Diethelm Wuertz
2010-May-26 18:39 UTC
[R] R/Rmetrics Meielisalp Summer School and User/Developer Workshop 2010
Computational Finance and Financial Engineering 1st R/Rmetrics Summer School and 4th User/Developer Meeting Meielisalp, Lake Thune Switzerland, June 27 - July 1, 2010 Late Registration: https://www.rmetrics.org/meielisalp2010-registration Students: Apply for Student Scholarships www.rmetrics.org *** Rmetrics 2010 - Don't miss it ! *** The Summer School and User/Developer Meeting focus on topics from "Computational Finance and Financial Engineering" and on the use of R/Rmetrics in finance, insurance and related fields. The Summer School morning sessions have four tutorials given by key note speakers covering topics from time series analysis, stochastic differential equations, and risk management. The tutorials are together with practical exercises. Summer School Lecturers: * Alexander McNeil, Heriot-Watt University, Edinburgh, UK Copulas with Examples in R * Eckhard Platen, University of Technology Sydney, Australia A Benchmark Approach to Computative Finance * Nakahiro Yoshida, Math Sciences, University of Tokyo, Japan Inference for Discretely Observed Diffusion Processes * Eric Zivot, Economics Department, University Washington, Seattle, USA Analysis of High Frequency Data in R The afternoon User/Developer Meetings are dedicated to contributed talks and presentations reflecting the wide range of fields in which R and Rmetrics are used in finance and insurance to analyze and model data. The goal is to bring together students, researchers, developers, practitioners, and users from finance and insurance providing a platform for common discussions and exchange of ideas. Invited and Contributed Presentations: * Wolfgang Breymann, Cash Flow Modeling and Valuation of a Swiss Pension Fund, Zurich * Bernhard Brabec, to be announced, Zurich * Yohan Chalabi, Outlier Resistant GARCH Modeling, Zurich * Karim Chine, Elastic-R: A Google docs-like Portal for Data Analysis in the Cloud, London * Alexander Eisl, Exploring the Performance of Government Debt Issuance, Vienna * Andrew Ellis, Rmetrics2AMPL: An R Optimization Interface for AMPL, Zurich * Adam Ghandar, Fuzzy Logic Valuation Rules for Hedge Fund Management, Adelaide * Patrick Henaff, A Normalized Measure of Model Risk, Brest/Rennes * Stefano M. Iacus, Model Identification for Discretely Observed Stochastic Differential Equations, Milano * Vikram Kuriyan, to be announced, New-York * Dominik Locher, Optimally Balanced and Diversified Portfolios: A new Approach for Depot Analysis, Zurich * Mahendra Mehta, Recent Financial Crisis A look, Perspective and Lessons, Mumbai * Sebastian P?rez Saaibi, R/Rmetrics Generator Tool for Google Motion Charts, Zurich * Wolfgang Polasek, Sales Response Functions (SRF) with Stochastic Derivative Constraints, Vienna * Charles Roosen, Mainstream Application Development with R, Chippenham * Stefan Theussl, Many Solvers, One Interface - ROI, the R Optimization Infrastructure Package, Vienna * Marc Wildi, Financial Trading: Fundamental and Intrinsic Perspectives, Zurich * Diethelm W?rtz, The Hull, the Feasible Set, and Portfolio Risk Surfaces, Zurich ... this list is still incomplete, about 25 papers will be presented. Call for Papers: We invite to submit abstracts presenting innovations or exciting applications covering the whole spectrum of computational topics in finance, insurance and related fields. To submit an abstract email your pdf file to submissions [at] rmetrics.org. Please keep abstracts to one page. The abstracts will become available in an online abstract booklet. Submission will be considered on a rolling admission basis. Scholarship for Students: A limited number of scholarships are available for full-time Bachelor and Master students which include a reduction on the accommodation fees (total accommodation fees would be 90.00 CHF). Please send a letter of motivation and a recommendation letter from your supervisor to submissions [at] rmetrics.org. Note that only applications send from an email address affiliated to an university will be accepted. Deadline to apply for scholarship is June 1. Organization: Rmetrics Association, co-organized by Swiss Federal Institute of Technology, Zurich. Conference Chairs: Diethelm Wuertz, Swiss Federal Institute of Technology, Zurich CH Stefano Iacus, University of Milano, Milano, IT Mahendra Mehta, Neural Tech Technologies, Mumbai, IN David Scott, University of Auckland, Auckland, NZ Conference Office: Yohan Chalabi, Swiss Federal Institute of Technology, Zurich CH Andrew Ellis, Swiss Federal Institute of Technology, Zurich CH Supported by: Rmetrics Association Zurich ETH Zurich REvolution Computing ... Visit: http://www.rmetrics.org/meielisalp2010 http://www.rmetrics.org/meielisalp2010-registration