The MathFinance Newsletter, Edition 131, January 13 2006.
Previous editions and this edition in html format can be found on
http://www.mathfinancenews.com/.
In this issue:
- MathFinance Job Exchange
- MathFinance Events
- Vinod Kothari Workshop: Securitisation Structuring & Modelling, 27 - 28 Feb 2006, Central London
- The Latest Developments: Interest Rate Derivatives & Hybrids Workshop, 20 - 22 Mar 2006, Central London
- International Conference on Financial Engineering, March 22-24, 2006, University of Florida, Gainesville
- Frankfurt MathFinance Workshop 27-28 March 2006
- Latest Developments: Credit Derivatives / Credit CPPI & Credit Hybrids, 27 - 29 Mar 2006, Central London
- Latest Developments: Equity Derivatives / Stochastic Volatility / Option Variance & Equity Hybrids, 5 - 7 April 2006, Central London
- Inflation Linked Derivatives Workshop, 10 - 12 April 2006, Central London
- Bachelier Finance Society 2006 Fourth World Congress, August 17-20 2006, Tokyo
- MathFinance Resources
- "Extreme Financial Risks From Dependence to Risk Management" by Malevergne, Yannick, Sornette, Didier
- LaTeX Beamer
- New book by John Schoenmakers: Robust Libor Modelling and Pricing of Derivative Products
- GNU Octave: a high-level language, primarily intended for numerical computations
- Finance and Stochastics, Volume 10, Number 1
- Quantitative Finance, Volume 5, Number 6
- 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:
- MathFinance Job Exchange
-
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:![[spam save email]](http://mathfinance.de/email.png.php?id=5)
Homepage:http://www.d-fine.de -
Trainee in der Bankgesellschaft Berlin
This position has been filled.
-
Business Analyst / Support Analyst in der Bankgesellschaft Berlin
This position has been filled.
-
Equity Derivatives Quantitative Analyst, WestLB AG
Wir gehören zu den führenden deutschen Banken in der Emission und im Handel Strukturierter Kapitalmarktprodukte. Für unser erfolgreiches Team Handel/Engineering im Bereich Aktienderivate suchen wir einen Quantitativen Analysten.
Zu Ihren Kernaufgaben zählen:
- Implementierung und Entwicklung von Bewertungsmodellen für Aktienderivate und Hybride Produkte
- Analyse von Trading- und Hedgingstrategien in enger Zusammenarbeit mit dem Handel
- Beratung von Handel und Sales bei der Einführung neuer Produkte
Aus unserer Sicht sind folgende Fähigkeiten Grundvoraussetzung für diese Position:
- Diplom oder Prom. in der Mathematik oder Physik
- Gute Kenntnisse in der Stochastischen Analysis
- Erfahrung mit Finite Differenzen Verfahren und Monte Carlo Methoden
- Programmierkenntnisse in C++
Idealerweise verfügen Sie über
- Kenntnisse in fortgeschrittenen finanzmathematischen Modellen (z.B. Heston, Dupire, BGM)
- Erste Berufserfahrung und/oder interessante Praktika
In einem effizienten Team werden Sie schnell Verantwortung übernehmen.
Bewerbungen richten Sie bitte per E-mail oder Post an Herrn Andreas Gaida
WestLB AG
Equity Markets
Equity Derivatives Trading/Engineering
001-36310
Herzogstraße 15
D - 40217 Düsseldorf
Tel.: +49 211 826 2224
Fax: +49 211 826 71144
[mailto:![[spam save email]](http://mathfinance.de/email.png.php?addr=andreas__gaida_xx_westlb__de)
]
-
- MathFinance Events
-
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:![[spam save email]](http://mathfinance.de/email.png.php?addr=neil_xx_wbstraining__com)
-
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:
-
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. -
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 -
Frankfurt MathFinance Workshop 27-28 March 2006
This year with Oliver Brockhaus, Peter Carr, Stephen Taylor, Robert Tompkins, Jan Vecer and many others.
Registration is now open.
More information is available at
http://workshop.mathfinance.de -
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:
-
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:
-
Bachelier Finance Society 2006 Fourth World Congress, August 17-20 2006, Tokyo
Notice: Submission Deadline Extended to 30th January from 16th January
Due to internet server maintenance at Hitotsubashi University, BFS2006 website and e-mail server will be out of service from January 13th, 10pm to January 16th, 10am. Considering the possibility of any confusion possibly caused by the Internet server maintenance, BFS2006 4th World Congress Organizer will extend the deadline for the application submission from January 16 to January 30, 2006.
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 30, 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![[spam save email]](http://mathfinance.de/email.png.php?addr=bfs2006_xx_ics__hit-u__ac__jp)
BFS2006 4th World Congress Website: http://bachelier.ics.hit-u.ac.jp/index.html
-
- MathFinance Resources
-
"Extreme Financial Risks From Dependence to Risk Management" by Malevergne, Yannick, Sornette, Didier
2006, XVI, 312 p. 62 illus., Softcover
ISBN: 3-540-27264-X
About this book
Portfolio analysis and optimization, together with the associated risk assessment and management, require knowledge of the likely distributions of returns at different time scales and insights into the nature and properties of dependences between the different assets.
This book offers an original and thorough treatment of these two domains, focusing mainly on the concepts and tools that remain valid for large and extreme price moves. Strong emphasis is placed on the theory of copulas and their empirical testing and calibration, because they offer intrinsic and complete measures of dependences.
Extreme Financial Risks will be useful to:- students looking for a general and in-depth introduction to the field;
- financial engineers, economists, econometricians, actuarial professionals;
- researchers and mathematicians looking for a synoptic view comparing the pros and cons of different modelling strategies; and
- quantitative practitioners for the insights offered on the subtleties and the many dimensional components of both risk and dependence.
In toto, the content of this book will also be useful to a broader scientific community interested in quantifying the complexity of many natural and artificial processes in which a growing emphasis is on the role and importance of extreme phenomena.
Table of contents
- On the Origin of Risks and Extremes
- Marginal Distributions of Returns
- Notions of Copulas
- Measures of Dependences
- Description of Financial Dependences With Copulas
- Measuring Extreme Dependences
- Summary and Outlook
-
LaTeX Beamer
The beamer class is a LaTeX class that allows you to create a beamer presentation. It can also be used to create slides. It behaves similarly to other packages like Prosper, but has the advantage that it works together directly with pdflatex, but also with dvips.
Once you have installed the beamer class, the basic steps to create a beamer presentation are the following:
- Specify beamer as document class instead of article.
- Structure your LaTeX text using \section and \subsection commands.
- Place the text of the individual slides inside \frame commands.
- Run pdflatex on the text (or latex and dvips).
The beamer class has several useful features: You don't need any external programs to use it other than pdflatex, but it works also with dvips. You can easily and intuitively create sophisticated overlays. Finally, you can easily change the whole slide theme or only parts of it.
Downloading and Further Information
For downloading the beamer class, go to the SourceForge summary page here https://sourceforge.net/projects/latex-beamer/. There you you can also submit bug reports, request new features to be implemented, download the documentation, join mail lists, and many other stuff. -
Octave
GNU Octave is a high-level language, primarily intended for numerical computations. It provides a convenient command line interface for solving linear and nonlinear problems numerically, and for performing oth
er numerical experiments using a language that is mostly compatible with Matlab. It may also be used as a batch-oriented language.Octave has extensive tools for solving common numerical linear algebra problems, finding the roots of nonlinear equations, integrating ordinary functions, manipulating polynomials, and integrating ordinary differential and differential-algebraic equations. It is easily extensible and customizable via user-defined functions written in Octave's own language, or using dynamically loaded modules written in C++, C, Fortran, or other languages.
GNU Octave is also freely redistributable software. You may redistribute it and/or modify it under the terms of the GNU General Public License (GPL) as published by the Free Software Foundation.
Octave was written by John W. Eaton and many others. Because Octave is free software you are encouraged to help make Octave more useful by writing and contributing additional functions for it, and by reporting any problems you may have.
More information about Octave's history is available on this page http://www.octave.org/. -
New book by John Schoenmakers: Robust Libor Modelling and Pricing of Derivative Products
Synopsis
The Libor market model remains one of the most popular and advanced tools for modelling interest rates and interest rate derivatives, but finding a useful procedure for calibrating the model has been a perennial problem. Also the respective pricing of exotic derivative products such as Bermudan callable structures is considered highly non-trivial. In recent studies, author John Schoenmakers and his colleagues developed a fast and robust implied method for calibrating the Libor model and a new generic procedure for the pricing of callable derivative instruments in this model. Within a compact, self-contained review of the requisite mathematical theory on interest rate modelling, Robust Libor Modelling and Pricing of Derivative Products introduces the author's new approaches and their impact on Libor modelling and derivative pricing. Discussions include economically sensible parametrisations of the Libor market model, stability issues connected to direct least-squares calibration methods, European and Bermudan style exotics pricing, and lognormal approximations suitable for the Libor market model. A look at the available literature on Libor modelling shows that the issues surrounding This book fills these gaps and with clear illustrations, examples, and explanations, offers new methods that surmount some of the Libor model's thornier obstacles.
Available for example from Chapman & Hall/CRC:
http://www.crcpress.com/shopping_cart/products/product_contents.asp?id=&parent_id=&sku=C441X&pc= -
Finance and Stochastics, Volume 10, Number 1
Publisher: Springer-Verlag GmbH
ISSN: 0949-2984 (Paper) 1432-1122 (Online)
Date: January 2006
- An exact analytical solution for discrete barrier options - Gianluca Fusai, I. David Abrahams, Carlo Sgarra
- Iterative construction of the optimal Bermudan stopping time - Anastasia Kolodko and John Schoenmakers
- Generalized deviations in risk analysis - R. Tyrrell Rockafellar, Stan Uryasev, Michael Zabarankin
- Utility maximization and risk minimization in life and pension insurance - Peter Holm Nielsen
- Financial equilibria in the semimartingale setting: Complete markets and markets with withdrawal constraints - Gordan Žitkovic
- Optimal portfolio of low liquid assets with a log-utility function - Koichi Matsumoto
- Utility maximization under increasing risk aversion in one-period models - Patrick Cheridito and Christopher Summer
URL: http://www.springerlink.com/ -
Quantitative Finance, Volume 5, Number 6
Publisher: Routledge, part of the Taylor & Francis Group
Issue: Volume 5, Number 6 / 02 January 2006
- Statistical properties of demand fluctuation in the financial market - Kaushik Matia and Kazuko Yamasaki
- Two phase behaviour and the distribution of volume - Vasiliki Plerou, Parameswaran Gopikrishnan†, H. Eugene Stanley
- Moment swaps - Wim Schoutens
- Valuation of volatility derivatives as an inverse problem - Peter Friz and Jim Gatheral
- Multiple equilibria in a monopoly market with heterogeneous agents and externalities - Jean-Pierre Nadal, Denis Phan, Mirta B. Gordon, Jean Vannimenus
- Price return autocorrelation and predictability in agent-based models of financial markets - Damien Challet and Tobias Galla
- Non-parametric determination of real-time lag structure between two time series: the ‘optimal thermal causal path’ method - Didier Sornette and Wei-Xing Zhou
URL: http://www.journalsonline.tandf.co.uk/(4hvl3y45dxctrr555jq4o1yf)/app/home/journal.asp?referrer=parent&backto=linkingpublicationresults,1:111405,1
-
