The MathFinance Newsletter, Edition 180, April 11 2008.

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

In this issue:

1. MathFinance Job Exchange
   1. Financial World Recruitment - a candidate driven recruitment company which vets, interviews and prepares all delegates for the capital market sector
   2. Risikomanagement Financial Risk Solutions, Deloitte, Düsseldorf
   3. Mathematiker (m/w), Naturwissenschaftler (m/w), oder (Wirtschafts-) Informatiker bei d-fine GmbH, Deutschland
2. MathFinance Events
   1. Barcelona Financial Engineering Seminar, A forum where financial practice meets academia, 11 April 2008
      
   2. Einführung in Monte Carlo und C++ im Financial Engineering, MathFinance Training, Frankfurt, 14-18 April 2008
      
   3. Swiss Finance Institute Training Course on Private Equity, Geneva, Switzerland, 21-24 April 2008
      
   4. Swiss Finance Institute Training Course on Financial Econometrics and Forecasting, Geneva, Switzerland, 28 April 2 May 2008
      
   5. Swiss Finance Institute Training Course on Interest-Rate Models: Theory and Practical Applications, Geneva, Switzerland, 5-9 May 2008
      
   6. Advanced Risk and Portfolio Management, by Dr. Attilio Meucci, Frankfurt, 4-6 June 2008
      
   7. Commodities & Commodity Derivatives by Professor Helyette Geman, London, 9-10 June 2008
      
   8. Property Derivatives Workshop, London, Monday 23 June 2008
      
   9. 4th Annual CARISMA conference on Risk Control Strategies for Hedge Funds and Program Trading, London at 7City Learning, 1-2 July 2008
      
   10. Foreign Exchange Exotic Options by Professor Uwe Wystup, London, 7-8 July 2008
       
   11. Conference: Computational Methods for Pricing and Hedging Exotic Options. Mathematics Institute, University of Warwick: 11-12 July 2008
       
   12. 5th Fixed Income Conference, Budapest, September 24-26 2008
       
3. MathFinance Resources
1. Professor Merks Finanzlexikon

• find quantitative staff
• recommend your book or educational institute
• invite to a workshop
• introduce your research to a wider audience

The MathFinance Newsletter - produced by MathFinance AG

1. MathFinance Job Exchange
   
   

   1. Financial World Recruitment

      Financial World Recruitment is a candidate driven recruitment company which vets, interviews and prepares all delegates for the capital market sector. As part of our service you can post either your company jobs or candidate CVs on our website for free. FWR specialises in Quantitative Research, Risk Management, Financial Engineering, Model Validation, Structured Products, Trading & Commodity Derivatives positions. Please see below for a selection of CVs & Jobs or click on our website to view all information.

      Contact Details: Chris King
      Telephone: +44 (0) 1273 201 199
      Email:
      Website: http://www.fwrecruitment.com

      Candidates:

      http://www.fwrecruitment.com/candidates.php
      
      

   2. Risikomanagement Financial Risk Solutions, Deloitte, Düsseldorf

      • Business Analysts, Consultants, Senior Consultants (m/w) - Risikomanagement Financial Risk Solutions
        Job-Nr. H6-CO-BA-DU-157
        Standort: Düsseldorf
        
        

        Es erwartet Sie ein teamorientiertes Arbeitsumfeld mit sehr guten Aufstiegschancen. Das interessante und abwechslungsreiche Aufgabenspektrum bietet Ihnen die Möglichkeit, am Ausbau unserer Service Line Financial Risk Solutions aktiv mitzuwirken. Die Einbindung in das weltweite Netzwerk von Deloitte ermöglicht internationalen Know-how-Transfer und die Mitarbeit an grenzüberschreitenden Projekten.

        
        Ihre Aufgaben
        
        

        Im Spannungsfeld von Mathematik und regulatorischen Anforderungen erarbeiten Sie für unsere Mandanten betriebswirtschaftliche Lösungen unter Einsatz von finanzmathematischen Modellen. Sie verstärken unser Quant-Team, das für quantitative, betriebswirtschaftliche und aufsichtsrechtliche Fragestellungen kompetenter Ansprechpartner für unsere Mandanten ist, zu denen bedeutende Banken, Versicherungen, Finanzdienstleister sowie Energieund Industrieunternehmen geören. Ein Schwerpunkt Ihrer Tätigkeit wird auf Methoden und Verfahren der Steuerung von Kredit-, Marktpreis- und operationellen Risiken liegen.

        
        Ihr Profil
        
        

        Sie haben Ihr Hochschulstudium mit Bezug zu Wirtschaftswissenschaften und quantitativer Ausrichtung überdurchschnittlich erfolgreich abgeschlossen oder erwarten, dies in naher Zukunft zu tun. Bei der Lösung praktischer Problemstellungen fühlen Sie sich sicher im Umgang mit statistischen Verfahren, finanzmathematischen Fragestellungen sowie dem Einsatz und der Bewertung von Derivaten. Vertiefte Kenntnisse der Ökonometrie bzw. schließenden Statistik, der stochastischen Methoden zur Bewertung von Derivaten oder der Versicherungsmathematik bringen Sie idealerweise mit.

        Neben Fragen der mathematischen Modellbildung sind für Sie Projekte mit vorrangig qualitativem Fokus ebenso reizvoll. Dazu zählen beispielsweise Projekte in den Bereichen Treasury, Risikocontrolling, Portfoliomanagement oder zur Internationalen Rechnungslegung von Finanzinstrumenten sowie zur Regulierung von Finanzdienstleistern nach Basel II und den Mindestanforderungen an das Risikomanagement. Idealerweise haben Sie bereits während Ihres Studiums oder in den ersten Berufsjahren praktische Erfahrungen in o. g. Themengebieten sammeln können. Einschlägige Berufserfahrung als "Quant", beispielsweise in der Bewertung von strukturierten Finanzinstrumenten, der Erstellung von Ratingsystemen oder der Modellierung des ALM bei Lebensversicherern, ist für uns besonders wertvoll. Dank Ihrer analytischen Fähigkeiten stellen Sie sich gerne komplexen Herausforderungen, erarbeiten sich neue Themen weitgehend selbständig und präsentieren Ihre Arbeitsergebnisse ohne Schwierigkeiten auch in Englisch. Sie suchen den Kontakt mit Kunden und bauen dabei auf Ihr gesundes Selbstvertrauen.

      • Praktikanten (m/w) - Risikomanagement Financial Risk Solutions, Deloitte
        Job-Nr. H7-CO-PR-DU-010
        Standort: Düsseldorf
        
        

        Es erwartet Sie ein teamorientiertes Arbeitsumfeld mit sehr guten Aufstiegschancen. Das interessante und abwechslungsreiche Aufgabenspektrum bietet Ihnen die Möglichkeit, am Ausbau unserer Service Line Financial Risk Solutions aktiv mitzuwirken. Die Einbindung in das weltweite Netzwerk von Deloitte ermöglicht internationalen Know-how-Transfer und die Mitarbeit an grenzüberschreitenden Projekten.

        Ihre Aufgaben
        
        Sie unterstützen unsere Service Line Financial Risk Solutions bei der Implementierung von Bewertungsmodellen für unterschiedliche Finanzprodukte. Des Weiteren sind Sie in aktuelle Projekte mit quantitativem Schwerpunkt eingebunden. Zu Ihren Aufgaben zählen insbesondere:
        
        
        • Entwicklung und Implementierung von Bewertungsalgorithmen
        • Kalibrierung von Bewertungsmodellen
        • Marktdatenrecherche in Bloomberg
        • Literaturrecherche zu Spezialfragen aus der Finanzmathematik
        • Unterstützung des Quant-Teams im Rahmen der täglichen Projektarbeit
        
        Ihr Profil
        
        

        Sie befinden sich im Hauptstudium eines naturwissenschaftlichen Studienganges mit finanzwirtschaftlichen Schwerpunkten und verfügen über sehr gute Programmier-Kenntnisse in Java und/oder C++. Eine systematische und lösungsorientierte Arbeitsweise sowie kommunikative Kompetenz zeichnen Sie aus. Gute Englischkenntnisse runden Ihr Profil ab.

        Neben Fragen der mathematischen Modellbildung sind für Sie auch Aufgabenstellungen mit vorrangig theoretischem Fokus reizvoll. Idealerweise haben Sie bereits während Ihres Studiums im Rahmen von Praktika (etwa im Front Office einer Bank) Erfahrungen in o. g. Themengebieten sammeln können. Grundkenntnisse im Bereich Finanzmathematik und Derivate setzen wir voraus. Einschlägige Kenntnisse in der Bewertung von strukturierten Finanzinstrumenten und komplexen Produkten sind für uns besonders wertvoll.

        Dank Ihrer analytischen Fähigkeiten stellen Sie sich gerne komplexen Herausforderungen, erarbeiten sich neue Themen weitgehend selbständig und präsentieren Ihre Arbeitsergebnisse ohne Schwierigkeiten auch in Englisch. Zudem sind Sie mindestens 8 Wochen verfügbar.

      Sie sind interessiert?
      
      Dann bewerben Sie sich bitte online unter http://www.deloitte.com/careers oder schicken Sie Ihre aussagekräftigen Unterlagen bitte an Deloitte, Jessica Voß, Schwannstraße 6, 40476 Düsseldorf. Wir freuen uns auf Ihre Bewerbung.
      
      

   3. Mathematiker (m/w), Naturwissenschaftler (m/w), oder (Wirtschafts-) Informatiker
      d-fine GmbH, Deutschland

      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 weit über 200 Beratern und Büros in Frankfurt, München, London, Hong Kong und Bratislava 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 zu allen Themen im Bereich Handel und Risikomanagement - von der Strategie-Entwicklung über die fachliche Konzeption der zugehörigen Methoden und Prozesse 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 Naturwissenschaftler, Mathematiker oder 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 Frankfurt School of Finance & Management, dem Imperial College, der Warwick Business School und der Universite de Lausanne durchführen. Dabei können Sie sogar einen Master of Science (MSc) in Finanzmathematik, einen MBA in Management & Finance oder einen Abschluss als Chartered Financial Analyst (CFA) erwerben.

      Wenn Sie in einem Team hoch begabter und hoch motivierter Kollegen mitarbeiten wollen, große individuelle Freiräume, viel Eigenverantwortung sowie hervorragende Entwicklungsperspektiven suchen, freuen wir uns auf Ihre Bewerbung.

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

      Willkommen bei d-fine!

      d-fine GmbH
      z. Hd. Frau Sabrina Adam
      Opernplatz 2
      60313 Frankfurt am Main
      Telefon +49-69-90737-555
      
      homepage: http://www.d-fine.de

      
      
      
   
   
   
2. MathFinance Events
   
   

   1. Barcelona Financial Engineering Seminar

      A forum where financial practice meets academia

      Organised by Prof. Sebastian del Bano Rollin (Centre de Recerca Matematica, Barcelona) Sessions will take place at 11am in Borsa de Barcelona, Passeig de Gracia 19. Please confirm attendance at . Check our web page www.crm.cat/quant/ for updates.

      11th April 2008
      Dr. Peter Jäckel
      Global Head of Hybrid and Credit derivatives, ABN Amro
      Title: Hyp Hyp Hooray!
      Abstract:A new stochastic-local volatility model is introduced. The new model's structural features are carefully selected to accommodate economic principles, financial markets' reality, mathematical consistency, and ease of numerical tractability when used for the pricing and hedging of exotic derivative contracts. Also, we present a generic analytical approximation for Black volatilities for plain vanilla options implied by any parametric-local-and-stochastic-volatility model, apply it to the new model, and demonstrate its accuracy.

      
      
      

   2. Einführung in Monte Carlo und C++ im Financial Engineering

      Produced by MathFinance AG

      Christoph Becker, Andreas Weber und Uwe Wystup

      Kursumfang

      5 x 8 Stunden Unterricht inkl. Übung.
      14.-18. April 2008, täglich 9:00 - 12:15 Uhr und 13:45 - 18:45 Uhr

      Inhalt

      • Kurze Einführung in C (Transfer ihrer Basic / Fortran / Pascal o.ä. - Programmierkenntnisse nach C)
      • Ausführliche Einführung in das objektorientierte Programmieren mit C++
      • Einführung in Templates und die STL
      • Grundlegende Monte Carlo - Prinzipien
      • Weiterführende Monte Carlo - Techniken zur Berechnung von Greeks und zur Varianzreduktion, Diskretisierungsschemata
      • Praktische Aspekte in der Programmierung: Effiziente Implementation, Fehlerbehandlung, numerische Stabilität
      • Erstellung von DLLs und Add-ins für Microsoft Excel
      Die Stärke des Kurses liegt in seiner Praxisnähe und der individuellen Betreuung dank kleiner Teilnehmerzahl. Der Kurs findet seit 4 Jahren regelmäßig einmal pro Jahr statt. Teilnehmer der vergangenen Kurse haben viel konkret in der Finanzwelt Umsetzbares gelernt.

      Adressaten

      Berufseinsteiger im Bereich Financial Engineering, Studenten im Studiengang "Quantitative Finance" o.ä.

      Benötigte Vorkenntnisse

      Gute Kenntnisse in einer beliebigen Programmiersprache, z.B. Pascal, Basic, Fortran etc

      Mitzubringen

      Ihr eigenes Notebook mit installiertem C++ Compiler, vorzugsweise Microsoft Visual Studio. Im Kursmaterial sind zu den Programmbeispielen Projektdateien für VisualStudio 2005 enthalten. Kostenlos stellt Microsoft derzeit Visual C++ Express zur Verfügung: http://msdn.microsoft.com/vstudio/express/.

      Teilnehmerzahl

      maximal 10, ein Platz ist noch frei für Kurzentschlossene.

      Kosten

      1745 EUR zzgl. gesetzlicher Umsatzsteuer von 19%
      

      Veranstaltungsort

      MathFinance AG
      Mainluststraße 4
      60329 Frankfurt am Main
      
      vom Hauptbahnhof bequem zu Fuß erreichbar.

      Anmeldungen

      nimmt Ansua Dutta-wystup (, Tel. 06087 919852) entgegen.
      
      Ein Anmeldeformular gibt es auf der Kurs-Webseite: http://colloquium.mathfinance.de/abstracts/c++apr2008.html.
      
      

   3. Swiss Finance Institute Training Course
      Title: Private Equity
      Date: April 21-24, 2008
      Price: CHF 5'300.-
      Location: Geneva, Switzerland
      Lecturer: Professor Per Strömberg
      Organizer: Swiss Finance Institute

      Course Description

      This course will use the case method to study private equity finance. The course is motivated by the huge increase in activity in private equity markets in the last few years, both in Europe and elsewhere. The course will cover a broad spectrum of the private equity market, from early-stage funding of start-up companies to leveraged buyout investments in large, mature corporations.

      Objectives

      We will start with providing a framework for evaluating the qualitative attractiveness of a private equity opportunity - whether a start-up or buyout - as well as placing a quantitative value on the opportunity. We will then study the role of the private equity fund in choosing, valuing, structuring and managing private equity investments. We will also analyze the issues faced by entrepreneurs and private equity partnerships in exiting or cashing in their investments. Finally, we will study the issues faced in structuring private equity partnerships and in raising funds for them. Here we focus on the way private equity funds are structured in order to align the incentives of private equity partnerships and their investors. We will also look at how institutional investors should evaluate and choose the private equity funds in which to invest. Although there will be a few lectures given throughout the course, most of the teaching will be through interactive discussions of real world situations and cases. The course will also bring in guest lecturers from the private equity industry to complement the class room discussion.

      Target Audience

      Private equity professionals, investors in private equity, lawyers, regulators and other professionals who are or plan to be active in this area.

      Fees

      The fee for this course is CHF 5.300 (incl. VAT). This covers tuition, extensive course material (including pre-course readings), lunches and an official cocktail and dinner.

      COURSE CONTENT

      Monday

      • Introduction to the private equity asset class: How does private equity fit into the asset allocation discussion? Case discussion: "Yale University Investment Office".
      • Review of basic valuation techniques: Discounted cash flows, APV, IRR.
      • Venture capital investing: What constitutes a promising venture capital investment opportunity? How to evaluate a venture opportunity qualitatively and quantitatively. How do VC investors add value? Case discussion: "Iron Gate Technologies."
      • Guest lecture: Venture capital.

      Tuesday

      • Structuring private equity deals: Understanding contracts and term sheets. Valuation of convertible preferred securities.
      • LBO investing: What constitutes a promising buyout opportunity? How do LBO investors add value? Case discussion: "Sungard Data Systems."
      • Evaluating buyout opportunities quantitatively: The importance of leverage in valuation. Comparing the LBO-method and discounted cash flow techniques.

      Wednesday

      • Guest lecture: Leveraged buyouts.
      • Exiting the private equity investment: The choice between IPOs, trade sales, recapitalizations and secondary buyouts. Case: "Investitori Associati:Exiting the Savio LBO."
      • International private equity investments: Europe versus the US versus emerging markets. Case: "Exxel Group".

      Thursday

      • The institutional investor perspective: Identifying promising private equity funds. Evaluating private equity partnership terms.
      • Evaluating private equity returns: Assessing private equity fund returns. Comparing the IRR, multiples and public market equivalents methods. The systematic risk of private equity investments. Case: "Platinum Capital Partners."
      • Guest lecture: Limited partner/PE investor.
      • Course summary and wrap-up.

      Other suggested links:

      2008 Geneva Executive Courses in Finance course program Organization, Admission, Procedure & Fee Application Form

      For all other questions, please contact:

      Fabienne Garcelon
      Program Manager
      Swiss Finance Institute
      Rue des Gares 9
      CH-1201 GENEVA, Switzerland
      T +41 22 748 16 70
      F +41 22 731 95 75
      
      http://www.SwissFinanceInstitute.ch

      
      
      

   4. Swiss Finance Institute Training Course
      Title: Financial Econometrics and Forecasting
      Date: April 28-May 2, 2008
      Price: CHF 6'500.-
      Location: Geneva, Switzerland
      Lecturer: Professor Francis X. Diebold
      Organizer: Swiss Finance Institute

      Course Description

      Over the past twenty-five years, a revolution in financial modeling and forecasting has swept both academic research and the financial services industry. This course surveys both traditional and new methods of forecasting financial markets, their successes and failures and their future potential. Hands-on application using modern forecasting software is an integral part of the course, as are daily detailed afternoon tutorials of cutting-edge research papers.

      Objectives

      The course develops an appreciation and understanding of methods of modeling and forecasting the fundamentals that underlie financial asset returns, the financial asset returns themselves and their volatility and correlation, as well as the pitfalls and opportunities that arise as technologies move forward. The level of the discussion is designed to strike a balance between intuition and mathematical rigor.

      Target Audience

      Professionals in the financial services industry, central banks and international organizations from a variety of backgrounds, including banking, asset management, risk management, insurance and consulting, as well as financial engineers and analysts, economists, managers and statisticians who want to understand and use financial forecasting models. All participants will receive a set comprising of Francis X. Diebold's book, his lecture notes and the articles discussed in the course.

      Fees

      The fee for this course is CHF 6.500 (incl. VAT). This covers tuition, extensive course material (including pre-course readings), lunches and an official cocktail and dinner.

      COURSE CONTENT

      Monday

      • Introduction: Quick regression review from a forecasting perspective; who uses financial forecasting models and why; basic considerations relevant in all forecasting situations; types of financial forecasts; financial loss functions; short versus long horizons; graphics for forecasting.
      • The cutting edge: Macro-economic news and financial asset returns.

      Tuesday

      • Modeling and forecasting cycles: Trends; seasonality and calendar effects; selecting a forecasting model; autoregressive models; moving average models; mixed (ARMA) models; mechanics of constructing point, interval, density and probability forecasts; assembling the components; diagnosing structural change; recursive estimation and structural change diagnostics.
      • The cutting edge: Modeling and forecasting the yield curve.

      Wednesday

      • Modeling and forecasting volatility and correlation: GARCH and related models; leverage effects; long and short-run variance components; exogenous variables affecting volatility; time-varying market risk premia; fat-tailed conditional densities.
      • The cutting edge: Modeling and forecasting realized volatilities and correlations.

      Thursday

      • Multivariate models: Dynamic regression models for fundamentals and returns; explanatory versus forecasting models; vector autoregressions; predictive causality; impulse-response functions; nonlinear extensions; regime switching and "event" forecasting.
      • The cutting edge: Forecasting directional movements in the stock market.

      Friday

      • Backtesting: Measuring and evaluating forecast accuracy; comparing forecast accuracy; testing for differences in forecasting accuracy; forecast encompassing; forecast combination.
      • Unit roots: Random walks; stochastic trends; smoothing; shock persistence and the "size" of a unit root; mean reversion; co-integration, error correction and "spread trades".
      • The cutting edge: Modeling and forecasting for weather derivatives.

      Other suggested links:

      2008 Geneva Executive Courses in Finance course program Organization, Admission, Procedure & Fee Application Form

      For all other questions, please contact:

      Fabienne Garcelon
      Program Manager
      Swiss Finance Institute
      Rue des Gares 9
      CH-1201 GENEVA, Switzerland
      T +41 22 748 16 70
      F +41 22 731 95 75
      
      http://www.SwissFinanceInstitute.ch

      
      
      

   5. Swiss Finance Institute Training Course
      Title: Interest-Rate Models: Theory and Practical Applications
      Date: May 5-9, 2008
      Price: CHF 6'500.-
      Location: Geneva, Switzerland
      Lecturer: Professor Yacine Aït-Sahalia
      Organizer: Swiss Finance Institute

      Course description

      Interest-rate models represent one of the most active areas of finance research and practice. Recent advances in this area are essential to the correct pricing and hedging of interest-rate-sensitive financial instruments and derivatives, as well as to the accuracy of firm-wide risk management.

      Objectives

      This intensive course provides a full treatment of the state-of-the-art theory of interest-rate models and their practical applications. Participants will gain an understanding and enhance their knowledge of the fundamental mathematical tools and quantitative techniques, as well as the latest research used throughout the financial industry. Most of the models discussed and statistical techniques are implemented in spreadsheets which are reviewed at the end of each day and given to the participants. The course is self-contained, but familiarity with calculus is expected.

      Target Audience

      Central bankers, traders, quantitative researchers, financial engineers, fixed-income asset managers, risk managers, derivatives salespeople, financial software developers, senior management of financial institutions.

      Fees

      The fee for this course is CHF 6.500 (incl. VAT). This covers tuition, extensive course material (including pre-course readings), lunches and an official cocktail and dinner.

      COURSE CONTENT

      Monday

      • Fixed income instruments: Bonds, the term structure: Spot rates; forward rates; duration and convexity.
      • Continuous-time calculus: Brownian motion; Itô's Lemma; discrete-time approximation; Euler and Milstein schemes; trees.
      • Arbitrage and risk-neutral pricing: Partial differential equations; risk-neutral density; Feynman-Kac formula; no-arbitrage prices.

      Tuesday

      • Applications of risk-neutral pricing to interest-rate derivatives: Forwards; bond options; caps; floors and collars; swaps; swaptions.
      • Numerical methods for interest-rate models: Trees; risk-neutral and actual densities; partial differential equations; finite-differences, Crank-Nicholson algorithm; Feynman-Kac solution, Monte Carlo simulations; comparison of the methods.

      Wednesday

      • Classical interest-rate models: The Vasicek and Cox-Ingersoll-Ross models; other models; constructing trees.
      • Multifactor interest-rate models: Affine and quadratic Gaussian models.
      • Credit risk and default: Adding default to existing models.

      Thursday

      • Arbitrage free interest-rate models: Yield and volatility data; Ho-Lee model; extended Vasicek model; Black-Derman-Toy model; Heath-Jarrow-Morton model; non-recombining tree; forward-rate measures; changes of numeraire; the Libor market model.
      • Calibrating interest-rate models to market data: The forward curve; bond price volatility; implied volatility of interest-rate caps.

      Friday

      • The econometrics of interest-rate modeling.
      • Nonparametric density estimation for interest rates: Kernel estimator; bandwidth; practical implementation; nonparametric estimation of volatility; nonparametric pricing of interest-rate derivatives.
      • Practical model building: How to model nonlinear mean reversion and volatility; testing the resulting model; how to decide whether a model fits the data; density-matching.
      • Testing whether interest rates are Markovian: Non-Markovian dynamics in the HJM context.
      • Testing for the presence of jumps in interest rates: Jumps dues to macroeconomic announcements; monetary policy.
      • Maximum likelihood estimation for interest-rate models: Applications to multifactor term structure models and stochastic volatility.

      Other suggested links:

      2008 Geneva Executive Courses in Finance course program Organization, Admission, Procedure & Fee Application Form

      For all other questions, please contact:

      Fabienne Garcelon
      Program Manager
      Swiss Finance Institute
      Rue des Gares 9
      CH-1201 GENEVA, Switzerland
      T +41 22 748 16 70
      F +41 22 731 95 75
      
      http://www.SwissFinanceInstitute.ch

      
      
      

   6. Advanced Risk and Portfolio Management
      by Dr Attilio Meucci, CFA

      the only heavily quantitative, omni-comprehensive, intensive buy-side bootcamp

      4-6 June 2008, 8:30 a.m. - 6:00 p.m.
      Frankfurt, Germany

      Course Highlight

      The course covers all aspects of quantitative risk and portfolio management from the foundations to the newest developments.

      • Statistics: multivariate distributions, copulas, location-dispersion ellipsoid, correlation and other measures of co-dependence
      • Multivariate estimation: non-parametric, maximum-likelihood under thick tails, shrinkage, robust, Bayesian, extreme value theory
      • Market modeling: quest for invariance in different markets, advanced dynamics, factor models, principal component analysis
      • Pricing: FFT projection to horizon, delta-gamma, full Monte Carlo
      • Portfolio evaluation: stochastic dominance, satisfaction, utility/certainty equivalent
      • Risk management: value at risk, expected shortfall, coherent measures; risk decomposition in elliptical and generic markets
      • Classical portfolio management: trading/prospect theory, total return management, benchmark allocation, mean-variance and pitfalls
      • Advanced portfolio management: mean-CVaR, mean-VaR, Black-Litterman and beyond, copula opinion pooling, Bayesian, robust cone programming
      • Liquidity: transaction costs, optimal execution, algorithmic trading

      The most advanced statistical and optimization techniques are introduced and thoroughly discussed by means of live MATLAB simulations, intuitive geometrical representations, figures and plenty of examples.

      The course is based on Dr. Meucci's bestseller Risk and Asset Allocation - Springer. Delegates will be given a complimentary copy of the book, as well as all the codes used in the live demos.

      Audience

      • Buy-side practitioners (portfolio managers and risk managers with solid quantitative background) will deepen and broaden their understanding of the recipes they implement everyday and will learn the most cutting-edge techniques.
      • Academics and sell-side practitioners (traders, financial engineers, quantitative analysts, and research teams) will understand the big-picture and the details of buy-side finance in a quantitative language to them.
      Message from Attilio Meucci: Thank you for your interest in my course. The prerequisites for the course are multivariate calculus and linear algebra. The pace of the course is very high. In order to make it more effective, and since we will be using throughout principal component analysis and representations in terms of ellipsoids, I strongly recommend that you become familiar with Section A.5 (pp 475-480) here: http://www.symmys.com/AttilioMeucci/Book/Downloads/AMeucciRiskAndAssetAllocationSample.pdf

      For a detailed course program click here.

      Booking

      You can book online or send inquiries to
      or call + 49 - 6087 - 919852
      
      Registration deadline is 30 May 2008.

      Venue

      Frankfurt School of Finance & Management
      Sonnemannstraße 9-11
      60314 Frankfurt am Main
      Room 2, Ground Floor
      

      Course Web Page

      http://workshop.mathfinance.com/2008/qrpm/index.php

      Charity Event

      Each euro paid by delegates will turn into a 50-cent donation to Doctors without Borders and Gandhi Kinderhilfe provided minimum fixed costs are covered. Attilio Meucci will waive his fees for charity.
      
      
      

   7. Commodities & Commodity Derivatives
      by Professor Helyette Geman: London: 9th & 10th June 2008

      Topics:

      Day 1: Trading Commodities: The Crucial Understanding of Spot and Forward Markets.

      • Demand, supply and price formation
      • Inventories as a key specificity of Commodities markets
      • Theory of storage and the shape of Forward curves
      • Futures Markets and Price discovery
      • The role of indexes in the trading of Forward Freight Agreements
      • Metals Markets
      • Energy Markets
      • Gas markets and LNG as an arbitrage instrument
      • Oil markets: have we passed Peak Oil?
      • Seasonal and Stochastic Effects in Commodity forward curves: the Borovkova - Geman model

      Presenter:

      Helyette Geman: Professor of Mathematical Finance Birkbeck, University of London, ESSEC Business School & Member of the Board of the UBS Bloomberg Commodity Index

      Day 2: Structured Products and Advanced Topics

      • Modelling commodity prices
      • Is mean - reversion dead?
      • When are trajectory jumps necessary?
      • Inventory and price Volatility
      • Exchange and spread options in commodities
      • Application to the valuation of an aluminium smelter or a CCGT
      • The key role of Asian options in shipping and energy markets
      • Commodity structured notes
      • Valuation and Hedging of CCOs: why they have little to do with CDOs
      • Investing in Commodities: ETFs vs Certificates vs Shares of Mining companies vs Indexes

      Presenter:

      Helyette Geman: Professor of Mathematical Finance Birkbeck, University of London, ESSEC Business School & Member of the Board of the UBS Bloomberg Commodity Index

      Contact: Neil Fowler
      T: +44(0) 1273 201352 F: +44(0) 1273 201360
      Website: http://www.wbstraining.com
      Event page: http://www.wbstraining.com/php/events/showevent.php?id=142
      Register to FOR ONE or BOTH days of the workshop
      Register to BOTH days of the workshop and receive £200 discount

      
      
      

   8. Property Derivatives Workshop:
      London: Monday 23rd June 2008

      • Introduction to Property Derivatives
      • Market introduction
      • Product explanations
      • Building a forward property curve
      • Valuing products with optionality
      • Fundamentals of Property Derivatives
      • The crucial role of indexes in creating property derivatives
      • Contrasting Real estate indexes to equity and commodity indexes
      • Residential versus commercial versus mixed indexes
      • How broad should residential indexes be? The example of the US
      • Symmetry of information in property derivatives
      • Property Derivatives Pricing
      • Analysing the IPD indices
      • IPD indices
      • Why was IPD formed?
      • Computation, composition, coverage
      • Annual, Quarterly, Monthly and the Annual Index Estimate
      • How we model property returns

      Presenters:

      Helyette Geman: Birkbeck, University of London, ESSEC Business School & UBS Bloomberg Commodity Index
      Jeroen Kerkhof: Morgan Stanley
      Colin Lizieri: Professor of Real Estate Finance, University of Reading (To be confirmed)
      Angela Sheahan: Research Manager, Investment Property Databank

      Contact: Neil Fowler
      T: +44(0) 1273 201352 F: +44(0) 1273 201360
      Website: http://www.wbstraining.com
      Event page: http://www.wbstraining.com/php/events/showevent.php?id=141

      
      
      

   9. We are pleased to support the

      4th Annual CARISMA conference,

      which takes place in London at 7City Learning on 1-2 July 2008.

      The theme of the conference is "Risk Control Strategies for Hedge Funds and Program Trading". There are also four pre- and post-conference workshops. For further details see http://www.optirisk-systems.com/events/carisma2008.asp

      The conference provides a platform to discuss the applications and advances, and to explore future research directions. The focus is on the emerging requirements of the finance industry, from the perspective of performance monitoring, regulation and compliance. It brings together practitioners and academics working in the area of financial planning, optimisation and risk modelling. The satellite workshops provide an in-depth view of related topics in investment and risk modelling.

      Speakers include:

      • Carlo Acerbi, Abaxbank
      • Art Asriev, Bear Stearns
      • Les Balzer, The University of New South Wales
      • Dan Bienstock, Columbia University
      • Nicos Christofides, Imperial College
      • Robert Clarkson, Cass Business School, City University.
      • M A H Dempster, Centre for Financial Research, Judge Business School, University of Cambridge & Cambridge Systems Associates Limited
      • Dan diBartolomeo, Northfield Information Services Inc
      • Chanaka Edirisinghe, University of Tennessee
      • Philip Gagner, RavenPack Int'l
      • Gerd Infanger, Stanford University
      • Dilip Madan, University of Maryland, Consultant to Morgan Stanley & Visiting Professor, CARISMA (Risk Awards Quant of the Year 2008)
      • Gautam Mitra, CARISMA, Brunel University
      • Andrew Robinson, SunGard-APT
      • Bernd Scherer, Morgan Stanley
      • Rob Stubbs, Axioma
      • Stefan Thurner, red.stars.com
      • Xunyu Zhou, University of Oxford

      Topics:

      • Risk Management for Hedge Funds
      • Long-Short Portfolios with Downside Risk Control
      • Credit Crunch, Liquidity, and Equity Market Neutral Strategies: Managing Risk in High Volatility Markets
      • Dynamic Asset Allocation
      • Automated Risk Management for Global Macro Strategies
      • Actuarial Insights into Hedge Fund Management
      • Optimal Trade Execution
      • Risk Management for Equity Trading: Fat Tails and Liquidity Gaps
      • Optimal Technical Trading Rules and Risk Control in Managing Stock Portfolios
      • Portfolio Implementation Shortfall Trading Strategies
      • Dynamic Behavioural Portfolio Choice
      • Coherent Measures of Risk
      • Automated Statistical Arbitrage Funds
      • Efficiencies in Multi-Account Optimisation

      Satellite Workshops:

      30 June 2008: Two Half-Day WORKSHOPS:

      Morning: Robust Portfolio Optimisation
      Afternoon: LDI/ALM

      3 July 2008: Two Half-Day WORKSHOPS:

      Morning: New Developments: Performance Measures and Structured Products; Coherent Risk Measures and Liquidity Risk
      Afternoon: RavenPack workshop: News Analytics and Financial Modelling

      
      
      

   10. Foreign Exchange Exotic Options by Professor Uwe Wystup
       London: 7th & 8th July 2008

       Topics covered:

       This practical two-day course covers the pricing, hedging and application of FX exotics for use in trading, risk management, financial engineering and structured products. Presented by Professor Uwe Wystup

       Guest Speaker: FX Hybrids Modelling: Claudio Albanese

       FX exotics are becoming increasingly commonplace in today's capital markets. The objective of this workshop is to develop a solid understanding of the current exotic currency derivatives used in international treasury management. This will give participants the mathematical and practical background necessary to deal with all the products on the market.

       Prior Knowledge:

       Calculus, probability theory, linear algebra, basics of stochastic processes, basic concepts of financial products, programming skills.

       Who Should Attend?:

       Quantitative analysts, traders, risk-managers, financial engineers, structurers, researchers and others who create or deal with foreign exchange.

       Important Note:

       Delegates are required to bring their own laptops with internet (Wi-Fi) access to work on case studies and live exercises using SuperDerivatives.
       
       All delegates will receive a complimentary copy of the Wiley 2006 publication: FX Options and Structured Products by Uwe Wystup
       

       Day 1: Review of the Fundamentals of FX Options

       Fundamentals

       • Components of foreign exchange risk: forwards, swaps and vanilla options
       • FX options market: who does what and why
       • Software, in particular Reuters Dealing and SuperDerivatives

       Vanilla Options

       • Put-call parity, put-call symmetry, foreign domestic symmetry
       • Quotation conventions in FX
       • Dates: trade day, premium payment day, exercise/expiration time, settlement day
       • Settlement, spreads, deal processing, counterparty risk
       • Exotic features: deferred payment, contingent payment, deferred delivery, cash-settlement, American and Bermudan exercise rights, cut-offs and fixings
       • Exercises

       Volatility

       • Implied vs. historic
       • Quotation in terms of deltas
       • Volatility cones
       • Volatility smile: term-structure, skew, risk reversals and butterflies
       • Volatility sources
       • Interpolation and extrapolation across the volatility smile surface
       • Forward volatility
       • Workshop: Greeks in terms of deltas, hedging volatility risk, deriving the strike from the delta with smile

       First Generation Exotics: Products, Pricing and Hedging

       • Digital options: European and American style, single and double barrier
       • Barrier options: single and double, knock-in and knock-out
       • Compound and instalment
       • Asian options: options on the geometric, arithmetic and harmonic mean
       • Power, lookback

       Structured Products

       • Dual currency and other FX-linked deposits
       • Case study: unwinding a DCD
       • Structured forwards: shark forward, bonus forward, range-reset forward, etc.
       • FX-linked cross currency swaps
       • Exotic spot and forward trades
       • Workshop: structuring exercises

       The Traders' Rules of Thumb

       • How higher order derivatives influence the price
       • Vanna-volga pricing approach
       • Case study: one-touch
       • Discussion of model risk and alternatives: stochastic volatility
       • Workshop: pricing of barriers with smile

       Day schedule: 09:00 - 17:30
       
       Break: 10:30 - 10:45
       Lunch: 12:30 - 13:30
       Break: 15:15 - 15:30

       Day 2: Second Generation Exotics Pricing and Hedging issues & FX Hybrids Modelling

       Single Currency Exotics

       • Exotic features in (vanilla) options: deferred payment, contingent payment, deferred delivery, cash-settlement, American and Bermudan exercise rights, cut-offs and fixings
       • Exotic barrier and touch options
       • Faders, corridors, accumulative forwards
       • Forward start options, step-ups
       • Time options
       • Variance and Volatility Swaps
       • Workshop: structuring and pricing of accumulative forwards

       Multi Currency Exotics

       • Product overview with applications: quanto options, baskets, spreads, best-ofs, outside barriers
       • Correlation: implied correlations, correlation risk and hedging
       • Pricing in Black-Scholes model: analytic, binomial trees and Monte Carlo
       • Workshop: pricing and correlation hedging a two-currency best-of

       Quantitative Issues

       • Efficient computation of Greeks using Homogeneity and other Tricks
       • Efficient computation of Greeks for American Options using Leisen-Reimer Trees
       • Workshop: Time Options with Leisen-Reimer Trees
       • Local Volatility model and pricing with the smile using PDEs, application to barrier options
       • Heston's Stochastic Volatility model, pricing, implementation techniques for analytic and Monte Carlo, applications to exotic options
       • Pricing with the smile: e.g. weighted Monte Carlo

       FX Hybrids Modelling: Presenter: Claudio Albanese

       • Examples of typical products
       • Power Reverse Dual Currency knock outs and cancellables
       • FX inverse floaters
       • FX TARNs
       Quantoed structures
       • History of FX model for long dated structures
       • Cross-Currency Libor Market Models
       • Semi-parametric Models and Operator Methods
       • Trends in System Engineering: clusters and GPU computing
       • Stochastic monetary policy models
       • Modelling the long-dated FX smile
       • Modeling correlations by dynamic conditioning

       Day schedule: 09:00 - 17:30
       Break: 10:30 - 10:45
       Lunch: 12:30 - 13:30
       Break: 15:15 - 15:30
       
       Contact: Neil Fowler
       T: +44(0) 1273 201352 F: +44(0) 1273 201360
       Website: http://www.wbstraining.com
       Event page: http://www.wbstraining.com/php/events/showevent.php?id=136
       
       Fees: £999 + UK VAT per day + UK VAT
       Register to FOR ONE or BOTH days of the workshop
       Register to BOTH days of the workshop and receive £200 discount

       
       
       

   11. Conference: Computational Methods for Pricing and Hedging Exotic Options
       Mathematics Institute, University of Warwick: 11-12 July 2008

       Topics covered:

       The conference focuses on the use of modern computational methods for the pricing and hedging of exotic options.

       • Fast approximation methods for exotics
       • Numerical schemes for PDEs such as FDM, FEM, Wavelets, ...
       • Quasi Monte Carlo Methods
       • Numerical schemes for SDEs
       • Numerical integration/Quadrature
       • Efficient calibration methods

       Keynote Speakers:

       We can confirm the following keynote speakers:

       • Nasir Afaf, Commerzbank
       • Claudio Albanese, Level3Finance
       • Jesper Andreasen, Bank of America
       • Pat Hagan, JP Morgan Chase
       • Nick Webber, Warwick Business School
       • Uwe Wystup, Frankfurt School of Finance & Management and MathFinance AG

       We are now also accepting abstracts for talks in the afternoon sessions for both July 11th and 12th.

       Who Should Attend:

       Exotics traders, quantitative analysts, academics, PhD students, structurers and others who deal with pricing exotic options.

       Conference Web Page:

       More information can be found on the conference webpage
       http://www2.warwick.ac.uk/fac/sci/maths/research/events/2007_2008/options/

       1-day PhD Workshop:

       In addition to the main conference on July 11th and 12th, there is a one-day workshop for PhD students on July 10th. Places are limited to 20 and more information can be found on the website
       
       http://www2.warwick.ac.uk/fac/sci/maths/research/events/2007_2008/options/phdworkshop/

       Contact Details:

       For more information, contact Paul Clifford at or the Mathematical Research Centre(MRC) at http://www.maths.warwick.ac.uk/mrc/index.html

       
       
       

   12. The 5th Fixed Income Conference is heading to Budapest in 2008, September 24/25/26th

       Workshop Day: Wednesday 24th September:

       The LMM-SABR Model: The New Paradigm for Pricing, Calibrating, Hedging Interest-Rate Derivatives Modelling in the Presence of Smiles:
       Presenter Riccardo Rebonato: http://www.wbstraining.com/php/conference2008/show_page.php?id=1 Credit Derivatives Post Subprime Crisis Workshop:
       Presenter Massimo Morini: http://www.wbstraining.com/php/conference2008/show_page.php?id=2

       Long Dated Interest Rate Derivatives and Hybrids Workshop:

       Presenter Claudio Albanese: http://www.wbstraining.com/php/conference2008/show_page.php?id=3

       Main Conference: Thursday 24th / Friday 25th September, Invited Speakers:

       Claudio Albanese, Leif Andersen, Jesper Andreasen, Martin Baxter, Andrey Chirikhin, Alain Chebanier, Helyette Geman, Jon Gregory, Pat Hagan, Juergen Hakala, Chris Hunter, Peter Jaeckel, Jeroen Kerkhof, Joseph Langsam, Dilip Madan, Dariush Mirfendereski, Massimo Morini, Vladimir Piterbarg, Riccardo Rebonato, Lutz Schloegl, Roberto Silvotti, Jochen Theis, Daniel Totouom-Tangho, Oldrich Vasicek

       
       
       
3. MathFinance Resources
   
   

   1. Professor Merks Finanzlexikon

      Unentgeltlich und ohne Fallstricke downloadbar! Steht zurecht bei Google an der ersten Stelle. Zu allem Begriffen jeweils die englische Übersetzung. Hinweise auch auf entsprechende Artikel bei der Bundesbank und EZB. Daneben sind viele Ausdrücke aus dem Finanzjournalismus erklärt. Adresse:
      http://www.uni-siegen.de/~merk/downloads/finanzbegriffe.pdf