The MathFinance Newsletter, Edition 144, July 17 2006.

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 Energy Analyst, Stark Investments
   2. Assistant/Associate/Full Professor in Actuarial Science, Tilburg University
   3. Associate (m/w) Advisory für Bewertungsfragen im Financial Risk Management bei KPMG Frankfurt
   4. Mathematiker, Physiker oder Wirtschaftsinformatiker: d-fine GmbH, Frankfurt
2. MathFinance Events
   1. Bachelier Finance Society 2006 Fourth World Congress, August 17-20 2006, Tokyo
   2. The 3rd Fixed Income Conference, Amsterdam, 20 - 22 Sept 2006
   3. Latest Developments: Commodities & Commodity Derivatives by Professor Hélyette Geman, Central London, 2 - 4 Oct 2006
   4. Alternative Risk Transfer, Capital and Liability Solutions for Insurers: An Introduction to Modern Techniques in Liability Driven Investment, Risk Management & Capital Optimisation, Central London, 9 - 11 Oct 2006
   5. The Latest Developments: Interest Rate Derivatives & Hybrids Workshop, 27 - 29 Nov 2006, Central London
   6. Latest Developments: Credit Derivatives / Credit CPPI & Credit Hybrids, 4 - 6 Dec 2006, Central London
   7. Call for papers: Computational Finance World Congress: The First Decade March 26, 2007, London
3. MathFinance Resources
1. The Project Martingale
2. Powerdot

• 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 Energy Analyst, Stark Investments

      Company
      
      

      Stark Investments and its affiliated group of companies encompass investment management and securities trading activities around the world. Based in Milwaukee, Wisconsin, with additional offices in Chicago, New York, Miami, San Francisco, London, Singapore, and Toronto, Stark Investments currently employs approximately 270 people. The Firm provides administrative and investment management services to a family of private investment vehicles with assets in excess of $9.5 billion (USD).

      Stark Investments is comprised of a family of multi-strategy funds that will also encompass real estate, structured finance and private equity. These funds use a variety of investment strategies in order to achieve attractive and non-volatile risk adjusted returns. Among the strategies employed are convertible arbitrage, risk arbitrage and event driven trading, quantitative long/short, fixed income trading, distressed investments and investing in private placement transactions.

      Stark Investments has been at the forefront in developing and applying financial theory, along with information and communication technology, to trading derivatives and equity securities. The dedicated team of financial engineers, software developers, and traders develop proprietary, real-time valuation and risk management systems to price and trade derivatives and equity securities for the funds.

      Position Purpose
      
      We currently seek a quantitative research professional to support and augment our global energy trading and investment efforts.
      
      Responsibilities & Expectations
      
      
      • Collaborate with energy trading team to create short term and long tern trading strategies across natural gas, crude and refined products as well as US electricity, emissions markets and agricultural commodities.
      • Participate in the build out of a global energy platform.
      • Collaborate with credit, long/short equity, and event desks relating to energy exposure.
      • Develop econometric models and statistical trading strategies for the energy team.
      
      
      Qualifications & Requirements
      
      
      • Masters degree (MS in Finance, Statistics or quantitative MBA) required.
      • 3-5 years experience in the energy industry required.
      • Willingness to be exposed to non energy sectors over time would be considered a plus.
      • Fundamental research as well as solid application development skills required.
      • Experience developing statistical trading strategies.
      • Knowledge of MATLAB and/or C would be a plus.
      • Familiarity with industry models such as PROSYM, PROMOD or GPCM would be a plus.
      • Customer and client-service focused.
      • Intellectually curious and motivated to succeed.
      • Ability to manage and prioritize numerous tasks simultaneously.
      
      
      If you are interested in applying, send your resume to:
      
      Jackie Darr
      Director Investments Recruiting
      414-294-7767
      
      
      Stark Investments
      3600 South Lake Drive
      St. Francis, WI 53235
      
      

   2. Assistant/Associate/Full Professor in Actuarial Science, Tilburg University

      At the Department of Econometrics and Operations Research and the Center for Economic Research (CentER) at Tilburg University, a position is available in
      
      Actuarial Science
      (vacancy number 300.2006.12)
      
      

      Depending on qualifications, the position can be filled at the level of tenure track assistant professor, associate professor, or full professor. Candidates must hold a PhD degree and have a publication record in international journals. The successful candidate is likely to have teaching experience at the graduate or postgraduate level. For the associate/full professor level, demonstrated academic leadership in research and teaching is required.

      Information
      
      

      Tilburg University is a specialized institute of learning and research, with emphasis on social sciences and the humanities. The Faculty of Economics and Business Administration is among the strongest in its field in Europe. BSc programs offered include Economics, Business Administration and International Business, Information Management, Econometrics and Operations Research, Fiscal Economics, Business Studies, and International Economics and Finance. The faculty also offers a wide range of postgraduate programs.

      The Department of Econometrics and Operations Research carries out a strongly quantitatively oriented research program. Research directions include Econometrics, Mathematical Finance, Actuarial Science, Statistics, Mathematical Economics, Game Theory, and Operations Research. The members of the department contribute to several educational programs offered by Tilburg University, including the Bachelor's program in Econometrics and Operations Research, the Master's program in Quantitative Finance and Actuarial Sciences, and the Master's Program in Mathematical Economics and Econometric Methods.

      CentER is the research institute of the Faculty of Economics and Business Administration of Tilburg University. More information about CentER can be found at: www.center.nl, where you find links to the Faculty and the University as well. More information about the Department of Econometrics and Operations Research is available at http://www.uvt.nl/faculties/feb/econometrics.

      Terms of employment
      
      

      Depending on qualifications, the available position can be filled at the level of tenure track assistant professor (with a tenure decision after five years), associate professor, or full professor. We offer competitive European salaries. For researchers from outside the Netherlands there exists the possibility of applying for a tax-free allowance equal to 30% of taxable salary. The university will apply for such a tax treatment. CentER and the department will provide assistance in finding suitable accommodation.
      Tilburg University is listed as one of the best non-profit employers in the Netherlands. The university offers excellent fringe benefits, the possibility to determine your benefits individually through a labour choice model, substantial moving costs reimbursement, etc.

      Applications
      
      Applications should be received not later than August 15, 2006. They should include a curriculum vitae including a list of publications and teaching evaluations, if available. Names should be provided of three persons whose reference may be sought. Applications should be sent to Tilburg University, the Personnel Department FEB, room B136, P.O. Box 90153, 5000 LE Tilburg, The Netherlands or . Please mention the vacancy number 300.2006.12 in your application.
      
      For further questions you can contact Prof.dr Hans Schumacher via telephone: +31-13-4662050, telefax +31-13-4663280 or email: , or dr. Anja De Waegenaere via telephone: +31-13-4662913, telefax: +31-13-4663280 or email: .
      
      

   3. Associate (m/w) Advisory für Bewertungsfragen im Financial Risk Management bei KPMG 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.

      
      
      

   4. Mathematiker (m/w), Physiker (m/w) oder (Wirtschafts-)Informatiker (m/w): d-fine GmbH, Frankfurt am Main

      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 150 Beratern und Büros in Frankfurt und London 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, Asset-Manager und Industrieunternehmen beim Aufbau ihrer Handels- und Risikomanagementsysteme sowie der zugehörigen Methoden und Prozesse – von der fachlichen Konzeption bis zur professionellen Implementierung, 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 (m/w). Wir suchen Sie als Mathematiker, Physiker und Wirtschaftsinformatiker. Sie besitzen einen exzellenten Hochschulabschluss, sprechen fließend Englisch und Deutsch und haben weit überdurchschnittliche mathematische Fähigkeiten. Sie haben darüber hinaus sehr gute IT-Kenntnisse und sind idealerweise bereits mit Statistik, Numerik und Finanzmathematik vertraut.

      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 Umgebungen einarbeiten. Sie haben Beratungstalent, hohe Einsatzfreude und sind flexibel und belastbar.

      Selbstverständlich erhalten Sie eine intensive Einführung in Ihr zukünftiges Aufgabenfeld. Wir sind berühmt für unser anspruchsvolles Training auf höchstem Niveau, das wir in Zusammenarbeit mit führenden internationalen Universitäten wie z.B. der University of Oxford, der Warwick Business School, der Hochschule für Bankwirtschaft und dem Imperial College durchführen. Dabei können Sie sogar einen Master of Science (MSc) in Finanzmathematik erwerben.

      Wenn Sie in einem Team hoch begabter und hoch motivierter Kollegen mitarbeiten wollen, große individuelle Freiräume, viel Eigenverantwortung sowie hervorragende Entwicklungsperspektiven suchen, freut sich Yasemin Keles auf Ihre Bewerbung.

      Und durch unser flexibles Wohnortkonzept können Sie sogar Ihren jetzigen Wohnort beibehalten.

      Willkommen bei d-fine!
      
      d-fine GmbH
      z. H. Frau Yasemin Keles
      Opernplatz 2
      60313 Frankfurt am Main
      Telefon: +49-69-90737-0
      E-mail:
      Homepage:http://www.d-fine.de
      
      
   
   
   
2. MathFinance Events
   
   
   
   
   

   1. 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
      
      

   2. The 3rd Fixed Income Conference, Amsterdam, 20 - 22 Sept 2006

      NH Grand Hotel Krasnapolsky, Amsterdam, The Netherlands
      15% Earlybird Discount before 31st May.
      
      

      Due to the huge success of our previous two Fixed Income Conferences in Prague, WBS Training are pleased to announce that we will be heading to Amsterdam in September 2006. The three streamed format will be retained, with Credit Derivatives, Interest Rate Modelling and Hybrid Products streams. This year we will also have four workshops on Wednesday 20th September; Credit Derivatives Modelling, Credit Hybrids, Interest Rate Modelling & Interest Rate Hybrids.

      Confirmed Main Conference Presenter List
      
      
      • Claudio Albanese: Chair of Mathematical Finance, Imperial College London
      • Jesper Andreasen: Heads of Fixed Income Quantitative Research, Bank of America
      • Martin Baxter: Analyst, Fixed Income Quant Group, Nomura International, plc
      • Nordine Bennani: Head of Credit Derivative Quantitative Research, DrKW
      • Damiano Brigo: Head of Credit Models, Banca IMI
      • Aaron Brown: Head of Credit Risk Architecture, Morgan Stanley
      • Dariusz Gatarek: Glencore
      • Helyette Geman: Professor of Finance, University Paris Dauphine & ESSEC
      • Jon Gregory: Global Credit Derivatives: Barclays Capital
      • Patrick Hagan: Brevan Howard
      • Lane P. Hughston: Professor for Financial Mathematics, King's College London
      • Chris Hunter: Hybrids Trader, BNP Paribas
      • Alexander Jackson: Director, Global Credit Quantitative Analysis, Citigroup
      • Peter Jaeckel: Head of Credit, Hybrid, Inflation and Commodity Derivative Analytics, ABN Amro
      • Farshid Jamshidian: University of Twente
      • Jeroen Kerkhof: Vice President, Morgan Stanley
      • Raoul Pietersz: Senior Derivatives Researcher, ABN Amro
      • Vladimir Piterbarg: Head of Fixed Income Quantitative Research, Barclays Capital
      • Antoine Savine: Global Head of Derivatives Research, BNP Paribas
      • Lutz Schloegl: Fixed Income Quantitative Research, Lehman Brothers
      • Philipp Schonbucher: Assistant Professor of Risk Management, ETH Zurich
      • Jakob Sidenius: Senior Quantitative Analyst, Royal Bank of Scotland
      • Pedro Tavares: Head of Quantitative Credit Derivatives Analysis, Merrill Lynch
      • Domingo Tavella: Advisor HVB
      • Oldrich Vasicek: Founding Principal of KMV
      
      
      Wednesday 20th September
      Pre –Conference Workshop Day:
      
      
      • Peter Jaeckel: Interest Rate Modelling Workshop
      • Jon Gregory: Credit Derivatives Workshop
      • Philipp Schönbucher: Credit Hybrids Workshop
      • Claudio Albanese: Pricing Structured Products with Spectral Methods
      
      
      Workshop fee - £799:00 + NL VAT 19% (No Discount)
      Main Conference fee - £1599:00 + NL VAT 19% (10% Wilmott.com Discount)
      
      Contact:
      
      Neil Fowler
      T: +44(0) 1273 674400 F: +44(0) 1273 672333
      Email:
   
   
   

   3. Latest Developments: Commodities & Commodity Derivatives by Professor Hélyette Geman, Central London, 2 - 4 Oct 2006

      In the context of exploding commodity markets, the goal of the course is to offer a thorough and detailed understanding of both spot and derivative transactions.

      The discussion will focus in particular on such fundamental issues as volume risk, forward curve, theory of storage. Plain-vanilla and exotic options on commodities will be analysed, as well as a real options approach to energy physical assets.

      Professor Hélyette Geman
      
      Day one: Fundamentals of Spot and Forwards / flash Futures Commodity Market
      
      
      • Instruments and Commodity Exchanges: LME, NYMEX, CBOT
      • Commodity Spot Markets: the Importance of Liquid Indexes
      • Shipping and Freight
      • Fundamentals of Commodity Forward and Futures Contracts
      • Theory of Storage and Convenience Yield
      • The forward curve as a key element when trading commodities
      • Spot-forward relationship and shape of the forward curve
      • Forward rates as expectations of future Spot rates
      
      
      Case study: Modelling the dynamics of the forward curve
      
      Day two: Commodity Options
      
      
      • Dynamics of Commodity Spot Prices
      • The unique features of electricity: incorporating spikes in the trajectories
      • The current bull cycle: mean-reversion or upward trend in energy commodity price processes?
      • Options on Commodity Futures Contracts
      • Plain-Vanilla Options on Commodity Spot Prices
      • Exchange Options
      
      
      Case study: Pricing a Fuel Power Plant and Tolling Rights as a Portfolio of Sparkspread Option Incorporating Emission Rights in the valuation
      
      Day Three: Advanced Topics
      
      
      • Inventory and Spot Price Volatility: the examples of Agriculturals, metals and Energy
      • Volatility Smile in Commodities: the Inverse Leverage Effect
      • Correlations between oil and natural gas prices: the case of the UK and continental Europe
      • Asian Options and Floating-Strike Asian Options: the example of the oil market
      • Calendar Spread Options and Gas Storage Valuation
      • Volumetric and swing options
      
      
      Case Study: Building binomial and trinomial trees to price swing options and interruption rights in the gas and electricity industry
      
      Contact:
      
      Neil Fowler
      T: +44(0) 1273 674400 F: +44(0) 1273 672333
      
      Weblink: http://www.wbstraining.com/php/events/showevent.php?id=97
      Website: http://www.wbstraining.com
      Email:
      
      Fees: Workshops: £999:00 + UK VAT
      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
   
   
   

   4. Alternative Risk Transfer, Capital and Liability Solutions for Insurers: An Introduction to Modern Techniques in Liability Driven Investment, Risk Management & Capital Optimisation, Central London, 9 - 11 Oct 2006

      Summary:
      
      

      This note outlines a training programme in alternative risk transfer and related issues suitable for all of those wishing to gain a better understanding of this fast moving area.

      Objectives:
      
      

      The programme is designed to provide participants with a broad overview of contemporary issues for insurers in the capital markets/insurance cross over space. It covers risk transfer between the capital markets and insurers, alternative risk transfer, capital instruments and capital modelling, and the design of retail products for issuance by insurers.

      Attendees:
      
      

      Suitable for actuaries, underwriters, members of the treasury or risk management departments of insurers, insurance brokers, and anyone involved in alternative risk transfer or capital management for insurers. The course would also be suitable for regulators, lawyers, accountants, consultants, hedge fund managers and others seeking to broaden their knowledge of ART and related techniques.

      Background:
      
      Participants have some familiarity with either life or non-life insurance and basic financial mathematics.
      
      Duration:
      
      3 days, each day being available separately. The first day focuses on capital; the second on ART techniques for life insurers; and the third on non-life.
      
      Methods: lectures, group discussion, case studies and spreadsheet exercises.
      
      Presenter: Dr. David Murphy
      
      Day 1 – Capital: Requirements, Models, and Instruments
      
      
      • Introduction
      • Capital Structure
      • Regulatory and Ratings Agency Capital
      • Economic Capital Models for Insurers
      
      
      Day 2 – ART and Product Development for Life Companies
      
      
      • Introduction
      • Securitisation of Life Risk
      • Equity Risk for Life Insurers
      • Liability Driven Investment
      Day 3 – ART and Liability Management for Non-Life Companies
      
      
      • Introduction
      • Risk Transfer Between The Markets
      • Credit Risk, Financial Guarantees and Transformation
      • Risk-linked Financing and the Capital Markets
      
      
      Contact:
      
      Neil Fowler
      T: +44(0) 1273 674400 F: +44(0) 1273 672333
      
      Weblink: http://www.wbstraining.com/php/events/showevent.php?id=99
      Website: http://www.wbstraining.com
      Email:
      
      Fees: Workshops: £799:00 + UK VAT
      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. The Latest Developments: Interest Rate Derivatives & Hybrids Workshop, 27 - 29 Nov 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 + UK VAT
      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/php/events/showevent.php?id=96
      Website: http://www.wbstraining.com
      Email:
   
   
   

   6. Latest Developments: Credit Derivatives / Credit CPPI & Credit Hybrids, 4 - 6 Dec 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
      Lutz Schloegl: Fixed Income Quantitative Research,, Lehman Brothers
      
      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/php/events/showevent.php?id=95
      Website: http://www.wbstraining.com
      Email:
      
      Fees: Workshops: £999:00 + UK VAT
      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
   
   
   

   7. 10th Conference of the Swiss Society for Financial Market Research (SGF), March 30, 2007, Zürich

      http://www.fmpm.ch
      
      Publisher of the Journal "FINANCIAL MARKETS AND PORTFOLIO MANAGEMENT"
      
      March 30, 2007, Zürich (SWX SWISS EXCHANGE)
      
      Call for Papers and Speeches
      
      Submission of a Paper
      
      We would like to invite both academics and practitioners to submit papers on all topic areas of financial market research by November 1, 2006. Papers must be in English. Please submit your paper via the online tool on our website www.fmpm.ch. Detailed information on the conference as well as the format requirements can also be found there. There will be a Best Paper Award.
      
      Submission of a Speech
      
      Additionally to the academic sessions the conference also features a practitioner's workshop with speeches on current trends in financial markets. Practitioners are invited to submit an abstract of their speech via the online application tool on www.fmpm.ch by November 1, 2006. Abstracts should be in English and should not exceed 1000 words. It should contain your name, address, phone number, and email address. Speeches must not be longer than 25 minutes.
      
      Registration
      
      There is no deadline for registration. The conference fee is 100 CHF. In case you do not register for conference participation beforehand, the walk-in rate amounts to 150 CHF. On March 29, 2007 there will be a pre-conference dinner in the restaurant Kaufleuten in Zürich. Please register through the online tool on http://www.fmpm.ch.
      
      For further questions please contact
      
      Dr. Matthias Muck or Miriam Begtasevic
      Wissenschaftliche Hochschule für Unternehmensführung (WHU)
      Dresdner Bank Chair of Finance, Burgplatz 2, D-56179 Vallendar
      E-Mail:
      Phone: +49 - (0)261/ 6509 428
      Fax: +49 - (0)261/ 6509 409
      
      

   8. Call for papers: Computational Finance World Congress: The First Decade March 26, 2007, London

      The Mathematical Sciences Research Institute of Berkeley, California, invites leading practitioners and academics to contribute to this milestone event. The Computational Finance World Congress is the ideal forum in 2007 for the dissemination of the latest advances in Computational Finance.

      Chairs:
      
      
      • Jesper Andreasen (Bank of America)
      • Myron Scholes (Oak Hill Capital Management/Stanford University)
      • Domingo Tavella (HypoVereinsbank)
      
      
      Organizing Committee:
      
      
      • Carl Chiarella (UTS, Australia)
      • Michael Dempster (Cambridge)
      • Emanuel Derman (Columbia)
      • Darrell Duffie (Stanford)
      • David Eisenbud (MSRI)
      • Jim Gatheral (Merril Lynch/Courant Institute)
      • Paul Glasserman (Columbia)
      • Robert Jarrow (Cornell)
      • Alexander Lipton (Citadel Investments)
      • Francis Longstaff (UCLA)
      • Philipp Schoenbucher (ETH)
      • Eduardo Schwartz (UCLA)
      
      
      Topics:
      
      
      • Advanced simulation methods in derivatives pricing and risk management
      • Copula methods in credit pricing and risk management
      • Finite difference and finite element techniques in equities, interest rates, and credit derivatives pricing Approaches for pricing and risk managing hybrid and structured products
      • Application of transform methods in derivatives pricing
      • Efficient calculation of option Greeks and risk reports
      • Parallel and distributed computing in option pricing and risk management
      • Pricing and analysis of weather and energy contracts
      • Numerical algorithms for calibration and optimization
      
      
      Important dates:
      
      Submission deadline: October 1, 2006
      Notification of acceptance: November 1, 2006
      Revised paper due on November 15, 2006
      Please submit complete papers in electronic form to
      
      For additional information, please contact Domingo Tavella at , or Jesper Andreasen at . For more information and registration instructions, please go to the event web site: http://www.msri.org/specials/compfinance.
      
      
3. MathFinance Resources
   
   
   
   
   

   1. The Project Martingale

      The project Martingale is a webpage by Michael J. Meyer which contains a book "Monte Carlo Simulation With Java And C++" as well as Java and C++ libraries for Monte Carlo simulation of stochastic processes (focus: financial modelling). There are also notes on Gaussian measures, Gaussian processes, kernel reproducing Hilbert spaces and nonparametric Gaussian regression with (arbitrary) basis functions available for download.
      
      The library provides tools to support academic experimentation and exploration in elementary probability and finance with emphasis on finance. The intended audience are academics, students and quants. There are no production quality finished pricing models which can be used as a black box (look at the quantlib library for this). Quants may find it useful to have tools which help them to build, experiment with and gain a better understanding of their own models.
      
      Homepage: http://martingale.berlios.de/Martingale.html
      
      

   2. Powerdot

      Powerdot is a presentation class for LaTeX that allows for the quick and easy development of professional presentations. It comes with many tools that enhance presentations and aid the presenter. Examples are automatic overlays, personal notes and a handout mode. To view a presentation, DVI, PS or PDF output can be used. A powerful template system is available to easily develop new styles. A LyX layout file is provided. See for more information the PDF documentation of the class.
      
      Powerdot is available for download at http://stuwww.uvt.nl/~hendri/index.html?/~hendri/Downloads/powerdot.html&mainframeha