by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Thu, 16 Nov 2006 15:15:02 -00
From: Heinz Geyer <hgeyer(a)ta-consult.com>
Subject: Quant Position - Model Validator in Risk Management
Maybe you can help me to find candidates for the positions listed below. The
vacancy may not be of interest to you personally, but as you are working in a
quantitative function you may be aware of someone who is looking for a new
challenge. In any case I wish to thank you for your attention.
Our client, a major international investment bank, is looking to hire for its
London office a
MODEL VALIDATOR, QUANTITATIVE RISK MANAGEMENT
The Role:
The role is one of a model validator in the Quantitative Risk Management Group,
which consists of seven people across New York and London. The position is
located in London. The successful candidate will have a highly quantitative
background, educated to at least Masters level or with a PhD in Mathematics or
another quantitative discipline, combined with extensive programming experience,
including C/C++ and ideally Visual Basic. Experience of statistics and
stochastic calculus is also preferable.
Daily tasks include:
Completing reviews of models, both produced in-house by the Front Office
Quantitative Analytics function, and those in external vendor systems. This
necessitates a full understanding and critique of the underlying mathematics,
combined with independent implementation and discussion of limitations and
weaknesses of models.
Extensive interaction with traders and front office quants. Individuals in the
group need to be able to develop a deep understanding of models in a very short
time frame, as often we will be brought into discussions about highly complex
models after significant effort has been expended by the Front Office on their
development.
Assisting risk managers and Finance with quantitative issues.
Assisting in the maintenance of risk inventories by model and prioritization of
models for review.
In certain cases, development of bespoke models to further assess those produced
by the Front Office.
Qualifications
Essential
Excellent quantitative and statistical skills.
Strong programming skills, including expertise in numerical analysis
Strong communication skills, both written and verbal. Ability to converse with
both traders and quants
Must Have Qualifications
At least Masters, or PhD in Mathematics or related quantitative scientific
discipline
C/C++ and preferably Visual Basic skills
Excellent Excel skills
Salary depending on experience plus performance-based bonus and usual banking
benefits.
Thank you in for considering this message.
Kind regards
Heinz Geyer
Temple Associatesl Executive Search
Tel: 0044 (0) 20-8343 7785
http://www.ta-consult.com/Geyer.htmhttp://www.ta-consult.com
Sehr geehrte Damen und Herren,
im Rahmen der Vortragsreihe "Finanz- und Versicherungsmathematik" dürfen
wir Sie zu folgenden Vorträgen einladen:
Dienstag, 14. November 2006, 16:30,
Technische Universität Wien, 1040 Wien, Wiedner Hauptstrasse 8,
Freihaus, Hörsaal FH 2:
Prof. Dr. Ole E. Barndorff-Nielsen
University of Aarhus, Denmark
"Volatility and Power Variation"
(ab ca 17:30) Dr. Mark Podolskij
Ruhr-University of Bochum
"Estimation of Volatility Functionals in the Simultaneous
Presence of Microstructure Noise and Jumps"
http://www.fam.tuwien.ac.at/vr/20061114.php
Mit freundlichen Grüßen,
Mag. Dr. Klaus Wegenkittl
Präsident der Aktuarvereinigung Österreichs
Präsident des Österr. Förderungsvereins der Versicherungsmathematik
Dr. Siegfried Sellitsch
Präsident der Österreichische Gesellschaft für Versicherungsfachwissen
o.Univ.-Prof. Dr. Walter Schachermayer
Univ.-Prof. Dr. Uwe Schmock
Finanz- und Versicherungsmathematik (FAM), Technische Universität Wien
-----------------------------------------------------------------------
VR Finanz- und Versicherungsmathematik, http://www.fam.tuwien.ac.at/vr/
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Sun, 12 Nov 2006 14:56:45 -0000 (GMT)
From: Goran Peskir <goran(a)maths.manchester.ac.uk>
Subject: Two positions in Statistics/Applied Probability
Lecturer/Senior Lecturer in Statistics
Lecturer/Senior Lecturer in Statistics/Applied Probability
School of Mathematics, The University of Manchester
http://www.maths.manchester.ac.uk/
Closing date: 15/12/2006
Further particulars:
http://www.manchester.ac.uk/aboutus/jobs/academic/vacancy/index.htm?ref=783…
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Tue, 31 Oct 2006 08:44:17 -0800
From: Ulrich Haussmann <uhaus(a)math.ubc.ca>
Subject: post-doctoral position in mathematical finance/economics
The Mathematics Department at the University of British Columbia is
looking to fill a post-doctoral position in mathematical finance.
The group in mathematical finance consists of I. Ekeland, U. Horst and
R. Kuske in the Mathematics Department, and A. Lazrak in the Finance
Division. Details about the department can be found at
http://www.math.ubc.ca
The successful applicant will collaborate with a faculty member and
will teach one elementary course (3 hrs/week) for one or two semesters
per year. Interested applicants should submit a resume and arrange for
three letters of recommendation, to be sent either electronically or
by mail to uhaus(a)math.ubc.ca
Ulrich Haussmann
Department of Mathematics
University of British Columbia
121 - 1984 Mathematics Rd.
Vancouver, BC, V6T 1Z2
Ulrich Haussmann Tel: 604-822-3045
Department of Mathematics Fax: 604-822-6074
University of British Columbia email: uhaus(a)math.ubc.ca
121 - 1984 Mathematics Rd. URL:
Vancouver, BC, V6T 1Z2 http://www.math.ubc.ca/~uhaus
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Mon, 30 Oct 2006 11:13:35 +0100
From: Annette Weihs <annette.weihs(a)oeaw.ac.at>
Subject: [Ricam-all] RICAM Group Seminar - Financial Mathematics: Dr.
Stefan Kassberger - Nov. 23, 11:00
GROUP: Financial Mathematics
Dr. Stefan Kassberger
University of Ulm and Wharton School, University of Pennsylvania
Thursday, November 23, 11:00, HF136
Title: Efficient calibration of time-changed Lévy models to forward
implied volatility surfaces
Abstract: Time-changed Lévy models are capable of accurately
calibrating implied volatilities of plain vanilla options across
strikes and maturities at a fixed point in time. However, the quality
of a pricing model is not only determined by its static fitting
capabilities, but also by its dynamic properties, in particular if it
is to be applied to the pricing of exotic derivatives. In this paper,
we investigate the dynamic properties of a popular time-changed Lévy
model by first calibrating it to a set of S&P 500 index options and
then studying the forward implied volatilities it gives rise to.
Annette Weihs
Johann Radon Institute for Computational
and Applied Mathematics (RICAM)
Austrian Academy of Sciences
Altenbergerstr. 69
A-4040 Linz
Tel.: +43 (0)732 2468-5211
Fax: +43 (0)732 2468-5212
e-mail: annette.weihs(a)oeaw.ac.at
http://www.ricam.oeaw.ac.at
[attachments removed by admin]
please note the unusual day/time/room of this week's seminars!
Mo, 30.10.2006 Kasper Larsen (Carnegie Mellon University)
15:00, SEM 104
Stability of utility-maximization
Mo, 30.10.2006 Stefan Gerhold
16:15, SEM 104
Automatisches Beweisen von Identit?ten
Vortragsreihe: Wissenswertes der Mathematik
Seminar room 104:
Freihaus of TU Wien, green area, 5th floor.
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Wed, 25 Oct 2006 08:47:34 +0200
From: Helga <helga.prieler(a)actuariat.at>
Subject: OeFdV Seminar am 7.11.2006 -
"Risiken in der Personenversicherung und deren Beurteilung"
Seminareinladung
Dienstag, 07. November 2006
Thema : "Risiken in der Personenversicherung und deren Beurteilung"
Beginn 09:30 Uhr bis 17:00 Uhr
Ort : Hotel Modul, 1190 Wien, Peter Jordan Straße 78
Referate :
Dr. Klaus Wegenkittl - Präsident der AVÖ
Begrüßung und Einleitung
Dr. Richard Herrmann - Vorstand der Heubeck AG, Köln
"Value-at-Risk, Tail-Value-at-Risk und Schadenverteilung in der
Personenversicherung"
Dr. Winfried Heinen - Chefmathematiker der GenRe, Köln
"Mögliche Auswirkungen einer Pandemie auf die Leben-/Krankenversicherung"
Norbert Wackerle - Aktuar der PartnerRe Zurich Branch
Impaired Life Annuity - die Rente für Schwerkranke
Michael Winkler - Winterthur Versicherungen / Schweiz
Die Zukunft des Risikotransfers bei Lebensversicherungen
Dr. Klaus Wegenkittl - Präsident der AVÖ
Zusammenfassung und Abschluß
anschließend Diskussion
Weitere Informationen und das Anmeldeformular unter
http://www.avoe.at/veranstaltungen_avoe.html#Risiken
Aktuarvereinigung Österreichs (AVÖ)
Sekretariat AVÖ - Helga Prieler
Postfach 1
A-7002 Eisenstadt
Tel: +43 / 2682 / 72794
FAX: +43 / 2682 / 72794-0
EMail : sekretariat(a)avoe.at
Internet : www.avoe.at
by Walter Schachermayer by way of Andreas Schamanek
Who is interested? Let s discuss it over the brown bag. Walter
---------- Forwarded message ----------
Date: Mon, 16 Oct 2006 12:45:36 -0700 (PDT)
From: Ulrich Horst <horst(a)math.ubc.ca>
To: wschach(a)fam.tuwien.ac.at
Subject: Summer School Banff 07
Dear Walter.
I am writing this e-mail to draw your attention to our upcoming summer school
"The Mathematical Modeling of Climate and Energy Risk".
The focus of the summer school will be on a series of five lectures (by R.
Carmona, C. Gollier, R. Guesnerie, T. Wang and probably R. Wets) on risk
sharing, optimization under uncertainty, and environmental risk.
The summer school is accompanied by a research workshop. Both events will take
place at the Banff International Research Station from
April 29, 2007 to May 07, 2007 (Summer School)
and
May 09, 2007 to May 13, 2007 (workshop).
I would like to invite you to the workshop and encourage you to promote one or
two of your students or postdocs for the summer school. Michael Kupper is
already on our list.
Accommodation and meals will be provided by BIRS.
I am looking forward to your response.
With best wishes,
Ulrich
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 17.10.2006 Prof. Laszlo Gyorfi
(Budapest University of Technology and Economics)
"Empirical portfolio selection
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/