Second Princeton Credit Conference

Dear Colleague:

Please could you bring to the attention of graduate students and young researchers in your department who might be interested, the following conference on Credit Risk. Full details and application for Financial Support can be found at the website

http://orfe.princeton.edu/creditrisk/

Sincerely,
Rene Carmona, Jean-Pierre Fouque, Ronnie Sircar, Thaleia Zariphopoulou

The Mathematics of Defaultable Securities

As part of a research initiative funded by the National Science Foundation (NSF), the Second Princeton Credit Conference will be held at Princeton University, May 23-24, 2008.

Invited Speakers

D. Brigo (Fitch-QFR), C. Finger (Risk Metrics), R. Frey (Leipzig University), K. Giesecke (Stanford University), J. Hull (Toronto University), T. Hurd (McMaster University), R. Jarrow (Cornell University), M. Jeanblanc (Evry University), Y. Jiao (Ecole Polytechnique Paris), J.P. Laurent (University of Lyon), J. Naud (JP Morgan Chase), P. Schoenbucher (ETH Zurich).

There will be a reception and dinner on Friday evening. The guest speaker will be Dario Villani, Managing Director in the Global Strategic Risk Group at Merrill Lynch.

Organizing Committee

Rene Carmona (Princeton University), Jean Pierre Fouque (University of California Santa Barbara), Ronnie Sircar (Princeton University), Thaleia Zariphopoulou (The University of Texas at Austin).

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)
Agnes SULEM (INRIA)
Thaleia ZARIPHOPOULOU (The University of Texas at Austin)

Website: main site and program.

Global Derivatives & Risk Management 2008

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

www.icbi-derivatives.com

19-23 May 2008, Paris, France

SAVE UP TO £1,100 - REGISTER BY 15 FEBRUARY

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, Chief Risk Officer, AQR CAPITAL MANAGEMENT
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, CEO, CQS (UK) LLP
David Modest, Managing Director, JP MORGAN CHASE

* TALKING VOLATILITY: Volatility Trading In Today's Dynamic Marketplace: Examining New Products And New Horizons
Eric Rosenfeld, Founding Principal, QUANTITATIVE ALTERNATIVES, LLC
Pav Sethi, Global Head of Volatility Trading & Arbitrage, CITADEL INVESTMENT GROUP
Marco Avellaneda, Partner, FINANCE CONCEPTS
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

Bachelier Finance Society - 5th World Congress, London, 15-19 July 2008

ANNOUNCEMENT:

Bachelier Finance Society
5th World Congress, London, 15-19 July 2008
www.bfs2008.com

The Fifth World Congress of the Bachelier Finance Society will take place in London, 15-19 July 2008 at the Royal Geographical Society and nearby Imperial College.

Special Guest Lecture: S.R.S. Varadhan, Courant Institute

Presidential Lecture: Steven Shreve, Carnegie Mellon

Plenary Lectures:
Tomas Bjork, Stockholm School of Economics
Jaksa Cvitanic, California Institute of Technology
Philip Dybvig, Washington University
Marco Frittelli, University of Milan
Jim Gatheral, Merrill Lynch, New York
Lars Peter Hansen, University of Chicago
Dmitry Kramkov, Carnegie Mellon University
Alex Lipton, Merrill Lynch, London
Philip Protter, Cornell University
Nizar Touzi, Ecole Polytechnique, Paris

The conference will begin on the afternoon of Tuesday 15 July with registration and a pair of plenary talks held at the Royal Geographical Society, followed by a Reception. On the following days, plenary talks will be held at the Royal Geographical Society and contributed talks in parallel sessions at Imperial College. The conference will conclude with a Banquet on the evening of Saturday 19 July.

Contributed papers

Authors are invited to submit papers for presentation at the Congress. Papers will be submitted via a web-based system at the conference website, which will be activated in mid November. Submissions will be in the form of complete papers or extended abstracts. All submissions will be reviewed. Each contributed paper session at the Congress will consist of three half-hour presentations. Some of these sessions will be organised as mini-symposia focussed on special topics. It is also intended that there will be poster sessions.

Key dates

Opening date for submission of papers: Sunday 25 November 2007
Closing date for submission of papers: Friday 25 January 2008
Notification of accepted papers by: Friday 7 March 2008
Opening sessions of the Congress, and Reception: Tuesday 15 July 2008
Closing sessions of the Congress, and Banquet: Saturday 19 July 2008

Information concerning registration, fees, accommodation will be made available on the conference website.

Conference website: www.bfs2008.com
Bachelier Finance Society website: www.bachelierfinance.com .

Scientific Committee:

Damir Filipovic, Institute of Finance, Vienna
Paul Glasserman, Columbia University
Tom Hurd, McMaster University, Ontario
Masaaki Kijima, Tokyo Metropolitan University
Ragnar Norberg, London School of Economics
Chris Rogers, Cambridge University
Martin Schweizer, ETH Zurich
Ronnie Sircar, Princeton University

Congress Organizers:

Mark Davis, Imperial College London
Lane Hughston, King's College London

The International Association of Financial Engineers presents

An IAFE Members Event featuring Luminaries

Robert C. Merton and Myron S. Scholes

Robert C. Merton is the John and Natty McArthur University Professor, Harvard Business School & IAFE Senior Fellow

Myron S. Scholes is Chairman, Platinum Grove Asset Management L.P. & IAFE Senior Fellow

Perspectives on the Current Financial Crises – Will This Keep Happening?

Welcome Remarks and Question and Answer Session by

Tanya Styblo Beder, Chairman, SBCC & IAFE Board Member

Monday October 29^th, 2007

5:00 Registration, 5:30 Event, 6:45 Reception

Sponsored by

International Securities Exchange

McGraw Hill Auditorium
1221 6^th Avenue (Entrance on 49^th Street)

This event is free for IAFE Members and $100 for non-members.

If you are receiving this email, you are not an IAFE Member. Please click here to register or become an IAFE member today and attend for free.

Space is limited and is on a first come first serve basis – with priority going to IAFE Members.

Click here to become an IAFE Member

Humboldt - Princeton Conference Semiparametrics Meets Mathematical Finance 27.10.2007 - 28.10.2007

http://www.case.hu-berlin.de/events/events/HU-Princeton2007

Lecturer	Institution	Talk
Rene Carmona	Princeton	Equilibrium and Optimal Design for the Cap and Trade Emission Markets
Ronnie Sircar	Princeton	Homogeneous Groups and Multiscale Intensity Models for Multiname Credit Derivatives
Patrick Cheridito	Princeton	Equilibrium Pricing in Incomplete Markets
Jianqing Fan	Princeton	Derivative Pricing
Yacine Aït-Sahalia	Princeton	Financial Econometrics
Birgit Rudloff	Princeton	Convex Hedging in Incomplete Markets
Wolfgang Härdle	Humboldt	DSFM for Dynamic Volatility Hedges
Nikolaus Hautsch	Humboldt	The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility
Denis Belomestny	WIAS	Methods of MC Pricing of Callable Derivatives
Rouslan Moro	Humboldt	EPK and Heterogeneous Investors
Peter Imkeller	Humboldt	Cross Hedging and Insurance Derivatives
Ulrich Horst	Humboldt	Adverse Selection and Risk Transfer in Principal Agent Games
Peter Bank	TU Berlin	A Large Investor Trading at Market Indifferent Prices

Princeton Lectures in Finance

The Bendheim Center for Finance is pleased to announce a new and exciting lecture series, The Princeton Lectures in Finance. Each year, the Bendheim Center will invite a leading figure in the field of finance to Princeton to deliver a set of lectures on a topic of major significance to researchers and professionals. The published lectures will appear as a Princeton University Press book. The lectures are open to the public and held in the BCF classroom.

October
17-18-19* Darrell Duffie, Stanford
Princeton Lectures in Finance

14th Annual Workshop on Derivative Securities and Risk Management: Friday, November 9th 2007

Center for Applied Probability

14th Annual Workshop on
Derivative Securities and Risk Management
Friday, November 9th 2007
Fourth Floor, Davis Auditorium, Shapiro Center
Columbia University
View Poster (pdf)

CCCP Mathematical Finance Workshop: November 30th-December 1st, 2007 at Princeton University

November 30th-December 1st, 2007 at Princeton University

The CCCP Mathematical Finance Workshop intends to bring together researchers in mathematical finance for the exchange of ideas and the discussion of emerging problems in the field. Attendance is free, but we ask that participants fill in the online registration form until September 30th so that we can prepare accordingly. PhD students and post-docs can apply for financial support via the financial support button.

Invited Speakers

• Peter Carr, (New York University and Bloomberg)
• Rama Cont, (Columbia University)
• Paul Glasserman, (Columbia University)
• Paolo Guasoni, (Boston University)
• Steve Kou, (Columbia University)
• Kasper Larsen, (Carnegie Mellon University)
• Dilip Madan, (University of Maryland)
• Alexander Schied, (Cornell University)
• Steven E. Shreve, (Carnegie Mellon University)
• Thaleia Zariphopoulou, (University of Texas)
• Gordan Zitkovic, (University of Texas)

Quantitative Methods in Finance 2007, 12 -15 Dec, Sydney, Australia

Quantitative Methods in Finance 2007, 12 -15 Dec, Sydney, Australia

Date: December 12 -15, 2007
Location: Manly Pacific Hotel, Sydney, Australia

QMF is a successful conference series that attracts internationally renowned academics and industry representatives, who are experts in the fields of Quantitative Finance, Financial Engineering and Financial Mathematics. Website of the conference: http://www.qfrc.uts.edu.au/qmf

Focus

The focus for this year's conference is Credit Risk, Simulation Methods, Portfolio Optimisation and other areas of Quantitative Finance.

Plenary Speakers

This year's plenary speakers include Yacine Aït-Sahalia, Alan Brace, Nicole El Karoui, Robert Elliott, Robert Fernholz, Chris Heyde, Farshid Jamshidian, Mark Joshi, Jan Kallsen, Masaaki Kijima, Alex Novikov, Goran Peskir, Wolfgang Schmidt, Michael Sørensen, Marc Yor, Thaleia Zariphopolou, Xun-Yu Zhou

World Congress on Computational Finance - March 26, 2007 - London

World Congress on Computational Finance

The First Decade - March 26, 2007 - London

Intensive one-day event in London, March 26, 2007 will feature over thirty top speakers on the hotest issues in Computational Finance. For registration and the event program, please go to http://www.msri.org/specials/compfinance/index_html.

Delegates will have the opportunity to hear and participate in detailed discussions with top industry and academic experts in the following areas

1. Advanced numerical techniques for PDE-based pricing in equities, fixed income and hybrid products
2. Latest developments in Fast Fourier Transform approaches for derivatives pricing
3. Advances in copula methods in finance
4. Latest breakthroughs in randomized algorithms
5. Practical and efficient calibration and optimization algorithms

The Computational Finance World Congress is timed to mark the first decade of Computational Finance as a discipline in its own right. Since the first event in this subject took place at Stanford University in 1996, Computational Finance has solidified its paradigm as a new field of professional activity and research.

Vienna University of Technology - Financial and Actuarial Mathematics Conference 2007

Workshop and Mid-Term Conference on
Advanced Mathematical Methods for Finance,
Vienna, September, 17th-22nd, 2007

CCCP Finance meeting April 28-29, 2006

CCCP Finance meeting is to be held on April 28-29, see

http://manhattan.orie.cornell.edu/Events/Seminar/060428.htm?

Bachelier Finance Society 4th World Congress

BFS2006 4th World Congress Organizer will extend the deadline
for the application submission from January 16 to January 30, 2006.

Please check the web site for submission details:
http://bachelier.ics.hit-u.ac.jp/submission.html