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Newsletter | 17 Jan 2012 | Issue 265 |
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Welcome to 2012!
Markets are as volatile as ever. I just returned from a week of FX Options training. Updating the vols and spot levels for the strategy pricing kept us all very busy.
By the way, has anybody figured out a way to generate slides with automatic updates of market data, so your presentation doesn’t look outdated when you use it the following week? Ok, I admit, this is a trainer’s problem, but what about treasurers and investors? Good time for treasurers to look in some downside potential in EUR-USD using a classic forward extra.
More and more investors wonder where to best invest in instable market conditions. One of the ideas is to just bet on what’s considered a threat: volatility! The issues here are how to do it and whether such an investment can actually add value to a portfolio. As a quant boutique, we wanted to dive into the details and conducted a back-testing analysis: Would adding a dollar-neutral variance swap strategy to a typical 30% bond/70% stock portfolio have increased the Sharpe ratio? The Sharpe ratio measures the performance: the portfolio return in units of risk (volatility).
The figure shows that it would have done this in past ten years.
The blue series reflects a 70/30 investment strategy in the S&P 500 over the last 8 years. In the green one we added a vega-neutral variance swap calendar spread, and in the red one a dollar-neutral such spread. It seems to fly with less turbulence in volatility markets.
The detailed research report will be published this month. There will be a press conference at Lupus alpha, see the invitation for media and journalist below. The paper will be available on mathfinance.com and in the Frankfurt School of Finance & Management research report series after the press conference.
Nowadays, as a researcher you are trained to think like a lawyer. For each statement you provide you learn how to add a liability exclusion footnote and the small print explaining that everything you say rests only on a set of model assumptions. So in this case, we would have to state that a historic back-testing analysis has no predictive power. You can use a scientific outlook to impress an audience. You can present it in such a way that readers think it is truly intellectual. This is the most common approach to A-journal paper writing in finance.
Our team at MathFinance used scientific methods to shed some light of what is often only a common belief or sometimes a misconception. Historic portfolio analysis always brings up some facts.
Would you like to see more about volatility? How about the current EUR-CHF smile:
| 1Y ATM |
25 Put |
10 Put |
25 Call |
10 Call |
| 9.3 |
8.05 |
8.98 |
12.55 |
17.78 |
Unbelievable. So why doesn't the police say anything? I certainly get speeding tickets in Switzerland for a lot less.
FX smile construction will be explained in detail in our next publication, due to appear in Wilmott.
Stay tuned.
Uwe Wystup
Managing Director of MathFinance
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Mathematiker (m/w), Physiker (m/w), (Wirtschafts-) Informatiker (m/w) und Wirtschaftswissenschaftler (m/w) mit quantitativ ausgerichteten Vertiefungsrichtungen bei d-fine GmbH, Deutschland
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Universitätsabschluss, sprechen fließend Englisch und Deutsch und haben weit überdurchschnittliche mathematische Fähigkeiten. Sie haben darüber hinaus sehr gute IT-Kenntnisse und sind idealerweise bereits mit Statistik, Numerik und Finanzmathematik vertraut.
Unbedingt erwarten wir von Ihnen analytisches Denken, ergebnisorientiertes Vorgehen, uneingeschränkte Reise- bereitschaft und exzellente Kommunikationsfähigkeiten. Sie sind teamfähig, erfassen auch sehr komplexe Aufgaben schnell und können sich rasch in neue Umgebungen einarbeiten. Sie haben Beratungstalent, hohe Einsatzfreude und sind flexibel und belastbar.
Selbstverständlich erhalten Sie eine intensive Einführung in Ihr zukünftiges Aufgabenfeld. Wir sind berühmt für unser anspruchsvolles Training auf höchstem Niveau, das wir in Zusammen arbeit mit führenden internationalen Universitäten wie z.B. der University of Oxford, der Frankfurt School of Finance & Management, der Mannheim Business School und der European Business School durchführen. Da bei können Sie sogar einen Master of Science (MSc) in Finanzmathematik, einen Executive MBA oder einen Abschluss als Chartered Financial Analyst (CFA) erwerben.
Wenn Sie in einem Team hoch begabter und hoch motivierter Kollegen mitarbeiten wollen, große individuelle Freiräume, viel Eigen verantwortung sowie hervorragende Entwicklungsperspektiven suchen, freuen wir uns auf Ihre Bewerbung.
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Willkommen bei d-fine!
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60313 Frankfurt am Main
Telefon +49-69-90737-555
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homepage: http://www.d-fine.de |
Chair in Mathematical Finance at the Imperial College LondonApplications are invited for the above position with effect from 1 September 2012 or earlier where possible. Candidates should have an exceptionally strong, internationally recognised record of research achievement in mathematical finance and/or related areas of mathematics, and strong leadership qualities.
Applicants will be expected to have a PhD or equivalent in Mathematical Finance or a related area of the mathematical sciences. Extensive experience in undergraduate and/or postgraduate teaching and postgraduate training in the field of Mathematical Finance and/or related areas of mathematics is essential. The successful candidate will also have an extensive track record of successful postgraduate supervision and postdoctoral mentoring.
Applicants will have proven evidence of independent, original research activity, and high quality published work in international peer-reviewed journals. They will also have a proven track record of securing research funding, and will be expected to develop, and secure funding for, a research programme in mathematical finance. The successful candidate will provide leadership in enhancing and extending the existing research and teaching activities of the Mathematical Finance Section, and develop relationships with the financial services industry.
Further information about the Department and this position can be found here
The post is full time on a open-ended contract.
For informal enquiries about the post, please contact Professor Mark Davis, Interim Head of the Mathematical Finance Section (mark.davis@imperial.ac.uk).
Our preferred method of application is online via our website (please select “Job Search” then enter the job title or vacancy reference number into “Keywords” – vacancy ref: NS2011217SA). Please complete and upload an application form as directed, also providing a CV.
If you are unable to submit online, then please send your completed application form with your full CV to: Maria Monteiro, Senior Appointments Co-ordinator (m.monteiro@imperial.ac.uk).
Closing date: 18 January 2012.
For more info, see pdf.
Suchen in:
| Company News | Invitation to the Press ConferencePresentation of the survey on „Volatility as Investment“
Volatility is a risk measure and at the same time an alternative source of return. The volatility product market has becomes liquid even in times after the Lehman collapse and the Euro crisis. Moreover, investors discover the added value of volatility strategies in a portfolio context. Since combinations of volatility products are typically negatively correlated to an equity portfolio they can substantially improve the risk-return profiles.
The results of the new joint research analysis of Uwe Wystup, managing director of MathFinance and Honorary professor of Quantitative Finance at Frankfurt School of Finance & Management and Lupus alpha will be released in a press conference on
Tuesday, 24 January 2012, 10:00 – 12:00 a.m.
in the Lupus alpha office in Frankfurt‘s Westhafen,
Speicherstrasse 49 – 51, 60327 Frankfurt am Main. Prof. Dr. Uwe Wystup will present the results of the paper on „Volatility as Investment“: How can volatility be viewed as an asset class? How can you invest in volatility? How do volatility strategies perform in different market scenarios? How do they help diversify the portfolio risk and increase the return? Afterwards, Alexander Raviol, Head of Absolute Return Strategies at Lupus alpha, will talk about his practical experience in volatility management.
After the presentations the teams of Lupus alpha and MathFinance will be available for questions and a detailed discussion.
We would be delighted to welcome journalists and media representatives at the press conference.
Please inform annett.haubold@lupusalpha.de by January 18 2012, if you wish to join or would like detailed information about the research.
Note that the presentations will be in German. | MathFinance Conference 2012
The conference is intended for practitioners in the areas of trading, quantitative or derivative research and risk and asset management as well as for academics studying or researching in the field of financial mathematics or finance in general. The talks during the two days of the conference cover a broad range of current topics and are presented by internationally known academics and practitioners. There will be enough time for questions and discussions after each talk and additional breaks provide you the opportunity to build networks within the quantitative finance community.
Some of the speakers of this year include: Prof. Jin-Chuan Duan, Dr. Alexander Langnau, Professor Dr. Ekkehard Sachs, Dr. Attilio Meucci, Prof. Dr. Cornelis Oosterlee, Professor Roger Lee, Dr. Owen Matthews, Saeed Amen, Peter Austing, Erik Vynckier and many others.
See our website for detailed information about talks, speakers and venue.
Some of this year's sponsors include: Commerzbank, Murex, d-fine, LPA, PricingPartners, fintegral, Reuters and many others!
Registration is now open! | New MathFinance CourseQuantitative Techniques for Portfolio Management" by Dr. Attilio Meucci
Course Instructor
Dr. Attilio Meucci, Kepos Capital, LP &SYMMYS.com
Attilio Meucci is a pioneer in advanced risk and portfolio management. His innovations include Entropy Pooling (technique for fully flexible portfolio construction), Factors on Demand (on-the-fly factor model for optimal hedging), Effective Number of Bets (entropy-eigenvalue statistic for diversification management), Fully Flexible Probabilities (technique for on-the-fly stress-test and estimation without re-pricing), and Copula-Marginal Algorithm (algorithm to generate panic copulas). Attilio is the founder of SYMMYS, under whose umbrella he designed and teaches the six-day ARPM Bootcamp, and manages the charity One More Reason. Attilio Meucci serves as the chief risk officer at Kepos Capital LP.
Attilio is the author of Risk and Asset Allocation - Springer and numerous other publications in practitioner and academic journals. He holds a BA summa cum laude in Physics from the University of Milan, an MA in Economics from Bocconi University, a PhD in Mathematics from the University of Milan and is a CFA chartholder.
 All of Attilio's fees will be distributed to a charity fund, initiated and supported by "SYMMYS". Please check here for more details and how you can help.
Course Details
The course will dwelve in different methods of portfolio construction, diversification management and present the most important procedures in stress testing for estimating general risks and in particular liquidity risk. Also, "The Prayer", a ten-step checklist of advanced risk and portfolio management will be discussed, together with Linear Factor Models.
For the full programme, please check our website.
The course will take place on the 28th March 2012, exactly after the end of the MathFinance Conference. Therefore, for all of the conference participants that would also like to register for the course we offer a great discount of of 15% for the conference and 26% for the QTPM course! |
News | Quantitative Finance 
The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality.
View the latest issue here. |
Upcoming Events | | Conferences at the University of Technology Sydney Bachelier
Finance Society - 7th World Congress & QMF 2012 Conference - Abstract Submission Extension
The congress will take place between the 19th and 22th of June 2012 at the Hilton
Hotel in Sydney. This is the premier event in the international quantitative and mathematical financial calendar, attracting hundreds of participants every two years.
The Quantitative Methods in Finance - 2012 Conference will be organised jointly with BFS 7 th World Congress as one event at the Hilton Hotel Cairns, 26th - 30th June.
 The paper submission is open until 15th January 2012!
Plenary Speakers
Jerome Detemple, Hans Föllmer, Jean Jacod, David Lando, Fabio Mercurio, Shige Peng,
Ronnie Sircar, Xun Yu Zhou
Preconference Practitioner Workshops
- Quantitative Aspects of Counterparty Risk (Bielecki, Cesari, Crépey)
- Quantitative Risk Management (McNeil).
- Long Dated Insurance and Pension Contracts (Biagini, Embrechts, Filipovic, Jaschke,
Norberg, Platen, Stahl)
View detailed
info |
Event Page
| Events WBS 2012
Event Name
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Event Outline
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Interest Rates after the Credit Crunch: Markets and Models Evolution
Paris: 27 - 28 February 2012
Event Page
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Day 1
The interest rate market across the credit crunch Classical Interest Rate Market
Practices & Models Modern Interest Rate Market Practices & Models "Ingenuous" pricing
approach: FRAs, Swaps, Caps/Floors, Swaptions Multi-curve bootstrapping Switching
to CSA discounting in practice Funding issues: trades with or without CSA, CSA chaos,
the new ISDA standard CSA The CVA/DVA/FVA puzzle Accounting issues and the forthcoming
IFRS13
Day 2
A Structural Explanation of the Post-crisis Market and the Basis Spreads Cost of
Funding: disentangling CVA, DVA and LVA (Credit, Debt and Liquidity Value Adjustments).
Updating the Interest Rate Models to the Multicurve Market Extending the BGM Libor
Market Model and SABR. The M-BGM Model for Swap and OIS rates and the extension
to Basis Spreads Hedging and Risk Management Moving a financial institution towards
multi-curve pricing and OIS discounting.
Presented by Marco Bianchetti and Massimo Morini
Register to both days of the workshop and receive a €200 discount plus extra Early Bird discounts: 15% before 13th January and 10% before 3rd February.
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The CVA Conference
London: 21 - 23 March 2012
Event Page
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Pre-Conference Workshop Day
Main Conference Day 1
Main Conference Day 2
Register before 20th January to all 3 days for a Maximum £680 discount!
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The Interest Rate Conference
London: 28 - 30 March 2012
Event Page
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Pre-Conference Workshop Day
Main Conference Day 1
Main Conference Day 2
Register before 20th January to all 3 days for a Maximum £680 discount!
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Interest Rate Modelling Classroom Sessions
London: 14 - 16 May 2012
Event Page
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Day 1: "Latest Innovations: Interest Rate Modelling" by Patrick Hagan Day
Day 2: "Interest Rates after the Credit Crunch: Markets and Models Evolution" by Marco Bianchetti
Day 3: "Using Interest Rates - From Mathematics to Numerics" by Jörg Kienitz
Register to any two days of the workshop and receive a £200 discount or register to all three workshop days and receive a £300 discount!
Plus extra Early Bird discounts: 15% before Monday 5th March and 10% before Monday 2nd April!
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| New Courses from LondonFS
Course Name
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Course Outline
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Strategic ALM, Treasury and Capital
New York: 25 - 27 January 2012
Course Page
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A three-day advanced programme covering best practices in Asset-Liability Management
(ALM), as well as ALM’s relationships to capital and performance for financial institutions.
ALM will be shown to have evolved beyond basic management of incremental asset and
liability positions to a more comprehensive process that reflects the management
of an institution’s economic capital.
Presented By: William Allen
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Risk Management and Modelling
London: 26 - 27 January 2012
Course Page
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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: Dr Jon Gregory
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Counterparty Risk, Credit Exposure and CVA
New York: 22 - 24 February 2012
Course Page
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This course explains and describes counterparty risk and the quantification and
management of CVA. 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. Attention is also given to the impact of recent regulatory
changes under Basel III on the management of counterparty risk and CVA - in particular
CVA VAR and Central Counterparties. Participants will be able to take away all worked
examples and additional exercises and models implemented using Excel functions and
macros.
Presented By: Dr Jon Gregory
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FX Exotic Options
New York: 05 - 07 March 2012
Course Page
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Foreign Exchange exotics have become 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.
All delegates receive a copy of Uwe's book, FX Options
& Structured Products
Presented By: Professor Dr Uwe Wystup
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 All the programs above are eligible for 24 Continuing Education
credit hours from the CFA Institute. If you are a CFA Institute member, CE credit
for your participation in this program will be automatically recorded in your CE
Diary.
| Science in Finance Workshop
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Die Finanzwelt verwendet Methoden aus Mathematik und Physik, um Risiken zu modellieren. Statistische Verfahren erlauben den Vergleich von Modell und Realität. Aber die Zeiten ändern sich. Sind die besten Modelle der Ver- gangenheit auch die richtigen Modelle für heute oder die Zukunft? Kreativität, analytisches Vorgehen und neue Denkansätze sind gefragt, um die Herausforderungen zu meistern. In der Wissenschaft haben Sie gezeigt, dass dies Ihre Stärken sind. Wenden Sie Ihre Erfahrungen in einem neuen Umfeld an! d-fine bietet Ihnen die Möglichkeiten dazu. Eine spannende, neue Welt erwartet Sie.
d-fine lädt Sie ein, zu einem 2-tägigen Workshop mit Vorträgen zur Finanzmathematik, Fallbeispielen und Er- fahrungsberichten aus unserer Consulting-Praxis. Am 29. und 30. März 2012 im Schlosshotel Kronberg im Taunus . Lernen Sie dazu, tauschen Sie sich aus und lernen Sie uns kennen.
Bewerben Sie sich bis zum 15. Februar 2012. Die Teilnehmerzahl ist auf die Besten begrenzt. Wenn Sie also gerade dabei sind, Ihre akademische Karriere mit einem exzellenten Abschluss (MSc, Diplom oder Promotion) zu krönen und bereit sind, einen Schritt über die Grenzen zwischen Naturwissenschaft und Unternehmenspraxis zu gehen, dann sind wir gespannt auf Sie.
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Willkommen bei d-fine!
Sie haben in der Wissenschaft viel bewegt? Dann können Sie auch in der Wirtschaft viel bewegen! Davon sind wir bei d-fine fest überzeugt!
d-fine GmbH
Opernplatz 2
60313 Frankfurt am Main
Telefon +49-69-90737-555
![careers@d-fine.de]()
homepage: http://www.d-fine.de | | The ICBI Conference
Conference |
Details |
Global Derivatives & Risk Management 2012
Hotel Arts, Barcelona: 16 - 20 April 2012
Event URL |
Global Derivatives brings together leading quants, traders, risk managers and academics from all over the world to discuss the key challenges affecting the derivatives market. Attending will enable you to:
- Hear technical details of the latest research being done by leading financial minds
- Learn cutting edge volatility, correlation, interest rate, FX, equities & credit modelling techniques
- Discover practical solutions to the challenges you face & learn how to implement them when you get back in the office
- Meet and learn from hundreds of senior derivatives professionals
10% Discount for readers – VIP Code: FKN2329MFW
Further information:
Telephone no.: +44 (0) 20 7017 7200
Fax. +44 (0) 20 7017 7807
Email address: info@icbi.co.uk | |
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