New Events
Thalesians (London)
2012 November 21: Isabel Ehrlich on “Basket Options with Smile”.
Abstract: Due to the distinct lack of models for basket options that remain consistent with the market smile we look at approximations that are able to accurately replicate the volatility smile. Notably we turn to the use of an Edgeworth series expansion to match the kurtosis and skewness of the underlying distribution and a GPU implementation of Monte Carlo simulation with a local volatility model.
Details on the Thalesian website.
PRMIA (London)
2012 November 22: Jan-Peter Onstwedder on “Commodities are Different”.
Imagine your boss tells you that a new commodities team is starting next week and asks you to set up risk management for the activity. They want you to use the existing tools like VaR and exposure monitoring, stay within existing policies, and keep it simple. Oh, and the credit risk managers would like to ensure the potential future credit exposure numbers for long dated commodity deals are reasonable.
Details on the PRMIA site.
Royal Statistical Society
2012 November 28: “Quantitative methods in hedge funds: statistical contributions and challenges”. Speakers are Carol Alexander, Gunnar Klinkhammer and Kostas Triantafyllopoulos.
Details on the RSS site.
PRMIA
2012 December 4-5 in New York. David Rowe leading “Risk Management beyond VaR”.
Actually this is not new, but rather rescheduled. The first attempt was aborted because of Sandy. I’m predicting a big snowstorm in New York around December 4th. Dave seems to be pinning his hopes on statistical independence.
Details at the PRMIA website.
Algorithmic Trading Conference
2012 December 8 at Imperial College. A full day of talks including Patrick Burns on “Garch Modelling”.
From the organiser: “It’s open for everyone to register. Once registered we review applications and invite the selected applicants to the conference. There is a subsidised fee of £20 for external audience to attend the conference once they’ve been invited.”
Details are on the Imperial College Algorithmic Trading Group site.
R/Finance
2013 May 17-18 in Chicago (of course).
As of this writing, details are not yet available. But they will appear on the conference website. In the meantime, you can see some of the wonderful things you missed in past years.
Previously Announced
Computational and Financial Econometrics
2012 December 1-3, Oveido, Spain
The conference website is http://www.cfe-csda.org/cfe12/
LondonR
2012 December 4, The Counting House.
Details and (free) registration at http://www.londonr.org/
14-10 Club
2012 December 6
Jon Danielsson, James Sefton
Details at the 14-10 website.
PMAR North America
Performance Measurement, Attribution and Risk.
2013 May 16-17, Philadelphia.
Details at the Spaulding Group.
PMAR Europe
Performance Measurement, Attribution and Risk.
2013 June 11-12, London.
Details at the Spaulding Group.
useR! 2013
2013 July 10-12, La Mancha.
The conference website is http://www3.uclm.es/congresos/useR-2013/
Even more events
MoneyScience has an events calendar.
