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Quant Position - Model Validator in Risk Management (fwd)
by Walter Schachermayer by way of Andreas Schamanek 16 Nov '06

16 Nov '06

---------- 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.htm http://www.ta-consult.com

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Vortragsreihe in Finanz- und Versicherungsmathematik
by Sandra Trenovatz 13 Nov '06

13 Nov '06

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/

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Two positions in Statistics/Applied Probability (fwd)
by Walter Schachermayer by way of Andreas Schamanek 13 Nov '06

13 Nov '06

---------- 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…

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reminder, this week's seminars
by Sandra Trenovatz 08 Nov '06

08 Nov '06

Freitag, 10. November 2006, 12:00, HS 17 Friedrich Hartmann G. Komaromi, C. Schoenherr, U. v. Aufschnaiter (Credit Suisse, London) "Investment Banking: What is it all about?" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/?showabstract=20061110 HS 17 Friedrich Hartmann: http://www.wegweiser.ac.at/tuwien/hoersaal/H17.html

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post-doctoral position in mathematical finance/economics (fwd)
by Walter Schachermayer by way of Andreas Schamanek 31 Oct '06

31 Oct '06

---------- 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

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[Ricam-all] RICAM Group Seminar - Financial Mathematics: Dr. Stefan Kassberger - Nov. 23, 11:00 (fwd)
by Walter Schachermayer by way of Andreas Schamanek 30 Oct '06

30 Oct '06

---------- 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]

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reminder, this today's seminars
by Sandra Trenovatz 30 Oct '06

30 Oct '06

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/

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OeFdV Seminar am 7.11.2006 - "Risiken in der Personenversicherung und deren Beurteilung" (fwd)
by Walter Schachermayer by way of Andreas Schamanek 25 Oct '06

25 Oct '06

---------- 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

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Summer School Banff 07 (fwd)
by Walter Schachermayer by way of Andreas Schamanek 17 Oct '06

17 Oct '06

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

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reminder, this week's seminars
by Sandra Trenovatz 16 Oct '06

16 Oct '06

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/

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