by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Wed, 26 Apr 2006 08:58:46 +0200 (CEST)
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Tue, 25 Apr 2006 10:00:09 -0400
From: Matheus Grasselli <grasselli(a)math.mcmaster.ca>
Subject: POSTDOCTORAL FELLOWSHIP IN FINANCIAL MATHEMATICS
POSTDOCTORAL FELLOWSHIP IN FINANCIAL MATHEMATICS
Applications are invited for a postdoctoral fellowship position in
financial mathematics in the Department of Mathematics & Statistics.
This fellowship provides an opportunity to spend up to two years engaged
in research, with a limited amount of teaching, and is particularly
suitable for a talented young mathematician who has recently completed
the Ph.D. degree.
McMaster University is located 65 km from downtown Toronto, the
financial heartland of Canada. The Department of Mathematics and
Statistics is home to PhiMAC, the Financial Mathematics Lab at McMaster,
a group of faculty, postdoctoral fellows and graduate students working
in financial mathematics (please see http://www.math.mcmaster.ca/phimac/)
for more information. The appointee will be expected to participate in
PhiMAC seminars and meetings.
The Fellowship is open to candidates of any nationality and selection will be
based upon the candidate's research potential. McMaster is
committed to Employment Equity and encourages applications from all
qualified candidates, including aboriginal peoples, persons with
disabilities, members of visible minorities and women.
Starting July 1, 2006 or thereafter, the stipend will be CAD 40,000 per
annum plus a CAD 2,000 grant per annum for research expenses.
Applications will be accepted until the position is filled. Applications and
three letters of reference should be sent immediately to:
Dr. Matheus Grasselli and Dr. Tom Hurd
Mathematics & Statistics
McMaster University
Hamilton, Ontario
Canada, L8S 4K1
We are delighted to announce that Professor Nicos Christofides, Centre for Quantitative Finance, Imperial College, will be speaking on Portfolio Trading for Hedge Funds at our forthcoming conference "New Directions in Financial Modelling", London, 23-24 May 2006. The presentation covers optimization for calibration of pricing (also risk management) models to market data, a "hot topic" of great interest in the City at the moment.
Following are the details of Professor Christofides' presentation:-
Portfolio Trading for Hedge Funds
Nicos Christofides, Centre for Quantitative Finance, Imperial College
· The choice of asset and macroeconomic time-series to include in a dynamic trading model.
· Determination of driving factors using non-linear Independent Components
· Dynamic stochastic modelling with Neural Networks.
· Training by global optimization using the Bionomic Algorithm
· Construction of an arbitrage-free state transition graph for the tradable assets
· Solving an optimal portfolio trading problem using state-space relaxation within Dynamic Programming
· Examples of real-life results obtained from applications to hedge funds.
On 25 May Professor Christofides will also give a demonstration of the system - this computer demo will be of a real hedge fund and not an example.
For full programme details, including how to book, please go to www.carisma.brunel.ac.uk/finance2006 <http://www.carisma.brunel.ac.uk/finance2006> , www.unicom.co.uk/finance <http://www.unicom.co.uk/finance> or write to info(a)unicom.co.uk <mailto:info@unicom.co.uk> for PDF brochure.
We look forward to welcoming you to the event; please also make your colleagues aware of it.
CARISMA, www.carisma.brunel.ac.uk
Centre for the Analysis of Risk and Optimisation Modelling Application;
School of Computing, Information Systems and Mathematics
Brunel University
Middlesex
Uxbridge, UB8 3PH
United Kingdom
Timetable
Tuesdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
Tu, 25.04.2006 Karel Janecek (RSJ Invest, Prague)
Optimal investments with proportional profit-share fee:
Analysis of the high-water-mark fee structure
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesday, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
Tu, 04.04.2006, Stefan Gerhold
"The current state of the OeBFA module
of the CD laboratory"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/