The MathFinance Newsletter, Edition 109, December 27 2004.
Previous editions and this edition in html format can be found on
http://www.mathfinancenews.com/.
In this issue:
- MathFinance Job Exchange
- MathFinance Events
- Securitisation Structuring and Modelling Workshop, 28 Feb.- 1 Mar. 2005
- Interest Rate Hybrid Products and Inflation Linked Derivatives Workshop, 10-11 Mar. 2005
- Equity / Credit Hybrid Products Workshop, Central London, 14-15 Mar. 2005
- International Conference on Risk Management and Quantitative Approaches in Finance, 6-8 Apr. 2005, University of Florida
- 5th Frankfurt MathFinance Workshop, 14-15 Apr. 2005
- Brockhaus and Jaeckel Workshop: The Practicalities of Equities Modelling, Central London, 21-22 Apr. 2005
- Capital Structure Arbitrage workshop In conjunction with Value Consultants Ltd, Central London, 16-17 May 2005
- Modelling and Practical Implementation Strategies for Portfolio Credit Derivatives, 16-17 May 2005
- Quantitative Finance: Developments, Applications & Problems, 4-8 Jul. 2005
- 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 Editors: Susanne Griebsch, Student of Goethe-University, Frankfurt; Abhishek Dutta, University of Twente
Technical Editor: Tom Heide, University of Applied Science, Frankfurt
Database Solutions: Dr. Thorsten Schmidt, Leipzig University
In detail:
- MathFinance Job Exchange
-
Tenure-track Position in Stochastic Analysis/Mathematical Finance, University of Pittsburgh
The Mathematics Department of the University of Pittsburgh invites applications for a tenure-track position in Stochastic Analysis/Mathematical Finance to begin in the Fall Term 2005, pending budgetary approval. The appointment is at the Assistant Professor level.
We seek excellence in teaching and research so applicants should demonstrate substantial research accomplishment and dedication to teaching.
Send a vita, three letters of recommendation, a research statement and evidence of teaching accomplishments to:
Search Committee in Stochastic Analysis,
Department of Mathematics,
University of Pittsburgh,
Pittsburgh, PA 15260.
Review of completed files will begin on January 3, 2005 and continue until the position is filled.
The University of Pittsburgh is an Affirmative Action, Equal Opportunity Employer. Women and members of minority groups under-represented in academia are especially encouraged to apply.
http://www.math.pitt.edu/ -
Nomura Research Fellow in Mathematical Finance, Mathematical Institute and Wadham College
Academic-Related RS1A: Salary £19,460 - 29,128 pa
Applications are invited for a Nomura Postdoctoral Research Fellow to work on mathematical or computational finance in the Mathematical Finance Group, Mathematical Institute, University of Oxford. It is intended that the Fellowship will be held in parallel with a Junior Research Fellowship at Wadham College. The appointment is supported by a generous benefaction from Nomura International plc.
The post will be for two years in the first instance, renewable for up to a third year only depending on funding. The post-holder will be paid at the appropriate point on the University's RS1A scale. The starting date is 1st October 2005 or as soon as possible thereafter.
The successful applicant should be able to demonstrate an excellent ability in research in mathematics or computational finance, and have a publication record in refereed journals commensurate with their career to date.
Further particulars may be obtained from
http://www.maths.ox.ac.uk/notices/vacancies/
or
Brenda Willoughby,
![[spam save email]](http://mathfinance.de/email.png.php?addr=brenda_xx_maths__ox__ac__uk)
,
Mathematical Institute,
24-29 St. Giles',
Oxford OX1 3LB,
to whom applications [6 copies, including a CV] should be sent.
Candidates should ask two referees to send references to the address above to arrive by 31st January 2005. Please quote reference BK/04/023. There is no need for a separate application to the college.
-
- MathFinance Events
-
Securitisation Structuring and Modelling Workshop, 28th Feb.- 1st Mar. 2005
Central London
Highlights of Workshop
- This is NOT a basic course. The participants must have basic understanding of securitisation structures.
- A 100% practical course that looks at the financial structure and cash flow models of securitisation transactions
- Builds models from issuers, servicers and investors viewpoint
- Participants would be expected to build models for real-life transactions
- Participants must have good knowledge of Excel. Knowledge of VBA is NOT required for this course.
- To derive the most out of this course, participants must bring their own laptops/portable computing devices.
- This course does NOT deal with securitisation law, accounting or taxation, except as may be required for understanding transaction structures.
Workshop Trainer:
Vinod Kothari is recognised globally as an international author, trainer and expert in the areas of Securitisation, Asset Based Financing, Credit Derivatives and Derivative Accounting.
Vinod has delivered training workshops in more than 15 countries around the world, including South Africa, UK, Australia, Malaysia, Jordan, Egypt, Sri Lanka, Bangladesh, Zambia, South America and across India. Vinod is involved in Distance training in the USA, UK, Netherlands, Israel, South Africa, etc. Furthermore he owns the www.vinodkothari.com website which is a highly regarded research tool for banking and financial professionals across the world.
Vinod Kothari has published books in the areas of Securitisation, Credit derivatives and leasing. His books include:
- Securitisation: The Financial Instrument of the New Millennium
- Credit Derivatives and Synthetic Securitisation
- Lease Financing and Hire-purchase
- Securitisation, Asset Reconstruction and Enforcement of Security Interests
His portfolio also includes a variety of published articles for various journals, including Euromoney's Securitisation Review, Duke Journal of Comparative and International Law, Journal of International Banking Law, Asset Finance, US Banker, El Exportrador, Monitordaily, and Equipment Finance Journal. Vinod is a Chartered Accountant, a Company Secretary, acts as the Executive Director of the Asian Securitisation Forum and holds the position of Director at the Association of Leasing and Financial Services Companies (a body of over 500 top leasing companies in India).
Vinod Kothari is currently retained by the Asian Development Bank for a project related to secured lending reforms in India.
Workshop Outline:
Session 1: Securitisation: Quick introduction to securitisation transactions.
- Meaning and features of asset-backed securities
- Isolation of cashflows and originator-independence of securitisation transactions.
- Motivations for issuers and investors
Session 2: Concept of credit enhancement in asset backed securities.
- Equity in corporate finance and credit enhancement
- Credit enhancement and ratings
- Credit enhancement and weighted average cost of the transaction.
Session 3: Securitisation structures: pass through and bond structures.
- CDO structures. Reinvestment type transactions.
- Paydown structures and implications of each.
- Essentials of securitisation structuring - the underlying cashflows.
- Structures in various asset classes: RMBS, CMBS, retail credit, future flows, revolving type.
- Synthetic structures.
Session 4: Financial modeling for securitisation: various purposes of the model.
- Identifying the key determinants of the variables.
Introducing each element into a classroom model to notice impact on the transaction. Impact of excess spread, over collaterleralisation and subordination.
Session 5: Model for stress testing of the portfolio and computation of credit enhancement levels.
Using the model to stress the assumptions.
- Computing expected losses, mean, variance and volatility.
- Concept of probability of default and loss severity in connection with credit enhancements.
- Seeing the impact on weighted average cost of the transaction.
Session 6: Modeling for cashflow waterfall and investorservicing.
- Identifying inflows and outflows.
- Identifying specific situations - buyback, replacement, reinvestment, prepayment, etc. Using actual pool performance data for waterfall distribution.
- Distribution of losses.
Session 7: Modeling for investor reporting.
- Types of reports required.
- Loss distribution reports for investors.
- Modeling from investor viewpoint.
- Impact of different variables on investors' yield
Session 8: Preparing models based on information in legal documents.
- Studying a real life trust deed/ prospectus and deriving the required details for modeling.
Session 9: Preparing models for accounting reports
- Key requirements - gain on sale, retained asset amortization and valuation of residual interests.
- Valuation based on pool performance data
Participants will be expected to build models of several real life transactions.
Workshop Fee: £1499:00 + UK VAT 10% Wilmott.com discount
Contact:
Phone: 44(0) 1273 674400 F: 44(0) 1273 672333
Email:![[spam save email]](http://mathfinance.de/email.png.php?addr=neil_xx_wbstraining__com)
http://www.wbstraining.com -
Interest Rate Hybrid Products and Inflation Linked Derivatives Workshop, 10th & 11th March 2005
Central London
Workshop Presenters:
- Philippe Balland: Director in the fixed income division, Merrill Lynch
- Nabyl Belgrade: Quantitative Analyst, IXIS Corporate Investment Bank
- Dorje Brody: Royal Society University Research Fellow, Imperial College London
- Dariusz Gatarek: Director of Quantitative Research, NumeriX LLC
- Lane P Hughston: Professor of Financial Mathematics, King's College
- Dherminder Kainth: Senior Quantitative Analyst, (Quarc), Royal Bank of Scotland
- Fabio Mercurio: Head of Financial Models, Banca IMI
- Dariush Mirfendereski: Head of Inflation Linked Trading Europe & USCPI Derivatives, UBS
- Vladimir Piterbarg: Co-Head of Quantitative Research, Bank of America
Aim of the workshop:
This dynamic workshop covers two of the hot topics in the interest rate field, hybrid products and Inflation Linked Derivatives. Fixed Income desk are becoming increasingly involved in the development of cross-market products involving interest rates combined with one or more of foreign exchange, credit and equity securities. Day 1 examines the latest modelling and pricing techniques of hybrid interest rate derivative products.
Hybrid topics covered:
- Overview of the General Theory of Interest Rate Hybrid Models
- Interest rate/credit hybrids
- Models for pricing equity interest rate hybrids
- Hybrid pricing of callable products
- Stochastic Volatility for Hybrid Model
The global market for inflation-indexed securities has ballooned in recent years, and this trend is set to continue. Day 2 of this workshop provides a unique insight into the development of inflation-indexed derivative products, and the analytical tools required to value such instruments. Inflation is once again being discussed and inflation-linked instruments have stepped back into the spotlight.
Inflation Linked topics covered:
- Arbitrage-free pricing of inflation-indexed derivatives
- Practical Perspectives on Pricing, Trading, and Hedging Inflation-Indexed Derivatives
- Impact of Seasonality in Pricing of Inflation Derivatives
Who should attend?
- Quantitative Analysts
- Traders
- Structured Products Desks
- Financial Engineers
- Risk Managers
- Researchers
with exposure to:
- Interest Rate Derivatives
- Inflation Linked Derivatives
- Interest Rate Hybrid Products
- Interest Rate Research
- Counter-party risk
- Structured Finance
- Multi factor products Research
- Market Risk
Day 1:Interest-Rate Derivatives Hybrid Products
09:00 - 10:30 Dorje C Brody, Imperial College & Lane P Hughston, King's College London
Overview of the General Theory of Interest Rate Hybrid Models: 1 hour 30 minutes
- Interest rate modelling in general
- HJM and beyond
- Interest Rate and Foreign Exchange hybrid models
- Interest Rate and Inflation hybrid models
- Interest Rate and Equity hybrid models
- General interest rate hybrids
- Summary of relevant modelling and risk management issues
10:30 - 10:45 Morning Coffee Break
10:45 - 12:05 Interest rate/credit hybrids: 1 hour 20 minutes
Vladimir Piterbarg: Co-Head of Quantitative Research, Bank of America
- PDE models for interest rate/credit hybrids, single credit underlying
- Monte-carlo models for the same
- Effects of interest rate/credit correlation on hybrids
- Extensions to basket-linked interest rate exotics
12:05 - 13:25 Hybrid pricing of callable products: 1 hour 20 minutes
Dariusz Gatarek: Director of Quantitative Research, NumeriX LLC
- Pricing of callable products - numerical methods
- Pricing of hybrid products - some examples, curse of dimensionality
- Pricing of callable products - simulation methods: stochastic mesh, regression and direct approaches
- Optimal stopping and pricing of Bermudan options
- Hermite polynomials, Wick formula and free field quantisation
- Hermite expansion of payoff functions
- Calculation of expectations
- Example of stock put option
13:25 - 14:25 Lunch
14: 25 - 15:45 Stochastic Volatility for Hybrid Model 1 hour 20 minutes
Philippe Balland: Director, Fixed Income Division, Merrill Lynch
- Review of existing literature
- Extension of Hagan's formula to control wings and allow for mean-reversion
- Controlling the 'dynamic' of the smile to ensure optimal hedging
- Forward smile versus future smile and the volatility puzzle
- Adding interest-rate volatility and effect of interest-rate skew on long-dated option
- Correlation structure between stoch-vol models
- Calibration and Simulation techniques
15:45 - 16:00 Afternoon Coffee break
16:00 - 17:30 Models for pricing equity interest rate hybrids: 1 hour 30 minutes
Dherminder Kainth: Senior Quantitative Analyst, (Quarc), Royal Bank of Scotland
- How to Combine the Hull White model for interest rates with:
- The Dupire local volatility model
- The Jump diffusion local vol model of Andersen and Andreasen
- In both cases methods for rapidly computing the local vol.
- How to fuse a stochastic volatility and local vol. model. In all cases concentrating on Monte Carlo pricing techniques
- Also within these models:
- Pricing of exotic products; focusing on the different behaviour of exotic options despite the fact of perfect calibration to the vanilla market
- Different behaviour of the smiles
Cocktail Party: 17:30 - 19:30
Day 2 Inflation-Linked Derivatives
09:00 - 11:00 Arbitrage-free pricing of inflation-indexed derivatives: 2 hours
Fabio Mercurio: Head of Financial Models, Banca IMI
- Definition of inflation-indexed swaps and caps;
- Brief review of the Jarrow and Yildirim (2003) model
- Two market models for pricing general inflation-indexed derivatives
- Derivation of closed form formulas for inflation-indexed swaps and caps;
- Examples of calibrations to market data;
- Possible extensions with stochastic volatility.
11:00 - 11:15: Morning Coffee Break
11:15 - 14:45 Practical Perspectives on Pricing, Trading, and Hedging Inflation-Indexed Derivatives - from the Dark Ages to the Present: 2 hours 30 minutes
Dariush Mirfendereski: Head of Inflation Linked Trading Europe & USCPI Derivatives, UBS
Including 1 hour Lunch Break: 12:30 - 13:30
- Seasonality: measurement, modelling, impact on swap prices
- Asset Swaps vs Zero Coupon Swaps: which has primacy?
- Three thresholds for Asset Swap Prices--why they are important
- The UK, Euro-zone, and US markets: lessons from three distinctly different markets
- Hedonic adjustments
- "Carry" in Bonds vs "Carry" in Swaps
- The Inflation Options "market": limited implied information and dangers of extrapolation to price other strikes/options
- interpolated vs month fixing: simplicity/complexity
- year-on-year inflation swap convexity
- Dynamically hedging swaps with bonds--correlation between nominal swap spreads and IL bond breakevens, another convexity?
- Practical examples: retail structures, rental securitization, pension liability hedging, overlay swaps for corporates or pensions, swapped long-dated issues
- The Road Ahead: what to watch out for in this fast developing market
14:45 - 15:00: Afternoon Coffee Break
15:00 - 16:30 Impact of Seasonality in Pricing of Inflation Derivatives 1 hour 30 minutes. Nabyl Belgrade: Quantitative Analyst, IXIS Corporate Investment Bank
Importance of seasonality in inflation derivatives prices:
- What's seasonality?
- CPI historical view.
- Inflation ZC view.
Principe of CPI curve correction:
- Additive and multiplicative adjustment.
- Formulae
Seasonality modeling and estimation in Times Series?
- Non parametric tools: the W11 method.
- Parametric models:
Numerical example
- French Inflation
- European
- US inflation.
Pricing results
- Inflation swaps prices impact.
- Inflation floors prices impact.
Workshop Fee: £1799:00 + UK VAT
Contact:
Phone: 44(0) 1273 674400 F: 44(0) 1273 672333
Email:
http://www.wbstraining.com -
Equity / Credit Hybrid Products Workshop
Central London: 14th / 15th March 2005
Workshop Presenters:
- Claudio Albanese: Chair of Mathematical Finance, Imperial College London
- Damiano Brigo: Head of Credit Models: Banca IMI
- Oliver Brockhaus: Senior Quantitative Researcher, Bayerische Hypo- und Vereinsbank
- Dorje Brody: Royal Society University Research Fellow, Imperial College London
- Lane P Hughston: Professor of Financial Mathematics, King's College
- Norbert Jobst: Associate Director, Standard & Poors
- David Murphy: Value Consultants
- Thibault Scaramanga: BARCAP
- Philipp J. Schonbucher: Assistant Professor, Department of Mathematics, ETH Zurich
Topics covered:
- Overview of the General Theory of Credit Hybrid products
- Equity-Credit Models: A Survey
- Equity Default Swaps: Pricing, Modelling, Historical Perspective & Applications
- Equity/Credit trading floor techniques
- Connecting Firm's Value to Intensity Models
- Model Risk and Capital Structure Arbitrage
Aim of the workshop:
Credit Derivatives have become one of the fastest growing areas of financial capital markets. Marketing and structuring desks specializing in equity derivatives are increasingly interested in products with links to the more fashionable credit area. While modelling of credit with equity models was limited to convertible bonds, now credit events and equities markets are becoming seen as closely linked. This workshop will focus on the latest theory and practical techniques for Equity/Credit Hybrid products.
Who should attend?
o Quantitative Analysts o Traders o Structured Products Desks o Financial Engineers o Risk Managers o Researchers
with exposure to:
o Equity Derivatives o Credit Derivatives o Credit-Equity hybrids o Foreign Exchange Derivatives o Multi factor products Research o Counter-party risk o Credit Research o Credit Risk
Day 1
09:00 - 11:00 Overview of the General Theory of Credit Hybrid Products: 2 hours
Dorje C Brody: Imperial College & Lane P Hughston: King's College London- Credit modelling in general
- Reduced form and structural hybrid models
- Credit and Foreign Exchange hybrid models
- Credit and Inflation hybrid models
- Credit and Equity hybrid models
- General credit hybrids
- Summary of relevant modelling and risk management issues
11:15 - 13:15 Equity-Credit Models: A Survey: 2 hours
Oliver Brockhaus: Senior Quantitative Researcher, Bayerische Hypo- und Vereinsbank
Introducing and assessing known and less known Equity-Credit models in view of:
Model Assumptions:
Market Information: Stock Price, Credit Default Swap, Vanilla Equity
Option, Rating, Recovery
· Model Paradigm: Asset Value, Hazard Rate, Default Barrier
Model Properties:
· Implied volatilities
· Implied CDS spreads
· Empirical evidence
Applications
· Relative Value Trading
· Hybrid Products Trading
· Illiquid Markets
· Portfolio Modelling
13:15 - 14:15 Lunch
14:15 - 15:45 Equity Default Swaps: Historical Perspective and Application: 1 hour 30 minutes
Norbert Jobst: Standard & Poors
- Estimation of "equity default" events from historical data
- Credit scoring models for EDS
- Explanatory variables
- Dependency/Correlation: Empirical insights
- GBM, GARCH, MV-GARCH ...
- CDO's referencing EDS (and CDS)
- Ratings approach
15:45 - 16:00 Afternoon Coffee Break
16:00 - 17:30 Equity vs Credit: Trading the Volatility Link: 1 hour 30 minutes
Thibault Scaramanga: BARCAP
Structural Model: Being consistant through the entire risk spectrum
Hedge strategies:
· Measuring the Greeks: Analytical vs Statistics
· Playing the Gamma
Performance
· Historical back testing
· Last year recommendations
Current status of trading
Cocktail Party: 17:30 - 19:30
Day 2:
09:00 - 11:00 Connecting Firm's Value to Intensity Models: 2 hours
Philipp J. Schonbucher: Assistant Professor, Dept of Mathematics, ETH Zurich
- The term structure of credit spreads in barrier-default models
- Problems at the short end: defaults are predictable
- Fundamental qualitative differences to intensity-based models
- Calibration problems
- Reconciliating of the models by modelling the information flow
- The idea of Duffie and Lando
- A simple (really) specification: delayed observation
- Connection to the CreditGrades model
- Consequences on a portfolio level:
- Joint spread dynamics
- From equity correlation to default correlation
11:00 - 11:15 Morning Coffee Break
11:15 - 12:30 Volatility models for equity default swaps: a comparison analysis: 1 hour 15 Minutes
Claudio Albanese, Chair of Mathematical Finance, Imperial College London
- Pricing credit-equity hybrids and EDSs
- Selecting the right volatility model
- Calibrating local volatility models for EDSs
- Are there jumps? Evidence from fallen angels and credit derivative pricing
- Using credit barrier models for EDSs
12:30 - 13:30 Lunch
13:30 - 15:00 Credit Default Swap Calibration and Equity Swap Valuation with a time varying Black-Cox type Structural Model: 1 hour 30 minutes
Damiano Brigo: Head of Credit Models, Banca IMI
- A Black Cox type structural model with general time varying coefficients
- Analytical default probabilities and curved default barrier
- Exact Calibration to CDS data for different maturities
- Calibration case study for Parmalat CDS
- Possible use for Equity swaps and hybrid equity/credit products
- Extensions
15:00 - 15:15 Afternoon Coffee Break
15:15 - 16:45 Model Risk and Capital Structure Arbitrage: 1 hour 30 minutes
David Murphy: Value Consultants
Part 1: Capital Structure Arbitrage
The Merton Model
Calibration and the Miller-Modigliani Theory
Using the Merton Model in Practice
The KMV Approach
Equity Skew and Default
Part 2: Model Risk
Mark to Market
Mark to Model and Model Risk
· Parameter Risk
· Assumption Risk
Implementation Risk
Part 3: Model Risk Applications
Equity vs. Debt Hedge Analysis
Modelling Equity Default Swaps
CSA Ideas and Convertible Bonds
Workshop Fee: £1799:00 + UK VAT
Contact:
http://www.wbstraining.com
T: 44(0) 1273 674400 F: 44(0) 1273 672333
-
International Conference on
Risk Management and Quantitative Approaches in FinanceDate: April 6-8, 2005
Location: Hilton Hotel - Conference Center, University of Florida, Gainesville, FLThe conference will present state-of-the-art results and latest advances in risk management and finance, including market, credit, and operational risk; algorithms and techniques for portfolio management, optimization and statistical estimation; assets and liability management; optimal trading and execution strategies; simulation and optimization approaches to pricing derivatives. While its main focus will be on finance applications, the conference will also cover risk management approaches in energy, military, medical, and supply chain operations management. The conference will be organized into several sections, including: (1) modern techniques for portfolio management and optimization; (2) theory and practice of risk management; and (3) modeling financial and energy derivatives; (4) extensions beyond financial markets.
Website of the conference: http://www.ise.ufl.edu/rmfe/events/qf2005/
Organizers: Prof. Farid AitSahlia and Prof. Stan Uryasev, Risk Management and Financial Engineering Lab, University of Florida.
The conference will be preceded by the Workshop on "Integrated Risk-Return Management: New Approach to Management of Bank Portfolio" on April 4-5, 2005. Workshop website: http://www.ise.ufl.edu/rmfe/events/ws2005/
Workshop Topics
- New Risk Measures (VaR, CVaR, CDaR) for the Bank Portfolio
- Bank-wide Integrated Risk Measurement and Capital Allocation
- Integration of Risk and Return Management
- Risk-Return Portfolio Optimization of the Bank Portfolio
- Integration of Regulatory and Internal Risk Management
Workshop Lecturers
Dr. Ursula A. Theiler, Risk Training, CEO, is a professional training consultant.
For additional information, see personal site
http://www.ursula-theiler.de
and Risk Training site
http://www.risk-training.org/.Prof. Stan Uryasev at the University of Florida is the director of the Risk Management and Financial Engineering (RMFE) Lab. For additional information, see personal site http://www.ise.ufl.edu/uryasev and site of the RMFE Lab., http://www.ise.ufl.edu/rmfe.
For further information please contact:
Sergey Sarykalin
Risk Management and Financial Engineering Lab
University of Florida
303 Weil Hall, Gainesville, FL 32611-6595
Tel.:(352) 283-2608, Fax.: (352) 392-3537
E-mail:![[spam save email]](http://mathfinance.de/email.png.php?addr=saryk_xx_ufl__edu)
-
5th Frankfurt MathFinance Workshop, 14 - 15 April 2005
Derivatives and risk management in theory and practice
The workshop is intended for practitioners of the areas of trading, quantitative or derivative research and risk management as well as for academics studying or researching in the field of financial mathematics or finance in general. The talks during the two days of the workshop cover a broad range of current topics and are presented by internationally known academics and practitioners. This time we will focus on Portfolio Management, Calibration Techniques and Credit. There will be enough time for questions and discussions after each talk and additional breaks provide you the opportunity to build networks within the quantitative finance community. The workshop will be held in English.
List of Speakers
- Herman Brodie, Cognitrend
- Diana Diaz, Dresdner Kleinwort Wasserstein
- Dr Hans-Peter Deutsch, d-fine
- Dr Götz Giese, Commerzbank
- Dr Werner Koch, ComInvest
- Prof Christoph Kühn, Frankfurt MathFinance Institute (Goethe University)
- Prof Ludger Overbeck, Giessen University / Hypervereinsbank
- Ghislain Perissé, Société Générale Asset Management
- Dr Matthias Reimer, Postbank
- Dr Thomas Weber, Weber und Partner
- Prof Uwe Wystup, HfB - Business School of Finance and Management
Organising Committee
- Prof Uwe Wystup, HfB - Business School of Finance and Management
- Tino Kluge, University of Oxford, OCIAM
Sponsors
This workshop is supported by HfB and sponsored by
- Commerzbank AG, Financial Engineering Team
- d-fine GmbH
- Lucht Probst Associates GmbH
Info Line
If you have further questions, please do not hesitate to contact us at:
![[spam save email]](http://mathfinance.de/email.png.php?addr=info_xx_workshop__mathfinance__de)
The homepage of the event is http://workshop.mathfinance.de. -
Brockhaus and Jaeckel Workshop:
Central London: 21-22 April 2005
The Practicalities of Equities Modelling
Aim of Course
Practical Equity Derivatives Modelling has to bridge the gap between scientific research and pragmatic solutions for the trading floor. In order for a smile model to be successful in a competitive environment the quantitative researcher has to present practical tools for trading, risk management and structuring desks.
This event is focussing on practical topics such as:
- Incorporation of smile models for risk management of exotic equity derivatives portfolios
- Efficient management of continuous features such as barriers and lookbacks
- Understanding and managing market and model risk of cliquet products
- There will be an emphasis on the latest developments in the equity derivatives market featuring
- Hedging complex volatility and correlation products
- Successful trading equity against credit
- New models for risky equity, local and stochastic volatility mixture and cliquets
Workshop Trainers:
Dr. Peter Jäckel received his DPhil from Oxford University in 1995. He started his career in quantitative analysis and financial modelling in 1997, when he joined Nikko Securities. Following that he worked with Riccardo Rebonato in the Quantitative Research Centre of the enlarged Royal Bank of Scotland Group where his primary responsibilities were independent model validation and derivatives modelling research. In December 2000, he joined Commerzbank Securities as a quant in their front office product development and derivatives modelling unit (Financial Engineering). Since May 2003 he has been global co-head of the team. Peter Jäckel is the author of the book "Monte Carlo methods in finance" published by John Wiley's in March 2002.
Oliver Brockhaus has more than six years experience in quantitative modelling of Equity Derivatives. He is responsible for Credit modelling at Bayerische Hypo- und Vereinsbank (HVB). Prior to joining HVB he was Senior Quantitative Researcher in the Equity Derivatives Research groups of Deutsche Bank (1997-2000) and JP Morgan Chase (2000-2003) in London. He holds a doctorate in mathematics from the University of Bonn (Prof. H. Foellmer) and a Diploma (DEA) in probability from the University P. et M. Curie in Paris (Prof. M. Yor). He is co-author of the RISK books Modelling and hedging equity derivatives (1999) and Equity derivatives and market risk models (2000).
DAY 1
9.00-9.15 Introduction
9.15-10.00 Equity Dynamics
- Implied Volatility Dynamics
- Sticky Strike versus Sticky Delta
- Hedging and Incomplete Markets
10.00 -10.30 Case Study
Marking to market with Smile Models
10:30 - 10:45 Morning Coffee
10.45-11.45 Forward Starting Options
- Forward Volatility versus Spot Volatility
- Level, skew and convexity relationships
- Understanding vol of vol
- Models and Forward Skew Propagation
11.45 -12.30 Case Study
Pricing and Risk Management of Cliquet Products: Napoleon
12:15 - 13:30 Lunch
13.30 -14.45 Implied Distribution
- Volatility Parameterisations
- No Arbitrage Conditions
- Interpolation and Extrapolation
- Efficient Monte Carlo Methods
- Efficient Tree Methods
14:45 - 15:00 Afternoon Coffee
15.00 -16.00 Volatility Products
- Products: Variance, Corridor Variance, Volatility, Covariance, Correlation Swaps
- Pricing and Risk Management Techniques Effect of Volatility Dynamics
16.00 -17.00 Equity / Credit
- Risky Equity Models
- Equity Default Swaps versus Credit Default Swaps
- Convertible Bonds and Credit
17:00 - 19:00 Cocktail Party
DAY 2
9.00 -10.15 American Options and Volatility Smile
- The replication method
- The rationale behind it
- The exercise boundary
- Smoothing the boundary and increasing convergence
10:15 - 10:30 Morning Coffee
10.30 -12.30 Stochastic Volatility Models
- Why stochastic volatility?
- What stochastic volatility?
- One model for all applications?
- A stochastic skew model
- Mathematical features of stochastic volatility models
- Monte Carlo methods and stochastic volatility models
- Finite differencing methods and stochastic volatility models
12:30 - 13:30 Lunch
13.30 -14.45 Greeks with Monte Carlo
- Finite differencing with path recycling
- Finite differencing importance sampling
- Pathwise differentiation
- The likelihood ratio method
- Including a skew
14:45 - 15:00 Afternoon Coffee
15.00 -17.00 Continuous Barriers
- Review of continuous versus discrete monitoring
- Finite differencing methods
- Copula based approximations
- The Broadie-Glassermann-Kou approximation
- The BGK approximation near the barrier: a conundrum
Workshop Fee: £1799:00 + UK VAT
Contact:
http://www.wbstraining.com
T: 44(0) 1273 674400 F: 44(0) 1273 672333
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Capital Structure Arbitrage workshop
Central London: 16-17 May 2005
In conjunction with Value Consultants Ltd
Topics Covered
- Fundamental models of corporate structure
- Trading opportunities suggested by these models
- Equity derivatives in capital structure arbitrage
- Credit derivatives in capital structure arbitrage
- Cross market opportunities and pitfalls
- Detailed examples and case studies
Aim of the course
Capital Structure Arbitrage is one of the most exciting areas in contemporary capital markets. To exploit these opportunities, a good understanding is needed of equity derivatives, credit derivatives, and their relationship via a model of corporate structure. This course provides a practical introduction to this rewarding type of arbitrage trading, delivered by experienced and well qualified market professionals in a highly interactive and practical manner. The course is aimed at traders, analysts, fund managers, fund of fund managers and senior management involved in proprietary risk taking in this area. Regulators and other professionals having oversight of this type of activity will also benefit considerably. The course will consist of lectures, practical demonstrations and hands on workshops in this new and exciting trading area.
Course trainers:
Dr. David Murphy is another skilled member of the Value team. He specialises in integrated strategy and solutions for risk businesses and the valuation and risk management of derivatives products. He has had extensive experience in both credit derivatives/alternative risk transfer and equity derivatives, with a variety of roles in major global investment banks. His last position before joining Value was as Chief Operating Officer for the Reinsurance Group within Merrill Lynch after moving into Debt Markets from Merrill's Global Equity Derivatives Group. David's interests in the management of risk extend to regulatory capital, and he has been influential representing the industry in the recent revisions to the Basel Capital Accord. Dr. Murphy graduated from Oxford University with an MA in Physics, and an MSc in Computation. He holds a PhD in theoretical computer science, and was a Research Fellow for some years before entering the city, working at a range of Universities including Stanford, Sydney, Rome, Glasgow and Sussex.
Andrew Street is the Managing Director of Value Consultants Ltd (VC Ltd), a trading, risk management and regulation consultancy. He has worked in the Banking and Securities industry for almost two decades. Andrew was formerly Executive Director - Head of Arbitrage and prior to that, Director - Head of Equity and Commodity Derivatives at Mitsubishi Finance Intl (Bank of Tokyo-Mitsubishi). Before moving to Mitsubishi he was Head of Equity Derivative Trading at Nomura International and Senior Equity Derivatives Trader at Paribas Capital Markets (BNP-Paribas). Andrew began his career in the City in the mid 1980's as a fixed income quantitative analyst and structured products specialist at Barings (ING-Barings). In addition to his extensive market experience Andrew was a senior financial regulator, acting as Head of Traded Risk at the Financial Services Authority (FSA) and Assistant Director - Head of Market Risk at the Securities and Futures Authority (SFA). This has provided him with a unique insight in to the control, regulation and modelling of financial risk across the whole spectrum of financial institutions internationally. Andrew has also authored a number of articles and books on mathematical and structured finance including contributions to 'Over The Rainbow' (Risk Magazine) and 'The Handbook Of Risk Management' (Wiley). He is also a member of the advisory council to New York University Courant Institute Masters Program in Mathematics in Finance. He holds advanced degrees in theoretical physics from the Universities of Durham and Oxford.
Some of the comments from delegates on the recent May course:
- "Thank you for the insightful introduction into the CSA concepts, which will be very valuable for my current line of work" - Director, Debt Equity Products, A Far Eastern Bank
- "A very useful and informative workshop" - Assistant Director, Proprietary Trading, A Major European Bank
- "Andrew - thanks for all your help during the last 2 days. The course was much enjoyed and was very useful" - Director, Equity Derivatives Trading, A London based Global Investment Bank
- "Up until now Capital Structure Arbitrage was just something others talked about but didn't know squat - Now I do. Thank you" - Hedge Fund Trader, based in New York
Course Outline
Key Ideas in Capital Structure Arbitrage
- Basic Concepts
- The Merton model of corporate structure
- The Mechanics of the Model
- Consequences for Trading
- Implementations of the Merton Model
- Other Approaches
Understanding Equity Derivatives and Convertible Bond Structures
- Single stock options
- Using the Volatility Smile
- Dividend Risk and Stock Borrow
- Basket Options and Correlation
- Convertible Bonds, Convertible Asset Swaps and CB Options
- Convertible Arbitrage
Credit Derivatives in Capital Structure Arb
- Practical Credit Derivatives
- Asset Swaps, Total Return Swaps, and The Role of Funding
- Credit Events and Documentation Issues
- Tranche Products and the Uses of Equity Tranches
- Understanding Market Drivers
Pricing Credit Derivatives
- Credit Spreads, Default Probabilities and Recoveries. Pitfalls in Pricing Default Swaps
- Credit Spread Migration Models and Pricing Credit Spread Options
- Models of Corporate Structure and Inferred Pricing
Cross Market Arbitrage
- Why might an Arbitrage Exist?
- Real World Problems: Understanding them and Avoiding them
- Executing Successful Transactions
- Risk Monitoring and the Causes of P/L Volatility
- Typical Transactions in Detail
Workshop fee £1950:00 + UK VAT
Contact:
http://www.wbstraining.com
T: 44(0) 1273 674400 F: 44(0) 1273 672333
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Modelling and Practical Implementation Strategies for Portfolio Credit Derivatives, 16th / 17th May 2005
By Professor Philipp J. Schonbucher
The Times Square Hilton, New York City
Workshop Introduction:
This workshop will bring the participants up-to-date with the latest developments for the modelling and practical implementation strategies of portfolio credit derivatives. A brand new practical workshop for 2004 showcasing in New York the latest research by Philipp Schonbucher, and using for the first time new readily available data for implementation and estimation of credit derivatives. This workshop is essential to everyone trading these exciting new instruments.
Course Leader: Prof. Philipp Schönbucher
Prof. Philipp J. Schönbucher is assistant professor of Quantitative Risk Management at the Department of Mathematics of the Swiss Federal Institute of Technology (ETH) Zurich. He holds degrees in mathematics (Oxford) and economics (Bonn) and a PhD in economics (Bonn). His publications include papers on credit risk modelling, credit derivatives pricing, stochastic volatility modelling, option pricing in illiquid markets, real options and term structure models. His main area of research is credit risk modelling and credit derivatives pricing in which he has been active since 1996. Philipp is a consultant and professional trainer to a number of leading financial institutions. Furthermore he is author of a book on "Credit Derivatives Pricing Models" (Wiley, 2003).
Who Should Attend:
- Counter-party risk
- Credit Risk
- Risk Management
- Credit Derivatives
- Financial Engineering
- Structured Finance
- Credit Research
- Quantitative Analysis
- Structured Credit Products
Day 1
08:30 - 09:00 Breakfast
Theory: Latest Models
09:00 - 10:30 Introduction: Instruments, Problems. What is available? What is wanted?
Single-name CDS, FtD, single-tranche CDOs
Market liquidity: indices, index options
Semi-closed-form solutions
- STCDOs, FtDs
10:30 - 10:45 Morning Coffee Break
10:45 - 13:00 Copula models
The mechanism of copula models
The market standard 1-faktor Gauss copula
- The correlation smile
Modelling the dependency structure: properties of different copulae
- Gauss copula
- Clayton copula
- Generalisations of (Clayton and Gauss) copulae
- Factor models, sector models
Properties of copula models and caveats
13:00 - 14:00 Lunch Break
14:00 - 15:30 Alternatives to Copula Models
Frailty models
- Mechanism and results
- The dependency structure: similarities and differences to copula models
15:30 - 15:45 Afternoon Coffee Break
15:45 - 17:30 Alternatives to Copula Models, continued.
Multi-obligor intensity models
- Connection to the Gauss copula
Day 2
08:30 - 09:00 Breakfast
Practical Implementation
09:00 - 10:30 Dynamic Spread Models for Options on CDS and Options on CDS Indices
The relationships between Index options and STCDOs
Decomposing the index options by numbers of defaults
Connecting the model to other pricing models
10:30 - 10:45 Morning Coffee Break
10:45 - 12:15 Estimation and Calibration of Parameters
Input Data in general:
- Recovery rates: watching the ctd
- Spread curves: calibration issues
- Equity prices: E2C arbitrage
Historical vs. implied data
Estimation / stationarity problems
Calibration of correlation smiles
12:15 - 13:00 Semi-Closed Form Solutions and Transform Methods
The "Manual Convolution" trick
- Extension for continuous average recovery rates (mean and variance)
FFT convolution
- The algorithm
13:00 - 14:00 Lunch Break
14:00 - 14:45 Semi-Closed Form Solutions and Transform Methods, continued.
Application to factor and sector models:
- Case study: pricing of FtD baskets
- Case study: pricing of STCDOs
14:45 - 15:30 Monte-Carlo Simulation
Special problems for Monte-Carlo simulations
Mixed analytical/simulation methods
15:30 - 15:45 Afternoon Coffee Break
15:45 - 17:00 Monte-Carlo Simulation, continued.
Importance sampling
Calculation of sensitivities
Workshop Fee: $2899:00
Contact:
Phone: 44(0) 1273 674400 F: 44(0) 1273 672333
Email:
http://www.wbstraining.com -
Quantitative Finance: Developments, Applications & Problems, 4 - 8 Jul. 2005
Isaac Newton Institute for Mathematical Sciences, Cambridge, UK
Supported by the European Commission, Sixth Framework Programme =AD Marie Curie Conferences and Training Courses - MSCF-CT-2004-516558 and NOMURA in association with the Newton Institute programme entitled Developments in Quantitative Finance (24 January to 22 July 2005)
Organisers:
- V Henderson (Princeton),
- D Hobson (Bath),
- S Pliska (Illinois),
- C Rogers (Cambridge).
Theme of Conference:
The objective of this conference is to bring together academics from various fields, including mathematicians, but also researchers from economics and finance, together with industry practitioners, to discuss the latest developments in the theory of mathematical finance, the application of this theory to current issues facing the industry and to identify the substantive problems confronting academic researchers and finance professionals. Many individual themes within quantitative finance are covered elsewhere in the programme, and this conference will aim to promote the developments in those areas to a wider audience, whilst simultaneously providing a forum for the discussion of advances in other areas within the field.
Invited Speakers:
Y Ait-Sahalia (Princeton), P. Bank (Columbia), M. Baxter (Nomura), D. Becherer (Imperial), N. Branger (Frankfurt), M. Davis (Imperial), D. Duffie* (Stanford), R Frey (Leipzig), S Hodges (Warwick), L. Hughston (Kings), R. Jarrow* (Cornell), E. Jouini (Ceremade), S Kou (Columbia), D. Kramkov (Carnegie-Mellon), M. Monoyios (Brunel), P. Mykland (Chicago), E Platen (UTS), J-C Rochet (Toulouse), S. Ross (MIT), S. Shreve (Carnegie-Mellon), R Sircar (Princeton) and M. Zervos (Kings). *to be confirmed
Location & Cost:
The Conference will take place at the Newton Institute and accommodation for participants will be provided in single study bedrooms with shared bathroom at Wolfson Court. The conference package, costing 440GBP, includes accommodation, breakfast and dinner from dinner on Sunday 3 July to breakfast on Saturday 9 July 2005, and lunch and refreshments during the days that lectures take place. Self-supporting participants are very welcome to apply.
Further Information and Applications Forms are available from the WWW at:
http://www.newton.cam.ac.uk/programmes/DQF/dqfw02.html
Completed application forms should be sent to Tracey Andrew at the address below, or via email to:
![[spam save email]](http://mathfinance.de/email.png.php?addr=t__andrew_xx_newton__cam__ac__uk)
Closing Date for the receipt of applications is 28 February 2005
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- MathFinance Resources
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Quantitative Finance Master and PhD Programs
HfB - Business School of Finance and ManagementFollowing the growing need of quantitatively trained professionals in financial engineering, trading, structuring, risk management, treasury management, asset management leading experts with many years of practical experience in the financial industry have joined the HfB to offer education in a master's and Ph.D. program in quantitative finance starting from summer 2005.
Our Ph. D. projects are usually carried out with a partner of the financial industry. Continental Europe's preferred financial business location Frankfurt am Main is the ideal place to interact with experts in banks, consulting and software companies, insurance companies and data providers, a top location with many open positions and a large networking opportunity.
Ideal candidates bring along a quantitative background such as mathematics, physics, statistics, econometrics, some initial industry experience and a strong desire to work on practical quantitative problems. Course language is English.
The Faculty includes
- Prof. Dr. Heinz Cremers
- Prof. Dr. Thomas Heidorn
- Prof. Dr. Peter Rossbach
- Prof. Dr. Wolfgang Schmidt
- Prof. Dr. Robert Tompkins
- Prof. Dr. Uwe Wystup
The Curriculum of the 3 Semester Master Program includes
- Investments/Finance/Economics
- Probability Theory, Statistical Methods and Econometrics
- Stochastic Calculus
- Computational Finance/Numerical Methods (PDEs)
- Derivatives, Exotic Options and Structured Products
- Fixed Income Markets
- Credit Risk, Markets and Derivatives
- Monte Carlo Simulations
- C/C++ and VBA Programming
- Derivatives Trading Process Engineering
The Master Program will be at least 3 semesters. The Ph. D. Program will be 3 years.
If you are interested, then please mail your statement of intent and curriculum vitae to
Prof. Dr. Uwe Wystup
HfB - Business School of Finance and Management
Sonnemannstrasse 9-11
60314 Frankfurt am Main
Germany![[spam save email]](http://mathfinance.de/email.png.php?addr=wystup_xx_hfb__de)
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econphd.net - website of Christian Roessler
Launched in August 2003, econphd.net is now one of the most-visited noninstitutional websites in economics. Its administrator, Christian Roessler, is a PhD student at the University of Melbourne, Dept. of Economics, and the Economic Theory Centre.
At http://www.econphd.net/notes.htm a selective listing of course notes is available online for free, in all areas of
- Microeconomics
- Consumers, firms, and equilibrium
- Game theory
- Mechanism design and public economics
- Applied and computational micro
- Mathematics
- Mathematics for economists
- Optimization
- Linear algebra / calculus / differential equations
- Analysis / measure theory / topology
- Mathematical game theory and logic
- Macroeconomics
- Introductory coverage
- Recursive (dynamic programming) treatments
- Dynamic methods
- Asset pricing and finance
- Econometrics
- Probability and mathematical statistics
- Econometrics (general)
- Macroeconometrics (time series) / financial econometrics
- Microeconometrics
- Software Tutorials
- Matlab
- Gauss
- Stata
- Other
- Microeconomics
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Financial Instrument Pricing Using C++ (The Wiley Finance Series) by Daniel J. Duffy
About the Author
Daniel Duffy works for Datasim, an Amsterdam-based trainer and software developer. He has been working in IT since 1979 and with object-oriented technology since 1987. He received his MSc and PhD theses (in numerical analysis) from Trinity College, Dublin. His current interests are in the modelling of financial instruments using numerical methods (for example, finite difference method) and C++.
Book Description (by amazon.com):
One of the best languages for the development of financial engineering and instrument pricing applications is C++. It has several features that allow developers to write robust, flexible and extensible software systems. It is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications. It has support for templates and generic programming, massive reusability using templates (‘write once’) and support for legacy C applications.
In this book we bring C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models. We employ modern software engineering techniques to produce industrial-strength applications:
- Using the Standard Template Library (STL) in finance
- Creating your own template classes and functions
- Reusable data structures for vectors, matrices and tensors
- Classes for numerical analysis (numerical linear algebra …)
- Solving the Black Scholes equations, exact and approximate solutions
- Implementing the Finite Difference Method in C++
- Integration with the ‘Gang of Four’ Design Patterns
- Interfacing with Excel (output and Add-Ins)
- Financial engineering and XML
- Cash flow and yield curves
Included with the book is a CD containing the source code in the Datasim Financial Toolkit that you can use directly. This will get you up to speed with your C++ applications by reusing existing classes and libraries.
A forum for this book is at http://www.datasim-component.com/financial.asp.
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A New Issue of Review of Financial Studies, Vol. 18, No. 1
URL: http://rfs.oupjournals.org/content/vol18/issue1/index.dtl?etoc
Articles
- The Pooling and Tranching of Securities: A Model of Informed Intermediation - Peter M. DeMarzo
- Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates - Yongmiao Hong and Haitao Li
- An Empirical Analysis of Stock and Bond Market Liquidity - Tarun Chordia, Asani Sarkar, and Avanidhar Subrahmanyam
- An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks - Jun Liu, Jun Pan, and Tan Wang
- Is Default Event Risk Priced in Corporate Bonds? - Joost Driessen
- Optimal Consumption and Portfolio Choices with Risky Housing and Borrowing Constraints - Rui Yao and Harold H. Zhang
- Corporate Governance, Incentives, and Industry Consolidations - Keith C. Brown, Amy Dittmar, and Henri Servaes
- Why Do Firms Announce Open-Market Repurchase Programs? - Jacob Oded
- Decision Processes, Agency Problems, and Information: An Economic Analysis of Capital Budgeting Procedures - Anthony M. Marino and John G. Matsusaka
- IPOs with Buy- and Sell-Side Information Production: The Dark Side of Open Sales - Chris Yung
Call For Papers
- The Causes and Consequences of Recent Financial Market Bubbles
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