Quantitative Finance, Financial Technology and Risk Management

Bachelier Finance Society 6th World Congress

Fri, 06 Nov 2009 06:07:31 -0800

Location: Toronto, Canada. Date:2010-06-22 00:00:00. This is the premier event in the international quantitative finance calendar, attracting over 500 participants every two years. Past and planned venues have been Paris (2000), Crete (2002), Chicago (2004), Tokyo (2006), London (2008). CONFIRMED PLENARY SPEAKERS Jean-Philippe Bouchaud, École Polytechnique Rene Carmona, Princeton University Mark Davis, Imperial College London Bruno Dupire, Bloomberg L.P Damir Filipovic, Vienna Institute...

More at MoneyScience

Capturing Animal Spirits in Financial Markets

Fri, 06 Nov 2009 02:21:24 -0800

Magda Roszczynska Andrzej Nowak University of Warsaw - Institute for Social Studies Daniel Kamieniarz Sorin Solomon Racah Institute of Physics Jorgen Vitting Andersen Institut Non Linaire de Nice Abstract The current crisis in world finances clearly shows the failure of formal models of financial markets. Many experts believe that the failure of these models to capture crashes and bubbles is due to a missing variable: subjective human response which completely evades mathematical description....

More at MoneyScience

Risk Management Twitter: Gillian Tett - The clearing house rules: http://bit.ly/1t38bF

Thu, 05 Nov 2009 23:48:06 -0800

Risk_Mgmt: Gillian Tett - The clearing house rules: http://bit.ly/1t38bF

More at MoneyScience

Risk Management Twitter: Zero Hedge: Quant Jobs So Convoluted And Opaque, Even Supervisors Have Given Up On Understanding What Is Going On http://bit.ly/3iZW9Y

Thu, 05 Nov 2009 06:41:06 -0800

Risk_Mgmt: Zero Hedge: Quant Jobs So Convoluted And Opaque, Even Supervisors Have Given Up On Understanding What Is Going On http://bit.ly/3iZW9Y

More at MoneyScience

Risk Management Twitter: A bumper issue of Hedge Fund Focus this week - http://bit.ly/1FKaZD

Wed, 04 Nov 2009 08:57:42 -0800

Risk_Mgmt: A bumper issue of Hedge Fund Focus this week - http://bit.ly/1FKaZD

More at MoneyScience

Hedge Fund Focus - 04-11-09

Wed, 04 Nov 2009 08:54:30 -0800

Subscribe in a reader Subscribe by Email Hedge Fund Resources Hedge Fund Focus Home Service Providers Tutorials Communities Blogs Papers & Research Introductions & Guides Papers & Research People & Profiles Research Centres Hedge Fund Books: UK Hedge Fund Books: US General News | People and Funds | Launches| Hedge Fund Activism | Crime and Law [Externalrss-FinanceFocus-titles-rssl-8-30] Resources Focus On Financial Recruitment Financial Education Financial Publishing Financial Technology...

More at MoneyScience

Risk Management Twitter: Global Association of Risk Professionals Partners With Tulane University to Launch Risk Management Graduate Program - http://bit.ly/3L7kMd

Wed, 04 Nov 2009 06:27:19 -0800

Risk_Mgmt: Global Association of Risk Professionals Partners With Tulane University to Launch Risk Management Graduate Program - http://bit.ly/3L7kMd

More at MoneyScience

Risk Management Twitter: MoneyScience Twitter Review - November 2009 - http://bit.ly/1vFoAV

Wed, 04 Nov 2009 05:32:05 -0800

Risk_Mgmt: MoneyScience Twitter Review - November 2009 - http://bit.ly/1vFoAV

More at MoneyScience

MoneyScience Twitter Review - November 2009

Wed, 04 Nov 2009 05:28:43 -0800

The Financial Bubble Experiment: advanced diagnostics and forecasts of bubble terminations (pdf) http://bit.ly/aokXS The 16th Annual Workshop on Derivative Securities and Risk Management - Columbia University, New York - Nov 20th. http://bit.ly/1QTJMb 20 Finance Blogs You Might Not Know - http://bit.ly/1XymQF Many Thanks to The Reformed Broker for including MoneyScience on his excellent Periodic Table of Finance Bloggers: http://bit.ly/1CCY6 Obituary: Russell L. Ackoff, Management Consultant...

More at MoneyScience

Quants face lack of understanding of their role by managers

Wed, 04 Nov 2009 04:12:16 -0800

A significant gap in understanding between quants and their supervisors has been revealed in a survey of almost 400 active quants and risk professionals. The majority (86.3%) of quant and risk management supervisors do not fully understand the work that their teams do, according to the survey conducted by Certificate in Quantitative Finance (CQF). The survey asked respondents about the relationship between quants and their managers. A majority (64%) of quants said they believe their supervisors...

More at MoneyScience

Podcast - BBC Radio 4 - File on 4 on High Frequency Trading

Wed, 04 Nov 2009 03:39:10 -0800

Companies could become the "playthings" of speculators because of super-fast automatic share trading, Treasury minister Lord Myners has warns. In a world where shares can change hands in micro seconds, thanks to automated trading, Michael Robinson reveals reveal how this kind of trading can give big banks an advantage over the rest of us. And he asks what chance regulators have of controlling casino bankers? Radio 4 covers High Frequency Trading in their flagship investigative Series File on 4...

More at MoneyScience

The 16th Annual Workshop on Derivative Securities and Risk Management

Wed, 04 Nov 2009 00:49:15 -0800

Location: Columbia University, New York City. Date:2009-11-20 00:00:00. Hosted by: The Center for Financial Engineering and The Center for Applied Probability (CAP) at Columbia University Friday, November 20th, 2009, Columbia University, New York City 9AM-6PM Location: URIS HALL, Room 142 Speakers: Michael Gordy (Federal Reserve) "Constant Proportion Debt Obligations: A Post-Mortem Analysis of Rating Models" Jakub Jurek (Princeton) "The Pricing of Investment Grade Credit Risk during the...

More at MoneyScience

Finance Professor Hoje Jo Named Moskowitz Prize Winner

Tue, 03 Nov 2009 09:39:52 -0800

Hoje Jo, associate professor of finance at Santa Clara University Leavey School of Business, has won the 2009 Moskowitz Prize from the Center for Responsible Business at UC Berkeley. The award honors Professor Jo’s paper, "The Economics and Politics of Corporate Social Performance," ( David P. Baron, Maretno A. Harjoto, co-authors ), which found evidence that consumer companies benefit from socially responsible activities, while industrial companies do not. The award represents the second...

More at MoneyScience

The Reformed Broker presents the Periodic Table of Financial Bloggers

Tue, 03 Nov 2009 09:22:36 -0800

Huge thanks and much Kudos to Joshua M. Brown over at The Reformed Broker for including MoneyScience on his excellent Periodic Table of Finance Bloggers. You can read all about it here or click on the image below for a bigger version. MoneyScience aggregates a big collection of bloggers and news sources here or you might be interested in this article: 20 Finance Blogs You Might Not Know. [Externalrss-reformedbroker-titles-rssl-6-30][Externalrss-FinanceFocus-titles-rssr-6-30] [RandomProduct-51]

More at MoneyScience

Risk Management Twitter: Central Clearing and Counterparty Credit Risk Training Course with Jon Gregory, London, November 16-17, 2009 - http://bit.ly/11ZbHI

Mon, 02 Nov 2009 09:29:56 -0800

Risk_Mgmt: Central Clearing and Counterparty Credit Risk Training Course with Jon Gregory, London, November 16-17, 2009 - http://bit.ly/11ZbHI

More at MoneyScience

Risk Management Twitter: Behavioural Finance and Equity Investment Strategies - 8-9 December 2009 - http://bit.ly/4367h

Mon, 02 Nov 2009 06:15:04 -0800

Risk_Mgmt: Behavioural Finance and Equity Investment Strategies - 8-9 December 2009 - http://bit.ly/4367h

More at MoneyScience

The Financial Crisis as a Symbol of the Failure of Academic Finance - A Methodological Digression

Mon, 02 Nov 2009 05:54:03 -0800

Hans J. Blommestein Tilburg University - Center and Faculty of Economics and Business Administration; Organization for Economic Co-Operation and Development (OECD) Abstract The failure of academic finance can be considered one of the symbols of the financial crisis. Two important underlying reasons why academic finance models systematically fail to account for real-world phenomena follow directly from two conventions: (a) treating economics not as a 'true' social science (but as a...

More at MoneyScience

Risk Management Twitter: Spreadsheet Risk: Excel Spreadsheets contain 20% to 30% of the information in a typical financial firm - http://bit.ly/2Xg09H

Mon, 02 Nov 2009 05:26:40 -0800

Risk_Mgmt: Spreadsheet Risk: Excel Spreadsheets contain 20% to 30% of the information in a typical financial firm - http://bit.ly/2Xg09H

More at MoneyScience

Risk Management Twitter: Standardized derivatives should trade on regulated exchanges and clear centrally, states CFA's letter - http://bit.ly/jTMVN

Mon, 02 Nov 2009 05:25:30 -0800

Risk_Mgmt: Standardized derivatives should trade on regulated exchanges and clear centrally, states CFA's letter - http://bit.ly/jTMVN

More at MoneyScience

Risk Management and Modelling

Fri, 30 Oct 2009 09:18:53 -0700

Location: London, UK. Date:2010-06-07 00:00:00. This course develops a set of tools essential for the accurate management of the wide range of risks encountered in capital markets. Techniques are applied cumulatively in a sequence of workshops that include Value at Risk and its limitations, practical uses of Monte Carlo simulations and the Merton and Gaussian approaches for estimation of probabilities. Who The Course is For - Traders and Dealing Room Staff - Risk Managers - Middle Office and...

More at MoneyScience

Volatility -Trading and Managing Risk

Fri, 30 Oct 2009 09:15:55 -0700

Location: London, UK. Date:2010-05-19 00:00:00. The course starts by providing an understanding of how to estimate volatility and the consequences of the various ways of describing volatile asset prices. This leads into sessions on the application of a range of standard volatility derivatives such as VIX futures and options and volatility swaps. The final part of the programme covers the treatment of volatility in the more popular stochastic volatility models used in the industry such as SABR...

More at MoneyScience

Implementing Fundamental Quantitative Techniques

Fri, 30 Oct 2009 09:14:24 -0700

Location: London, UK. Date:2010-05-18 00:00:00. In a complicated financial world a detailed understanding of the application of quantitative techniques is essential. This course provides an in-depth coverage of practical quantitative methods important in today's financial markets. This course is charged and can be booked by the day. Select the days that meet your needs, or participate in the whole course for a thorough understanding of these important techniques. Who The Course is For Anyone...

More at MoneyScience

Modelling Financial Risk

Fri, 30 Oct 2009 09:12:18 -0700

Location: London, UK. Date:2010-05-12 00:00:00. In current market conditions a rigorous approach to risk management is essential. This programme applies some of the latest econometric and data handling techniques to practical problems faced daily by organisations operating in the capital markets. The course is highly relevant to anyone analysing or interpreting financial market data. Who The Course is For - Traders - Risk Managers - Strategists - Consultants - Middle and Senior Managers More...

More at MoneyScience

Modern Credit Derivatives

Fri, 30 Oct 2009 09:10:17 -0700

Location: London, UK. Date:2010-05-10 00:00:00. The credit derivative market has changed substantially in the last two years and an understanding of these instruments is integral to making sense of today's financial markets. This three-day course provides a comprehensive view of how modern credit derivatives are used for risk management, to create profitable opportunities through trading and arbitrage, and to create liquidity. A thorough analysis of the credit crisis, what went wrong and the...

More at MoneyScience

Quantitative Techniques for Credit Derivatives

Fri, 30 Oct 2009 09:08:34 -0700

Location: London, UK. Date:2010-04-26 00:00:00. The objective of this course is to develop a solid understanding of the current framework for modelling and pricing credit derivatives. Participants will gain the mathematical and practical background necessary to apply the various models in the market and will learn about recent advances in the field. Who The Course is For - Quantitative analysts - Risk managers - Financial engineers - Researchers - and others who are involved in credit risk...

More at MoneyScience

Asset-Backed Securities - Assessment and Management of Risk

Fri, 30 Oct 2009 09:06:44 -0700

Location: London, UK. Date:2010-04-26 00:00:00. This intensive and participative 2-day programme covers the key elements of asset-backed securities and in particular mortgage backed securities. Terminology, procedures, models and applications of ABS concepts will be included along with the latest products used for hedging the risks and for developing new markets. The first day will cover the risk factors, prepayment models and measures of risk sensitivity while day two will deal with advanced...

More at MoneyScience

BGM Market Models - Calibration, Smile, Pricing and Advances

Fri, 30 Oct 2009 08:54:49 -0700

Location: London, UK. Date:2010-03-10 00:00:00. The BGM Libor and Swap Market Models are the last generation of financial models for interest rate derivatives, with an importance in pricing and hedging financial products that has grown in the recent market turmoil. Discover new developments and cutting edge techniques in Libor and Swap Market Models. This in-depth course reviews foundations and illustrates the latest advances, including lessons learnt from the financial crisis. This will give...

More at MoneyScience

Counterparty Risk and Collateral Management

Fri, 30 Oct 2009 08:37:44 -0700

Location: London, UK. Date:2010-02-17 00:00:00. This course explains and develops the ideas and models for collateral management and the measurement and quantification of counterparty risk. The ideas are built up sequentially and workshops are used to develop the key ideas including margin calculations, estimation of haircuts, credit exposure and pricing counterparty risk. Participants will be able to take away all worked examples and additional exercises and models implemented using Excel...

More at MoneyScience

Data Analysis for Risk Management

Fri, 30 Oct 2009 08:35:48 -0700

Location: London, UK. Date:2010-02-08 00:00:00. In current market conditions an understanding of the key econometrics principles is essential to risk management. This programme introduces the main concepts in econometrics that are needed to understand and manipulate data sets and basic models to tackle practical problems faced daily by organisations operating in the capital markets. The course is highly relevant for anyone who wishes to increase their understanding of analysing or interpreting...

More at MoneyScience

Risk Management Twitter: Cool! @risk_mgmt featured in Top Seven Twitter Feeds for Risk Managers - check out the others. http://bit.ly/2925UL

Fri, 30 Oct 2009 07:17:18 -0700

Risk_Mgmt: Cool! @risk_mgmt featured in Top Seven Twitter Feeds for Risk Managers - check out the others. http://bit.ly/2925UL

More at MoneyScience

Call for Papers - Special Issue on Computational Methods in Financial Engineering

Fri, 30 Oct 2009 03:07:14 -0700

The International Journal of Financial Markets and Derivatives (Inderscience Pub), is organising a special issue on the use of Computational Methods in Financial Engineering. It is an attempt to explore and bring together practical, state-of-the-art applications of computational techniques in financial problems, including risk analysis, asset pricing and portfolio management. Topics of interest include, but are not limited to: - Econometric and computational models for risk and correlation...

More at MoneyScience

Risk Management Twitter: The seemingly never ending opportunities for risk technologists - http://bit.ly/4sdFm7

Thu, 29 Oct 2009 08:45:42 -0700

Risk_Mgmt: The seemingly never ending opportunities for risk technologists - http://bit.ly/4sdFm7

More at MoneyScience

Video - GLC's Steven Bell introducing Hedge Funds

Thu, 29 Oct 2009 08:44:05 -0700

Steven Bell joined GLC Ltd at the beginning of 2006 and runs their Macro Hedge Fund Programme. Before that he spent 20 years at Deutsche Bank and predecessor companies. For the last five years he was Deutsche Asset Management's Global Chief Economist where he was responsible for asset allocation. This involved determining the overall amount UK pension fund clients invested in commercial property versus other asset classes. Steven has economics degrees from the LSE and Stanford University and...

More at MoneyScience

Risk Management Twitter: Counterparty risk concerns set to increase the cost of securitisation - http://bit.ly/3gDoja

Thu, 29 Oct 2009 07:20:39 -0700

Risk_Mgmt: Counterparty risk concerns set to increase the cost of securitisation - http://bit.ly/3gDoja

More at MoneyScience

Common Errors in the Interpretation of the Ideas of The Black Swan and Associated Papers

Tue, 27 Oct 2009 10:49:00 -0700

Nassim Nicholas Taleb NYU-Poly Institute Abstract The point of The Black Swan is that both empirical knowledge (i.e. extrapolating statistics) and a priori theories fail in the tails and it is vital to "robustify" against it using the concepts of "the fourth quadrant". The point has been garbled by members of the economics establishment that claim mistakenly "we know that" and "we know about fat tails" or "power laws". This is both wrong and not my point. The paper presents...

More at MoneyScience

Risk Management Twitter: Hedging the Unhedgeable - Current Developments in Valuation and Hedging in Incomplete Markets - April 2010 - http://bit.ly/3JP4R

Mon, 26 Oct 2009 10:33:41 -0700

Risk_Mgmt: Hedging the Unhedgeable - Current Developments in Valuation and Hedging in Incomplete Markets - April 2010 - http://bit.ly/3JP4R

More at MoneyScience

Hedging the Unhedgeable - Current Developments in Valuation and Hedging in Incomplete Markets

Mon, 26 Oct 2009 10:31:00 -0700

Location: Cass Business School, London. Date:2010-04-30 00:00:00. Plenary Speakers Helyette Geman, Professor of Finance at Birkbeck, University of London & ESCP Europe Elyes Jouini, Distinguished Professor, Universite de Paris-Dauphine Dilip Madan, Professor of Finance at the Robert H. Smith School of Business, University of Maryland William Perraudin, Chair in Finance, Imperial College Business School Organisers Ales Cerny, Stewart Hodges and Radu Tunaru Recognising the importance of...

More at MoneyScience

Risk Management Twitter: Risk Management Research Report - Issue 3 - Autumn 2009 - http://bit.ly/1nI05u

Mon, 26 Oct 2009 10:22:27 -0700

Risk_Mgmt: Risk Management Research Report - Issue 3 - Autumn 2009 - http://bit.ly/1nI05u

More at MoneyScience

Risk Management Research Report - Issue 3 - Autumn 2009

Mon, 26 Oct 2009 10:20:47 -0700

Issue 3 Who Gambles in the Stock Market? Alok Kumar Opaque Financial Reports, R2, and Crash Risk Amy P. Hutton, Alan J. Marcus, and Hassan Tehranian Strong Boards, CEO Power and Bank Risk Taking Shams Pathan Determinants of Contract Terms for Professional Services Carsten Homburg and Peter Stebel The Price of Sin: The Effects of Social Norms on Markets Harrison Hong and Marcin Kacperczyk Differences in Governance Practices Between U.S. and Foreign Firms: Measurement, Causes, and Consequences...

More at MoneyScience

Risk Management Twitter: Credit Risk Groups on Linked in - http://bit.ly/ttoKb

Mon, 26 Oct 2009 02:21:35 -0700

Risk_Mgmt: Credit Risk Groups on Linked in - http://bit.ly/ttoKb

More at MoneyScience

Risk Management Twitter: Scope remains to circumvent derivatives bill - By Robert Engle in the FT - http://bit.ly/MPY1Z

Thu, 22 Oct 2009 07:18:30 -0700

Risk_Mgmt: Scope remains to circumvent derivatives bill - By Robert Engle in the FT - http://bit.ly/MPY1Z

More at MoneyScience

Financial Tradeware signs Altus for ViaNova connectivity to the Pensions industry

Thu, 22 Oct 2009 06:28:45 -0700

Financial Tradeware are pleased to announce that Altus, have signed to integrate its new Hosted Instruction Gateway through Financial Tradeware for ViaNova messaging. Financial Tradeware (through its sister company Européenne de Gestion Privée), provides the infrastructure for ViaNova messaging standardisation and SWIFT connectivity. Altus provides the Altus Instruction Gateway application, processing pricing and investment information vital for Pension companies and...

More at MoneyScience

Risk Management Twitter: Research - Moody's Correlated Binomial Default Distributions for Inhomogeneous Portfolios http://bit.ly/zjyU1

Wed, 21 Oct 2009 05:26:15 -0700

Risk_Mgmt: Research - Moody's Correlated Binomial Default Distributions for Inhomogeneous Portfolios http://bit.ly/zjyU1

More at MoneyScience

Risk Management Twitter: Structured Finance, Risk Management, and the Recent Financial Crisis - http://bit.ly/22U3Ix

Tue, 20 Oct 2009 07:28:06 -0700

Risk_Mgmt: Structured Finance, Risk Management, and the Recent Financial Crisis - http://bit.ly/22U3Ix

More at MoneyScience

Risk Management Twitter: A business to challenge the big three credit rating agencies - http://bit.ly/3Zf8m0

Mon, 19 Oct 2009 04:13:47 -0700

Risk_Mgmt: A business to challenge the big three credit rating agencies - http://bit.ly/3Zf8m0

More at MoneyScience

Risk Management Twitter: MoneyScience Financial Training - Events Coming Up. http://bit.ly/17Z032

Fri, 16 Oct 2009 09:03:46 -0700

Risk_Mgmt: MoneyScience Financial Training - Events Coming Up. http://bit.ly/17Z032

More at MoneyScience

Financial Mathematics and Computation Cluster launches in Ireland

Fri, 16 Oct 2009 01:56:20 -0700

The Irish Government has announced an investment of more than €4 million in the establishment of a new Science Foundation Ireland (SFI) Strategic Research Cluster designed to create a centre of financial research excellence. The Financial Mathematics and Computation Cluster (FMC2) will bring together complementary expertise in financial mathematics, financial economics and computer science. Research at the new cluster, which will be led by Prof Anthony Brabazon of UCD, will initially focus...

More at MoneyScience

Computational Complexity and Information Asymmetry in Financial Products

Fri, 16 Oct 2009 01:17:08 -0700

By Sanjeev Arora, Boaz Barak, Markus Brunnermeier, and Rong Ge Abstract Traditional economics argues that financial derivatives, like CDOs and CDSs, ameliorate the negative costs imposed by asymmetric information. This is because securitization via derivatives allows the informed party to end buyers for less information-sensitive part of the cash flow stream of an asset (e.g., a mortgage) and retain the remainder. In this paper we show that this viewpoint may need to be...

More at MoneyScience

The Mark 22 Release of the multipurpose NAG TOOLBOX FOR MATLAB.

Mon, 12 Oct 2009 04:59:28 -0700

Financial analysts seeking a broad range of mathematical and statistical functionality important to financial product development and portfolio analysis without the considerable expense and bother of sourcing multiple MATLAB toolboxes, can now access 1,415 rigorously tested numerical routines in the Mark 22 Release of the multipurpose NAG TOOLBOX FOR MATLAB. This one-stop solution for the finance industry’s computing needs also allows quantitative analysts to easily and confidently...

More at MoneyScience

Banking on outlier detection - a simple computer model could act as early warning system for failing banks

Mon, 12 Oct 2009 03:01:51 -0700

Recent bank failures point to the continuing need for vigilance by regulators and investors. Now, a report in the International Journal of Operational Research, discusses the possibility of an early-warning system that spots the outliers before they fail. The downfall of dozens of banks and financial organizations across the globe has been in the headlines since the meltdown of the subprime mortgage market, but even during the decade before, 1997 to 2007, more than forty banks failed in the US....

More at MoneyScience

QFINANCE - The Ultimate Resource for finance professionals, academia and business writers

Fri, 02 Oct 2009 02:10:30 -0700

The events of the last two years have shown that financial systems are not infallible and when they do fail, they do so on a global scale. Financial professionals around the world are now being asked to question their practices and thinking, and it is crucial that lessons are learned and best practice is adopted. Fresh ideas need to be shared globally. Knowledge and education are key and for the first time a resource like QFINANCE endeavours to provide a global forum for best practice to...

More at MoneyScience

NVIDIA Unveils Next Generation CUDA GPU Architecture- Codenamed 'Fermi'

Thu, 01 Oct 2009 08:14:53 -0700

NVIDIA Corp. have introduced its next generation CUDA™ GPU architecture, codenamed "Fermi". An entirely new ground-up design, the "Fermi"™ architecture is the foundation for the world’s first computational graphics processing units (GPUs), delivering breakthroughs in both graphics and GPU computing. "NVIDIA and the Fermi team have taken a giant step towards making GPUs attractive for a broader class of programs," said Dave Patterson, director Parallel Computing Research...

More at MoneyScience

The Impact of High-frequency Trading - Manipulation, Distortion or a Better-functioning Market

Thu, 01 Oct 2009 07:44:39 -0700

It sounds like science fiction -- something from I, Robot or The Terminator, where the machines take over. But totally automated "high-frequency trading" is part of the stock market right now -- a big part. According to some estimates, high-frequency trading by investment banks, hedge funds and other players accounts for 60% to 70% of all trades in U.S. stocks, explaining the enormous increase in trading volume over the past few years. Profits were estimated at between $8 billion and $21...

More at MoneyScience

XLW - A Wrapper for the Excel API

Fri, 25 Sep 2009 03:51:32 -0700

XLW is an open source application that wraps the Excel C API in simple C++, C# or VB.NET interfaces which you can use to customize Excel with your own worksheet functions and menu items. XLW developers include Financial Engineering practitioners with extensive experience of developing quantitative analytics in the finance industry including Mark Joshi the author of The Concepts and Practice of Mathematical Finance and C++ Design Patterns and Derivatives Pricing. XLW supports: - new features...

More at MoneyScience

Accelerated fluctuation analysis by graphic cards and complex pattern formation in financial markets

Mon, 21 Sep 2009 09:19:27 -0700

By Tobias Preis, Peter Virnau, Wolfgang Paul, Johannes J Schneider Published in the Open Access Journal, New Journal of Physics Abstract The compute unified device architecture is an almost conventional programming approach for managing computations on a graphics processing unit (GPU) as a data-parallel computing device. With a maximum number of 240 cores in combination with a high memory bandwidth, a recent GPU offers resources for computational physics. We apply this technology...

More at MoneyScience

Exotic Risk for Senior Managers

Mon, 21 Sep 2009 07:38:17 -0700

Location: London, UK. Date:2009-12-10 00:00:00. New market conditions have changed forever the way in which managers need to think about complex risk. In this course we look at lessons from the recent financial crisis and how to avoid explosions of risk from illiquid and complex products during times of financial stress. Lessons learned call for a re-assessment of tools available for the management of exotic risk. More than ever, it is necessary for managers to gain a handle on complexity and...

More at MoneyScience

BGM Market Models - Advances, Calibration, Smile, Pricing

Mon, 21 Sep 2009 07:32:31 -0700

Location: London, UK. Date:2009-11-30 00:00:00. The BGM Libor and Swap Market Models are the last generation of financial models for interest rate derivatives, with an importance in pricing and hedging financial products that has grown in the recent market turmoil. Discover new developments and cutting edge techniques in Libor and Swap Market Models. This in-depth course reviews foundations and illustrates the latest advances, including lessons learnt from the financial crisis. This will give...

More at MoneyScience

Modern Credit Derivatives

Mon, 21 Sep 2009 07:30:28 -0700

Location: London, UK. Date:2009-11-30 00:00:00. The credit derivative market has changed substantially in the last two years and an understanding of these instruments is integral to making sense of today's financial markets. This three-day course provides a comprehensive view of how modern credit derivatives are used for risk management, to create profitable opportunities through trading and arbitrage, and to create liquidity. A thorough analysis of the credit crisis, what went wrong and the...

More at MoneyScience

The Fifth General Conference on Advanced Mathematical Methods in Finance

Mon, 14 Sep 2009 09:26:13 -0700

Location: Slovenia. Date:2010-05-03 00:00:00. Slovenia, 3rd May - 9th May 2010 Organised by: The University of Ljubljana, Faculty of Mathematics and Physics, Ljubljana, Slovenia and The Institute of Mathematics, Physics, and Mechanics, Ljubljana, Slovenia Location: Hotel Golf, Bled, Slovenia Official Website: Amamef 2010 Information and Assistance: Anamef2010@uni-lj.si Organizing Committee: - Tomaz Kosir - Aleksandar Mijatovic - Matjaz Omladic - Christoph Schwab AMaMeF is a research program of...

More at MoneyScience

Capital Structure Trading with Jon Gregory

Wed, 09 Sep 2009 04:08:03 -0700

Location: London, UK. Date:2010-05-03 00:00:00. "An absolutely perfect mixture of theory and practice. By far the best course I've attended" - delegate, Dresdner Kleinwort. "Great practical course, very knowledgeable and enthusiastic lecturer" - ESSDAR capital, DUBAI REQUEST A BROCHURE 10% Early Bird Discount Before March 1st 2010 A practical and intensive 2 day course with an internationally renowned expert covering the use of capital structure models for modelling balance sheet behaviour and...

More at MoneyScience

Credit Default Swaps and the Credit Crisis with Jon Gregory

Wed, 09 Sep 2009 04:03:18 -0700

Location: London, UK. Date:2010-03-08 00:00:00. "Fantastic course with a perfect balance between theory and practice" - Executive Director, Morgan Stanley "So good to have such an expert as tutor" - Delegate, West LB REQUEST A BROCHURE A practical and intensive course with an internationally renowed speaker covering the applications, trading and valuation of credit default swaps and related credit derivative instruments. Course highlights - Overview of the uses and applications of credit...

More at MoneyScience

Central Clearing and Counterparty Credit Risk with Jon Gregory

Wed, 09 Sep 2009 03:56:32 -0700

Location: London, UK. Date:2009-11-16 00:00:00. What have previous delegates said about previous Counterparty Credit Courses? "Great course on everything I wanted to know about counterparty risk" - VP, KeyBank "Really extensive, practical and fun course on counterparty credit risk, great lecturer" - Managing director, CIBC world markets REQUEST A BROCHURE 10% Early Bird Discount Before October 1st 2009 A practical and intensive course led by world-renowned expert, explaining the theory and...

More at MoneyScience

Pricing Credit Derivatives and the Credit Crisis with Jon Gregory

Wed, 09 Sep 2009 03:52:55 -0700

Location: London, UK. Date:2010-02-22 00:00:00. "Thanks for a great course on credit derivatives. I learned so much in such a short time!" - delegate, DEXIA bank "Really excellent course from an expert in the field" - delegate, BlackRock REQUEST A BROCHURE 10% 'Early Bird' Discount Before January 18th 2010 A practical and intensive course led by world-renowned expert, explaining the theory and practice behind credit derivative pricing models with special emphasis on CDO pricing in light of the...

More at MoneyScience

Value-at-Risk with Jon Gregory

Wed, 09 Sep 2009 03:41:11 -0700

Location: London, UK. Date:2010-04-19 00:00:00. "Great perspective on financial risk management, the best and most useful piece of education in my business life" - delegate NIBC bank "Great up to date course with lots of practical examples" - Vice President, Swiss Re 10% Early Bird Discount Before March 1st 2010 REQUEST A BROCHURE A practical and intensive course with a world renowned speaker covering the use of value-at-risk (VAR) methods for measuring financial risk and how the credit crisis...

More at MoneyScience

Options and Structured Products with Jon Gregory

Tue, 08 Sep 2009 09:17:48 -0700

Location: London, UK. Date:2010-03-22 00:00:00. "Excellent! It made what is a very tough subject enjoyable and much easier to follow" - delegate, UniCredit "Informative course which was practical and great fun" - delegate, APC investments 10% 'Early Bird' Discount Before March 1st 2010 REQUEST A BROCHURE A practical and intensive course covering exotic options and structured products and the financial engineering behind their uses, valuation and trading. Course highlights - Comprehensive...

More at MoneyScience

Advanced Hedge Funds and Topics

Wed, 29 Jul 2009 05:52:56 -0700

Location: New York, USA. Date:2009-12-09 00:00:00. This course follows on from the NYIF Hedge Fund course but examines in greater detail the investment strategies of hedge funds and the related world of funds of hedge funds and their application. Participants who attended the hedge fund program will experience some overlap of the basic material. However, they should be prepared for a more in-depth and quantitative examination of the various hedge fund strategies including managed futures. This...

More at MoneyScience

Exotic Options - Essentials, Applications and Valuations

Wed, 29 Jul 2009 04:31:36 -0700

Location: New York, USA. Date:2009-12-07 00:00:00. In this one-day workshop, participants will learn the essentials of exotic option definitions, terminology, payoff profiles, applications and valuation. A review of the classification, typical users, benefits, risks and uses will be followed by a detailed study of four important types of options: Binary, Barrier, Asian, and Lookback options. The Binomial Pricing Model will be explained and the used by participants to price options. Attendees...

More at MoneyScience

Factor Models In Economics and Finance

Wed, 15 Jul 2009 04:09:33 -0700

Location: Cass Business School, London, UK. Date:2009-12-04 00:00:00. This is the first announcement and call for papers for the international conference on "Factor Models in Economics and Finance", to be held at Cass Business School on Friday and Saturday, 4 and 5 December 2009. Recent years have seen an increasing use in economics and finance of models employing large datasets, involving the estimation of large number of parameters. The severe computational problems that these models involve...

More at MoneyScience

6th Conference in Actuarial Science and Finance

Wed, 15 Jul 2009 03:52:34 -0700

Location: University of the Aegean, Samos, Greece. Date:2010-06-03 00:00:00. The Department of Statistics & Actuarial – Financial Mathematics of the University of the Aegean is pleased to host the 6th Samos Conference in Actuarial Science and Finance, to be held on Samos,on June 3-6, 2010. This event, jointly organized with the Katholieke Universiteit Leuven, the Université Catholique de Louvain and the Københavns Universitet, provides a forum for state-of-the-art...

More at MoneyScience

44th Euro Working Group on Financial Modelling meeting

Wed, 15 Jul 2009 03:24:48 -0700

Location: Costa Rica. Date:2009-12-07 00:00:00. The EURO Working Group on Financial Modelling was founded in September 1986 in Lisbon. The primary field of interest for the Working Group can be described as "financial models that help to solve problems faced by financial decision makers in the firm, intermediaries and the investment community". From this the following objectives of the Working Group are distinguished: - Providing an international forum for exchange of information and experience...

More at MoneyScience

The 3rd Financial Risks Forum on "Risk Dependencies"

Wed, 15 Jul 2009 03:21:10 -0700

Location: Paris, France. Date:2010-03-25 00:00:00.

More at MoneyScience

Modelling Financial Risk

Tue, 07 Jul 2009 08:21:57 -0700

Location: London, UK. Date:2009-12-07 00:00:00. In current market conditions a rigorous approach to risk management is essential. This programme applies some of the latest econometric and data handling techniques to practical problems faced daily by organisations operating in the capital markets. The course is highly relevant to anyone analysing or interpreting financial market data. Who The Course is For - Traders - Risk Managers - Strategists - Consultants - Middle and Senior Managers ...

More at MoneyScience

Risk Management and Modelling

Tue, 07 Jul 2009 08:19:26 -0700

Location: London, UK. Date:2009-11-18 00:00:00. This course develops a set of tools essential for the accurate management of the wide range of risks encountered in capital markets. Techniques are applied cumulatively in a sequence of workshops that include Value at Risk and its limitations, practical uses of Monte Carlo simulations and the Merton and Gaussian approaches for estimation of probabilities. Who The Course is For - Traders and Dealing Room Staff - Risk Managers - Middle Office and...

More at MoneyScience

Interest Rate Derivatives 2 - 2nd Generation Techniques

Tue, 07 Jul 2009 08:17:41 -0700

Location: London, UK. Date:2009-11-16 00:00:00. A comprehensive seminar on pricing and managing second generation interest rate derivatives. What used to be called exotic interest rate derivatives are now commonplace and an essential part of the financial marketplace. This intensive seminar is for anyone who wishes to be able to use, price, manage, market or evaluate standard second generation interest rate derivatives such as Constant Maturity Swaps and Quantos. Seminar groups are kept small...

More at MoneyScience

Interest Rate Derivatives - Hedging and Managing Risk

Tue, 07 Jul 2009 08:15:57 -0700

Location: London, UK. Date:2009-11-09 00:00:00. "A very comprehensive course exploring the fundamentals of interest rate derivatives with practical use of worked examples using live market data." - Timothy Mount - Commerzbank A comprehensive seminar on pricing and managing interest rate derivatives. This course is charged and can be booked by the day. Select the days that meet your needs, or participate in the whole course for a thorough grounding in these instruments. Who The Course is For...

More at MoneyScience

Implementing Fundamental Quantitative Techniques

Tue, 07 Jul 2009 08:13:55 -0700

Location: London, UK. Date:2010-01-11 00:00:00. In a complicated financial world a detailed understanding of the application of quantitative techniques is essential. This course provides an in-depth coverage of practical quantitative methods important in today's financial markets. This course is charged and can be booked by the day. Select the days that meet your needs, or participate in the whole course for a thorough understanding of these important techniques. Who The Course is For Anyone...

More at MoneyScience

Volatility and Correlation

Mon, 15 Jun 2009 09:16:30 -0700

Location: Geneva, Switzerland. Date:2009-11-09 00:00:00. Professor Tim Bollerslev The past year has seen some unprecedented changes in day-to-day asset prices within and across most financial markets, clearly highlighting the need for accurate and reliable volatility and correlation measurement, modeling, and forecasting procedures. This course surveys the most prominent volatility and correlation techniques developed over the past two decades, along with their many practical uses ranging from...

More at MoneyScience

CERAM - ESC Lille

Mon, 15 Jun 2009 04:54:56 -0700

Sophia Antipolis, FR - Created in 1963, CERAM is a French "Grande Ecole" - part of a higher education system designed centuries ago to educate the country's future professional elite. Consequently, CERAM has strong links with companies, and teaching methods are grounded in case studies and constant exchange with the world of business. CERAM's location around the world - in Sophia Antipolis, Paris and Suzhou reinforce the business and industry links - Sophia Antipolis is a high...

More at MoneyScience

ESCP Europe Business School

Thu, 11 Jun 2009 06:31:57 -0700

London, GB - As one of the world's oldest business schools - it was founded in 1819 - ESCP Europe Business School draws from a solid legacy of sound management principles and practices. With multiple European campuses in London, Paris, Berlin, Madrid, and Turin, our unique structure and 60 international partners makes us a pioneer in cross-border and multicultural learning. Our History of Excellence Ranked by the Financial Times in the following categories in 2008: 6th in the rankings of Top...

More at MoneyScience

Pricing exotic interest rate derivatives - The LIBOR Market Model in QuantLib with Mark Joshi

Fri, 24 Apr 2009 06:23:57 -0700

Location: The Institute of Physics, 76 Portland Place, London, UK. Date:2010-06-02 00:00:00. Request a Brochure 2-4 June , 2010 The Institute of Physics 76 Portland Place, London, UK This three-day course will be led by an international expert who played a large role in the coding of the LIBOR market model in the QuantLib C++ open-source project. He will examine the practical problems that arise when implementing the LIBOR market model to price exotic interest rate derivatives. Each issue will...

More at MoneyScience

The Heston Stochastic Volatility Model - Pricing, Calibration and Monte Carlo Simulation with Wim Schoutens

Fri, 24 Apr 2009 06:07:49 -0700

Location: The Institute of Physics, 76 Portland Place, London, UK. Date:2009-11-09 00:00:00. This course introduces and applies the advanced stochastic volatility model of Heston with a focus on the pricing of equity derivatives. The objective of this workshop is to develop a solid understanding of the model and to give participants the mathematical and practical background necessary to apply the model in practice. The course includes workshop in which the delegates will implement the pricing,...

More at MoneyScience

Risk Management for the Debt and Equity Markets

Mon, 16 Mar 2009 03:46:56 -0700

Location: New York, USA. Date:2009-11-10 00:00:00. Participants will learn to measure and manage financial risk, including interest rate and yield curve risks. They will also be exposed to the traditional approaches to managing risk, as well as the use of derivatives in risk management.

More at MoneyScience

Advanced Trading - Quant Center

Fri, 28 Nov 2008 05:59:15 -0800

Articles and Resources for Quants and would-be Quants.

More at MoneyScience

Osney Media

Mon, 01 Sep 2008 01:31:18 -0700

London, GB -

More at MoneyScience

The Boy's Guide to Pricing and Hedging

Mon, 18 Aug 2008 00:42:57 -0700

There is often an unfortunate strain of pedantry running through the teaching of quantitative finance, one involving an excess of abstraction, formality, rigor and axiomatization that makes the subject unnecessarily daunting and difficult. This article by Emanuel Derman contains a short guide to quantitative finance with a human face.

More at MoneyScience

Quant Finance Book Forum

Fri, 23 May 2008 05:27:48 -0700

Mark Joshi's Discussion Forum for Quant Finance Books, Jobs and Courses including sections on: Interview questions, getting your first job and general technical discussion.

More at MoneyScience

Quant-Link

Thu, 22 May 2008 02:01:45 -0700

Quant-Link is a social networking site designed specifically for the quantitative finance community.

More at MoneyScience

A Perspective on Quantitative Finance: Models for Beating the Market (pdf)

Tue, 04 Mar 2008 08:00:57 -0800

By Ed Thorp, Quantitative Finance Review 2003.

More at MoneyScience

Arbitrage Bounds, Problems with Valuation, Models (pdf)

Wed, 27 Feb 2008 05:45:53 -0800

Emanuel Derman's lecture notes from the Master's in Financial Engineering Program at Columbia University.

More at MoneyScience

The Volatility Smile: Constraints and Problems (pdf)

Wed, 27 Feb 2008 05:44:07 -0800

Emanuel Derman's lecture notes from the Master's in Financial Engineering Program at Columbia University.

More at MoneyScience

Quant Career Guide Blog

Sun, 10 Feb 2008 14:18:59 -0800

Practical, No-BS Advice on Launching a Lucrative Career in Quantitative Finance.

More at MoneyScience

Sample Questions for Quantitative Finance Interviews

Thu, 31 Jan 2008 02:27:47 -0800

Compiled at MoneyScience.

More at MoneyScience

The Business of Model-Based Trading (pdf)

Sat, 19 Jan 2008 09:15:23 -0800

A presentation produced by the Prediction Company and hosted at foquant.com.

More at MoneyScience

ICMA Centre, Henley Business School

Mon, 13 Aug 2007 06:26:21 -0700

Reading, GB - Academic and Executive Education, Research and Consultancy for the Financial Markets The ICMA Centre at Henley Business School, University of Reading has an international reputation for undergraduate, postgraduate and executive education for the financial markets. Established in 1991 with funding provided by the International Capital Market Association (ICMA) in Zurich, the Centre is housed in a purpose-built modernist building with state-of-the-art facilities including three...

More at MoneyScience

Incisive Media Events

Fri, 10 Aug 2007 06:11:15 -0700

London, GB -

More at MoneyScience

Abbaye & Lloyd Risk Management Consultations

1

More at MoneyScience

S-Messenger

1

More at MoneyScience

Ultra.net

1

More at MoneyScience

H-Fund

1

More at MoneyScience

Dashboard Mobile Financial

1

More at MoneyScience