research activity at the LSE is centred primarily in the Social Sciences. The Department's mission is to conduct outstanding research in Mathematics within this context. Information about the Department and its current work can be found at http://www.maths.lse.ac.uk.
      
      Informal enquiries can be made to Professor Martin Anthony, . Further particulars and details of how to apply may be obtained from the Human Resources Division, LSE, Houghton Street, London WC2A 2AE, (telephone 020 7955 6068 or e-mail )
      
      Please Quote Job Reference Number: SA/05/01
      
      Closing Date for applications: 10th February 2006
      
      We value diversity and wish to promote equality at all levels
      
      

   4. Junior Risikocontroller Treasury, IKB Deutsche Industriebank AG, Düsseldorf

      Für unseren Bereich "Finanzen, Controlling und Steuern" in unserer Zentrale in Düsseldorf suchen wir für das Team "Marktpreisrisikocontrolling und Aktiv-/Passivsteuerung" - zunächst befristet für 2 Jahre - einen (w/m)

      Junior Risikocontroller Treasury
      
      Aufgaben
      
      
      • Sicherstellung der täglichen Bewertung der Finanzinstrumente
      • Aufnahme neuer Produkte in die Bewertungsinfrastruktur und deren Weiterentwicklung
      • Dokumentation und Validierung der verwendeten Methoden
      • Durchführung von Marktgerechtheitsprüfungen
      • Mitarbeit bei der Erstellung des laufenden Reporting (MaH-Reporting)
      
      
      Profil
      
      
      • Überdurchschnittlich gut abgeschlossenes Studium der Mathematik, Wirtschaftsinformatik oder der Wirtschaftswissenschaften mit quantitativem Schwerpunkt
      • Wünschenswert wären erste Berufserfahrungen im Risikocontrolling, Treasury oder in ähnlichen Bereichen, z.B. auch in Form von einschlägigen Praktika
      • Fundierte Kenntnisse der Finanzmathematik und der Risikomessung
      • Erfahrungen im Umgang mit Datenbanken (Oracle, Access), Tabellenkalkulationssyste-men (Excel)
      • Gute Programmierkenntnisse (objektorientierte Programmierung und VBA)
      • Gute bankbetriebswirtschaftliche Kenntnisse insbesondere in Derivaten und anderen Ka-pitalmarktinstrumenten
      • Ausgeprägte analytische Begabung und Spaß an der Arbeit im Team
      • Englische Sprachkenntnisse in Wort und Schrift
      
      
      Ihre Bewerbungsunterlagen mit Lichtbild und der Angabe Ihres möglichen Einstiegstermins sowie Ihrer Gehaltsvorstellungen richten Sie bitte an die unten stehende Adresse. Oder senden Sie möglichst komplette Attachments zu Händen von Frau Stinner über . Frau Stinner (0211/8221-4374) steht Ihnen als Ansprechpartnerin für Ihre Fragen gerne telefonisch vorab zur Verfügung.
      
      IKB Deutsche Industriebank AG
      Bereich Personal
      Wilhelm-Bötzkes-Str. 1
      40474 Düsseldorf
      
      
   
   
   
2. MathFinance Events
   
   
   
   
   

   1. Vinod Kothari Workshop: Securitisation Structuring & Modelling, 27 - 28 Feb 2006, Central London

      Highlights of Workshop:
      
      

      This is NOT a basic course. The participants must have basic understanding of securitisation structures. A 100% practical course that looks at the financial structure and cash flow models of securitisation transactions Builds models from issuers, servicers and investors viewpoint Participants would be expected to build models for real-life transactions Participants must have good knowledge of Excel. Knowledge of VBA is NOT required for this course. To derive the most out of this course, participants must bring their own laptops/portable computing devices. This course does NOT deal with securitisation law, accounting or taxation, except as may be required for understanding transaction structures.

      Workshop Programme Day 1:
      
      Session 1
      
      
      • Overview of securitisation: securitisation and corporate finance
      • Key principles of securitisation:
      • Isolation of assets
      • Self-liquidating transaction nature
      • Leverage features
      • Securitisation and cost of funding
      • Key motivations in securitisation
      • Limitations of securitisation
      • Securitisation and investor experience so far
      
      
      Session 2
      
      
      • Introduction to transaction structure
      • Pass through and pay-through bonds
      • Structural credit enhancements
      • Profit extraction devices
      • Waterfall and its impact on the transaction structure
      
      
      Session 3
      
      
      • The cash flow model of a simple pass through transaction
      • Impact of the pass through nature on the payback pattern for investors
      • Impact of defaults, delays and prepayments
      • Introducing cash reinvestments and other asset-liability mismatches; impact thereof on the transaction economics
      • The disparity in seller and investor concerns: value of residual interest, weighted average cost of the transaction and the duration and investor returns
      • Time tranching of liabilities and impact thereof
      • Impact of different forms of credit enhancement and selecting the ideal mix
      
      
      Session 4
      
      
      • Prepayment rates and default rates as a function of time and seasoning
      • Determination of prepayment and default rates from historical data
      • Stress-testing of the key variables - determining the stress levels
      • Rating agencies - approach to rating - reduction of the tail risk
      
      
      Session 5
      
      
      • Testing the risk of wholesale portfolios
      • Binomial distributions and Poisson distributions
      • Applying binomial and Monte Carlo approaches to probability of default
      • Modeling of a CDO portfolio
      
      
      Session 6
      
      
      • Modeling of a real life RMBS transaction
      • Modeling of a revolving transaction structure:
      • Credit cards
      • Consumer finance transactions
      
      
      Workshop Programme Day 2:
      
      Session 7
      
      
      • Forms of credit enhancement and their impact
      • Excess spread versus over-collateralisation
      • Excess spread as soft credit enhancement do rating agencies give due credit to excess spread?
      • Cash reserve its impact
      • Cash reserve versus overcollateralisation
      • Minimisation of the weighted average cost of funding
      
      
      Session 8
      
      
      • Introduction to synthetic transactions
      • Concept of credit derivatives use of credit derivatives to create synthetic assets
      • llustration of applying the synthetic technology
      
      
      Session 9
      
      
      • Applying the synthetics technology to securitisation
      • splitting of risks from the funding of the assets
      • Illustration of a synthetic balance sheet CDO
      • Modeling of a synthetic balance sheet CDO
      
      
      Session 10
      
      
      • Synthetic arbitrage transactions
      • Case study of a synthetic arbitrage CDO
      • Modeling of a synthetic arbitrage CDO
      
      
      Session 11
      
      
      • Investor analytics
      • Relevance of the duration and weighted average maturity
      • Impact of prepayment rate on investor returns
      • Understanding the implicit callability feature and computation of the option-adjusted spread
      
      
      Participants will be expected to build models of several real life transactions.
      
      Contact: Neil Fowler
      T: +44(0) 1273 674400 F: +44(0) 1273 672333
      Weblink: http://www.wbstraining.com/index.php?m=WORKSHOPS&p=courses/ssm.php
      Website: http://www.wbstraining.com
      
      Email:
      
      

   2. The Latest Developments: Interest Rate Derivatives & Hybrids Workshop, 20 - 22 Mar 2006, Central London

      Day 1: Interest Rate Modelling: From Basic - Hybrids Workshop
      
      Presenters:
      
      Dorje C. Brody: Royal Society University Research Fellow, Imperial College London
      Lane P Hughston: Professor of Financial Mathematics, King's College London
      
      Topics Covered:
      
      
      • Interest-rate modelling: the basics
      • Applications: short rate models, positive-interest models, chaotic models
      • Interest rate and foreign exchange hybrids
      • Conditional variance models for foreign-exchange volatility
      • Interest rate and inflation hybrids
      • Payout structures for inflation-linked hybrid products
      • Interest rate and credit hybrids
      • Market-information models for credit-linked structures
      
      
      Day 2: Latest Developments: Interest Rate Modelling Techniques
      
      Presenters:
      
      Claudio Albanese: Chair of Mathematical Finance, Imperial College London
      Dariusz Gatarek: Glencore International
      Fabio Mercurio: Head of Financial Models, Banca IMI
      Raoul Pietersz: Senior Derivatives Researcher, ABN Amro
      
      Topics Covered:
      
      
      • Stochastic volatility term structure models for callable swaps
      • Modeling challenges with callable swaps
      • The Swaption Smile and CMS Convexity Adjustments
      • Introducing the displaced diffusion LIBOR model with uncertain shifts
      • Approximations of Libor market model
      • Linear and Nonlinear Pricing of Swaptions
      • Generic and CMS Market Models and Measures
      • Extending LIBOR and swap market models
      
      
      Day 3: Latest Developments: Interest Rate Hybrid Products
      
      Presenters:
      
      Alain Chebanier: Head, FX and Commodities Derivatives Research, Deutsche Bank
      Messaoud Chibane: Senior Quantitative Analyst, Bank of America
      Chris Hunter: Managing Director, BNP Paribas
      Jakob Sidenius: Senior Quantitative Analyst, Royal Bank of Scotland
      
      Topics Covered:
      
      
      • On the Term Structure of Portfolio Loss Distributions
      • FX Hybrids Modelling
      • Modelling the long-dated FX smile
      • Skew dynamics on FX and interest rates
      • Impact of skew dynamics on exotics
      • Correlation Smile and Hybrid Pricing
      • Evolution of the Correlation Smile
      
      
      Fees: Workshops: £999:00
      Register to ANY ONE day TWO days or all THREE days of the workshop
      Register to ANY TWO days of the workshop and receive £200 discount
      Register to ALL THREE workshop days and receive £300 discount
      
      Contact: Neil Fowler
      T: +44(0) 1273 674400 F: +44(0) 1273 672333
      Weblink: http://www.wbstraining.com/index.php?m=WORKSHOPS&p=courses/irdh.php
      Website: http://www.wbstraining.com
      
      Email:
      
      

   3. International Conference on Financial Engineering, March 22-24, 2006, University of Florida, Gainesville

      Date: March 22-24, 2006
      Location: Hilton Hotel - Conference Center, University of Florida, Gainesville, FL
      Organizers: Prof. Farid AitSahlia and Prof. Stan Uryasev, Risk Management and Financial Engineering Lab, University of Florida.
      
      

      The conference will provide a forum for state-of-the-art results and the latest advances in financial engineering, including market, credit, and operational risk; algorithms and techniques for portfolio optimization, pricing and hedging of various financial instruments, derivatives on traded as well as non-traded securities, trading algorithms, and others. Conference website: http://www.ise.ufl.edu/rmfe/events/qf2006/index.htm.

      The conference will be preceded by the International Workshop: “Tutorials on Financial Engineering” on March 20-21, 2006.

      The workshop will consist of tutorials on selected topics of risk management and financial engineering given by prominent researchers:
      • Prof. R Tyrrell Rockafellar (University of Washington, USA),
      • Prof. John Birge (University of Chicago, USA),
      • Dr. Craig Friedman (Standard and Poor's, USA),
      • Prof. Jay R. Ritter (University of Florida, USA) ,
      • Prof. Stan Uryasev (University of Florida, USA),
      • Dr. Ursula Theiler (Risk Training, Germany),
      • Prof. Valery Kholodnyi (Middle Tennessee State University, USA),
      • Dr. Alex Kreinin (Algorithmics Inc., Canada).
      
      
      Workshop website: http://www.ise.ufl.edu/rmfe/events/ws2006/index.htm.
      
      

   4. Latest Developments: Credit Derivatives / Credit CPPI & Credit Hybrids, 27 - 29 Mar 2006, Central London

      Day 1: Credit Derivatives: From Basic - Hybrids Workshop
      
      Presenter: Philipp Schönbucher, Assistant Professor, Risk Management, (ETH) Zurich
      
      Topics Covered:
      
      
      • Single-Name Credit Risk Models
      • Term structures of hazard rates and credit spreads, implied survival probabilities
      • Structural models, Merton, Black-Cox, Credit-Equity hybrids and latest developments in structural models.
      • Portfolio Credit Risk Models
      • Basic model-free Single-Tranche CDO pricing relationships
      • Copula models, Gauss copula, the market standard model, implied correlation.
      • Numerical techniques for factor models: Convolution, Fast Fourier Transforms
      • Numerical techniques for simulation models: Importance sampling, sensitivities with Likelihood-ratio methods
      
      
      Day 2: Latest Developments: Credit Derivatives Modelling Techniques
      
      Presenters:
      Jon Gregory: Global Credit Derivatives: Barclays Capital
      Dominic O’Kane: Head of Fixed Income Quantitative Research, Lehman Brothers
      David Shelton: Director, Global Credit Derivatives Research, Citigroup
      
      Topics Covered:
      
      
      • Complete overview of Modelling Correlation Skews
      • The Gaussian Copula Model and Beyond
      • Correlation Market Dynamics and Skew Models
      • A Correlation Skew Model with Sensible Dynamics
      • Comparing Base Correlation with Market Dynamics
      • Latest developments in CDOs
      • Bespoke CDO Pricing- Determining the Correlation Skew from Portfolio Composition
      
      
      Day 3: Latest Developments: Credit CPPI & Credit Hybrid Products
      
      Presenters:
      
      Rishad Ahluwalia Structured Products Research, JPMorgan Securities
      Claudio Albanese: Chair of Mathematical Finance, Imperial College London
      Didier Campant: Credit Structurer, Associate Director, BNP Paribas
      Philipp Schönbucher, Assistant Professor, Risk Management, (ETH) ZURICH
      
      Topics Covered:
      
      
      • Market overview of Credit CPPI
      • Portfolio Insurance Strategies and CDOs
      • An introduction to Credit SPI/CPPI
      • The Loss-Market-Model: Pricing Portfolio-Credit - Interest-Rate Hybrids and exotic Portfolio Credit Derivatives
      • Applications of the Model: Forward-starting CDOs, Options on Indices, Options on Tranches, Hybrid Products with Credit Correlation Components.
      • Dynamic Credit Correlation Models and Hybrids
      • Intrinsic Credit-Equity Hybrids: EDSs and Convertible Bonds
      • Extrinsic Hybrids: Mezzanine Swaps and Credit Linked Options
      
      
      Contact: Neil Fowler
      T: 44(0) 1273 674400 F: 44(0) 1273 672333
      Weblink: http://www.wbstraining.com/index.php?m=WORKSHOPS&p=courses/ldcd.php
      Website: http://www.wbstraining.com
      Email:
      
      Fees: Workshops: £999:00
      Register to ANY ONE day TWO days or all THREE days of the workshop
      Register to ANY TWO days of the workshop and receive £200 discount
      Register to ALL THREE workshop days and receive £300 discount
      
      

   5. Latest Developments: Equity Derivatives / Stochastic Volatility / Option Variance & Equity Hybrids, 5 - 7 April 2006, Central London

      Day 1: Equity Derivatives: From Basic - Hybrids Workshop
      
      Presenter: Oliver Brockhaus: Head of Equity Financial Engineering, Commerzbank Corporates & Markets
      
      Topics Covered:
      
      
      • From market to model: Basics
      • Complete smile models
      • Stochastic volatility
      • Monte Carlo
      • Correlation
      • Hybrids
      
      
      Day 2: Latest Developments: Equity Derivatives Modelling Techniques
      
      Presenters:
      Frédéric Abergel: Head of Equity Derivatives Quant Analytics: Ixis-cib
      Sebastien Bossu, VP, Global Equity Derivatives, Dresdner Kleinwort Wasserstein
      Daniel Bloch: Manager, Barclays Capital
      Nicolas Mougeot: Senior Derivatives Analyst, BNP Paribas
      
      Topics Covered:
      
      
      • Understanding option trading and variance swaps
      • Options on quadratic payoffs within Affine and Quadratic models
      • A proper dynamic for the variance swap within the class of Affine and Quadratic models
      • 3rd generation volatility products: variance swaps and beyond
      • The emergence of variance swaps and their valuation
      • Comparison of calibration and hedge performances for various stochastic volatility models
      • Requirements for a “good” stochastic volatility modelling
      • LSV model: theoretical and practical issues
      
      
      Day 3: Latest Developments: Equity Hybrid Products
      
      Presenters:
      Claudio Albanese: Chair of Mathematical Finance, Imperial College London
      Damiano Brigo: Head of Credit Models: Banca IMI
      Tariq Dennison: Vice President, Bear Sterns
      Representative: AXA-IM
      
      Topics Covered:
      
      
      • Equity Derivatives and Hybrids
      • Almost stationary calibration and forward start skews
      • Latest Developments CPPI
      • Credit Default Swap Calibration and Equity Swap Valuation with a time varying Black-Cox type Structural Model
      • Complete overview of Interest Rate / Equity Hybrids
      
      
      Fees: Workshops: £999:00
      Register to ANY ONE day TWO days or all THREE days of the workshop
      Register to ANY TWO days of the workshop and receive £200 discount
      Register to ALL THREE workshop days and receive £300 discount
      
      Contact: Neil Fowler
      T: 44(0) 1273 674400 F: 44(0) 1273 672333
      Weblink: http://www.wbstraining.com/index.php?m=WORKSHOPS&p=courses/lde.php
      Website: http://www.wbstraining.com
      Email:
      
      

   6. Inflation Linked Derivatives Workshop, 10 - 12 April 2006, Central London

      Day 1: Introducing Inflation-linked Securities and Derivatives: Introductory / Intermediate
      
      Presenters: Dr David Murphy & Dr Andrew Street: Value Consultants Limited
      
      Topics Covered:
      
      
      • Inflation and Inflation-Linked Bonds
      • Investors and the Demand for Inflation-Linked Products
      • Inflation-Linked Securities and Derivatives: Perspectives for Traders and Issuers
      • Inflation Swaps and Inflation-Link Product
      • Structuring Building the Inflation Curve
      • Pricing and Trading Options on Inflation
      
      
      Day 2: Latest Developments: Inflation-linked Derivatives
      
      Presenters:
      
      Jeroen Kerkhof: Quantitative Fixed Income Research, Lehman Brothers
      Dariush Mirfendereski: Head of Inflation Linked Trading, UBS
      Stephane Salas: Head of Inflation Trading, Societe Generale
      
      Topics Covered:
      
      
      • Inflation Derivatives Explained
      • Valuation and risk of structured inflation products
      • Practical Perspectives on Pricing, Trading, and Hedging Inflation-Indexed Derivatives - from the Dark Ages to the Present
      • The Road Ahead: what to watch out for in this fast developing market
      • The European Inflation Swaps market: From Exotic to Vanilla in just two years
      • Correlation trading: The future of inflation relative value trading?
      
      
      Day 3: Latest Developments: Inflation-linked Derivatives
      
      Presenters:
      
      Mark Capleton: Head of Inflation Linked Research, The Royal Bank of Scotland
      Lane P Hughston: Professor of Financial Mathematics, King's College London
      Alan James: Head of Inflation Linked Research, Barclays Capital
      
      Topics Covered:
      
      
      • Models for real interest rates and inflation: New Directions
      • General theory of inflation dynamics
      • "Hidden variables" models for inflation
      • Real Yield Determinants - How Did We Get Here?
      • Modelling the behaviour of real yield spreads between markets
      • The real yield beta term structure - puzzles and illusions
      • Broadening the usage of Inflation Products
      • Using Inflation linked forwards
      
      
      Fees: Workshops: £999:00
      Register to ANY ONE day TWO days or all THREE days of the workshop
      Register to ANY TWO days of the workshop and receive £200 discount
      Register to ALL THREE workshop days and receive £300 discount
      
      Contact: Neil Fowler
      T: 44(0) 1273 674400 F: 44(0) 1273 672333
      Weblink: http://www.wbstraining.com/index.php?m=WORKSHOPS&p=courses/ild.php
      Website: http://www.wbstraining.com
      Email:
      
      

   7. Bachelier Finance Society 2006 Fourth World Congress, August 17-20 2006, Tokyo

      General Information of Bachelier Finance Society 2006 4th World Congress
      
      Date: August 17(Thursday) - August 20(Sunday), 2006
      Venue: National Center of Sciences (Hitotsubashi University, ICS)
      [Address] 2-1-2 Hitotsubashi, Chiyoda-ku, Tokyo 101-8439, Japan
      
      Plenary Speakers:
      • Peter Carr
      • Freddy Delbaen
      • Paul Glasserman
      • Monique Jeanblanc
      • Arturo Kohatsu-Higa
      • José A. Scheinkman
      • H. Mete Soner
      • Thaleia Zariphopoulou
      
      
      Special Speaker: Shinzo Watanabe
      
      Scientific/Organizing Committee:
      
      
      • René Carmona
      • Hélyette Geman
      • Shigeo Kusuoka
      • Marek Rutkowski
      • Steven E. Shreve
      • Nizar Touzi
      
      
      Local Organizing Committee:
      
      
      • Takeaki Kariya
      • Yoshio Miyahara
      • Katsushige Sawaki
      • Takahiko Fujita
      • Jiro Akahori
      
      
      Conference Organizer: Ryozo Miura (Hitotsubashi University, ICS)
      
      Deadline for Submission of Contributed Papers: January 16th, 2006
      
      Submission of Contributed Papers
      
      

      We invite both academics and practitioners to submit your contributed paper on all topics of mathematical finance for the Bachelier Finance Society 2006 Fourth World Congress (BFS2006 4th World Congress). Authors who wish to present a paper at the BFS2006 4th World Congress are requested to submit their application with the extended abstract to the conference organizer by January 16, 2006.

      For further information with regard to the submission procedure please refer to:
      http://bachelier.ics.hit-u.ac.jp/submission.html
      
      For Further Information
      
      Please contact BFS2006 4th World Congress Administration at
      
      BFS2006 4th World Congress Website: http://bachelier.ics.hit-u.ac.jp/index.html
      
      
3. MathFinance Resources
   
   
   
   
   

   1. A Course in Derivative Securities by Kerry Back

      Publisher: Springer-Verlag
      Format: Hardcover
      Pages: 355
      
      Book review:
      
      

      Okay, there are numerous financial engineering textbooks on the market. A lot of them are excellent, and this one is too. How do you pick the right one for self study or for a course you may need to teach? My job is to help you answer that question, so what can I say about this book?

      It is a practical introduction to the mathematics of financial engineering. It has no introductory narrative about financial markets, the roles of market participants or basic derivative instruments—the material covered in Kolb (2002) or the first half of Hull (2005). It focuses on the pricing material covered in the second half of Hull, and it does a much better job of it. If you want a serious introduction to the mathematics of derivatives pricing, consider this an excellent Hull alternative.

      Accordingly, the book should be used in the second semester of a two semester course on derivatives or it should be used by someone who already has considerable familiarity with derivatives markets. The level is suitable for a senior college student studying mathematics or a first year graduate student studying finance.

      Back's focus is on showing readers how to use the fundamental theorem of asset pricing to value instruments, which is pretty much what you want to know to be a financial engineer. He doesn't bother with measure theory or the nitty-gritty probability theory that often bogs down other books. There is no talk of sample spaces, filtrations or Radon-Nikodym derivatives, which aren't really relevant for practical financial engineering anyway. Results tend to be stated rather than proven, but the author is careful to develop concepts in a logical and largely intuitive manner. He also provides VBA code and plenty of exercises to practice concepts on.

      The author's real strength is motivating individual concepts. He is not as strong at the "forest-for-the-trees" sort of overall motivation. If you already have a general familiarity with financial engineering (or the book will be used in a course where the professor can provide such macro motivation) you won't mind at all.

      This is not a hand-waving, watered down intuitive introduction to financial engineering. It is very serious about getting readers to a point where they can start implementing models. The author describes the book as perhaps "cook-bookish," but I think he is being unfair to himself. You will come away from this book with far more understanding than that label implies.

      How does the book compare with similar offerings? Roman (2005) focuses more on concepts from probability theory and does not delve as much into actual financial engineering models. Bingham and Kiesel (2004) is for more mathematically sophisticated readers, but it will get you deeper into practical financial engineering models. Books like Baxter and Rennie (1996), Chriss (1997), Neftci (2000) and Joshi (2003) are mostly intuitive, but any would be nice for obtaining that forest-for-the-trees familiarity with financial engineering that will be essential for getting through this book.

      Researchers may want a more theoretical book than this. For budding practitioners who have the necessary prerequisites, this book is an outstanding portal to the mathematics of financial engineering as it is practiced today. [10/24/05]

      Contents
      
      
      • Introduction to option pricing
        
        
        1. Asset pricing basics
        2. Continuous-time models
        3. Black-Scholes
        4. Estimating and modelling volatility
        5. Introduction to Monte Carlo and binomial models
      
      
      
      • Advanced option pricing
        
        
        1. Foreign exchange
        2. Forward, futures, and exchange options
        3. Exotic options
        4. More on Monte Carlo and binomial valuation
        5. Finite difference methods
      
      
      
      • Fixed income
        
        
        1. Fixed income concepts
        2. Introduction to fixed income derivatives
        3. Valuing derivatives in the extended Vasicek model
        4. A brief survey of term structure models
      
      
      
      • App. A Programming in VBA
      
      
      
      • App. B Miscellaneous facts about continuous-time models
      
      
      URL: http://www.riskbook.com/link_topic/best_of_2005.htm
      
      

   2. Unified Pricing of Asian Options and its Implementation by Jan Vecer

      This is the Mathematica implementation of the method for pricing discretely or continuously sampled Asian options as described in my paper Vecer, J. (2002) "Unified Asian Pricing", Risk, Vol. 15, No. 6, 113-116.
      
      Abstract:
      
      

      A simple and numerically stable 2-term partial differential equation characterizing the price of any type of arithmetically averaged Asian option is given. The approach includes both continuously and discretely sampled options and it is easily extended to handle continuous or discrete dividend yields. In contrast to present methods, this approach does not require to implement jump conditions for sampling or dividend days.

      Jan Vecer
      Department of Statistics
      Columbia University
      
      Homepage: http://www.stat.columbia.edu/~vecer/