Conferences, Training, Workshops and Seminars, Event Notices and Companies. http://pipes.yahoo.com/pipes/pipe.info?_id=XDQRjdbp3BGb5I8lYEsBXw Sun, 05 Jul 2009 19:30:06 -0700 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/PkYcT1V_kcg/event1070 Location: London, UK. Date:2009-07-08 00:00:00. Equity derivatives have been growing in importance over a number of years and are now well established in the financial marketplace. This seminar is for anyone who wishes to be able to price, use, manage or evaluate equity derivatives and exotic equity options. More than half of the seminar is devoted to practical small group sessions. Who The Course is For Anyone who wishes to be able to price, use, manage, or evaluate equity derivatives and exotic equity options. Past participants have included: Traders, Loan Officers, Risk Managers, Fixed Income Professionals & Sales People, Fund Managers, Investors, Middle Office Managers, Senior Managers, Quantitative Analysts, Structured Products Desks, Researchers, Financial Engineers, Compliance Staff, Auditors, Dealing Room Staff, Systems Developers, Product Controllers, Loan Portfolio Managers, Credit Analysis, Credit Risk Managers http://www.moneyscience.com/calendar/Equity_Derivatives_-_Valuation_and_Management/event1070 Tue, 07 Jul 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Equity_Derivatives_-_Valuation_and_Management/event1070 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/G7mDpiMilRo/event1047 Location: Imperial College, London, UK . Date:2009-07-09 00:00:00. http://www.moneyscience.com/calendar/Annual_London_Conference_on_Money,_Economy_and_Management,_'Research_for_Change'/event1047 Wed, 08 Jul 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Annual_London_Conference_on_Money,_Economy_and_Management,_'Research_for_Change'/event1047 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/7pTgt2f-4Wc/event1086 Location: Yale School of Management, USA. Date:2009-07-11 00:00:00. The current financial crisis is a great challenge for policymakers and researchers. There remains great uncertainty about the causes, correct policy responses, and optimal long-term regulatory structure. This conference aims to bring together researchers interested in all aspects of the crises. We especially welcome empirical papers that can offer fresh insights. http://www.moneyscience.com/calendar/The_Review_of_Financial_Studies_Conference_on_the_Financial_Crisis/event1086 Fri, 10 Jul 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/The_Review_of_Financial_Studies_Conference_on_the_Financial_Crisis/event1086 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/F1qS_ehUius/event987 Location: London, UK. Date:2009-07-13 00:00:00. Talented undergraduates and graduates are invited to apply to the 2 week intensive summer courses being held at ESCP-EAP London from the 13th-24th of July 2009. Marketing Essentials will cover the key elements of Marketing and Marketing Communications with particular emphasis on a European context. Learning will be through a mix of illustrated lectures, worked case studies and business skills seminars. Some of the covered topics include Marketing & Sales, Brands, Consumer Behaviour, Luxury Brands and International Communications Development. International Management will cover various areas of International Business and Management, such as Marketing, Branding, Finance, HR, and others. This programme gives you the opportunity to gain a thorough understanding of specific business/management functions and you will also have the possibility to receive valuable advice from leading professionals. Finance in London has been designed to help you gain a better understanding of the financial world and it will leave you with a good grasp of the different financial instruments, products and services used. The course offers modules in Corporate Finance, Capital Markets, International Finance, Venture Capital, Private Equity, M&A, Investment funds, plus others, besides practical trading room training. http://www.moneyscience.com/calendar/Summer_Courses_from_ESCP-EAP_European_School_of_Management/event987 Sun, 12 Jul 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Summer_Courses_from_ESCP-EAP_European_School_of_Management/event987 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/D6-ItJ0ZK8U/event998 Location: London, UK. Date:2009-07-13 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. More Courses with MoneyScience and John Gregory Capital Structure Trading: 15-16 June Pricing Counterparty Credit Risk in the Credit Crisis: 27-27 July Credit Default Swaps and the Credit Crisis: 13-14 July Value-at-Risk: 22-23 June Options and Structured Products: 3 - 4 September Pricing Credit Derivatives and the Credit Crisis: 7-8 September http://www.moneyscience.com/calendar/Credit_Default_Swaps_and_the_Credit_Crisis_with_Jon_Gregory/event998 Sun, 12 Jul 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Credit_Default_Swaps_and_the_Credit_Crisis_with_Jon_Gregory/event998 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/IVa_4mJLn28/event1059 Location: London, UK. Date:2009-07-13 00:00:00. The Institute of Physics, London July 13-14, 2009 REQUEST A BROCHURE The primary purpose of the course is to develop or increase skills in using R as a programming language. The exercises will be focused on statistical resampling methods and stochastic optimisation. Data examples will generally be from finance. What you learn: - To use R as a programming language. - To understand and appreciate statistical resampling methods, and how to use them in R. - To program basic stochastic optimisation algorithms in R, and how they might be applicable. Participants need to bring their own laptop with R installed. Some exposure to R is useful but not mandatory. Day 1: R: - Overview - Data structures - Subscripting - Vectorisation - Basic function writing - Debugging - Packages Resampling: - GARCH simulation - Bootstrapping Optimisation: - Totally random algorithm - Greedy algorithms Day 2: R: - Function writing - S3 Methods - Debugging - Common traps Resampling: - Random permutation tests - Cross validation Optimisation: - Genetic algorithms - Simulated annealing Course Tutor In 2002 Patrick Burns founded Burns Statistics, which focuses on consulting and software for asset management. Prior to that he spent 4 years at Citigroup in London in the Equity Research and Equity departments where he worked on quantitative models for trading and risk measurement. Before entering finance Patrick was a lead developer of S-PLUS in its early days. He has a PhD in Statistics from the University of Washington in Seattle. More Financial Training Courses from MoneyScience Capital Structure Trading with Jon Gregory: 15-16 June Advanced C++ for Computational Finance with Daniel Duffy: 15-17 June Pricing Counterparty Credit Risk in the Credit Crisis with Jon Gregory: 27-27 July Credit Default Swaps and the Credit Crisis with Jon Gregory: 13-14 July Value-at-Risk with Jon Gregory: 22-23 June Options and Structured Products with Jon Gregory: 3 - 4 September Pricing Credit Derivatives and the Credit Crisis with Jon Gregory: 7-8 September The Heston Stochastic Volatility Model - Pricing, Calibration and Monte Carlo Simulation with Wim Schoutens: 9-10 November http://www.moneyscience.com/calendar/Patrick_Burns_on_Statistical_Programming_in_Finance_with_R/event1059 Sun, 12 Jul 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Patrick_Burns_on_Statistical_Programming_in_Finance_with_R/event1059 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/9FQxI37ZqQ4/event1064 Location: Lisbon, Portugal. Date:2009-07-14 00:00:00. This practical two-day course covers the pricing, hedging and application of FX exotics for use in trading, risk management, financial engineering and structured products. Presented by Prof. Dr. Uwe Wystup. FURTHER information THE COURSE FX exotics are becoming increasingly commonplace in today's capital markets. The objective of this workshop is to develop a solid understanding of the current exotic currency derivatives used in international treasury management. This will give participants the mathematical and practical background necessary to deal with all the products on the market. PRIOR KNOWLEDGE Calculus, probability theory, linear algebra, basics of stochastic processes, basic concepts of financial products, programming skills. WHO SHOULD ATTEND? Quantitative analysts, traders, risk-managers, financial engineers, structurers, researchers and others who deal with foreign exchange options. Day I: Review of the Fundamentals of FX Options, Products Fundamentals Components of foreign exchange risk: forwards, swaps and vanilla optionsFX options market: who does what and why Software, in particular Reuters Dealing and SuperDerivatives Vanilla Options Put-call parity, put-call symmetry, foreign domestic symmetryQuotation conventions in FXDates: trade day, premium payment day, exercise/expiration time, settlement daySettlement, spreads, deal processing, counterparty riskExotic features: deferred payment, contingent payment, deferred delivery, cash-settlement, American and Bermudan exercise rights, cut-offs and fixings Exercises Volatility Implied vs. historicQuotation in terms of deltasVolatility conesVolatility smile: term-structure, skew, risk reversals and butterfliesVolatility sourcesInterpolation and extrapolation across the volatility smile surfaceForward volatility Workshop: Greeks in terms of deltas, hedging volatility risk, deriving the strike from the delta with smile First Generation Exotics: Products, Pricing and Hedging Digital options: European and American style, single and double barrierBarrier options: single and double, knock-in and knock-outCompound and instalmentAsian options: options on the geometric, arithmetic and harmonic mean Power, lookback Structured Products Dual currency and other FX-linked depositsCase study: unwinding a DCDStructured forwards: shark forward, bonus forward, range-reset forward, etc.FX-linked cross currency swapsExotic spot and forward trades Workshop: structuring exercises The Traders' Rules of Thumb How higher order derivatives influence the priceVanna-volga pricing approachCase study: one-touchDiscussion of model risk and alternatives: stochastic volatility Workshop: pricing of barriers with smile Day II: Second Generation Exotics, Pricing and Hedging issues Single Currency Exotics Exotic features in (vanilla) options: deferred payment, contingent payment, deferred delivery, cash-settlement, American and Bermudan exercise rights, cut-offs and fixingsExotic barrier and touch optionsFaders, corridors, accumulative forwardsForward start options, step-upsTime optionsVariance and Volatility Swaps Workshop: structuring and pricing of accumulative forwards Multi Currency Exotics Product overview with applications: quanto options, baskets, spreads, best-ofs, outside barriersCorrelation: implied correlations, correlation risk and hedgingPricing in Black-Scholes model: analytic, binomial trees and Monte Carlo Workshop: pricing and correlation hedging a two-currency best-of Quantitative Issues Efficient computation of Greeks using Homogeneity and other TricksEfficient computation of Greeks for American Options using Leisen-Reimer TreesWorkshop: Time Options with Leisen-Reimer TreesLocal Volatility model and pricing with the smile using PDEs, application to barrier optionsHeston's Stochastic Volatility model, pricing, implementation techniques for analytic and Monte Carlo, applications to exotic options Pricing with the smile: e.g. weighted Monte Carlo http://www.moneyscience.com/calendar/MathFinance_Seminar_on_Foreign_Exchange_Exotic_Options/event1064 Mon, 13 Jul 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/MathFinance_Seminar_on_Foreign_Exchange_Exotic_Options/event1064 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/I6dAV-LSWPM/event1042 Location: Risk Management Institute, National University of Singapore. Date:2009-07-16 00:00:00. http://www.moneyscience.com/calendar/Third_Annual_Risk_Management_Conference_-_Systemic_Risk_and_the_Challenges_for_Risk_Management/event1042 Wed, 15 Jul 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Third_Annual_Risk_Management_Conference_-_Systemic_Risk_and_the_Challenges_for_Risk_Management/event1042 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/NIZD1oOiTJw/event1104 Location: London, UK. Date:2009-07-20 00:00:00. During recent years, the use of intelligent systems in the financial and economic industries have increased substantially, providing a new perspective to the agenda of finance and economics by their ability to handle large amounts of financial data and simulate complex models. This field of research is known as computational finance. The most common applications of computational finance are within the area of investment banking and financial risk management, and currently employ learning methods such as Support Vector Machines, Bayesian approaches, Regression, Neural Network, Fuzzy Logic and Genetic Algorithms. The aim of the workshop is to open discussion and stimulate interaction between the disciplines of computational finance and machine learning geared towards the development of new methods that will answer specific complex questions in finance. The workshop is targeted towards academics and professionals alike. The workshop is organised by the centre for Computational Statistical and Machine Learning (CSML) and by the Financial Computing Team at University College London under the sponsorship of the Patterns Analysis, Statistical Modelling and Computational Learning (PASCAL) Network of Excellence 2. http://www.moneyscience.com/calendar/Advances_in_Machine_Learning_for_Computational_Finance/event1104 Sun, 19 Jul 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Advances_in_Machine_Learning_for_Computational_Finance/event1104 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/Y7tyz0hpfKU/event1095 Location: Geneva, Switzerland. Date:2009-07-20 00:00:00. The FAME Program provides a unique experience in the modern practices of asset management and financial engineering. For four weeks practitioners are challenged to apply advanced thinking to investing in real world situations. It is this intense focus on application which allows the FAME program to achieve its singular impact. More Events from Swiss Finance Institute 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%3Fformat%3Drss%26t%3Dcalendar%26id%3D17', param_style_borderColor:'0x000000', param_style_brandUrl:'', param_compactView:'true', param_blurbLength:'100'};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', '218', '8.0.0', 'http://downloads.thespringbox.com/web/expressInstall.swf', flashVars, params); http://www.moneyscience.com/calendar/Financial_Asset_Management_and_Engineering_(FAME)_Program/event1095 Sun, 19 Jul 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Financial_Asset_Management_and_Engineering_(FAME)_Program/event1095 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/eSuJhGZbrow/event1094 Location: Geneva, Switzerland. Date:2009-07-20 00:00:00. Professor Alfred Mettler This course achieves an extraordinary impact in understanding a large area of finance in a single week. The course takes great care to explain the modern financial concepts used in investment management and risk management. But it then immediately goes on to deepen this conceptual understanding by applying the respective ideas to practical situations. The course is intense as it mixes lectures, group work, excel based exercises, and short self assessments to help monitor individual progress. More Events from Swiss Finance Institute 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%3Fformat%3Drss%26t%3Dcalendar%26id%3D17', param_style_borderColor:'0x000000', param_style_brandUrl:'', param_compactView:'true', param_blurbLength:'100'};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', '218', '8.0.0', 'http://downloads.thespringbox.com/web/expressInstall.swf', flashVars, params); http://www.moneyscience.com/calendar/Fundamentals_of_Finance_and_Investments/event1094 Sun, 19 Jul 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Fundamentals_of_Finance_and_Investments/event1094 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/G9xMtXaRnY8/event1043 Location: Berlin, Germany. Date:2009-07-27 00:00:00. This conference is organized under the auspices of the Bernoulli Society for Mathematical Statistics and Probability and co-sponsored by the Institute of Mathematical Statistics. It is the major annual meeting for researchers working in the field of Stochastic Processes and their Applications. The conference covers a wide range of active research areas, in particular featuring 20 invited plenary lectures presented by leading specialists. In addition, there will be a large variety of special sessions, consisting of three talks each, contributed sessions and talks, and posters. The conference is jointly organized by the research groups in probability of the Humboldt-Universität, Technische Universität and Universität Potsdam, collaborating in the various Berlin research and teaching networks. The main venue will be the Mathematics Institute of the Technische Universität, conveniently located in the center of Berlin. The City of Berlin, with its complex and difficult history, has undergone dramatic changes, and is currently re-emerging as a major center of european politics, culture, media and science. The city is gaining a world-wide reputation for its liberal lifestyle and metropolitan Zeitgeist. http://www.moneyscience.com/calendar/33rd_Conference_on_Stochastic_Processes_and_Their_Applications/event1043 Sun, 26 Jul 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/33rd_Conference_on_Stochastic_Processes_and_Their_Applications/event1043 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/V5BvIJPDAAc/event997 Location: London, UK. Date:2009-07-27 00:00:00. "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 A practical and intensive 2 day course with an internationally renowned expert covering counterparty credit risk and its role in the credit crisis and focussing on related aspects such as collateral management Course highlights - Credit exposure and counterparty risk - The best techniques used in exposure simulation - How to price counterparty risk - The latest approaches for managing and hedging counterparty risk - Principals and practices of collateralisation - Handling the problems of wrong-way credit 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? - Derivative Structurers - Derivative Trading - Financial Engineers - Risk managers - Back Office and IT staff supporting the structured products group - Product Controllers and Risk managers - Counterparty Risk department - Credit Risk Management - Derivatives Counterparty Risk Trading - Legal 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 with MoneyScience and John Gregory Capital Structure Trading: 15-16 June Pricing Counterparty Credit Risk in the Credit Crisis: 27-27 July Credit Default Swaps and the Credit Crisis: 13-14 July Value-at-Risk: 22-23 June Options and Structured Products: 3 - 4 September Pricing Credit Derivatives and the Credit Crisis: 7-8 September http://www.moneyscience.com/calendar/Pricing_Counterparty_Credit_Risk_in_the_Credit_Crisis_with_Jon_Gregory/event997 Sun, 26 Jul 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Pricing_Counterparty_Credit_Risk_in_the_Credit_Crisis_with_Jon_Gregory/event997 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/1aoVCdNuhHY/event1087 Location: Crete, Greece. Date:2009-08-02 00:00:00. The 4th Advanced Summer School in Economics and Econometrics will be held in August 2-9, 2009 at the University Campus in Rethymno, Crete. This initiative by the Department of Economics is expected to be very valuable for researchers and PhD students who are interested to keep up with recent developments in leading issues in Economics and Econometrics and it will offer the opportunity to interact with leading scholars of the academic profession. It offers a stimulating environment for young doctoral students, faculty members, professional economists, researchers and econometricians who work in support of decision making in government agencies as well as the private market to discuss intensively common objectives and concerns related to topics presented by an international faculty. The topic of the 4th Advanced Summer School is on "Behavioral Finance". Professor Hersh Shefrin (Santa Clara University, Leavey School of Business) will be the Distinguished Guest Professor. The lectures of the Summer School will provide an up-to-date coverage of the main methods and models used in behavioral finance. The course will examine familiar, basic methods and frontier developments in the field. http://www.moneyscience.com/calendar/Summner_School_on_Behavioural_Finance/event1087 Sat, 01 Aug 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Summner_School_on_Behavioural_Finance/event1087 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/odss4D6OagU/event1020 Location: New York, USA. Date:2009-08-04 00:00:00. This interactive course is designed for finance industry professionals who already have an introductory background in derivatives. The course consists of a presentation, exercises, case studies, and topical articles for relevant discussions. http://www.moneyscience.com/calendar/Credit_Derivatives_-_Intermediate/event1020 Mon, 03 Aug 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Credit_Derivatives_-_Intermediate/event1020 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/bbjhqWOQo_c/event1088 Location: University of Lausanne, Switzerland . Date:2009-08-10 00:00:00. Monte Carlo Methods are often the only way to deal with high-dimensional computational problems. Examples are the valuation of complex (interest rate) derivatives, the simulation of assets and asset-liability-management. But the simple Monte Carlo method is often extremely slow. In this course we present new efficient Monte Carlo methods (such as multi-level Monte Carlo) and classical variance reduction techniques as well as numerous applications and illustrations in finance and insurance. The lectures are complemented by computer exercises, for which no prerequisite knowledge is needed. http://www.moneyscience.com/calendar/Summer_School_-_Monte_Carlo_Methods_and_Applications_in_Finance_and_Insurance_Models/event1088 Sun, 09 Aug 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Summer_School_-_Monte_Carlo_Methods_and_Applications_in_Finance_and_Insurance_Models/event1088 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/EWfZh6rxogI/event1089 Location: Paris, France. Date:2009-08-24 00:00:00. The European Summer School in Financial Mathematics aims at putting together the most talentuous young researchers in the field, starting from the very begining PhD students. The Scientific Committee consists of european leaders and representatives in financial mathematics. We warmly thank them for their encouragement and for accepting to be part of this committee. Their first and main task is to identify the most promising candidates. The successful candidates will be fully sponsored for their travel and living expenses during the summer school. This project was made possible thanks to the generous support of the French Federation of Banks (Federation Bancaire Française) who kindly accepted to fully sponsor it. We gratefully acknowledge this help and we hope that this event will meet their satisfaction in terms of excellent training of european students in financial mathematics. The Summer School is centered around two advanced courses provided by worldwide recognized experts. The courses are chosen by the organizing committee and are meant to be changed every year. We are particularly kean on a good balance between the theoretical and the practical content. We welcome suggestion of topics to cover. Some seminars provided by the young participants will also be organized. We deliberately restricted this event to Europe because we hope that it will lead to an active collaboration between the various european institutions. We hope that this opportunity will open the door to the mobility of european students between different research centers. Our ambition is also to put the foundations for a more visible european network at the doctoral level in the field of financial mathematics. We very much count on the members of the Scientific Committee to make this wish a reality. http://www.moneyscience.com/calendar/Second_European_Summer_School_in_Financial_Mathematics/event1089 Sun, 23 Aug 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Second_European_Summer_School_in_Financial_Mathematics/event1089 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/j20FOA91mU8/event1052 Location: Beijing, China. Date:2009-08-24 00:00:00. Journal of Corporate Finance is pleased to announce a conference and a special issue on Corporate Finance and Governance in Emerging Markets. The conference is organized jointly with Guanghua School of Management, Peking University and School of Business and Management, Hong Kong University of Science and Technology . The conference will be held at Peking University , Beijing , China on August 24 and 25, 2009 http://www.moneyscience.com/calendar/Conference_on_Corporate_Finance_and_Governance_in_Emerging_Markets/event1052 Sun, 23 Aug 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Conference_on_Corporate_Finance_and_Governance_in_Emerging_Markets/event1052 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/dvDQelH_nbQ/event1055 Location: Kristiansand, Norway. Date:2009-08-31 00:00:00. The workshop has been moved from 8-9 June to 31 August - 1 September. The paper submission deadline has been moved from 28 February to 30 April.Microfinance Management and Governance The 2008 workshop gathered participants from 13 countries. Reputed researchers like Robert Lensink, Valentina Hartarska, Marc Labie, Trond Randøy, Pablo Cotler, Marek Hudon, R. Øystein Strøm and Begoña Gutierrez-Nieto have signalled their return to the 2009 workshop. The workshop is different from other conferences because all participants are actively involved in academic research related to microfinance management and governance. The peer reviewing system and the style of the workshop guarantees participants relevant feedback on their papers. Beside feedback on papers, the aim of the workshop is networking. The workshop is organized in a friendly and relaxed atmosphere at the modern premises of the University of Agder located in Kristiansand at the Southern tip of Norway. http://www.moneyscience.com/calendar/Microfinance_Management_and_Governance/event1055 Sun, 30 Aug 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Microfinance_Management_and_Governance/event1055 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/VG9GBlNqTis/event1096 Location: Geneva, Switzerland. Date:2009-08-31 00:00:00. Professor René M. Stulz To provide participants with in-depth knowledge of risk identification, measurement and management techniques to implement an integrated risk management strategy. The course includes extensive real-world examples, case discussions and computer exercises where the participants will have the opportunity to work in groups. Throughout the week students work on case studies that require them to measure market, credit and operational risks separately and then to estimate firm-wide risk. The course discusses the experience of the following companies: AIG, Amaranth, American Barrick, Bank of America, Barings, Bear Stearns, Citibank, Credit Suisse, Enron, Freddie Mac, GM, General Re, Goldman Sachs, JPMorgan Chase, Lehman, Metallgesellschaft, Nationwide, Swiss Re, UCG and UBS. It includes a detailed discussion of the risk management issues that arose during the subprime crisis and presents a typology of risk management failures that the tutor published in the Harvard Business Review. More Events from Swiss Finance Institute 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%3Fformat%3Drss%26t%3Dcalendar%26id%3D17', param_style_borderColor:'0x000000', param_style_brandUrl:'', param_compactView:'true', param_blurbLength:'100'};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', '218', '8.0.0', 'http://downloads.thespringbox.com/web/expressInstall.swf', flashVars, params); http://www.moneyscience.com/calendar/Integrated_Risk_Management/event1096 Sun, 30 Aug 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Integrated_Risk_Management/event1096 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/Inov3oEJnbM/event1000 Location: London, UK. Date:2009-09-03 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 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. More Courses with MoneyScience and John Gregory Capital Structure Trading: 15-16 June Pricing Counterparty Credit Risk in the Credit Crisis: 27-27 July Credit Default Swaps and the Credit Crisis: 13-14 July Value-at-Risk: 22-23 June Options and Structured Products: 3 - 4 September Pricing Credit Derivatives and the Credit Crisis: 7-8 September http://www.moneyscience.com/calendar/Jon_Gregory_on_Options_and_Structured_Products/event1000 Wed, 02 Sep 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Jon_Gregory_on_Options_and_Structured_Products/event1000 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/6q_UxEhaP2U/event1044 Location: Bradford University School of Management. Date:2009-09-07 00:00:00. http://www.moneyscience.com/calendar/The_Money_Macro_and_Finance_Research_Group_41st_Annual_Conference/event1044 Sun, 06 Sep 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/The_Money_Macro_and_Finance_Research_Group_41st_Annual_Conference/event1044 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/Hh27h5yHxxo/event1097 Location: Geneva, Switzerland. Date:2009-09-07 00:00:00. Professor Philippe Jorion This five-day course provides an overview of state-of-the-art, disciplined approaches to global asset allocation and risk budgeting. It examines the process of global asset allocation with particular emphasis on the management of risk. It shows how to optimally use risk budgeting as a portfolio construction tool. The course assumes a general knowledge of portfolio optimization and matrix algebra. Each day ends with exercises. A guest speaker will provide insight into the practical aspects of global asset allocation. New feature: The course will examine how the traditional asset allocation framework can be extended to account for downside tail risk. More Events from Swiss Finance Institute 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%3Fformat%3Drss%26t%3Dcalendar%26id%3D17', param_style_borderColor:'0x000000', param_style_brandUrl:'', param_compactView:'true', param_blurbLength:'100'};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', '218', '8.0.0', 'http://downloads.thespringbox.com/web/expressInstall.swf', flashVars, params); http://www.moneyscience.com/calendar/Global_Asset_Allocation_and_Risk_Budgeting/event1097 Sun, 06 Sep 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Global_Asset_Allocation_and_Risk_Budgeting/event1097 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/EPAypxdffPE/event1001 Location: London, UK. Date:2009-09-07 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 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. More Courses with MoneyScience and John Gregory Capital Structure Trading: 15-16 June Pricing Counterparty Credit Risk in the Credit Crisis: 27-27 July Credit Default Swaps and the Credit Crisis: 13-14 July Value-at-Risk: 22-23 June Options and Structured Products: 3 - 4 September Pricing Credit Derivatives and the Credit Crisis: 7-8 September http://www.moneyscience.com/calendar/Pricing_Credit_Derivatives_and_the_Credit_Crisis_with_Jon_Gregory/event1001 Sun, 06 Sep 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Pricing_Credit_Derivatives_and_the_Credit_Crisis_with_Jon_Gregory/event1001 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/99FeGaTzIhk/event1071 Location: London, UK. Date:2009-09-09 00:00:00. This course explains in detail the broad range of convertible securities and associated applications and trading strategies. Participants will undertake a series of workshops to explain the key ideas including pricing convertible bonds, the incorporation of credit risk, calculating Greeks and simulating trading strategies. Exercises and pricing models are implemented using Excel functions and macros and participants will be able to take away all worked examples. Who The Course is For - Traders - Credit and equity risk managers - IT - Middle office - Quantitative researchers - Hedge funds - Portfolio managers - Structured products desk http://www.moneyscience.com/calendar/Convertible_Bonds_and_Securities/event1071 Tue, 08 Sep 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Convertible_Bonds_and_Securities/event1071 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/VmcW0PczYBk/event1098 Location: Geneva, Switzerland. Date:2009-09-14 00:00:00. Professor Stephen Schaefer This course aims to provide participants with the tools they need to evaluate fixed-income instruments and portfolios in a rigorous and consistent manner. The course includes a short review of the basics of yield curve analysis – so that the necessary prior knowledge is minimal – and moves on to more advanced issues in risk management, including, multi-factor duration analysis and valuing fixed-income instruments derivatives. The last part of the course will include an introduction to credit risk modeling. The course includes numerous real word examples and participants will work in small teams on real life cases and data. More Events from Swiss Finance Institute 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%3Fformat%3Drss%26t%3Dcalendar%26id%3D17', param_style_borderColor:'0x000000', param_style_brandUrl:'', param_compactView:'true', param_blurbLength:'100'};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', '218', '8.0.0', 'http://downloads.thespringbox.com/web/expressInstall.swf', flashVars, params); http://www.moneyscience.com/calendar/Modern_Fixed_Income_–_Portfolio_and_Risk_Management/event1098 Sun, 13 Sep 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Modern_Fixed_Income_–_Portfolio_and_Risk_Management/event1098 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/1OZPaqxBdog/event1072 Location: London, UK. Date:2009-09-14 00:00:00. This intensive and participative 2-day programme covers the key elements of mortgage backed securities. Terminology, procedures, models and applications of MBS 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 and prepayment models and day two will deal with balance guaranteed swaps, property derivatives and equity release mortgages. Who the Course is for - Risk Managers - Portfolio Managers - Hedge Fund Managers - Structured Product Desks, Product Controllers and Researchers - Rating agencies involved with mortgage backed securities http://www.moneyscience.com/calendar/Mortgage_Backed_Securities_-_The_Assessment_and_Management_of_Risk/event1072 Sun, 13 Sep 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Mortgage_Backed_Securities_-_The_Assessment_and_Management_of_Risk/event1072 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/VX0YFtxqNyc/event1099 Location: Geneva, Switzerland. Date:2009-09-21 00:00:00. Professor Thomas Schneeweis and Mr. Giovanni Beliossi The course will present both academic/professional research as well as operational overviews on the use of alternative investments including hedge funds, managed futures, commodities, private equity, real estate and hybrid funds as stand alone investments as well as investments in a portfolio management setting. Advanced topics such as identifying and using hedge fund “style” classifications, hedge funds indices for asset allocation and selection and monitoring of hedge fund/CTA managers will be covered. Lastly, new alternative investments such as Green Funds, insurance based vehicles and alternative of alternatives as well as a list of “Investment Myths” will be discussed. Participants will be shown how to use dedicated Excel-based software to set up and solve a variety of test problems linked with the topics covered in the lectures. More Events from Swiss Finance Institute 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%3Fformat%3Drss%26t%3Dcalendar%26id%3D17', param_style_borderColor:'0x000000', param_style_brandUrl:'', param_compactView:'true', param_blurbLength:'100'};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', '218', '8.0.0', 'http://downloads.thespringbox.com/web/expressInstall.swf', flashVars, params); http://www.moneyscience.com/calendar/Alternative_Investments_and_Hedge_Funds/event1099 Sun, 20 Sep 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Alternative_Investments_and_Hedge_Funds/event1099 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/vn2mMfkxEOY/event1074 Location: London, UK. Date:2009-09-21 00:00:00. The use of Probability theory in financial modelling can be traced back to the work on Bachelier at the beginning of last century with advanced probabilistic methods being introduced for the first time by Black, Scholes and Merton in the seventies. The modern financial quantitative analysts make use of sophisticated mathematical concepts, such as martingales and stochastic integration, in order to describe the behaviour of the markets or to derive computing methods. Who The Course is For Quantitative analysts, financial engineers, researchers, risk managers, structurers, market analysts and product controllers. Past participants have included: Chief investment officers, Asset Managers, Strategists, Private Banks, Relationship Managers http://www.moneyscience.com/calendar/Intermediate_Mathematics_-_Probability_and_Stochastic_Processes/event1074 Sun, 20 Sep 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Intermediate_Mathematics_-_Probability_and_Stochastic_Processes/event1074 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/IwaS8ogh5aM/event1073 Location: London, UK. Date:2009-09-21 00:00:00. Current commodity markets have been growing and evolving for almost thirty years. Today, markets are more transparent, traded by a much more diverse group of financial participants and have been significantly impacted by globalisation vs. regional markets of the past. The key to participating successfully in these markets is to understand the unique features that exist in each product class, the impact of fundamentals on price action, and the limitations of current financial products in managing the risk. This course will review the development of commodity markets, describe current commodity markets including how products are defined and traded, and will provide a discussion of challenges faced in current markets through new regulations, globalisation and unprecedented volatility. Practical applications will be utilised in each segment of the course. http://www.moneyscience.com/calendar/Introduction_to_Commodities/event1073 Sun, 20 Sep 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Introduction_to_Commodities/event1073 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/N57eFRAyEHE/event965 Location: Cananda. Date:2009-09-24 00:00:00. During a state of flux in the global investment industry, our series of events provide the perfect forum to reflect upon the events of the last year with leading industry figures . Discussing and developing a new understanding of issuer and counterparty risk, skilled practitioners highlight the challenges that the post credit-crunch market will bring for product distributors and fund managers. Expert speakers from around the world will offer practical approaches to portfolio enhancement and risk management using structured products; and also reveal the asset classes and investment approaches that will overcome these challenges in 2009. http://www.moneyscience.com/calendar/Structured_Products_-_Canada/event965 Wed, 23 Sep 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Structured_Products_-_Canada/event965 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/uutpLPAsgnc/event1045 Location: Venice, Italy. Date:2009-09-24 00:00:00. GRETA Associati (Venice, Italy), Intesa Sanpaolo (Milan, Italy) and Financial Innovations (Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 24 - 25, 2009. The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of credit risk modeling to discuss credit risk at time of financial crisis and the impact of macroeconomic factors on pricing risky debt, financial distress, recovery rates, and banking stability. The Conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. The Conference, organised under the auspices of the Department of Economics of the University Ca'Foscari of Venice and ABI - Italian Banking Association, is the eighth of a series dedicated to various aspects of credit risk. The organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular: - Impact of the financial crisis and banking instability on credit markets; - Credit risk and business cycles; - The interplay between the real and financial sides of the macroeconomy; - Modeling the economics of financial crises. The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include Martin Hellwig (Max Planck Institute), Francesco Garzarelli (Goldman Sachs), Christopher Mayer (Columbia Business School) and Ken Singleton (Stanford University). The Conference will also feature a panel discussion on researchers' and practitioners’ views of the major outstanding problems. http://www.moneyscience.com/calendar/Credit_Risk,_Financial_Crises_and_Macroeconomy_Conference/event1045 Wed, 23 Sep 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Credit_Risk,_Financial_Crises_and_Macroeconomy_Conference/event1045 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/abDYMvaxIkI/event995 Location: Ontario, Canada. Date:2009-09-27 00:00:00. CALL FOR PAPERS We cordially invite prospective authors to submit papers to the “Symposium on Engineered & Natural Complex Systems: Modeling, Simulation & Analysis” to be held at the TIC-STH 2009 conference in Toronto. This interdisciplinary Symposium provides forum to discuss the state-of-the-art research across a broad spectrum of the IEEE science and technology fields of interest and is not limited to the traditional IEEE areas. The Symposium topics include, but are not limited, to the following: - Structure, function and dynamics of complex systems, i.e. data communication networks, cyberspace, transportation networks, organizational networks, power grids, biological, physical, social, ecological, epidemiological and other complex systems & networks - Emergence, multiscale phenomena, self-organization, self-similarity, long range dependence, phase transition, pattern formation, synchronization, robustness, reliability, fragility, interdependence, cooperation, adaptation, evolution, clustering, small world, degree distribution, diameter, motifs, etc.., - Analysis & control techniques of dynamics & performance, mean field & information theory of complex systems & networks - Cellular automata, agent based & individually based and other models of complex systems & networks and their simulations The accepted papers will be published in the IEEE TIC-STH 2009 Proceedings indexed by IEEE Xplore – Most Respected Scientific Full-Text Database. All paper submissions will be peer reviewed, must conform to the IEEE TIC-STH 2009 submission policy and should be in English language: http://toronto.ieee.ca/tic-sth2009/#call http://toronto.ieee.ca/tic-sth2009/author/submission.php The Symposium provides an opportunity to Publish Lengthier Papers – Up to 6 (six) Pages With No Extra Fee. Additionally, high-value tutorials are included with registration. IMPORTANT DATES - Paper Proposals Submission (Title/Abstract) Friday, March 6, 2009 - Submission of Full Length Papers for Review Friday, May 1, 2009 - Notification of Acceptance Friday, June 26, 2009 - Final Paper Submission Deadline Friday, July 31, 2009 - Author's Registration Deadline Friday, July 31, 2009 - Advance Registration Deadline Friday, August 28, 2009 http://www.moneyscience.com/calendar/Symposium_on_Engineered_and_Natural_Complex_Systems:_Modeling,_Simulation_and_Analysis/event995 Sat, 26 Sep 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Symposium_on_Engineered_and_Natural_Complex_Systems:_Modeling,_Simulation_and_Analysis/event995 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/QMjzWniUYrs/event1100 Location: Geneva, Switzerland. Date:2009-09-28 00:00:00. Professor François-Serge Lhabitant The course focuses on fundamental quantitative concepts in equity portfolio management. Participants will gain a clearer and more extensive understanding of how to determine the investment style of both long only and long/short equity portfolios. Participants will also learn how to analyze the performance of a given equity portfolio, and how to implement and what to expect from dynamic portfolio strategies. Lecture modules are illustrated with real-world examples and practical case study discussions and intertwined with group discussions and computer assignments. More Events from Swiss Finance Institute 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%3Fformat%3Drss%26t%3Dcalendar%26id%3D17', param_style_borderColor:'0x000000', param_style_brandUrl:'', param_compactView:'true', param_blurbLength:'100'};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', '218', '8.0.0', 'http://downloads.thespringbox.com/web/expressInstall.swf', flashVars, params); http://www.moneyscience.com/calendar/Modern_Equity_Portfolio_Management/event1100 Sun, 27 Sep 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Modern_Equity_Portfolio_Management/event1100 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/qLC0SCnA6GQ/event1025 Location: New York, USA. Date:2009-10-05 00:00:00. Equity derivatives have been one of the hottest areas of growth in a market environment of rapid financial innovation. A crucial driver of the vast increase in the use of equity derivatives has been the pace of innovation, with numerous diverse structures being developed to suit particular needs of many different types of users. The Equity Derivatives seminar investigates each of the widely used quity derivative products. This program is designed to familiarize participants with the structures of the important equity derivatives as well as the analytic tools and techniques used to evaluate and price them. The program begins with a survey of the two basic types of derivative contracts: first futures/forward contracts and then options. These will be explored in greater detail as they are the building blocks of all the more complex derivative instruments. Sessions will address contract struture and terminology, but focus on valuation, risk/return characteristics and trading/risk management applications. The program will then proceed with a similar approach applied to a range of derivative contracts to include: swaps, caps and floors, swaptions, and other exotic options. http://www.moneyscience.com/calendar/Equity_Derivatives/event1025 Sun, 04 Oct 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Equity_Derivatives/event1025 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/1pI9H5wzTPo/event984 Location: New York, USA. Date:2009-10-07 00:00:00. Algorithmic and Electronic Trading > Dark Liquidity Pools > Transaction Cost Analysis > Liquidity Management Following the success of Best Execution USA in 2008, the second annual event promises to provide more in depth coverage on the key issues and challenges to achieving best execution across the range of asset classes. With over 250 senior buy- and sell-side professionals expected to attend this year and key industry spokespeople already confirmed we look forward to another strong event in 2009. http://www.moneyscience.com/calendar/Best_Execution_USA/event984 Tue, 06 Oct 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Best_Execution_USA/event984 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/fLPUjO76e_I/event1056 Location: Swiss National Bank, Zurich, Switzerland. Date:2009-10-08 00:00:00. http://www.moneyscience.com/calendar/5th_Annual_Central_Bank_Workshop_on_the_Microstructure_of_Financial_Markets/event1056 Wed, 07 Oct 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/5th_Annual_Central_Bank_Workshop_on_the_Microstructure_of_Financial_Markets/event1056 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/NDdDH43BFMM/event1019 Location: New York, USA. Date:2009-10-12 00:00:00. Participants learn about convertible bonds and the role they play in the fixed income markets. They examine features of the basic convertible bond, as well as alternative structures. This course covers the advantages and disadvantages of convertibles from both the investor and issuer perspectives. http://www.moneyscience.com/calendar/Convertible_Bonds/event1019 Sun, 11 Oct 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Convertible_Bonds/event1019 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/Dapd6_7CwRk/event1101 Location: Geneva, Switzerland. Date:2009-10-19 00:00:00. Professor Michel Crouhy Credit risk has become the new frontier in investments and risk management. The subprime credit crisis of 2007 and its contagion to other credit markets has revealed major weaknesses in credit risk management, credit risk measurement, and the pricing and hedging of credit derivatives. This course builds on the lessons from this crisis and will present to the participants best practice techniques in managing, structuring and modeling credit risk. The objectives are to provide participants with a thorough understanding of the most recent credit-risk models, their use in both pricing and managing credit exposures, and to show how credit derivatives can be used for either position taking, structured financing or exposure management. Best practice approaches will be presented to help practitioners from financial institutions, asset management firms and non-financial corporations to take value-increasing credit-risk related decisions. More Events from Swiss Finance Institute 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%3Fformat%3Drss%26t%3Dcalendar%26id%3D17', param_style_borderColor:'0x000000', param_style_brandUrl:'', param_compactView:'true', param_blurbLength:'100'};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', '218', '8.0.0', 'http://downloads.thespringbox.com/web/expressInstall.swf', flashVars, params); http://www.moneyscience.com/calendar/Credit_Risk_and_Credit_Derivatives/event1101 Sun, 18 Oct 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/Credit_Risk_and_Credit_Derivatives/event1101 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/1hpJXaq_I-c/event1076 Location: New York, USA. Date:2009-10-24 00:00:00. Special session on Mathematical Finance to be held at the AMS Fall Eastern Section Meeting on October 24-25 2009, located at the Pennsylvania State University. The aim of the session is to bring researchers in mathematics with practitioners in finance to identify and formulate outstanding problems in the field, as well as outline recent advances in their resolution. Potential topics include (but are not limited to) derivative pricing, calibration of models, and optimal stopping problems. http://www.moneyscience.com/calendar/AMS_Special_session_on_Mathematical_Finance/event1076 Fri, 23 Oct 2009 16:00:00 -0700 http://www.moneyscience.com/calendar/AMS_Special_session_on_Mathematical_Finance/event1076 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/njvvlUyIkNA/event1046 Location: Limassol, Cyprus. Date:2009-10-29 00:00:00. The 3rd International conference on Computational and Financial Econometrics (CFE'09) will take place at the 5-star Grand Resort Hotel, Limassol, Cyprus, 29-31 October 2009. This conference invites presentations that contain computational or financial econometric components. Papers containing strong computational statistical or econometric components or substantive data-analytic elements will be considered for publication in a special peer-reviewed, or regular, issue of the journal Computational Statistics & Data Analysis. http://www.moneyscience.com/calendar/3rd_International_Conference_on_Computational_and_Financial_Econometrics/event1046 Wed, 28 Oct 2009 17:00:00 -0700 http://www.moneyscience.com/calendar/3rd_International_Conference_on_Computational_and_Financial_Econometrics/event1046 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/Tri6dOZUwyw/event1022 Location: New York, USA. Date:2009-10-29 00:00:00. Wealth advisors, including private bankers, are increasingly being asked to extend credit to their clients. Requests range from a home loan to leveraging a hedge fund. This two-day course provides private bankers with the concepts and tools to better evaluate risk. http://www.moneyscience.com/calendar/Credit_Risk_for_Private_Bankers/event1022 Wed, 28 Oct 2009 17:00:00 -0700 http://www.moneyscience.com/calendar/Credit_Risk_for_Private_Bankers/event1022 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/B_ZBczLp3JY/event1102 Location: Geneva, Switzerland. Date:2009-11-02 00:00:00. Professor Francis X. Diebold The course develops an appreciation and understanding of methods of modeling and forecasting the fundamentals that underlie financial asset returns, the financial asset returns themselves and their volatility and correlation, as well as the pitfalls and opportunities that arise as technologies move forward. The level of the discussion is designed to strike a balance between intuition and mathematical rigor. More Events from Swiss Finance Institute 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%3Fformat%3Drss%26t%3Dcalendar%26id%3D17', param_style_borderColor:'0x000000', param_style_brandUrl:'', param_compactView:'true', param_blurbLength:'100'};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', '218', '8.0.0', 'http://downloads.thespringbox.com/web/expressInstall.swf', flashVars, params); http://www.moneyscience.com/calendar/Financial_Econometrics_and_Forecasting/event1102 Sun, 01 Nov 2009 16:00:00 -0800 http://www.moneyscience.com/calendar/Financial_Econometrics_and_Forecasting/event1102 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/Tk3yynnLf5w/event1103 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 asset and option pricing, portfolio allocation, risk measurement and management, to direct volatility and correlation trading. The discussion is designed to strike a balance between intuition and mathematical rigor and also includes consideration of practical computational issues as well as a guest lecturer from the financial services industry illustrating the importance of volatilities and correlations in financial market risk assessments. The course develops an appreciation and understanding of the importance of time-varying volatility and correlation in financial asset returns, the tools and techniques of modern financial volatility and correlation measurement, modeling and forecasting, as well as the pitfalls and opportunities that arise as the new technologies move forward. More Events from Swiss Finance Institute 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%3Fformat%3Drss%26t%3Dcalendar%26id%3D17', param_style_borderColor:'0x000000', param_style_brandUrl:'', param_compactView:'true', param_blurbLength:'100'};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', '218', '8.0.0', 'http://downloads.thespringbox.com/web/expressInstall.swf', flashVars, params); http://www.moneyscience.com/calendar/Volatility_and_Correlation/event1103 Sun, 08 Nov 2009 16:00:00 -0800 http://www.moneyscience.com/calendar/Volatility_and_Correlation/event1103 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/FHPd27_icSk/event1062 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, the calibration and the Monte-Carlo simulation in Matlab. REQUEST A BROCHURE Course Duration: 2 days - 14 hours DELEGATES SHOULD BRING THEIR OWN LAPTOPS WITH MATLAB ON IT. Prerequisites: Basic probability theory, basics of stochastic processes, basic concepts of financial products, binomial tree modelling and the Black-Scholes setting, knowledge of basic programming. About the Speaker: Wim Schoutens is a world-recognised consultant and research professor specialising in model implemention within practitioner settings. His research interests cover broad areas of financial mathematics, and recent publications run from jump driven credit models, equity models, and model risks to hedging of exotics and multivariate financial modelling. He is also the author of Lvy Processes in Finance: Pricing Financial Derivatives and co-editor of Exotic Option Pricing and Advanced Lvy Models. Programme: DAY 1 Shortfalls of the Black-Scholes Model - Problems with the normal distribution, the need for stochastic volatility, implied volatility, stylised features of financial returns. Stochastic Volatility Models - Stylised features of volatility, Heston model, Heston with jumps Pricing European Options using Characteristic Functions - Characteristic functions, Carr-Madan formula for European options, FFT techniques DAY 2 Delta Hedging - Fast calculation of Deltas and other Greeks Calibration - Basic concepts of calibration, search algorithm, choosing starting values, examples. Monte-Carlo Simulations - Euler schemes, Milstein's schemes, advanced simulation methods Structured Products and Exotic Option Pricing under Heston - Pricing of exotic options embedded in structure products Matlab Workshops: DAY 1 : implementation of FFT pricing and calibration algorithm for Heston DAY 2 : Monte-Carlo simulations and exotic option pricing for Heston More Training from MoneyScience Advanced C++ for Computational Finance with Daniel Duffy - June 15-17, 2009 - Brochure Available Now Capital Structure Trading with Jon Gregory - June 15-16, 2009 - Brochure Available Now Pricing Counterparty Credit Risk in the Credit Crisis with Jon Gregory - July 27-28, 2009 - Brochure Available Now Statistical Programming in R for Financial Markets with Patrick Burns - July 13-14, 2009 Credit Default Swaps and the Credit Crisis with Jon Gregory - July 13-14, 2009 - Brochure Available Now Value-at-Risk (VaR) with Jon Gregory - June 22-23, 2009 - Brochure Available Now Options and Structured Products with Jon Gregory - Aug 31 - Sept 01, 2009 - Brochure Available Now Pricing Credit Derivatives and the Credit Crisis with Jon Gregory - Sept 7-8, 2009 - Brochure Available Now Pricing Exotic Interest Rate Derivatives - The LIBOR Market Model in QuantLib with Mark Joshi - June 2-4, 2010 http://www.moneyscience.com/calendar/The_Heston_Stochastic_Volatility_Model_-_Pricing,_Calibration_and_Monte_Carlo_Simulation_with_Wim_Schoutens/event1062 Sun, 08 Nov 2009 16:00:00 -0800 http://www.moneyscience.com/calendar/The_Heston_Stochastic_Volatility_Model_-_Pricing,_Calibration_and_Monte_Carlo_Simulation_with_Wim_Schoutens/event1062 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/7-fMlm4LtOo/event1031 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. http://www.moneyscience.com/calendar/Risk_Management_for_the_Debt_and_Equity_Markets/event1031 Mon, 09 Nov 2009 16:00:00 -0800 http://www.moneyscience.com/calendar/Risk_Management_for_the_Debt_and_Equity_Markets/event1031 http://feedproxy.google.com/~r/moneyscience-events-calendar/~3/2mKpvkiJvZY/event1079 Location: London, UK. Date:2009-12-09 00:00:00. BOOK BEFORE AUGUST 1st TO RECEIVE A 10% 'EARLY BIRD' DISCOUNT Click here to Request a Brochure 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. (Further Information) 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. What do you learn? In this course we introduce state-of-the-art design and programming techniques in C++ and their application to Computational Finance. In particular, the following topics are discussed in detail: - 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 What do you receive? As attendee you receive a full set of slides, C++ source code and a copy of Daniel Duffy's book "Financial Instrument Pricing using C++ " (Wiley 2004), including CD with C++ code. In short, you will receive what is needed to start developing your own applications. The price includes coffee, tea, lunch and refreshments. What have previous delegates said? "Very good style and knowledge was far above the norm" "Excellent hands-on teaching" "Good balance of C++ and finance, theory and practice" "The best course I ever attended (Vienna)" Further Information Contact: Jacob Bettany, Managing Director, MoneyScience Email: jacob@moneyscience.com Tel: +44 (0) 117 923 8851 Click here to Request a Brochure 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/LBSx-do9vTw/event1063 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 be discussed at theoretical, practical and coding levels. The solution of these using QuantLib classes will be the focus of the course. We will see how QuantLib provides a free easily-extendible implementation that achieves rapid pricing and sensitivity computation, and stable calibration to the market; whilst being able to cope with path-dependence, discontinuous pay-offs and early exercise features. Day 1 Basics and Calibration Why market models and theoretical underpinnings. Achieving a speedy Monte Carlo implementation: drift computation, drift approximation, accelerating convergence, latest implementations of Sobol QuantLib classes: MarketModelEvolver, LogNormalFwdRatePc, LogNormalFwdRateIpc, LogNormalCotSwapRatePc, LMMDriftCalculator, NormalFwdRatePc, BrownianGenerator, SobolRsg Calibration: time homogeneity, correlation structures, the pseudo-square root as a fundamental building block, stable simultaneous calibration to caplets and swaptions, period mismatches, QuantLib classes: MarketModel, SwapForwardMappings, FwdToCotSwapAdapter, CotSwapToFwdAdapter, PiecewiseConstantAbcdVariance, CTSMMCapletCalibration, CTSMMCapletMaxHomogeneityCalibration, capletSwaptionPeriodicCalibration Day 2 Early Exercise and Greeks Pricing products with early exercise features, obtaining lower bounds. Least-squares method. Anderson's method. Orthogonalization, QuantLib classes: NodeData, collectNodeData, MarketModelExerciseValue, LongstaffSchwartzExerciseStrategy, MarketModelBasisSystem, MarketModelParametricExercise, genericLongstaffSchwartzRegression Upper bounds for callable products. QuantLib classes: UpperBoundEngine Greek computation: partial proxy simulation and the conditional analytic method. QuantLib classes: ConstrainedEvolver, LogNormalFwdRateEulerConstrained Day 3 Skew and Smiles Using displaced diffusion to achieve skew QuantLib classes: how existing classes already include Displaced Diffusion Using Heston stochastic volatility to obtain smile: Monte Carlo implementation QuantLib classes: adding an extra evolver to implement stochastic volatility Analytic approximations of the stochastic vol LMM, calibration, SABR and the LMM QuantLib classes: possible ways to extend to encompass these cases Comments about our Previous Event - "Great Interactivity" - "Relevant and timely coverage of recent developments" - "Very Practical" - "Relaxed, Broad coverage" *Attending our March 2008 event: Implementing the LIBOR Market Model About the Speaker Mark Joshi obtained a B.A. in mathematics from the University of Oxford in 1990, and a Ph.D. in pure mathematics from the Massachusetts Institute of Technology in 1994. He was an Assistant Lecturer in the department of pure mathematics and mathematical statistics at Cambridge University from 1994 to 1999. Following which he worked for the Royal Bank of Scotland from 1999 to 2005 as a quantitative analyst at a variety of levels, finishing as the Head of Quantitative Research for Group Risk Management. He joined Melbourne University in November 2005 as an Associate Professor. Mark's book "The Concepts and Practice of Mathematical Finance," CUP 2003 has become a standard introductory text in the area, and his other book "C++ Design Patterns and Derivatives Pricing," CUP 2004, has also proved popular. He has published twenty pure mathematics papers, as well as writing over twenty papers on financial mathematics, many of which deal with the practical aspects of implementing market models. Further Information Dates: 3 Days - 2 - 4 th June 2010 Venue: Institute of Physics, London, UK Cost: £2600 inc. VAT Request a Brochure http://www.moneyscience.com/calendar/Pricing_exotic_interest_rate_derivatives_-_The_LIBOR_Market_Model_in_QuantLib_with_Mark_Joshi/event1063 Tue, 01 Jun 2010 16:00:00 -0700 http://www.moneyscience.com/calendar/Pricing_exotic_interest_rate_derivatives_-_The_LIBOR_Market_Model_in_QuantLib_with_Mark_Joshi/event1063 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