The MathFinance Newsletter, Edition 147, August 30 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. Ph.D. Student or Postdoc in Credit Risk Modelling, Vienna University of Technology
   2. Quantitative Energy Analyst, Stark Investments
   3. R&D in Computational Finance, NEC Europe Ltd., C&C Research Laboratories, Sankt Augustin, Germany
   4. Junior Quantitative Developer, Lucht Probst Associates GmbH, Frankfurt a.M.
   5. Associate (m/w) Advisory für Bewertungsfragen im Financial Risk Management bei KPMG Frankfurt
   6. Mathematiker, Physiker oder Wirtschaftsinformatiker: d-fine GmbH, Frankfurt
2. MathFinance Events
   1. The 3rd Fixed Income Conference, Amsterdam, 20 - 22 Sept 2006
   2. Latest Developments: Commodities & Commodity Derivatives by Professor Hélyette Geman, Central London, 2 - 4 Oct 2006
   3. 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
   4. The Latest Developments: Interest Rate Derivatives & Hybrids Workshop, 27 - 29 Nov 2006, Central London
   5. Latest Developments: Credit Derivatives / Credit CPPI & Credit Hybrids, 4 - 6 Dec 2006, Central London
3. MathFinance Resources
1. Finance and Stochastics, Volume 10, Number 3

• 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. Ph.D. Student or Postdoc in Credit Risk Modelling, Vienna University of Technology

      Financial and Actuarial Mathematics
      Institute for Mathematical Methods in Economics
      Vienna University of Technology
      
      

      We are looking for a Ph.D. student or a postdoc for the broad area of credit risk models and credit derivatives. The position is in the newly established Christian Doppler Laboratory on Portfolio Risk Management (PRisMa Lab). The laboratory is located within the research group for financial and actuarial mathematics at the Vienna University of Technology, it is headed by Prof. Uwe Schmock. The laboratory is funded by the Christian Doppler Research Association, which is a non-profit association aiming to promote high-quality research, development and knowledge transfer in Austria. The research is carried out jointly with the Bank Austria Creditanstalt and the Austrian Federal Financing Agency (ÖBFA). Your main area of activity will be high-quality research in the area credit risk models, credit derivatives and counterparty risk for exotic swaps, always with a view towards practical applicability.

      We offer you to work on the forefront of current mathematical research, within a highly active and distinguished research group (Prof. Walter Schachermayer, Prof. Uwe Schmock, Prof. Peter Grandits, Prof. Josef Teichmann, Dr. Friedrich Hubalek, Dr. Reinhold Kainhofer, Dr. Johannes Leitner) and in close cooperation with the specialists of our financial industry partners. We expect you to have a strong background in financial and actuarial modelling and the theory of stochastic processes. Nevertheless, a high motivation and a strong desire to learn and adapt new material can fill almost any gap you might have in the requirements.

      There are no teaching duties associated with these positions. The start date is flexible and can be anytime in 2006 or in the first months of 2007, however, we plan to start soon. The duration of the laboratory will be initially for two years with an expected extension to seven years. The salaries for the position are based on the FWF guidelines. We strongly encourage applications of female candidates.

      Your application has to be in English or German and should arrive by October, 9th, 2006.
      
      Ideally it should be in electronic format (PDF) and include:
      
      
      • Application letter, indicating your preferred start date,
      • Complete curriculum vitae,
      • List of publications and preprints (if any), links to online versions if available,
      • Copies of academic transcripts and certificates (please include a translation if these are not in English, German or French),
      • Letters of reference or contact details of academics who can provide a letter of reference upon request.
      
      
      Send your application to the office address . Please join all your attached documents into a single file if possible.
      
      Contact details:
      
      Prof. Dr. Uwe Schmock
      Financial and Actuarial Mathematics
      Vienna University of Technology
      Wiedner Hauptstraße 8-10/105-1
      A-1040 Vienna
      Austria
      eMail:
      URL: http://www.fam.tuwien.ac.at/ (research group) and http://www.prismalab.at/ (PRisMa Lab)
      
      

   2. 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
      
      

   3. 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:

      
      
      

   4. 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
      
      
      
      

   5. 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.

      
      
      

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

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

      The 3 streamed format; Credit Derivatives, Interest Rate Modelling and Hybrid Products streams. This year we will have 4 workshops on Wednesday 20th September: Credit Derivatives Modelling, Credit Hybrid Products, Interest Rate Modelling & Pricing Structured Products with Spectral Methods.

      Delegates are not restricted to single streams at the main conference. Why not hop around the different streams and attend the presentations that benefit you the most. All stream presentation times run concurrently with each other.

      100 attendees so far
      
      2006 Speaker list:
      
      
      • Claudio Albanese: Chair of Mathematical Finance, Imperial College London
      • Jesper Andreasen: Heads of Fixed Income Quantitative Research, Bank of America
      • Przemyslaw Bachert: Senior Financial Engineer, Global Financial Services Risk Management, Ernst & Young
      • 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
      • Peter Jaeckel: Head of Credit, Hybrid, Inflation and Commodity Derivative Analytics, ABN Amro
      • Farshid Jamshidian: University of Twente
      • Jeroen Kerkhof: Vice President, Morgan Stanley
      • Richard Martin: Director, Head of Quantitative Credit Strategy, Credit Suisse
      • Raoul Pietersz: Senior Derivatives Researcher, ABN Amro
      • Vladimir Piterbarg: Head of Fixed Income Quantitative Research, Barclays Capital
      • Lutz Schloegl: Fixed Income Quantitative Research, Lehman Brothers
      • Philipp Schonbucher: Assistant Professor of Risk Management, ETH Zurich
      • Pedro Tavares: Head of Quantitative Credit Derivatives Analysis, Merrill Lynch
      • Domingo Tavella: Advisor HVB
      • Oldrich Vasicek: Founding Principal of KMV
      
      
      URL: http://www.wbstraining.com/php/conference2006/
      
      Contact:
      
      Neil Fowler
      World Business Strategies Ltd.
      T: +44(0) 1273 674400 F: +44(0) 1273 672333
      Email:
   
   
   

   2. 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
   
   
   

   3. 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
   
   
   

   4. 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:
   
   
   

   5. 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
   
   
   
3. MathFinance Resources
   
   
   
   
   

   1. Finance and Stochastics, Volume 10, Number 3

      Volume 10 Number 3 of Finance and Stochastics is now available on the http://www.springerlink.com web site. Please find below the latest table of contents for your registered journal and book alert.
      
      This issue contains:
      
      
      • A jump to default extended CEV model: an application of Bessel processes p. 303 - Peter Carr, Vadim Linetsky
      • Consistency among trading desks p. 331 - David Heath, Hyejin Ku
      • Bounds for Functions of Dependent Risks p. 341 - Paul Embrechts, Giovanni Puccetti
      • A generalization of the Hull and White formula with applications to option pricing approximation p. 353 - Elisa Alòs
      • Weighted V@R and its Properties p. 367 - A. S. Cherny
      • A risk-sensitive stochastic control approach to an optimal investment problem with partial information p. 395 - Hiroaki Hata, Yasunari Iida
      • Coherent and convex monetary risk measures for unbounded càdlàg processes p. 427 - Patrick Cheridito, Freddy Delbaen, Michael Kupper