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The recent plunge of EUR/CHF has caused increased interest in FX markets in general and also in MathFinance. We have consequently set up a panel discussion on EUR/CHF in the next MathFinance Conference (23-24 March), where we will discuss questions like: how can one reasonably predict or model shadow exchange rates. When will central banks’ protection fail or end? How can EUR-based institutions and corporates restructure their CHF loans? Many have taken such loans in the past and are now either in litigation or need to restructure. By the way, did you know the actual meaning of the politically correct term “restructuring?” To me, it is often about how the treasurer, who is now left with a large loss, can come up with a story and an action plan that eases off his auditor’s or boss’s nervous breakdown.
We have invited Professor Rolf Poulsen from Copenhagen University to talk about his recent research in The Swiss National Bank’s Euro Guarantee. He was happy to contribute the following overview of his work:
“Between Sept. 6, 2011 and Jan. 14, 2015 the Swiss National Bank (SNB) acted in order to keep the CHFEUR exchange rate (i.e. the number of Swiss franc needed to buy 1 euro) above 1.2.
By modeling the observed exchange rate during the guarantee period as the sum of a latent (or true) exchange rate and an option premium it is possible to estimate the market’s view on the credibility of the guarantee as well as where the exchange rate would be without the guarantee.
The empirical results from a hybrid of the models in Hanke, Poulsen & Weissensteiner (2014a) and Hanke, Poulsen & Weissensteiner (2014b) are shown in the figure on the right. (These models will be presented in detail at the MathFinance Conference in March 2015.) The thin black curve is the observed CHFEUR rate over the guarantee period and the fat red curve is the estimate of where the CHFEUR rate would be without the guarantee.
‘Crunch time’ for the model was of course when the SNB withdrew the guarantee on Jan. 15, 2015, at which point the CHFEUR rate jumped down to an end-of-day level of about 1.035 as shown by the big black blot the figure. The model’s prediction was 1.07. Not spot on, but given the magnitude and subsequent repercussions of the event, we don’t feel that we have been left with too much egg on our faces. “
We look forward to seeing you at our Conference in Frankfurt.
Managing Director of MathFinance
There are currently two academic positions available at the Faculty of Sciences of the Université Libre de Bruxelles until the end of the month:
More details on all vacancies from the Université Libre de Bruxelles can be found here.
Ab sofort - Teilzeit oder Vollzeit
Bei Interesse erbitten wir Ihre vollständigen Bewerbungsunterlagen mit Gehaltsvorstellung per e-mail an firstname.lastname@example.org.
Klicken Sie hier, um die Stellenbeschreibung zu erhalten.
60329 Frankfurt am Main
Applications are invited for six Early Stage Researchers (ESRs, like PhDs) who will work closely with industrial partners on a PhD Thesis in financial mathematics. All positions concern modern topics in financial risk management.
There are two positions in Italy, two in Spain and two in the Netherlands, see link.
Applications can be sent before 15 April 2015 following these instructions.
MIT SCHNELLEM EINSTIEG!
Sie sind neugierig? Sie wollen verstehen, was sich hinter aktuellen Themen wie EU-Länderrisiken, Europäische Ratingagentur oder Rohstoffrisiken in der Automobilproduktion verbirgt? Dann sollten Sie d-fine näher kennen lernen. Denn mit solchen Themen und vielen weiteren spannenden und anspruchsvollen Fragestellungen beschäftigen sich unsere über 500 Berater (m/w). Und sie beantworten die an sie gestellten Fragen. Interdisziplinär mit Erkenntnissen und Methoden aus Ökonomie, Mathematik, Physik und Informatik. Unterstützt durch unser einzigartiges Fortbildungsprogramm. Es ist noch viel Platz für neue Denkansätze und unkonventionelle Ideen – bei d-fine.
d-fine. Die Spezialisten für Risk&Finance.
60313 Frankfurt am Main
We first present empirical investigation to validate the assumption of about the log-normal dynamics of implied and realized volatilities for stock indices. We then develop an accurate approximation of the moment generating function for mean-reverting log-normal stochastic volatility model. We apply this approximation for valuation of vanilla options and model estimation using maximum likelihood methods. For hedging under the log-normal dynamics, we introduce the concept of volatility beta and skew-beta, which serve as empirical adjustments for option delta. We show how to calibrate our model to make it consistent with any dynamics of the implied volatility under the statistical measure.
The work will be presented on the MathFinance Conference 23-24 March 2015 in Frankfurt. The papers are available at
An implementation in matlab by the author is available at here.
Presented by Dr. Uwe Wystup.
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.
This advanced practical three-day course covers the pricing, hedging and application of FX exotics for use in trading, risk management, financial engineering and structured products. Uwe has been teaching it successfully for many years on several continents. It is not a basic course on options. Understanding the FX vanilla options market and FX smile however, is essential to understand exotics. This course is also not a pure quantitative modelling seminar. It provides the necessary mathematics you need to understand to be successful in FX Options. More specific quantitative aspects are covered in a two-day extended course. For a two-day format click here.
All delegates of the course offered by London Financial Studies will receive a copy of Uwe’s book "FX Options and Structured Products".
This course, by Professor Uwe Wystup, extends his highly successful seminar on "Foreign Exchange Exotic Options". It is meant for a technical/quantitative audience with good programming skills familiar with the preceding seminar. Uwe provides an overview of the models used in the FX Options market, discusses their pros and cons and numerical details in the implementation.
Delegates are expected to be familiar with the financial products, stochastic calculus, linear algebra, complex numbers and advanced calculus.
Presented by Alexander Stromilo.
The 2007-2008 Credit crunch showed us many inconsistencies and "wrong ideas" used in financial models: VaR is too risky, while Libor is not risk-free anymore. Post-crisis regulations like ISDA Master Agreement including the Credit Support Annex (mandatory collateralization in OTC) posted new rules that must be taken into account. "New models" used by large market players make it impossible for others to still use the "old ones". The financial world has changed, and we have to adjust our point of view accordingly.
This seminar addresses several questions arising from the Interest Rate Market.
Presented by Prof Uwe Wystup.
This is part of a series of webinars of FX Options in treasury. Some of the questions we shall answer include:
The MathFinance Conference is the largest quantitative finance event covering the European market. Its unique take on the blending of industry and academia has allowed it to firmly establish itself as one of the top quant events of the year. Renowned speakers from all over the world deliver their talks as part of this two-day event, held in Frankfurt on the 23rd and 24th of March 2015.
For over 13 years, the conference has been an influential driver in the dissemination of ideas, information and knowledge. Talks are presented by experts in their field, including distinguished Senior Quantitative Analysts, Traders, Risk Managers and only the top Academics. This ensures that all major developments and issues of this ever evolving marketplace are covered in depth.
If you have questions please contact us!
Please check our conference video!
Any theory must be proven. For this reason, an interesting and simple example was created, which is actually a paradox. It describes a class of very profitable strategies. But such strategies cannot work eternally. Otherwise, it would be possible to make unlimited amounts of money at any time. So when such strategies become available, markets change, and this makes them more efficient.
You can buy an asset, wait until the price changes and sell it. The difference in price will be your return. Suppose you can do the same with another asset, whose price is opposite to the first one’s. It is easy to show that the sum of returns is never negative. You always have profit.
This situation appears like arbitrage and theoretically allows to make an infinite amount of money. Where is the catch?
The ARPM Bootcamp provides in-depth understanding of buy-side modeling from the foundations to the latest advanced statistical and optimization techniques, in nine intense, heavily quantitative hours each day, with theory, live simulations, review sessions and exercises.
Topics include portfolio construction, factor modeling, copulas, liquidity, risk modeling, and much more.
Also features Gala Dinner with world-renowned speakers such as Rob Almgren, Peter Carr, Bruno Dupire, Jim Gatheral, Bob Litterman, Bob Litzenberger, Fabio Mercurio, Steven Shreve.
See a short video!
Go here to register with the discounted supporter rate or contact us at email@example.com.
The conference will take place between the 15th and 18th December 2015 at the Hilton Hotel. The event will bring together leading experts in Quantitative Finance Industry and Academia in Sydney Australia.
Pensions, Insurance, Regulation, Model Risk, CVA, Risk Measurement, Commodities, Emissions Trading and other areas of Quantitative Finance
PLENARY SPEAKERS INCLUDE
Hansjoerg Albrecher, Alexandre Antonov, Francesca Biagini, Rama Cont, Mark Davis, Freddy Delbaen, Ernst Eberlein, Robert Elliott, Paul Embrechts, Hélyette Geman, Martino Grasselli, Paolo Guasoni, Xin Guo, Constantinos Kardaras, Steve Kou, Dilip Madan, Marek Musiela, Shige Peng, Johannes Ruf, Klaus Sandmann, Michael Schmutz, Stefan Tappe, Dirk Tasche, Xun Yu Zhou
The abstract submission is open until 1st May 2015!
View detailed info | Register
Please note that Early Bird end on 15 September 2015!
London: 13th - 15th April 2015
The course starts by analysing the role of volatility in the current financial markets including the causes and impact of volatility smiles on a variety of financial products. This leads into sessions on the application of a range of volatility derivatives such as volatility futures and options, tradeable volatility products such as VXX, and volatility swaps. The final part of the programme covers the treatment of volatility in the more popular stochastic volatility models used in the industry such as SABR and Heston and provides insights into the most relevant approaches to modelling volatility under current market conditions.
Presented By: Simon Acomb
London: 16th - 17th April 2015
This 2-day course covers bank stress-testing, analysis and valuation. The programme begins with foundation work covering the basic bank business model, bank accounting and bank regulation under Basel 3. Exercises emphasise the role of stress- testing banks’ capital and liquidity in dividing banks into those that are more susceptible to bank failure and those that are likely to survive. The appropriate selection of gone-concern and going- concern valuation methods is then deployed to value banks’ equity and credit securities.
Presented By: Rupesh Tailor
London: 20th - 21st April 2015
Understanding the role of economic indicators which determine market performance is an essential skill in the context of an increasingly sophisticated and complex financial marketplace. This course identifies the information that really matters and provides an insight into how best to interpret the increasing wealth of data now available.
Presented By: Jeremy Hawkins
New York: 20th - 22nd April 2015
This program will give you the confidence to use, price, market, evaluate and manage risk with FX Vanilla options, including best practice and conventions from buy side and sell side.
Delegates will gain a solid understanding of the markets and an insight into standard models used for pricing these products and managing Foreign Exchange risk.
Presented By: Dr. Zareer Dadachanji
New York: 27th - 28th April 2015
This course explains and describes the valuation adjustments in derivatives pricing in relation to counterparty risk, collateral, funding and capital components. The ideas are built up sequentially and workshops are used to develop the key ideas including simulation of exposure, the impact of risk mitigants and calculation of CVA, DVA, FVA, CollVA, KCVA and MVA.
Presented By: Dr Jon Gregory
New York: 27th - 29th April 2015
An in-depth, 3-day examination of practical requirements for liquidity risk management, including a detailed step-by-step approach to stress-testing and extensive coverage of liquidity funds transfer pricing (LFTP). The programme also covers best practice and a framework for contingency funding plan with practical examples. Delegates will be able to use this information to benchmark and improve their bank's CFPs.
Presented By: Leonard Matz
Singapore: 14th - 17th April 2015
A comprehensive workshop on pricing and managing interest rate derivatives. This course is charged and can be booked by the day. Select the days that meet your needs, or participate in the whole course for a thorough grounding in these instruments.
Presented By: Cheryl Brown
Singapore: 27th - 29th April 2015
This course explains in detail a range of convertible securities, their applications and trading strategies (with special attention to hybrids and Contingent Convertibles - CoCos).
Presented By: Dr Jan De Spiegeleer
London Financial Studies is registered with CFA Institute as an Approved Provider of continuing education programs.
London Financial Studies is registered with GARP as an Approved Provider of continuing professional education (CPE) credits.
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