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| 'Stiff' Field Theory of Interest Rates and Psychological Future Time: Wilmott Magazine Article |
| Belal E. Baaquie & Jean-Philippe Bouchaud |
33 Views |
| The simplest field theory description of the multivariate statistics of forward rate variations over time and maturities, involves a quadratic action containing a gradient squared rigidity term. However, this choice leads to a spurious kink (infinite curvature) of the normalized correlation function for coinciding maturities. Motivated by empirical results, we consider an extended action that contains a squared Laplacian term, which describes the bending stiffness of the FRC. With the extra ingredient of a 'psychological' future time, describing how the perceived time between events depends on the time in the future, our theory accounts extremely well for the phenomenology of interest rate dynamics. |
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| Economic Capital for Banks - Technical Advances and Strategic Best Practice 12 March - London - wilmott discount |
Exclusive 20% discount available to Wilmott readers
Introducing Infoline’s 2nd Annual:
ECONOMIC CAPITAL FOR BANKS & BUILDING SOCIETIES
‘Technical Advances and Strategic Best Practice’
Link: http://www.infoline.org.uk/ecapWMT
Date: 12th March 2008
Location: Central London, UK
Discount: 20% discount to Wilmott readers (Please quote VIP No: KM6074WMT1 – 20% Discount)
As you know, organisations employing an economic capital model are likely to benefit from reduced regulatory capital obligations. Plus, linking these models to business decision making provides a valuable tool for maximising shareholder value.
For many firms, the business case for adopting an economic capital model is clear. However, developing and effectively embedding a framework to achieve these objectives in practice presents significant strategic and technical challenges.
Learn from the Experience of Leading firms
Would you benefit from practical insights and guidance delivered by organisations that have identified solutions to just these challenges? If the answer is yes, this event will be of considerable interest. Take a moment to review the list of speakers below and you will appreciate the quality of the information on offer:
- Phil Rogers, UK & European Basel Project Manager, HSBC
- James Belmont, Head of Risk Analytics, Barclays
- David Telford, Vice President, Risk Management & Measurement, Credit Suisse
- Stefan Loesch, Vice President, EMEA Credit & Rates Markets, JP Morgan
- Colin Burke, Head of Credit Risk Modelling, HBOS Treasury Services
- Hartwig Liersch, Manager Group Risk Analytics, ING Group
- Andrew Smith, Managing Director, GlobeRisk
- Patricia Jackson, Partner, Ernst & Young
- Richard Barfield, Director, PricewaterhouseCoopers
Industry Case Studies and Technical Advances
In-depth research with capital and risk management specialists from across the banking sector has resulted in a highly focused and pertinent agenda. Over the course of just one day you will gain access to recent advances and best practice techniques for:
- Managing the Regulatory and Economic Capital Relationship
- Feeding economic capital into Incentive Structures
- Meeting Regulatory Expectations for economic capital management
- Measuring and managing Inter-Risk Diversification benefits
- Using models to inform Pricing Decisions for Risk
- Maximising value through Risk-Adjusted Performance Management
- Setting Risk Appetite and influencing the strategic planning process
- Designing and Embedding a value-adding economic capital framework
- Enhancing the role of economic capital and Stress Testing in Pillar 2
Unique Post Conference Workshop
Make sure your economic capital model delivers maximum value to the business by also attending the integral, but separately bookable post conference workshop, entitled: Maximising the Business Value of ECONOMIC CAPITAL FRAMEWORKS on 13 March 2008 in Central London
Whether you are currently engaged in structuring, embedding or optimising your approach to economic capital, this event represents a unique opportunity to benefit from the experience of your industry peers and leading economic capital specialists.
SAVINGS – Register by 8th February 2008 and SAVE up to £600! SUBSTANTIAL SAVINGS are available to organisations registering more than one delegate.
To view full event details and reserve your place, just click on the following link: http://www.infoline.org.uk/ecapWMT. Please quote VIP No: KM6074WMT1 – 20% discount when you register to receive further 20% discount available to Wilmott readers.
Download latest brochure at: http://www.infoline.org.uk/ecapWMT/download_brochure.cfm
Alternatively, call +44 (0) 20 7017 7702 or email infoline-bookings@informa.com quoting the VIP No: KM6074WMT1 – 20% discount when you register to receive further 20% discount available to Wilmott members
To view all of Infoline's products and services, please visit www.infoline.org.uk
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| 1st Class PhD Quants - C++ Derivatives Modelling - Major Investment Bank - London - ORG2298 |
1st Class PhD Quants - C++ Derivatives Modelling - Major Investment Bank - London
£45,000 - £57,000 basic + excellent bonus
Rare opportunity for outstanding PhD candidates to join one of the largest and most successful model validation group in London.
If you possess, or are nearing completion, a quantitative PhD from a leading university (Oxford, Cambridge, Imperial etc) and are seeking a career in investment banking then read on.
My client is the major player in quantitative model validation in London, and I am currently recruiting exclusively for a junior addition to team. It is essential that all applicants have an exceptional academic record in addition to strong programming skills (C++ a major advantage) and an excellent grasp of financial products.
This is an exceedingly rare opportunity to join a major investment bank in a quantitative capacity, in an environment that will enable you to learn and develop and put into practice theoretical mathematical understanding gained from PhD and further educational study.
Due to the magnitude of this opportunity only the very best candidates may be put forward for this position.
To register your interest please call Damien on 020 7337 2323. To be considered for this excellent modelling position please send you CV to risk@orgtel.com
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Science in Finance IX: In defence of Black, Scholes and Merton
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Volatility in the Eiffel Tower, Cross Asset Trading, 19th May
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Programming Teasers in C++ and Matlab
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