The MathFinance Newsletter, Edition 148, September 12 2006.
Previous editions and this edition in html format can be found on
http://www.mathfinancenews.com/.
In this issue:
- MathFinance Job Exchange
- Quant Analyst Cross-Asset Exotics, Sal. Oppenheim jr. & Cie. Frankfurt
- Tenure Track Positions in Quantitative Finance: University of Texas at Austin
- Open level position in Stochastic Analysis (particularly Mathematical Finance), University of California
- Associate (m/w) Advisory für Bewertungsfragen im Financial Risk Management bei KPMG Frankfurt
- Mathematiker, Physiker oder Wirtschaftsinformatiker: d-fine GmbH, Frankfurt
- MathFinance Events
- 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
- Quantitative Methods in Finance 2006, Dec 13 -16, 2006, Sydney
- Call for papers: Computational Finance World Congress: The First Decade March 26, 2007, London
- MathFinance Resources
- 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 Editor: Susanne Griebsch, HfB, Frankfurt
Database Solutions: Dr. Thorsten Schmidt, Leipzig University
In detail:
- MathFinance Job Exchange
-
Quant Analyst Cross-Asset Exotics
Der Bereich Trading & Derivatives der Privatbank Sal. Oppenheim jr. & Cie. sucht eine(n) Mitarbeiter(in) im Frontoffice für die Modellentwicklung von exotischen Derivaten.
Tätigkeitsprofil / Aufgaben
- Entwicklung von Pricingmodellen für exotische Aktien-, Zins- und Commodityderivate sowie Hybride
- Implementierung dieser Modelle in C++ innerhalb der Cross Asset Modellbibliothek
- Enge Zusammenarbeit mit dem Handelstisch
- Verantwortung für die numerische und ökonomische Korrektheit von Positionsführung und Pricing
Ausbildung, Kenntnisse und Erfahrungen
- Diplom in Finanzmathematik oder Angewandter Mathematik (Stochastik, Numerik)
- Gerne Promotion
- Berufserfahrung im Bereich Modellentwicklung für exotische Derivate im handelsnahen Umfeld
- Gute Kenntnisse der aktuellen Fachliteratur sowie Interesse an aktuellen Forschungsthemen
- Fortgeschrittene Programmierkenntnisse in C++
- Sehr gute Deutsch- und Englischkenntnisse in Wort und Schrift
Wir bieten:
- Sie sind Mitglied eines Assetklassen-übergreifenden Teams im Frontoffice
- Sie gestalten den Aufbau unserer Pricingbibliothek maßgeblich mit und übernehmen ein hohes Maß an Verantwortung von Anfang an.
- Kurze Entscheidungs- und Kommunikationswege sowie eine flache Hierarchie, wie dies nur in einer Privatbank möglich ist.
Kontakt:
Dr. Peter Schwendner
Sal. Oppenheim jr. & Cie.
Untermainanlage 1
D-60329 Frankfurt am Main
E-Mail:![[spam save email]](http://mathfinance.de/email.png.php?addr=peter__schwendner_xx_oppenheim__de)
Tel. 069 7134 5460
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Tenure Track Positions: University of Texas at Austin
The IROM department at the McCombs School of Business invites applications for two tenure-track faculty positions beginning September 2007 in the area of Decision Analysis or in the area of Quantitative Finance. We are primarily looking for candidates at the level of Assistant Professor.
Applicants are expected to have high potential for research and teaching excellence, and an ability to contribute to application areas. Applicants should possess a PhD in a relevant field by the date of appointment and submit:
- a curriculum vitae
- a representative publication
- brief statements of objectives in research and education
- three letters of recommendation
by December 1, 2006.Please send application materials to:
![[spam save email]](http://mathfinance.de/email.png.php?addr=RADMRecruiting_xx_mccombs__utexas__edu)
or
RADM Recruiting, IROM Department, B6500
University of Texas
Austin, Texas 78712
The University of Texas is an EOE.
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Open level position in Stochastic Analysis (particularly Mathematical Finance), University of California
The Department of Statistics and Applied Probability invites applications for an open level position in Stochastic Analysis (particularly Mathematical Finance), beginning Fall 2007.
Qualifications: research and teaching excellence and PhD in Statistics, Mathematics, or relevant field. Submit resume, statement of research and teaching objectives, AMS Cover Sheet (www.ams.org), and arrange four letters of reference sent (at least one of which is directed towards teaching).
Screening begins December 10, 2006 and continues until the position is filled. Candidates who can contribute to the diversity and excellence of the academic community through research, teaching and service are particularly encouraged to apply. An EO/AA employer. Additional information at http://www.pstat.ucsb.edu
To apply submit materials via http://www.mathjobs.org OR send to:
Search Committee
Department of Statistics and Applied Probability
University of California
Santa Barbara, CA 93106-3110. -
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:![[spam save email]](http://mathfinance.de/email.png.php?addr=recruiting_xx_kpmg__com)
.
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.
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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:![[spam save email]](http://mathfinance.de/email.png.php?addr=careers_xx_d-fine__de)
Homepage:http://www.d-fine.de
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- MathFinance Events
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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:![[spam save email]](http://mathfinance.de/email.png.php?addr=neil_xx_wbstraining__com)
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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 -
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
- 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 -
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:
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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 -
Quantitative Methods in Finance 2006, Dec 13 -16, 2006, Sydney
Location: Manly Pacific Hotel, Sydney, Australia
QMF is a successful conference series that attracts internationally renowned academics and industry representatives, who are experts in the fields of Quantitative Finance, Financial Engineering and Financial Mathematics.
Website of the conference: http://www.qfrc.uts.edu.au/qmf
Focus
The focus for this year's conference is Integrated Risk Management, Credit Risk, Interest Rate Term Structure, Stochastic Volatility, Portfolio Optimisation and other areas of Quantitative Finance.
Plenary Speakers
This year's plenary speakers include
- Claudio Albanese,
- Carole Alexander,
- Rama Cont,
- Mark Davis,
- Michael Dempster,
- Bruno Dupire,
- Robert Elliott,
- Jim Gatheral,
- Helyette Geman,
- Vicky Henderson,
- Chris Heyde,
- David Hobson,
- Lane Hughston,
- Alex Novikov,
- Marek Rutkowski and
- John Van der Hoek.
Submission
The paper submission deadline is May 6, 2006. Submissions must be made electronically through the Conference Maker website which can be accessed via the submission page of the QMF 2006 website.
Organizers
This conference is organised by Prof. Carl Chiarella and Prof. Eckhard Platen of the Quantitative Finance Research Centre in the School of Finance & Economics at the University of Technology, Sydney.
Workshops
There will also be two practitioner workshops presented on 11 and 12 December at the Manly Pacific Hotel. Further information about these workshops will be made available later in the year.
Please contact the Conference Coordinator, Michelle Manion, for further information or visit http://www.qfrc.uts.edu.au/qmf
Michelle Manion
Conference Coordinator
Quantitative Finance Research Centre
School of Finance & Economics
Faculty of Business
PO Box 123
Broadway NSW 2007
Ph: + 61 2 9514 7735
Fx: + 61 2 9514 7722
E:![[spam save email]](http://mathfinance.de/email.png.php?addr=qmf_xx_uts__edu__au)
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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![[spam save email]](http://mathfinance.de/email.png.php?addr=tavella_xx_octanti__com)
For additional information, please contact Domingo Tavella at, or Jesper Andreasen at ![[spam save email]](http://mathfinance.de/email.png.php?addr=Jesper__Andreasen_xx_bankofamerica__com)
.
For more information and registration instructions, please go to the event web site:
http://www.msri.org/specials/compfinance.
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- MathFinance Resources
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Janos D. Pinter's new book on Global Optimization with Maple
Summary Description
This electronic book presents Maple as an advanced model development and optimization environment. A special emphasis is placed on solving multiextremal models, using the Global Optimization Toolbox for Maple. Following a brief topical introduction, an extensive collection of detailed numerical examples and illustrative case studies is presented. The book is available in the form of a fully functional (interactive, readily modifiable), printable Maple worksheet, and/or as a set of hyperlinked worksheets. This live book works with Maple 9.5 or above, across all supported Maple platforms. To solve the models presented in the book, the Global Optimization Toolbox is recommended, and it is used throughout the book. Readers may also like to experiment with built-in Maple optimization functionality, or perhaps with their own native Maple solvers.
The Global Optimization Toolbox is available from Maplesoft http://www.maplesoft.com/products/toolboxes/globaloptimization/.Please feel free to contact the author
![[spam save email]](http://mathfinance.de/email.png.php?addr=jdpinter_xx_hfx__eastlink__ca)
for technical information and background.The following topics are covered
- A brief introduction to Operations Research / Management Science (ORMS)
- Maple as an integrated platform for developing ORMS studies and applications
- A review of the key global optimization concepts
- The Global Optimization Toolbox (GOT) for Maple, including a concise discussion of the core LGO solver technology
- Model development tips
- Detailed hands-on numerical examples of using the GOT, from a simple illustration of the key tools and options to more advanced challenges
- Illustrative case studies from the sciences and engineering.
This (150-page when printed) electronic book will be of interest to practitioners, researchers, academics, and students in the sciences and engineering.
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