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Newsletter | 25 Mar 2014 | Issue 291


At our upcoming MathFinance Conference(14-15 April) we have scheduled two panel discussions. On Monday we will compare the Austrian School of Economics vs. Mainstream Economics. On reading journal papers over the years, the obvious question that does crop up is the extent to which mathematics really helps economics. The panel will discuss this question in depth with Alexander Raviol as the moderator and Prof Thorsten Polleit (Degussa), Frank Pöpplow (Federated) and Prof Adalbert Winkler (Frankfurt School) as panelists.

The Tuesday panel will cover how market experts experience the change of increased regulation. We will work out how it affects the daily work and consider questions like (1) does regulation unfairly penalize some products? Are simple hedge products like vanilla options unfavorably treated in a regulatory sense and yet they may often be the best products for the client? (2) Does regulation tend to simply push risk around to unrecognized areas? For example, capital charges have helped drive the rise of CVA desks, which arguably allows market pricing to prevail in a very new untested area. (3) How helpful is Clearing Obligation under EMIR? How is the retail certificates market affected, do investors really benefit? Our panel includes Prof Jessica James (Commerzbank), Dr Wolfgang Gerhardt (Vontobel), Dr Jürgen Hakala (Leonteq Securities) and Dr Frank Lehrbass (RWE).

And for the FX fan club I am very pleased to announce the presence of a global board of FX derivatives experts at one conference: Jessica James, Jürgen Hakala, Iain Clark and Antonio Castagna.

Dr Bernadette Weyland, Under Secretary for Finance in the State of Hesse will inaugurate the conference on Monday morning to underline its relevance in the city of Frankfurt.

I look forward to seeing you at the MathFinance Conference.

Registration can be done here.

Uwe Wystup
Managing Director of MathFinance


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homepage: http://www.d-fine.de

MathFinance openings

Our recruitment partner company is currently looking for young motivated professionals interested in positions in London and New York. There are positions available now for:

  • Quantitative Programmer (London): Strong C++ skills and experience in hedging effective calculations
  • Quantitative Programmer (London): Strong C++ skills and experience in treasury management system 
  • Quantitative Programmer (New York): Strong C++ skills and experience in collateral management system
  • Quantitative Programmer (New York): Strong C++ skills and experience in CVA
  • Quantitative Programmer (New York): Strong C++ skills and experience in commodity/equity volatilities

Please enquire here for more information or submit your CV here for consideration.
By submitting your CV you are agreeing to our Terms & Conditions, in particularly agreeing to having us submit your CV to our recruitment partner company.


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Training Courses

On Demand

Vedic Mathematics

Presented by Dr. Uwe Wystup and Ansua Dutta.
Held On Location.


Veda is sanskrit and means knowledge. The 16 sutras are part of a an appendix of the Atharvaveda. Some examples of the sutras are

  • By one more than the one before
  • All from 9 and the last from 10
  • Vertically and crosswise

In this course we will guide you through the ancient world of mental arithmetic and amazing insights in computation that make you wonder why you didn't learn this in elementary school. We will open up a completely new way you see mathematics.

Practicalities of Equity Derivatives

Presented by Dr. Oliver Brockhaus.
Held On Location.


This two-day course focuses on practical aspects of pricing, trading and risk managing equity derivatives. It covers key products in the current market as well as relevant models used by front office traders and risk managers. Course participants will learn which model to choose for a given product, how to hedge derivative exposure and which market factors influence the price of a derivative.

Foreign Exchange Exotic Options, 3-day format

Presented by Dr. Uwe Wystup.
Held On Location.


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".

Company News

New Paper

"Numerical Experiments on Hedging Cliquet Options”, by Fiodar Kilin, Morten Nalholm and Uwe Wystup, accepted for publication in Journal of Risk 2014.

Upcoming Events

2014 Quantitative Methods in Finance Conference (QMF)

The conference will take place between the 17th and 20th December 2014 at the Hilton Hotel. The event will bring together leading experts in Quantitative Finance Industry and Academia in Sydney Australia.

Alternative Asset Management, Pensions, Insurance, Stochastic Volatility, Interest Rate Term Structure, Credit Risk, Risk Measurement, FX Derivatives, Commodity and Emissions Trading and other areas of Quantitative Finance

Yacine Aït-Sahalia, Jiro Akahori, Alexandre Antonov, Laurent Calvet, Freddy Delbaen, Jin Duan, Robert Elliott, Jean-Pierre Fouque, Martino Grasselli, Mattheus Grasselli, Vicky Henderson, David Hobson, Constantinos Kardaras, Takeaki Kariya, Masaaki Kijima, Arthuro Kohatsu-Higa, Mark Loewenstein, Thomas Lux, Ashkan Nikeghbali, Wolfgang Runggaldier, Martin Schweizer, Michael Sørensen, Mete Soner, Josef Teichmann

Check also our QMF 2014 Workshops, that will take place on the 15th and 16th of December 2014!

The abstract submission is open until 1st May 2014!

View detailed info | Register 

Please note that Early Bird Closes 29 August 2014!

6-day intensive course "Advanced Risk and Portfolio Management Bootcamp" by Attilio Meucci


Advanced Risk and Portfolio Management (ARPM) Bootcamp by Attilio Meucci

Dates: August 11-16, 2014. Location: New York University
40 CE units CFA Institute, 40 CPE units GARP

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, Andrew Lo, Fabio Mercurio, Steven Shreve.

See a short video!

To register please click here. To see about our special group rates, please, contact us at arpm.bootcamp@symmys.com.

8th World Congress of the Bachelier Finance Society


The 8th World Congress of the Bachelier Finance Society will take place in Brussels, Belgium from 2-6 June 2014The congress is jointly organised by the Katholieke Universiteit Leuven, Universiteit Antwerpen, Universiteit Gent, Université Libre de Bruxelles and Vrije Universiteit Brussel.

The World Congress of the Bachelier Finance Society is the premier event in the international quantitative and mathematical finance calendar, attracting hundreds of participants every two years.

The congress opening is scheduled on Monday 2 June 2014 at 2 pm; registration is open from 12 pm (noon). The congress ends on Friday 6 June 2014 at noon.

We hope to welcome many of you there.

We are proud to announce the following list of confirmed plenary speakers: Peter Carr, Rama Cont, Darrell Duffie, Ernst Eberlein, Paul Embrechts, Helyette Geman, Paul Glasserman, David Hobson, Ioannis Karatzas, Eckhard Platen, Steven Shreve.



Academic – bachelier society members

600 EUR

Academic – non-members

700 EUR

Academic – student

450 EUR

Non-academic – bachelier society members

1100 EUR

Non-academic – non-members

1300 EUR

Congress registration includes: participation in all sessions on the indicated days; receipt of conference materials; access to the exhibition; coffee breaks and lunches (3, 4 and 5 June only); participation in the welcome reception (places are limited and participation is not guaranteed, early bookings will be given priority).

For questions  please contact Mrs Mieke Akkers by e-mail: BFScongress2014@momentum-pco.be or telephone 32.16.404555.

Via the congress website, participants can also book hotels at preferred rates until May, 5, 2014.  We note that participants are responsible for their own hotel bookings and travel arrangements.

More information is available on the conference website www.bacheliercongress.com/2014/.

LondonFS Courses 2014

Course Name
Course Outline

Volatility: Trading and Managing Risk

London: 14th - 16th May 2014

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 and Ser-Huang Poon

BGM Models and Advances: Basis, CSA, Credit & Funding

London: 19th - 21st May 2014

The BGM Libor and Swap Market Models are the last generation of financial models for interest rate derivatives, and those that cope more easily with the new market characterised by large basis spreads and CSA discounting or funding and CVA adjustments.

Presented By: Massimo Morini

Risk Management and Modelling: VAR and Beyond

London: 19th - 20th May 2014

This course develops a set of tools essential for the accurate management of the wide range of risks encountered in capital markets. Techniques are applied cumulatively in a sequence of workshops that include Value at Risk and its limitations, practical uses of Monte Carlo simulations and different methods for estimating default probabilities.

Presented By: Simon Acomb

Convertible Bonds and Securities

London: 21st - 23rd May 2014

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, handling corporate events such as ratchets, calculating Greeks and simulating trading strategies. Contingent Convertibles are also covered extensively.

Presented By: Jan De Spiegeleer and Wim Schoutens

Intermediate Mathematics: Understanding Stochastic Calculus

London: 29th - 30th May 2014

The use of probability theory in financial modeling 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 behavior of the markets or to derive computing methods.

Presented By: Dan Crisan

Counterparty Credit Risk: CVA, Collateral, Basel 3 and Funding

Frankfurt : 19th - 20th May 2014

This course explains and describes counterparty risk and funding and the quantification and management of CVA and FVA.
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 calculating CVA and DVA. Attention is also given to the impact of recent regulatory changes under Basel III on the management of counterparty risk and CVA. The impact of collateral and related funding costs is also considered together with a focus on FVA quantification and its relationship to CVA and DVA.

Presented By: Jon Gregory

The Theory and Practice of Central Clearing in OTC Derivative Markets

Frankfurt: 21st - 22nd May 2014

Central Counterparties (CCPs) have existed for many years to guarantee performance in exchange traded derivative markets. However, they also offer a similar role in reducing counterparty risk in bilateral over-the-counter (OTC) derivative markets. Regulation stemming from the global financial crisis of 2007 onwards has mandated that many standard OTC derivative transactions must be cleared through a qualifying CCP. This move towards central clearing is therefore going to create a dramatic shift in the topology of financial markets together with a significant reallocation of counterparty and systemic risks and is an important consideration for all financial institutions whether they may be CCP members or alternatively clear trades indirectly.

Presented By: Jon Gregory

Equity Derivatives 1: Trading and Managing Vanilla Options

Hong Kong: 16th - 18th June 2014

An intensive three-day workshop on trading and managing risk of vanilla equity derivatives. This programme provides a solid understanding of modern vanilla equity derivatives and their markets, including best practices and conventions both from a buy side and sell side perspective.

Presented By: Alberto Cherubini

Risk Management and Modelling: VAR and Beyond

Hong Kong: 19th - 20th June 2014

This course develops a set of tools essential for the accurate management of the wide range of risks encountered in capital markets. Techniques are applied cumulatively in a sequence of workshops that include Value at Risk and its limitations, practical uses of Monte Carlo simulations and different methods for estimating default probabilities.

Presented By: Simon Acomb

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.