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The MathFinance Newsletter #132

The MathFinance Newsletter, Edition 132, January 30 2006.

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

In this issue:

Never leave out an opportunity to recommend http://www.mathfinance.de/ or to forward the MathFinance Newsletter to a friend. Please , if you want to

place a student
recommend your book or educational institute
find a quant
invite to a workshop
contribute to our website
pose questions about mathematical finance
introduce your research to a wider audience

The MathFinance Newsletter: Established November 1999

Editor: Uwe Wystup, MathFinance
Assistant Editors: Susanne Griebsch, HfB, Frankfurt
Database Solutions: Dr. Thorsten Schmidt, Leipzig University

In detail:

MathFinance Job Exchange
1. 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
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 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 praktische Erfahrung im Umgang mit Produkten aus dem Investment Banking , insbesondere Convertibles und strukturierte Zertifikate (wünschenswert sind 2-3 Jahre Erfahrung im Risikocontrolling)
  - Kenntnisse in Office-Produkten wie WORD, EXCEL, POWERPOINT und ACCESS, 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
  Was wir bieten
  - Ein hochinteressantes, vielschichtiges Betätigungsfeld
  - Mitarbeit in einem kompetenten und hochmotivierten Team
  - Attraktive Bezahlung und Sozialleistungen
  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
3. Tenure Track Position at the Assistant Professor Level, Department of Mathematics and Statistics, University of Calgary
  
  The University of Calgary invites applications for a tenure track position at the Assistant Professor level in the Department of Mathematics and Statistics, beginning July 1, 2006. A later starting date may be negotiated.
  
  The Department is seeking an outstanding candidate with research expertise in one of the following four categories:
  1. Actuarial science. Applicants should be accredited, or be working towards accreditation in the Society of Actuaries or Casualty Actuarial Society, or in the very least have passed SOA exams M and C.
  2. Discrete Geometry including theory of packing, covering and tiling, theory of polytopes, convex and combinatorial geometry, geometry of numbers, computational geometry and discrete aspects of geometric analysis.
  3. Mathematical Finance, particularly with mathematical and/or computational finance experience of relevance to energy markets. Calgary is a thriving centre for the North American energy industry and there are excellent opportunities within the Mathematical and Computational Finance Laboratory to work on problems of both theoretical and practical importance.
  4. Mathematical analysis and scientific computation, with expertise in differential equations and imaging.
  Exceptional candidates in other fields are also encouraged to apply; however, Canadians and permanent residents will be given priority. The University of Calgary respects, appreciates, and encourages diversity.
  
  The initial closing date is March 1, 2006 but applications will be accepted until the position has been filled.
  
  Candidates are encouraged to apply for the position using the Mathjobs website at http://www.mathjobs.org by March 1, 2006.
  
  Please submit curriculum vitae together with a description of Research Expertise and a short statement about Teaching Philosophy. Applicants should provide at least three letters of recommendation. At least one of these letters should report on the candidate's teaching abilities. Preferably these letters will be submitted through the MathJobs website; they may also be sent directly to:
  The Search Committee,
  Department of Mathematics and Statistics,
  University of Calgary,
  2500 University Drive NW,
  Calgary, Alberta, T2N lN4.
  
  Curriculum vitae may be sent by fax to: (403) 282-5150; or by e-mail to:
  
  All qualified candidates are encouraged to apply; however, Canadians and permanent residents will be given priority.
  
  The University of Calgary respects, appreciates, and encourages diversity.
4. University Lecturer in Mathematical Finance, University of Oxford
  Mathematical and Physical Sciences Division
  Mathematical Institute in association with St Catherine's College
  
  The Mathematical Institute proposes to appoint a University Lecturer in Mathematical Finance with effect from 1 October 2006 or as soon as possible thereafter. The successful candidate will be offered a Tutorial Fellowship by St Catherine's College, under arrangements described in the further particulars. The combined University and College salary will be according to age on a scale up to £47,078 per annum.
  
  The successful candidate will be expected to have a record of internationally excellent research in the field of mathematical finance. He or she will contribute to the Mathematical Finance Programme (which includes a part-time Diploma and MSc course), and teach a wide range of mathematical topics for the College and the Institute.
  Further particulars, containing details of the application procedure and of the duties, may be obtained from the Administrative Assistant (Vacancies), The Mathematical Institute, 24-9 St Giles', Oxford OX1 3LB (email ) or by visiting http://www.maths.ox.ac.uk.
  
  Please quote reference number BK/05/031.
  
  The closing date for applications is 3 February 2006.
  
  The University is an Equal Opportunities Employer
5. Associate (m/w) Advisory für Bewertungsfragen im Financial Risk Management bei Banken Frankfurt
  
  Ihre Perspektive: Ist Risikomanagement bei Banken Ihr Thema? Dann sind Sie bei uns genau richtig.
  
  Ihre Aufgaben: Die Analyse und Entwicklung von Modellen für die Derivatebewertung und das Risikomanagement bilden Ihr Betätigungsfeld. Hier übernehmen Sie frühzeitig Verantwortung in Projekten zur fachlich-orientierten Beratung und Prüfungsunterstützung im Investment Banking, Treasury, Kreditmanagement, Risikocontrolling. Ihr analytisches Verständnis und Ihre Kreativität ermöglichen es Ihnen, innerhalb kurzer Zeit Problemstellungen zu strukturieren und zu lösen. Sie arbeiten in einem hoch qualifizierten und ambitionierten Team. Ihre Arbeitsergebnisse entwickeln und diskutieren Sie mit dem Mandanten, bei dem Sie Ihre Lösungsvorschläge in hochrangig besetzten Gremien präsentieren und vertreten.
  
  Ihr Profil: Sie haben ein Universitätsstudium der Mathematik, Wirtschaftsmathematik, Wirtschaftsingenieurwesen, Physik, BWL oder VWL mit quantitativem Schwerpunkt absolviert und Ihre überdurchschnittliche Qualifikation z.B. durch einen sehr guten Abschluss und/oder eine Promotion bewiesen. Sie haben Interesse an der Weiterentwicklung von Modellen, die die Bewertung und das Risikomanagement von neuen Produkten und in neuen Märkten ermöglichen. Der effiziente Einsatz numerischer Verfahren wie Monte Carlo Simulation und deren Umsetzung in C++ ist Teil Ihrer praktischen Erfahrung. Sie verfügen über außerordentliche analytische Fähigkeiten und haben großen Spaß daran, ständig neue Dinge zu lernen und zielorientiert umzusetzen. Sehr gute Englischkenntnisse setzen wir voraus. Sie sind sicher im Auftreten sowie team- und kundenorientiert. Ein Auslandsaufenthalt und/oder relevante Praktika runden Ihr Profil ab.
  
  Ihr Kontakt: Bewerben Sie sich online auf
  
  http://www.kpmg.de/careers
  
  oder senden Sie Ihre Bewerbung unter Angabe des Referenzcodes: AdvFestFSoJo50204504 an das
  
  Recruiting Team, KPMG,
  Klingelhöferstr. 18,
  10785 Berlin,
  eMail: .
  
  Für weitere Rückfragen steht Ihnen das HR Service Phone unter 0 800 KPMG JOB (0 800 5764 562) zur Verfügung.
  
  Profitieren Sie von den Entwicklungsmöglichkeiten bei KPMG, einem weltweiten Verbund national selbständiger Mitgliedsfirmen. Neben abwechslungsreichen Projekten im In- und Ausland bieten wir Ihnen Raum für Ihre persönliche Weiterentwicklung. Mehr wissen, mehr können - bei uns hat Erfolg, wer team- und mandantenorientiert arbeitet und gleichzeitig seine persönliche Entwicklung vorantreibt.
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. "Behavioural Finance - Is it just Hype?", 15 March 2006, Central London
  Professor Nick Barberis of Yale will be talking about this in the inaugural Warwick Finance Lecture on 15 March 2006, 6pm at The Work Foundation, 3 Carlton House Terrace, Central London.
  
  To find out about this event and to register, please click the link below.
  
  http://www2.warwick.ac.uk/fac/soc/wbs/research/wfri/
  
  Research Co-ordinator
  Warwick Finance Research Institute
  
  E-mail:
  Telephone: +44 (0)24 76524118
  Fax: +44 (0)24 76524167
3. 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:
4. 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.
5. 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
6. 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
7. 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:
8. 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:
9. WBS Training USA Fixed Income Derivatives Week: Inflation Linked Derivatives, Interest Rate/Hybrid Derivatives, Credit Derivatives, CDOs & CDO^2 Workshop Week, 15 - 19 May 2006, New York
  Day 1:
  
  Introducing Inflation-linked Securities and Derivatives: Introductory / Intermediate
  
  Presenters: David Murphy & Andrew Street
  
  Topics Covered:
  - Understanding Inflation
  - Inflation-Linked Securities: The Standard Bond Structure
  - Investors and the Demand for Inflation-Linked Products
  - Inflation-Linked Securities: Perspectives for Traders and Issuers
  - Building the Inflation Curve
  - Structuring Effective Inflation-Linked Products
  - Pricing and Trading Derivatives on Inflation
  Day 2:
  
  Latest Developments of Inflation-linked Derivatives
  
  Presenters:
  
  Gang Hu: Associate Director of U.S. Inflation Trading, Barclays Capital
  Lane P Hughston: Professor of Financial Mathematics, King's College
  Dariush Mirfendereski: Head of Inflation Linked Trading, UBS
  
  Topics Covered:
  - Models for real interest rates and inflation: New Directions
  - General theory of inflation dynamics
  - "Hidden variables" models for inflation
  - 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
  - A Users' Manual on Inflation Derivative Products
  - iStrips
  - Structured Products on the market
  - Potential structures that might be of interest to the market, and general view on the outlook of the inflation derivative market.
  Day 3:
  
  Latest Developments: Interest Rate Derivatives / Interest Rate Hybrid Products
  
  Presenters:
  
  Tariq Dennison: Vice President, Bear Sterns
  Lane P Hughston: Professor of Financial Mathematics, King's College
  Chris Hunter: Managing Director: BNP Paribas
  John Uglum: Executive Director: Morgan Stanley
  
  Topics Covered:
  - Overview of the General Theory of Interest Rate / Hybrid Models
  - Pricing and Hedging of Callable Exotic Swaps
  - The LIBOR market model and stochastic volatility extension
  - Solving the stochastic control problem using Monte Carlo
  - Practical implementation issues and variance reduction techniques
  - Complete overview of Interest Rate / Equity Hybrids
  - Correlation Smile and Hybrid Pricing
  Day 4:
  
  The Latest Developments: Credit Derivatives Presenters:
  
  Jon Gregory: Global Credit Derivatives: Barclays Capital
  Paul Glasserman: Professor of Risk Management, Columbia Graduate School of Business
  Marco Naldi: Lehman Brothers
  
  Topics Covered:
  - The Correlation Skew and Correlation Modelling
  - The Gaussian Copula Model and Beyond
  - The Correlation Skew and Base Correlations
  - Monte Carlo for Credit Risk and Credit Derivatives
  - Fast pricing of basket default swaps
  - Accelerating Monte Carlo by increasing default rates
  - Pricing Exotic Tranches / Relative value trading of liquid tranches
  Day 5:
  
  The Latest Developments: CDOs & CDO^2
  
  Presenters:
  
  Terry Benzschawel: Director of Qualitative Credit Modeling and Analytics, Citigroup
  David Li: Head of Quantitative Analytics Credit Derivatives, Barclays Capital
  Michael liang: Quantitative Analytics Credit Derivatives, Barclays Capital
  Maximo Silberberg: Vice President, Structured Credit, JP Morgan
  
  Topics Covered:
  - Overview of CDOs
  - CDOs: Credit Selection, Trade Construction, and Portfolio Optimization
  - CDO Equity as an Asset Class
  - CDOs in Portfolios of Traditional and Alternative Assets
  - Customizing CDO Tranche Trades
  - Credit Portfolio Correlation Skew Modelling
  - Alternative Bespoke CDO pricings
  - Market overview for synthetic CDO^2
  - CDO2 pricing: Price a CDO2 consistently with the pricing of the underlying CDOs
  - Construction of synthetic CDO^2
  - Further extensions of CDO^2 technology
  Fees: $1399:00 each day
  
  Discount Structure
  
  2 days $200 Discount
  3 days $300 Discount
  4 days $400 Discount
  5 days $600 Discount
  
  Contact:
  
  Neil Fowler
  T: +44(0) 1273 674400 F: +44(0) 1273 672333
  Weblink: http://www.wbstraining.com/?m=WS&p=courses/5daynymay2006.php
  Website: http://www.wbstraining.com
  Email:
10. 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
  
  BFS2006 4th World Congress Website: http://bachelier.ics.hit-u.ac.jp/index.html
MathFinance Resources
1. QuantFinanceJobs.com: a job site for quantitative finance professionals
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2. New book by Schachermayer and Delbaen on The Mathematics of Arbitrage in the Springer Finance Series
  
  This long-awaited book aims at a rigorous mathematical treatment of the theory of pricing and hedging of derivative securities by the principle of 'no arbitrage'. The first part presents a relatively elementary introduction, restricting itself to the case of finite probability spaces. The second part consists of an updated edition of seven original research papers by the authors, which analyse the topic in the general framework of semi-martingale theory.
  Written for:
  
  Practitioners and researchers in mathematics, finance and economics
  
  Keywords:
  - arbitrage
  - change of numeraire
  - fundamental theorem of asset pricing
  - martingale
  - superreplication
  ISBN: 3-540-21992-7
  URL: http://www.springer.com/3-540-21992-7
3. CSharp Compiler
  Mono is an open source cross-platform implementation of Microsoft's .NET Development Framework. It includes a C# compiler (generating .NET virtual machine code, not native code), a runtime for CLR (the Common Language Infrastructure) and a set of libraries. You can embed the runtime into your C# applications. Mono currently works on Linux (both x86 and PPC), Windows, S390, with work being carried on for Strong/ARM and SPARC.
  
  URL: http://www.mono-project.com/CSharp_Compiler

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

"Behavioural Finance - Is it just Hype?", 15 March 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

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

Frankfurt MathFinance Workshop 27-28 March 2006

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

WBS Training USA Fixed Income Derivatives Week: Inflation Linked Derivatives, Interest Rate/Hybrid Derivatives, Credit Derivatives, CDOs & CDO^2 Workshop Week, 15 - 19 May 2006, New York

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

QuantFinanceJobs.com: a job site for quantitative finance professionals

New book by Schachermayer and Delbaen on The Mathematics of Arbitrage in the Springer Finance Series

CSharp Compiler