Conferences, Training, Workshops and Seminars, Event Notices and Companies. http://pipes.yahoo.com/pipes/pipe.info?_id=XDQRjdbp3BGb5I8lYEsBXw Sat, 21 Nov 2009 23:25:14 -0800 http://pipes.yahoo.com/pipes/ http://www.moneyscience.com/Events_Noticeboard/article436http://www.moneyscience.com/files/catimages/1202313962financialeventsfocus.jpgmoneyscience-events-calendarhttp://feedburner.google.com http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/Q1jx_DVzNIA/event1152 Location: Perth, Australia. Date:2009-11-23 00:00:00. A three day international conference featuring research papers related to the central theme of financial crises: causes, consequences and effects. Potential topics include but are not limited to: - Crisis topology – asset pricing bubbles, mispricing, contagion, counterparty risk, transparency. - Prediction of crises, indicators, risk measures, ratings, performance measures. - Market regulation, transparency, innovation, disclosure, liquidity, global regulation, governance issues. - Management of the crisis, monetary policy, guarantees, market distortions and spreads, implications for investment and superannuation. - Economic consequences, budgetary policy, targeted spending, fiscal implications, social implications, with special emphasis on the Australian and Western Australian economies. - Accounting issues, marking to market, fair values, accounting Implications. http://www.moneyscience.com/calendar/Financial_Crises:_Causes,_Characteristics,_and_Effects/event1152 Sun, 22 Nov 2009 16:00:00 -0800 http://www.moneyscience.com/calendar/Financial_Crises:_Causes,_Characteristics,_and_Effects/event1152 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/k0aLRF55Im8/event1261 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 future of credit derivatives will be considered. The course will provide an in-depth description of all credit products including Default Swaps, Total Return Swaps, Credit Linked Notes, CDOs and CLOs as well as addressing the various motivations and historical development of this market. Up to half of the seminar is devoted to small group sessions with practical exercises, case studies and simulations. Participants take away worked examples for use after the course. New Case Study: the evolving credit crisis and its implications for the future Understand why the "crunch" occurred and the role that credit derivatives played in the development of the situation and the various roles that credit derivatives will play in solving the crisis. - How credit derivatives can help financial market participants mitigate the effects and recover from the aftermath of recent volatility - How firms and investors are using credit derivatives to profit from turmoil in the credit markets and to mitigate their ongoing risks - Lessons learned for both the sell and buy sides in the credit markets - How the credit derivative markets and regulation are changing as a result - Exploration of how a similar crisis might occur again and how to be prepared More Training from London Financial Studies SpringWidgetsRSS ReaderThis widget is the staple of our platform. Read all your feeds right here with this one widget - Supported feeds are OPML, RSS, RDF, ATOM. Watch your favorite Podcast in the embedded Video Player on the Desktop or publish your own video playlist to your site for others to view!var flashVars = {param_param:'http%3A%2F%2Fwww.moneyscience.com%2Ffeeds.php%3Ft%3Dcalendar%26id%3D13%26format%3Drss', param_style_borderColor:'0x000000', param_style_brandUrl:'', param_compactView:'true', param_blurbLength:'50'};var params= {wmode:'transparent', quality:'high', allownetworking:'all', allowscriptaccess:'always', allowfullscreen:'true', bgcolor:'0x000000'};swfobject.embedSWF('http://downloads.thespringbox.com/web/wrapper.php?file=RSS Reader.sbw', 'springwidgets_23', '600', '300', '8.0.0', 'http://downloads.thespringbox.com/web/expressInstall.swf', flashVars, params); http://www.moneyscience.com/calendar/Modern_Credit_Derivatives/event1261 Sun, 29 Nov 2009 16:00:00 -0800 http://www.moneyscience.com/calendar/Modern_Credit_Derivatives/event1261 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/GX_uyCWOCN0/event1326 Location: New York, USA. Date:2009-12-01 17:30:00. 5:30pm: Registration 6:00pm -7:30pm: Panel Discussion 7:30pm: Reception PricewaterhouseCoopers 300 Madison Avenue New York, NY Keynote Panel Sebastian Ceria Axioma Ron Papanek RiskMetrics Group Antonio Baldaque da Silva Barclays Capital Moderator Sandeep Patel WR Group Holdings This is a free event, but space is limited. Please register by 5pm on Friday, November 27, 2009. IAFE Members click here to login and register for this event. To Join the IAFE please click here. All others please click here to register http://www.moneyscience.com/calendar/Retooling_Risk_Management_-_How_Practitioners_Have_Changed_Things_Since_the_Crisis_Started/event1326 Tue, 01 Dec 2009 09:30:00 -0800 http://www.moneyscience.com/calendar/Retooling_Risk_Management_-_How_Practitioners_Have_Changed_Things_Since_the_Crisis_Started/event1326 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/erkn6Tb6lGs/event1322 Location: New York, USA. Date:2009-12-04 00:00:00. Columbia Business School. Co-hosted by: The Sanford C. Bernstein & Co. Center for Leadership and Ethics. Conference fee: $200 if register before November 20; otherwise $250. Please register online. The popular press and a recent spate of remarkable books have pointed critically to the contribution of financial innovation and quantitative models to the financial crisis. These critiques have cited particular statistical approaches, such as the Gaussian copula, for massively underestimating systemic risk. The broader critiques doubt the risk management capabilities of firms and regulators to understand and evaluate complex financial instruments, such as synthetic securities. These critiques cut at the core of the Basel 2 international regulations which permitted banks to create their own models to value illiquid and risky assets. They also have major implications for the design of a regulatory system and regulations regarding whether regulation is at all possible, who is best able to do it, and ultimately if complex financial innovation should be sharply curtailed. This conference will bring together academics and financial professionals to discuss the impact of the quantitative revolution in financial markets and the challenges posed to exchanges, institutions, regulators and other players. AGENDA 8:30-8:45 AM Breakfast and Registration 8:45-9:00 AM Welcome and Introduction Welcome by Hugh Patrick Robert D. Calkins Professor Emeritus of International Business; Director, the Center on Japanese Economy and Business (CJEB), Columbia Business School Introduction of Keynote speaker by Bruce Kogut, Sanford C. Bernstein & Co. Professor of Leadership and Ethics; Director, Sanford C. Bernstein & Co. Center,Columbia Business School 9:00-9:45 AM Keynote Presentation: Donald MacKenzie Professor of Sociology, University of Edinburg Donald MacKenzie is one of the leading scholars on the impact of option modeling on market behavior as well as a frequent contributor to the current debate. 9:45-11:15 AM Panel 1: Does the Practice of Quantitative Finance Need to Be Changed? Quantitative financial models have been the source of major financial innovations in capital markets, but they also have been heavily criticized for being wrong and to having underestimated and contributed to systemic risk. Is this true and what should be done? Paul Glasserman (Moderator) Jack R. Anderson Professor of Business,Columbia Business School Emanuel Derman Professor, Department of Industrial Engineering and Operations Research,Columbia University Daniel Beunza Lecturer, Department of Management, London School of Economics Kent Daniel Director of Research, Goldman Sachs Adam Parker Chief Investment Strategist; Director of Quantitative Research, Sanford C. Bernstein & Co. LLC 11:15-11:30 AM Coffee Break 11:30-1:00 PM Panel 2: Why Was the Financial Crisis Less Enduring in Japan and Other Countries...this time around? The financial sectors in the United States and the United Kingdom have been deeply hurt in this crisis, generally more so than in other countries, with a few notable exceptions, e.g. Iceland. Were other countries less affected because they did not adopt the new financial innovations proposed by quantitative finance? Were they better regulated? Ronald Gilson (Moderator) Marc and Eva Stern Professor of Law and Business, Columbia Law School Takatoshi Ito Visiting Professor, Columbia University; Professor of Economics, The University of Tokyo Floyd Norris Chief Financial Correspondent, The New York Times 1:00-2:00 PM Closing Remarks and Buffet Lunch Researchers and faculty who would like to attend this symposium can contact: leadershipethics@gsb.columbia.edu. http://www.moneyscience.com/calendar/The_Quantitative_Revolution_and_the_Crisis_-_How_Have_Quantitative_Financial_Models_Been_Used_and_Misused/event1322 Thu, 03 Dec 2009 16:00:00 -0800 http://www.moneyscience.com/calendar/The_Quantitative_Revolution_and_the_Crisis_-_How_Have_Quantitative_Financial_Models_Been_Used_and_Misused/event1322 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/P7hvnBvAh6c/event1271 Location: New Brunswick, New Jersey, USA. Date:2009-12-04 00:00:00. The themes of the conference are mathematical finance, computational finance, and partial differential equations. Invited Speakers Tomasz Bielecki, Illinois Institute of Technology Rene Carmona, Princeton University John Chadam, University of Pittsburgh Rama Cont, Columbia University Bruno Dupire, Bloomberg, LP Elton Hsu, Northwestern University Tom Hurd, McMaster University Andrey Itkin, Chicago Trading Company Ioannis Karatzas, Columbia University and INTECH Investment Management Peter Laurence, University of Rome Chris Rogers, Cambridge University Hao Xing, Boston University Friday, December 4, 2009 The Heldrich Hotel 10 Livingston Avenue New Brunswick, New Jersey 08901 http://www.moneyscience.com/calendar/Mathematical_Finance_and_Partial_Differential_Equations_Conference/event1271 Thu, 03 Dec 2009 16:00:00 -0800 http://www.moneyscience.com/calendar/Mathematical_Finance_and_Partial_Differential_Equations_Conference/event1271 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/TNxo8fUcEBM/event1144 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 have partly motivated the huge body of contributions on stationary and non stationary panel data econometrics, and the important developments in financial econometrics to address the curse of dimensionality in modelling and testing financial volatility and risk. We encourage the submission of original papers (both theoretical and empirical) which will help to conduct estimation, testing and forecasting when large datasets are available. The conference is open to all those interested from academic and non-academic organisations. The conference will have several invited and contributed sessions to allow for a high-quality discussion between speakers and participants. Invited speakers: Yacine Ait-Sahalia (Princeton, USA) Jean-Marie Dufour (McGill, Canada) Chihwa Kao (Syracuse, USA) Lynda Khalaf (Carleton, Canada) Oliver Linton (London School of Economics) Marco Lippi (University of Rome, Italy) Massimiliano Marcellino (European University Institute, Italy) Hashem Pesaran (Cambridge, UK) Lucrezia Reichlin (London Business School, UK) Peter Robinson (London School of Economics, UK) Farshid Vahid (Australian National University, Australia) Sponsors: - Cass Higher Education Innovation Fund (Knowledge Transfer) to Research Centres; - Centre for Econometric Analysis http://www.moneyscience.com/calendar/Factor_Models_In_Economics_and_Finance/event1144 Thu, 03 Dec 2009 16:00:00 -0800 http://www.moneyscience.com/calendar/Factor_Models_In_Economics_and_Finance/event1144 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/vuNef-0niE4/event1129 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 on financial modelling; - Encouraging research in financial modelling (new techniques, methodologies, empirical studies, software, etc.); - Stimulating and strengthening the interaction between financial economic theory and the practice of financial decision making; - Cooperating and exchanging information with other universities and financial institutions throughout Europe. http://www.moneyscience.com/calendar/44th_Euro_Working_Group_on_Financial_Modelling_meeting/event1129 Sun, 06 Dec 2009 16:00:00 -0800 http://www.moneyscience.com/calendar/44th_Euro_Working_Group_on_Financial_Modelling_meeting/event1129 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/2mKpvkiJvZY/event1079 Location: London, UK. Date:2009-12-09 00:00:00. 15% 'Early Bird' Discount before October 15th 20% Discount for first 5 delegates 9 - 11 December, 2009 London, UK The goal of this three-day intensive hands-on course is to learn those advanced features in C++ that are of direct relevance to writing and extending applications for quantitative and computational finance. The course uses the object-oriented and generic (templates) programming models (OOP, GP) in combination with design patterns and the STL and boost libraries to allow you to create robust and flexible applications. We develop the contents of the course by discussing important C++ language features, using OOP and GP models to write clean and effective code. We also discuss how to improve the performance of your application. In all cases, the examples and test cases are based on finance experience. This is one of the few courses (in our opinion) that focuses on the application of C++ to quantitative and computational finance. It is a practical course for practitioners. To participate in this course, you need to bring your own laptop computer with a C++ compiler (ideally Microsoft's Visual Studio or GNU GCC for example) Participants may do the Datasim C++ examinations free of charge Course Highlights - Advanced C++ syntax and its application - Template classes and the Standard Template Library (STL); boost - Combining the object-oriented and generic programming paradigms - The famous Gamma (GOF) design patterns applied to QF - Interfacing to Excel: COM Add-ins - Creating applications: Monte Carlo, Finite Difference methods Further Information Course Overview Download a Brochure About the speaker Daniel J. Duffy has BA (Mod), MSc and PhD degrees, all of which in mathematics and numerical analysis. He has been working with numerical methods on finance, industry and engineering since 1979. He has written four books on numerical methods and C++ for quantitative finance and he has developed a number of new schemes for this field as well as more than 20 years of training experience. http://www.moneyscience.com/calendar/Advanced_C_plus_plus_for_Computational_Finance_with_Daniel_Duffy/event1079 Tue, 08 Dec 2009 16:00:00 -0800 http://www.moneyscience.com/calendar/Advanced_C_plus_plus_for_Computational_Finance_with_Daniel_Duffy/event1079 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/kj6_T6wuwhE/event1135 Location: Las Vegas, Nevada. Date:2009-12-12 00:00:00. The program committee of the Financial Research Association seeks new finance papers of general interest to the profession. We specifically seek new papers that do not have a "revise-resubmit" journal decision and have not been presented or scheduled to be presented at the Western Finance Association meeting or the American Finance Association meeting. The selection process is very competitive. Last year's acceptance rate was under 3.8%. All papers will be presented by a discussant, after which the authors will have an opportunity to respond. The association will present the Michael J. Barclay Award to the Ph.D. student who submits the best solo-authored paper. This student will receive reimbursed airfare (up to $400), hotel, and registration. http://www.moneyscience.com/calendar/The_2009_Financial_Research_Association_Meeting_/event1135 Fri, 11 Dec 2009 16:00:00 -0800 http://www.moneyscience.com/calendar/The_2009_Financial_Research_Association_Meeting_/event1135 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/cwutqzOweBI/event1132 Location: Nagasaki, Japan. Date:2009-12-12 00:00:00. The 5th International Conference on Asian Financial Markets invites you to submit a paper for presentation hosted by the Forum on Issues Surrounding the Business in East Asia, Nagasaki University, Japan. The Conference welcomes empirical research papers on financial issues on Asian countries and markets. http://www.moneyscience.com/calendar/The_5th_International_Conference_on_Asian_Financial_Markets/event1132 Fri, 11 Dec 2009 16:00:00 -0800 http://www.moneyscience.com/calendar/The_5th_International_Conference_on_Asian_Financial_Markets/event1132 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/JGhbD87Yq0I/event1130 Location: Sydney, Australia. Date:2009-12-16 00:00:00. The School of Banking and Finance at the Australian School of Business is pleased to launch the 2009 annual Australasian Finance and Banking Conference and would like to invite all academics and practitioners to participate. The conference is the most prestigious finance conference in the Asia-Pacific region, and brings together the world's foremost leaders of thought from the financial community. http://www.moneyscience.com/calendar/The_22nd_Australasian_Finance_and_Banking_Conference/event1130 Tue, 15 Dec 2009 16:00:00 -0800 http://www.moneyscience.com/calendar/The_22nd_Australasian_Finance_and_Banking_Conference/event1130 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/JFeQWgQUqfI/event1143 Location: Berlin, Germany. Date:2009-12-17 00:00:00. The aim of the workshop is to bring together academic researchers and practitioners to promote and exchange ideas in the field of macroeconometric modelling. Presentations are scheduled for the first two days. The participants of the workshop are also invited to attend the DIW End-of-the-Year Summit, December 18-19. Contributions should apply modern time series or paneleconometric techniques to macroeconomic problems, where the economics of the euro area are particularly important. An extended abstract (about 300 words) or preferably a full length article with JEL classification should be submitted to Christian Dreger (cdreger@diw.de) in doc or pdf format. The deadline for submission is October, 20. Authors of accepted contributions will be notified by November, 15. Young economists are especially encouraged to present their work to an experienced audience. Participants have to register prior to the conference. A non-refundable conference fee of 110 euro has to be paid until November, 30. The fee includes coffee and lunches on both days, as well as two conference dinners. http://www.moneyscience.com/calendar/DIW_Berlin_Macroeconometric_Workshop/event1143 Wed, 16 Dec 2009 16:00:00 -0800 http://www.moneyscience.com/calendar/DIW_Berlin_Macroeconometric_Workshop/event1143 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/Uplp_wFw4JA/event1133 Location: Paris, France. Date:2009-12-17 00:00:00. The traditionnal annual Paris finance international meeting is organized by AFFI (French Finance Association) and EUROFIDAI (European Financial Data Institute), and jointly sponsored by CDC Institute for Economic Research, CNRS, Fondation Banque de France pour la Recherche en Economie Monétaire, Financière et Bancaire and Ministère de l'Enseignement Supérieur et de la Recherche. All researchers in finance are invited to present in English their latest research in all areas of finance and insurance. http://www.moneyscience.com/calendar/7th_Paris_Finance_International_Meeting/event1133 Wed, 16 Dec 2009 16:00:00 -0800 http://www.moneyscience.com/calendar/7th_Paris_Finance_International_Meeting/event1133 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/MK3JlqZeo7I/event1142 Location: Aarhus, Denmark. Date:2009-12-18 00:00:00. CREATES, School of Economics and Management, Aarhus University, Denmark, is pleased to host the 2009 (EC)² conference. The conference theme is Real Time Econometrics and will focus on forecasting, issues related to data revisions, and the econometric analysis of high-frequency data. Theoretical and applied contributions are invited and we particularly welcome contributions that relate the global financial crisis to the theme of the conference. We expect the program to have about 20 plenary presentations and a number of poster presentations. http://www.moneyscience.com/calendar/The_2009_(EC)-squared_Conference/event1142 Thu, 17 Dec 2009 16:00:00 -0800 http://www.moneyscience.com/calendar/The_2009_(EC)-squared_Conference/event1142 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/VYrEYoTrOak/event1153 Location: Las Angeles, USA. Date:2010-01-05 00:00:00. Organizing Committee Rene Carmona (Princeton University, Mathematics) Jaska Cvitanic (California Institute of Technology) Nicole El Karoui (École Polytechnique) George Papanicolaou (Stanford University) Eduardo Schwartz (University of California, Los Angeles (UCLA), Anderson) Ronnie Sircar (Princeton University) Thaleia Zariphopoulou (University of Texas at Austin, Departments of Mathematics and IROM) Scientific Overview This workshop will bring together accomplished experts, graduate students and young researchers interested in the most recent global developments of quantitative finance in both industry and academia. Experts will present state of the art topics in new developing areas of financial mathematics. The workshop will introduce young researchers and more accomplished mathematicians to two new and exciting fields of research: environmental emissions markets and mathematical models for financial markets. Among the many prestigious talks, two short courses will also be presented. Rene Carmona (Princeton University) will present a short course on the major challenge of the environment and the worldwide attempts to use financial markets to control emissions of green house gases in the most efficient way. Pierre-Louis Lions (Collège de France and Ecole Polytechnique) will also present a short course on agent-based models for financial markets. A poster session will be organized for PhD students to present their research, and special guests will join invited participants on a panel to discuss the state of the reformed financial markets and the role that mathematical education and academic research should play in this new arena. http://www.moneyscience.com/calendar/New_Directions_in_Financial_Mathematics/event1153 Mon, 04 Jan 2010 16:00:00 -0800 http://www.moneyscience.com/calendar/New_Directions_in_Financial_Mathematics/event1153 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/mbv1bhh2tnw/event1138 Location: Vallendar, Germany. Date:2010-01-13 00:00:00. The Campus for Finance - Research Conference was established in 2004 as part of the Campus for Finance - WHU New Year's Conference in order to discuss and foster the latest research on financial topics. Each year the authors of the best papers are invited to present their theories, while the best two papers are recognized with the WHU Finance Award and a prize money of 1000 EUR and 500 EUR, respectively. Due to the increasing number of submitted papers the Campus for Finance - Research Conference became a separate event and thus independent from the Campus for Finance - WHU New Year's Conference. http://www.moneyscience.com/calendar/Campus_for_Finance_-_Research_Conference/event1138 Tue, 12 Jan 2010 16:00:00 -0800 http://www.moneyscience.com/calendar/Campus_for_Finance_-_Research_Conference/event1138 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/_PfYGRq6cZs/event1141 Location: Tokyo, Japan. Date:2010-01-23 00:00:00. Thirty Years after "Macroeconomics and Reality" and Five Years after "Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy" This conference will serve as a forum for original research on recent developments in structural macroeconomic modeling. The organizers welcome submissions on a broad range of topics associated with macroeconomic modeling. Topics of interest include, but are not limited to: (1) Estimating structural models for policy simulation and forecasting (2) Non-linear estimation of structural models (3) Identifying structural shocks using either structural VAR or DSGE models (4) The importance of informational frictions in business cycles (5) Modeling financial frictions (6) Finance and macroeconomic links The keynote speakers will be Lawrence Christiano (Northwestern University) and Christopher Sims (Princeton University). All papers presented at the conference will be considered for publication in a special issue of the Journal of Economic Dynamics and Control. http://www.moneyscience.com/calendar/Frontiers_in_Structural_Macroeconomic_Modeling/event1141 Fri, 22 Jan 2010 16:00:00 -0800 http://www.moneyscience.com/calendar/Frontiers_in_Structural_Macroeconomic_Modeling/event1141 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/HD4XX-wWifo/event1325 Location: London, UK. Date:2010-02-02 00:00:00. CARISMA : The Centre for the Analysis of Risk and Optimisation Modelling Applications, Brunel University In collaboration with: CFR : Centre for Financial Research, Statistical Laboratory, University of Cambridge and Nomura Centre for Mathematical Finance, the Mathematical Institute, University of Oxford is organising its annual conference and workshop. In the current chaotic financial climate, new systems are being developed to analyze market behaviour and the attitudes of financial professionals. The emergence and impact of behavioural finance is reflected in the choice of recent recipients of the Nobel Prize in Economics. As behavioural finance develops, it is intensifying its use of tools and techniques from quantitative finance, so that mathematical and statistical methodologies are being employed to understand the behavioural biases of decision makers (fund managers, traders…) and their impact on market valuations. For the last half century, the neoclassical paradigm -- featuring rational decision making, efficient markets, the capital asset pricing model, and the Black-Scholes option pricing formula -- has dominated finance. However, a new financial paradigm is emerging, one that combines the realistic psychological features favoured by proponents of behavioural finance and the powerful quantitative techniques favoured by proponents of neoclassical finance. While some contend that Behavioural Finance is more a collection of anomalies than a true branch of finance, the incorporation of quantitative methodologies will provide whole new possibilities for producing meaningful models, using the latest techniques and powerful modelling tools. For example, the prevailing market environment can to some extent be captured by key innovative techniques of news analytics which quantify news sentiments. This conference provides a platform for some of the leading thinkers and practitioners in this field to demonstrate the fascinating discoveries at the interface of behavioural and quantitative finance and the useful and practical applications which have been developed from them. Publication: We encourage participants to submit their contributions for publication. We have arranged with the Journal of Risk to include a refereed collection of papers presented at this conference in a special issue of the journal. http://www.moneyscience.com/calendar/The_Interface_of_Behavioural_Finance_and_Quantitative_Finance/event1325 Mon, 01 Feb 2010 16:00:00 -0800 http://www.moneyscience.com/calendar/The_Interface_of_Behavioural_Finance_and_Quantitative_Finance/event1325 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/TW7URnlC8_8/event1252 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 credit crisis.Course highlights - Calculating implied default probabilities - Pricing credit default swaps (CDS) - A history of credit portfolio models - A critical examination of the advantages and disadvantages of base correlation - Current practical thinking on CDO pricing - How to develop credit models in light of the credit crisis Course methodology - Intensive but interactive and fun program - Relevant case studies constantly updated from recent market events - Course highly customised depending on feedback from pre-course questionnaires - Pre-course and post-course reading provided - Simple ExcelTM implementations of models made available during and after the course Who should attend? - Quantitative analysts - Risk managers - Credit risk department - Financial engineers - Credit officers - Credit traders - Structurers - Fund and portfolio managers Course Tutor Dr Jon Gregory is a popular speaker and consultant specialising in credit risk and credit derivatives. He was Global Head of Credit Analytics at Barclays Capital until 2008, and before that he worked for BNP Paribas and Salomon Brothers. Jon has worked on many aspects of credit modelling over the last decade and in addition to publishing a number of significant papers on the pricing of credit risk and related topics, he is co-author of the book "Credit:The Complete Guide to Pricing, Hedging and Risk Management". This was short-listed for the Kulp-Wright Book Award for the most significant text in the field of risk management and insurance. Jon holds a PhD from Cambridge University. http://www.moneyscience.com/calendar/Pricing_Credit_Derivatives_and_the_Credit_Crisis_with_Jon_Gregory/event1252 Sun, 21 Feb 2010 16:00:00 -0800 http://www.moneyscience.com/calendar/Pricing_Credit_Derivatives_and_the_Credit_Crisis_with_Jon_Gregory/event1252 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/TgB4Px7hRMM/event1136 Location: Las Vegas, Nevada. Date:2010-02-24 00:00:00. Members and friends of the Midwest Finance Association are invited to join us at our 59th Annual Meeting. Papers on any topic related to finance will be considered. You are also invited to volunteer to participate as discussants, session chairs, reviewers and members of the program committee. The Flamingo Las Vegas http://www.Flamingolasvegas.com, has anchored the Las Vegas Strip since they started rolling dice in 1946. This self-contained casino and resort offers everything an adventurous vacationer could want; including a Wildlife Habitat and a 15-acre Caribbean-style water playground. Set on the famous four corners of Las Vegas Boulevard and Flamingo Road, this hotel combines heart-pounding Las Vegas excitement with hospitality and service that's second to none. The Flamingo is only minutes from McCarran International Airport which is served by all major carriers. Program Highlights - Distinguished Scholar Address: Thursday, 25 February 2010: Richard Roll, Professor and Japan Alumni Chair in Finance, UCLA. - Distinguished Scholar Address: Friday, 26 February 2010: Laura Starks, Professor and Charles E. and Sarah M. Seay Regents Chair in Finance, University of Texas-Austin http://www.moneyscience.com/calendar/Midwest_Finance_Association_Annual_Meeting/event1136 Tue, 23 Feb 2010 16:00:00 -0800 http://www.moneyscience.com/calendar/Midwest_Finance_Association_Annual_Meeting/event1136 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/DinfH-dN2sQ/event1254 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 default swaps (CDS) - Anatomy of the CDS market - Trading CDS - Description of CDS linked products (CLNs, TRS, asset swaps) - Thorough overview of credit indices - Mechanics of CDS trading - How to compute default probabilities from CDS markets - CDS counterparty risk Course methodology - Intensive but interactive and fun program - Relevant case studies constantly updated from recent market events - Course highly customised depending on feedback from pre-course questionnaires - Pre-course and post-course reading provided - Simple ExcelTM implementations of models made available during and after the course Who should attend? - Credit risk - Risk managers - Product control - Portfolio managers - Derivatives traders - Structurers and salespeople - Legal and compliance - Operations Course Tutor Dr Jon Gregory is a popular speaker and consultant specialising in credit risk and credit derivatives. He was Global Head of Credit Analytics at Barclays Capital until 2008, and before that he worked for BNP Paribas and Salomon Brothers. Jon has worked on many aspects of credit modelling over the last decade and in addition to publishing a number of significant papers on the pricing of credit risk and related topics, he is co-author of the book "Credit:The Complete Guide to Pricing, Hedging and Risk Management". This was short-listed for the Kulp-Wright Book Award for the most significant text in the field of risk management and insurance. Jon holds a PhD from Cambridge University. http://www.moneyscience.com/calendar/Credit_Default_Swaps_and_the_Credit_Crisis_with_Jon_Gregory/event1254 Sun, 07 Mar 2010 16:00:00 -0800 http://www.moneyscience.com/calendar/Credit_Default_Swaps_and_the_Credit_Crisis_with_Jon_Gregory/event1254 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/x7S7UCJMImw/event1250 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 description of the structured products universe - Option pricing theory and practice - Hedging and risk management implications of working with structured products - Thorough overview of all types of structured products in the interest-rate, foreign-exchange, equity, commodity and credit markets - Trading and risk management of structured products - Structured products and the credit crisis Course methodology - Intensive but interactive and fun program - Relevant case studies constantly updated from recent market events - Course highly customised depending on feedback from pre-course questionnaires - Pre-course and post-course reading provided - Simple ExcelTM implementations of models made available during and after the course Who should attend? - Derivative Structurers - Derivative Trading - Treasury - Fund & Investment Managers - Financial Engineers - Risk managers - Back Office and IT staff supporting the structured products group - Product Controllers and Risk managers Course Tutor Dr Jon Gregory is a popular speaker and consultant specialising in credit risk and credit derivatives. He was Global Head of Credit Analytics at Barclays Capital until 2008, and before that he worked for BNP Paribas and Salomon Brothers. Jon has worked on many aspects of credit modelling over the last decade and in addition to publishing a number of significant papers on the pricing of credit risk and related topics, he is co-author of the book "Credit:The Complete Guide to Pricing, Hedging and Risk Management". This was short-listed for the Kulp-Wright Book Award for the most significant text in the field of risk management and insurance. Jon holds a PhD from Cambridge University. http://www.moneyscience.com/calendar/Options_and_Structured_Products_with_Jon_Gregory/event1250 Sun, 21 Mar 2010 17:00:00 -0700 http://www.moneyscience.com/calendar/Options_and_Structured_Products_with_Jon_Gregory/event1250 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/DVycaXaIpTQ/event1128 Location: Paris, France. Date:2010-03-25 00:00:00. http://www.moneyscience.com/calendar/The_3rd_Financial_Risks_Forum_on___and__quot;Risk_Dependencies__and__quot;/event1128 Wed, 24 Mar 2010 17:00:00 -0700 http://www.moneyscience.com/calendar/The_3rd_Financial_Risks_Forum_on___and__quot;Risk_Dependencies__and__quot;/event1128 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/8rUMJcvTqsg/event1251 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 will change risk management and VAR approaches in the future. Course highlights - What has the recent financial crisis taught us about risk management? - The many applications of value at risk in finance - Define VAR and explain how it is used to quantify risk - Measure Value at Risk using various methods - The benefits and drawbacks of value at risk - Understand the benefits of stress testing as a complement to value-at-risk Course methodology - Intensive but interactive and fun program - Relevant case studies constantly updated from recent market events - Course highly customised depending on feedback from pre-course questionnaires - Pre-course and post-course reading provided - Simple ExcelTM implementations of models made available during and after the course Who should attend? - Risk managers - Credit officers - Traders - Structurers - Fund and portfolio managers - Middle office Course Tutor Dr Jon Gregory is a popular speaker and consultant specialising in credit risk and credit derivatives. He was Global Head of Credit Analytics at Barclays Capital until 2008, and before that he worked for BNP Paribas and Salomon Brothers. Jon has worked on many aspects of credit modelling over the last decade and in addition to publishing a number of significant papers on the pricing of credit risk and related topics, he is co-author of the book "Credit:The Complete Guide to Pricing, Hedging and Risk Management". This was short-listed for the Kulp-Wright Book Award for the most significant text in the field of risk management and insurance. Jon holds a PhD from Cambridge University. More Courses from MoneyScience and John Gregory http://www.moneyscience.com/calendar/Value-at-Risk_with_Jon_Gregory/event1251 Sun, 18 Apr 2010 16:00:00 -0700 http://www.moneyscience.com/calendar/Value-at-Risk_with_Jon_Gregory/event1251 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/N90s2ns_yq8/event1270 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 developing suitable models for measuring and managing risk in incomplete financial markets this conference will bring together the latest theories and numerical methods in a range of applications. The aim is to create a strong path from theory to practical valuation and hedging. The last decade has experienced considerable theoretical development that has not been transferred to practice. This conference is the appropriate forum to bridge the gap and also to highlight some of the current challenges faced by the industry where the latest models could make a difference. http://www.moneyscience.com/calendar/Hedging_the_Unhedgeable_-_Current_Developments_in_Valuation_and_Hedging_in_Incomplete_Markets_/event1270 Thu, 29 Apr 2010 16:00:00 -0700 http://www.moneyscience.com/calendar/Hedging_the_Unhedgeable_-_Current_Developments_in_Valuation_and_Hedging_in_Incomplete_Markets_/event1270 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/OB9K-mBzHJQ/event1255 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 their extension to default modelling and capital structure trading. Course highlights - Balance sheet analysis - Comprehensive description of capital structure models - Practical extensions of the Merton approach : KMVTM and CreditGradesTM - Default probability estimation - Credit modelling within a structural model - Pricing convertible bonds and convertible arbitrage - Capital structure arbitrage and trading strategies linked to capital structure Course methodology - Intensive but interactive and fun program - Relevant case studies constantly updated from recent market events - Course highly customised depending on feedback from pre-course questionnaires - Pre-course and post-course reading provided - Simple ExcelTM implementations of models made available during and after the course Who should attend? - Credit traders - Fund and portfolio managers - Risk managers - Credit risk department - Financial engineers - Credit officers Course Tutor Dr Jon Gregory is a popular speaker and consultant specialising in credit risk and credit derivatives. He was Global Head of Credit Analytics at Barclays Capital until 2008, and before that he worked for BNP Paribas and Salomon Brothers. Jon has worked on many aspects of credit modelling over the last decade and in addition to publishing a number of significant papers on the pricing of credit risk and related topics, he is co-author of the book "Credit:The Complete Guide to Pricing, Hedging and Risk Management". This was short-listed for the Kulp-Wright Book Award for the most significant text in the field of risk management and insurance. Jon holds a PhD from Cambridge University. http://www.moneyscience.com/calendar/Capital_Structure_Trading_with_Jon_Gregory/event1255 Sun, 02 May 2010 16:00:00 -0700 http://www.moneyscience.com/calendar/Capital_Structure_Trading_with_Jon_Gregory/event1255 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/IXlMwHrIYxY/event1256 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 the European Science Foundation Plenary speakers include: - Ole E. Barndorff-Nielsen, University of Aarhus, Denmark - Fred Benth, University of Oslo, Norway - Marc Davis, Imperial College London, United Kingdom - Hans Foellmer, Humboldt University, Berlin, Germany - Lane Hughston, Imperial College London, United Kingdom - Jean Jacod, Univesite Paris VI, France - Claudia Klueppelberg, Munich University of Technology, Germany - Damien Lamberton, Universite de Marne-la-Vallee, France - Dilip B. Madan, University of Maryland, USA - Giulia Di Nunno, University of Oslo, Norway - Bernt Oksendal, University of Oslo, Norway - Walter Schachermayer, University of Vienna, Austria - Christoph Schwab, ETH Zurich, Switzerland - Halil Mete Soner, Koc University, Istanbul, Turkey, and ETH Zurich, Switzerland as of 2010 - Lukasz Stettner, Polish Academy of Sciences, Warsaw, Poland - Nizar Touzi, Ecole polytechnique, France - Michele Vanmaele, Ghent University, Belgium [Externalrss-mseventnotices-titles-rssl-6-30][Externalrss-quantevents-titles-rssr-6-30] [RandomProduct-174] http://www.moneyscience.com/calendar/The_Fifth_General_Conference_on_Advanced_Mathematical_Methods_in_Finance/event1256 Sun, 02 May 2010 16:00:00 -0700 http://www.moneyscience.com/calendar/The_Fifth_General_Conference_on_Advanced_Mathematical_Methods_in_Finance/event1256 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/GBYGq2ZmezY/event1139 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 results and the latest advances in the area of actuarial science and finance. The meeting is open to people from Universities, Insurance Companies, Banks, Consulting Firms or Regulatory Authorities, interested in actuarial-financial mathematics. Topics : 1. Modeling Catastrophic Risks in Insurance and Finance (Chair, Holger Drees). 2. Risk Measures in Non-Life Insurance and Portfolio Management (Chair, Zinovyi Landsman). 3. Risk and Stochastic Control (Chair, Soeren Asmussen). 4. Financial Risk Management (Chair, Thaleia Zariphopoulou). 5. Modelling Dependence in Multivariate Risk (Chair, Gena Samorodnitsky). 6. Life, Health, and Pension Insurance (Chair, Mogens Steffensen). http://www.moneyscience.com/calendar/6th_Conference_in_Actuarial_Science_and_Finance/event1139 Wed, 02 Jun 2010 16:00:00 -0700 http://www.moneyscience.com/calendar/6th_Conference_in_Actuarial_Science_and_Finance/event1139 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/ad4rlGQmj28/event1320 Location: Toronto, Canada. Date:2010-06-17 00:00:00. The organizing committees are delighted to invite you to attend the 14th annual IME Congress in Toronto Canada from June 17-19, 2010. The IME Congress is an important forum for researchers to focus on the latest advances, trends and developments and to bring together scientists, academicians and insurance sector professionals from all over the world in the area of actuarial science and insurance and financial modeling. The theory and methods of actuarial science, and its applications in insurance, finance and risk management fields will be the core of the presentations at the Congress. http://www.moneyscience.com/calendar/14_International_Congress_on_Insurance,_Mathematics_and_Economics/event1320 Wed, 16 Jun 2010 16:00:00 -0700 http://www.moneyscience.com/calendar/14_International_Congress_on_Insurance,_Mathematics_and_Economics/event1320 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/zUCUwfGFQqg/event1319 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 of Finance Jean-Pierre Fouque, University of California, Santa Barbara John Hull, University of Toronto Dilip Madan, University of Maryland Stanley R. Pliska, University of Illinois at Chicago ORGANIZING COMMITTEE Tom Hurd, Sebastian Jaimungal SCIENTIFIC ORGANIZING COMMITTEE P. Carr J. Detemple M. Frittelli T. Hurd S. Jaimungal M. Jeanblanc M. Kijma D. Kramkov F. Milne M. Musiela M. Schweizer R. Sircar N. Touzi http://www.moneyscience.com/calendar/Bachelier_Finance_Society_6th_World_Congress/event1319 Mon, 21 Jun 2010 16:00:00 -0700 http://www.moneyscience.com/calendar/Bachelier_Finance_Society_6th_World_Congress/event1319 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/3vGZEogw2SI/event1067 Location: SAP LABS, Palo Alto, CA, USA. Date:2013-05-09 18:30:00. SAP LABS, Building 1, 3410 Hillview Avenue, Palo Alto, CA Presented by Michael Bowles, Independent Consultant The 45% drop in the US equity markets has caused even stalwart to question the wisdom of the “buy and hold” strategy. But rule-based approaches for deciding when to buy or sell suffer the same problem. Sometimes they work and sometimes they don’t. In this presentation, Dr Mike Bowles will show how familiar data-mining tools can be used to derive a robust algorithmic trading system. A simple rule-based approach trend-following system will serve as a starting point. We’ll look at that system’s characteristics and then employ a neural net to predict which of the system’s trades should be taken and which ones should be skipped. We’ll see that this significantly improves the performance of the trading system (Sharpe’s ratio of 1.6 to Sharpe’s ratio 3.6). This example will illustrate one way in which data mining tools have proven useful to practitioners of quantitative finance. About the Speaker Michael Bowles is self employed writing and deploying fully automated trading systems. These systems blend traditional and modern mathematical and machine learning techniques to achieve robustness while being completely algorithmic. Michael has also founded two successful Silicon Valley startups and worked as senior scientist and project manager at Hughes Aircraft Satellite Division. He held the C. Start Draper Chair in Aeronautical Engineering at MIT subsequent to earning his ScD in signal processing from MIT. He also holds an MBA from UCLA where he concentrated in finance and new venture initiation. See also http://www.linkedin.com/in/mikebowles http://www.moneyscience.com/calendar/Using_Neural_Nets_to_Enhance_Rule-Based_Trading_Systems_in_Quantitative_Finance/event1067 Thu, 09 May 2013 10:30:00 -0700 http://www.moneyscience.com/calendar/Using_Neural_Nets_to_Enhance_Rule-Based_Trading_Systems_in_Quantitative_Finance/event1067