The MathFinance Newsletter #146

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The MathFinance Newsletter #146

The MathFinance Newsletter, Edition 146, August 14 2006.

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

In this issue:

Courses on Quantitative Finance on CD-ROM

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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. R&D in Computational Finance, NEC Europe Ltd., C&C Research Laboratories, Sankt Augustin, Germany
  
  NEC Europe Ltd., a subsidiary of NEC Corporation, operating world-wide and providing comprehensive IT-Network integrated solutions, has an opening for an R&D position in its C&C Research Laboratories ("CCRLE"), located near Bonn, Germany
  (http://www.ccrl-nece.de).
  
  CCRLE's primary mission is to carry out research and development in Parallel and Distributed Computing. The lab pursues research issues related to the efficient programming and deployment of High-Performance Computing (HPC) systems and is extensively involved in HPC applications and support technology. The development of Grid Service Technologies is the focus of its work on Grid Computing.
  
  R&D in Computational Finance
  (code: CCRLE-08)
  
  CCRLE, in collaboration with external research partners, has developed both methods and software tools for pricing of financial derivatives and for portfolio risk assessment and optimisation. The software tools have been implemented for execution on parallel and parallel-vector computing systems. In addition, specific applications based on the software tools are investigated as Grid services in the framework of the EU-funded NextGRID project. The new appointment will contribute to the continuation and extension of R&D activities on computational finance, linked to collaboration projects with financial institutions and universities, and will interact with the Grid service technologies team on the ongoing investigations within the NextGRID project.
  
  Candidates are sought with experience in the following areas:
  - Development of models, algorithms and software for financial applications (such as derivatives pricing or portfolio risk assessment /optimisation);
  - Software development under Linux/Unix and Windows;
  - Deployment and use of computational tools within financial institutes.
  Research interests in parallel and distributed computing for wider classes of applications and in the development and deployment of computational applications as Grid services would be an additional advantage.
  
  For research positions at CCRLE, good oral and written communication skills in English are a must. The minimum required qualification is a Master's degree in a related field; applicants would typically have a doctorate or several years' research experience.
  
  We offer a creative scientific and international environment which will allow you to develop your skills, and a competitive salary to suit your qualifications. Please apply in writing (in English) with full CV and career details, indicating the appropriate code, to:
  
  NEC Europe Ltd., C&C Research Laboratories
  Ms. Dagmar Hoffmann
  Rathausallee 10
  D-53757 Sankt Augustin, Germany
  E-mail:
2. Junior Quantitative Developer, Lucht Probst Associates GmbH, Frankfurt a.M.
  Wir sind die Neudenker.
  
  Wir sind ein Team aus Finanzstrategen, Software-Entwicklern, Marketing-Experten, Kundenbera-tern und Seminaranbietern. Seit Januar 2000 bieten wir unseren Kunden ein neues Angebot an Kombiprodukten und Strategien für die Bereiche Devisen und Zinsen.
  
  Junior Quantitative Developer
  
  Wer neu denkt, braucht neue Ideen. Von neuen Mitarbeitern.
  
  Wen wir suchen:
  
  Neudenker gesucht...
  Früh übt sich. Und im Neudenker-Team finden Sie Ihren Meister. Sie haben Ihren Abschluss in Mathematik, Physik oder als (Wirtschafts-)Informatiker (oder eine vergleichbare Ausbildung) in der Tasche und möchten sich in der Praxis beweisen? Sie entwickeln gerne Software mit finanzmathematischem Hintergrund? Sie erfassen auch sehr komplexe Aufgaben schnell? Ihre Leidenschaft ist Präzision und Konzentration? Objektorientierung ist für Sie kein innenarchitektonisches Problem? Wir wünschen uns von Ihnen einfach Ihre Ideen und Ihre Einsatzbereitschaft. Und natürlich ein Interesse für moderne Finanzinstrumente und Märkte.
  
  Was wir bieten:
  
  Sie möchten in einem jungen und überdurchschnittlich engagierten Team mitarbeiten, das sich zu hoher Qualität verpflichtet hat. Ihr Aufgabengebiet bei LPA wird im Bereich Financial Engineering liegen. Sie unterstützen uns bei der Weiterentwicklung unserer Software, und sind dabei mitverantwortlich für die Integration neuer Finanzprodukte und Modelle. Selbstverständlich werden Sie von uns intensiv in Ihr neues Aufgabengebiet eingeführt.
  
  Was Sie können müssten:
  
  Sie haben überdurchschnittliche IT- und Programmierkenntnisse und sprechen gut Englisch. Idealerweise haben Sie Kenntnisse aus dem Bereich moderner Finanzprodukte und der Finanzmathematik. Sie zeigen hohen Einsatz und sind belastbar. Vielleicht haben Sie auch schon einige Erfahrungen auf diesem Gebiet bei einem anderen Arbeitgeber sammeln können.
  
  Ein SWAP ist:
  a) das Geräusch, wenn ich in die Badewanne steige.
  b) ein Devisen-Reportgeschäft oder der Tausch von Zahlungsverpflichtungen.
  c) die Abkürzung für "Schwedische Wurst aus Putenfleisch".
  
  Denken Sie neu. Welches Wort verbirgt sich hinter diesem Zahlencode?
  14 5 21 4 5 14 11 5 18
  
  Wie Sie sehen, sind auch unsere Einstellungskriterien anders. Und ungewöhnlich, das genau ist unser Vorteil. Wir suchen Mitarbeiter, die zu uns passen.
  Werden Sie ein Neudenker.
  PS: Wenn Sie für diese zwei Fragen weniger als 60 Sekunden gebraucht haben, passen Sie sehr gut zu uns.
  
  Kontakt:
  
  Lucht Probst Associates GmbH
  - Sonja Dietz-
  Große Gallusstraße 9
  60311 Frankfurt
  Fon: +49 69 9714850
  Mail:
  Internet: http://www.l-p-a.com
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
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
MathFinance Resources
1. Courses on Quantitative Finance on CD-ROM
  Quantitative Financial Risk Management:
  Fundamentals, Models and Techniques
  A Series of Talks By Some of the World's Leading Experts
  
  Designed and developed by Dr Stephen E. Satchell, Trinity College, University of Cambridge, Quantitative Financial Risk Management - A Series of Talks has been specifically commissioned from experts in the field to brief all those who need to be aware of fundamental concepts and latest models and techniques in quantitative financial risk management.
  To view extracts from the Series please go to http://www.hstalks.com/risk/
  
  "This series of talks on CD-ROM is particularly relevant in today's turbulent markets. The technology is simple and easy to use. And the calibre of the speakers and the topics covered are excellent."
  
  Mr Jason MacQueen, Chairman, Alpha Strategies LLC
  
  Format of the Talks
  
  Each of the Talks in the series is seminar length and consists of navigable slides with an accompanying narration by its expert speaker. The narration is delivered at a pace suitable for clear understanding and the Talks can be played at your PC, paused, played back and replayed - as the user requires.
  
  The user is taken through the slides by its expert speaker as at a live seminar and the personality and approach of the speaker is directly accessible by the listener.
  
  The format of the Talks enables users to listen and watch each Talk as often as they want and can be downloaded onto a PC or server, copied and distributed to be used - and re-used - by as many people as needed.
  
  Content of the Talks
  
  The Talks have been commissioned specifically for this series to cover both the theory and practical applications of quantitative financial risk management. Topics covered include:
  - Role of Modern Risk Management at Financial Institutions
  - Statistical Models for Risk Management
  - Utility Theory and Mean Variance Definitions of Risk
  - Volatility
  - Derivative Assets in Portfolios
  - Portfolio Risk
  - Equity Risk Models
  - Risk Decomposition/Budgeting
  - Market Risk
  - Value at Risk
  - Nonlinear VAR Models
  - Applications to Credit Risk and Market Risk
  - Structural and Reduced Form Models
  - Credit Risk Management
  - Extreme Value Theory and Copulas
  - Risk Model Validation and Using Validation Techniques
  - Required Economic Capital
  Content of the highest standard
  
  The Series Editor, Dr Satchell, has gathered a Faculty of some of the premier figures in the field - both from academe and practice - to deliver each of the Talks in the Series. Speakers include Dr Theo Darsinos, Fixed Income Research, Deutsche Bank AG; Professor Kevin Dowd, Nottingham University, Business School; Mr Brian Dvorak, Managing Director, Moody's KMV Credit Strategies Group; Professor Paul Embrechts, Professor of Mathematics at the ETHZ; Mr Jason MacQueen, Chairman, Alpha Strategies LLC, and Mr David Martin, Senior Vice President and Chief Risk Officer of AllianceBernstein LP.
  
  Use the Talks as often as you want, wherever you want
  
  Each organisation purchasing Quantitative Financial Risk Management - A Series of Talks enjoys a simple, straightforward licence which permits all its users either employees or students:
  - To access the contents as often as they want
  - Without Geographic Restriction for corporations, central bankers and regulators
  - Ease of Access: at Users' desktops or PCs
  - Uploading and Copying onto PCs, Servers and Intranets
  For more information on the Quantitative Financial Risk Management Series of Talks, and to view extracts please go to http://www.hstalks.com/risk/ or contact Daryn Moody, Publisher, Henry Stewart Publications, London, +44 (0)207 404 3040;
2. 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.

new instance of http://www.mathfinance.de/

R&D in Computational Finance, NEC Europe Ltd., C&C Research Laboratories, Sankt Augustin, Germany

R&D in Computational Finance (code: CCRLE-08)

Junior Quantitative Developer, Lucht Probst Associates GmbH, Frankfurt a.M.

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

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

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

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

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

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

The Latest Developments: Interest Rate Derivatives & Hybrids Workshop, 27 - 29 Nov 2006, Central London

Latest Developments: Credit Derivatives / Credit CPPI & Credit Hybrids, 4 - 6 Dec 2006, Central London

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

Courses on Quantitative Finance on CD-ROM

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

R&D in Computational Finance
(code: CCRLE-08)