Monday, January 21, 2008

Second SIAM Conference on Financial Mathematics and Engineering

Friday and Saturday November 21-22, 2008

The conference is organized by the Financial Mathematics and Engineering (FME) SIAM Activity Group (SIAG). It will be held on the Campus of Rutgers, The State University of New Jersey, at the Heldrich Hotel, New Brunswick.

First SIAM Conference in Financial Mathematics and Engineering, Boston, July 9-12, 2006

Scientific Committee

Rene CARMONA (Princeton University) - Committee Chair
Alexander EYDELAND (Morgan Stanley)
Paul FEEHAN (Rutgers University) - Committee Co-Chair & Local Organizer
Jean-Pierre FOUQUE (University of California Santa Barbara)
Paul GLASSERMAN (Columbia University)
Thaleia ZARIPHOPOULOU (The University of Texas at Austin)

Website: main site and program.

Sunday, January 20, 2008

Global Derivatives & Risk Management 2008

Cutting-Edge Innovations In Derivatives
Modelling, Pricing, Hedging, Trading & Risk Management

19-23 May 2008, Paris, France


Dear Paul

I’m pleased to announce that the draft programme is now available on the website. As the World’s largest derivatives conference, Global Derivatives & Risk Management 2008 is the only event to focus on all types of major derivatives – equity, credit, interest rates, fx, volatility, inflation, commodities and hybrids – and the annual meeting point for the derivatives & risk management industry.

After the incredibly successful 2007 event, with over 500 attendees, in 2008 we have expanded the programme and included even more NEW formats and features to bring you even more expert trading and quantitative analysis speakers and the latest research.

Just some of the hot plenary panel topics include:

* MODELLING THE PERFECT FINANCIAL STORM: Assessing How Well Trading Models Fared In The Recent Crisis And How Can They Be Improved To More Accurately Predict Future Market Shocks
Sudhir Chhikara, Director of Quantitative Investments, STARK INVESTMENTS
Aaron Brown,
Andrew Sterge
, President, AJ Sterge Division, MAGNETAR CAPITAL

* THE GLOBAL DERIVATIVES 2008 LEADING FINANCIAL MINDS TASK: Examining The Drivers Of Market Volatility And Understanding How More Effective Quantitative Risk Management Can Ensure Greater Financial Stability
Robert Shiller,
Stanley B. Resor Professor of Economics, YALE UNIVERSITY
Michael Hintze
David Modest
, Managing Director, JP MORGAN CHASE

* TALKING VOLATILITY: Volatility Trading In Today's Dynamic Marketplace: Examining New Products And New Horizons
Eric Rosenfeld,
Pav Sethi,
Global Head of Volatility Trading & Arbitrage,
Marco Avellaneda,
Gilles Dahan,
Head of Equity Derivatives Trading EMEA, CITIGROUP

Just some of the brand new features include:

  • More Technical Modelling Sessions - Hear over 100 leading practitioners & academics share their risk management, modelling and trading experiences.
  • More Bigger Picture Sessions – The Quantitative Finance Strategy Labs will focus on the bigger picture of quantitative finance modelling and trading from the premier names in the industry. Emanuel Derman, Jim Gatheral, Piotr Karasinski, Riccardo Rebonato; Nasir Afaf at Commerzbank and Vivek Kapoor at Citigroup have confirmed their participation for these interesting sessions.
  • More Extended Sessions – In order to increase your intellectual take-away we have included more extended and double sessions, allowing an unprecedented opportunity to maximise your learning.
  • More Networking Time – We realised it’s not just all about equations and in recognition of this have added in more breaks and more opportunities to network with your industry peers including a new wine challenge cocktail party.
  • More New Research – Another brand new feature for 2008, we are very excited about the Global Derivatives & Risk Management Research Showcase. This will allow some of the ‘rising stars’ of the industry to present their new research work over lunch on 21 and 22 May.
  • More Breakfast Briefings – Time for even more new research over breakfast with Dilip Madan at University of Maryland on 22 May. Places are limited and allocated on a first come first served basis, so book your conference place now to avoid disappointment.
  • More Trading Focus – A whole day on volatility trading on 19 May covering practical trading strategies and insights.

Plus, Don’t Miss These Intensive MasterClass Sessions:

  1. Commodities As A Multi-Asset Class – 19 May 2008
    Led by Helyette Geman, Birkbeck, University Of London & UBS Bloomberg Commodity Index
  2. Modelling, Pricing & Managing Interest Rates Derivatives - 19 May 2008
    Led by Patrick Hagan, JP Morgan
  3. Advanced Credit Derivatives Pricing – 23 May 2008
    Led by Jon Gregory, Barclays Capital & Paul Glasserman, Columbia Graduate School of Business
  4. Volatility & Correlation Modelling & Trading In Practice –23 May 2008
    Led by Bruno Dupire, Bloomberg

And if you register by 15 February, we will give you a special earlybird discount, where you can save up to £1,100. Don’t delay, book now on the website and ensure your place at the World’s largest derivatives conference!

Best Regards

Sarah Startup, Conference Director, ICBI