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| Filtering in Finance: Wilmott Magazine Article |
| Alireza Javaheri, Delphine Lautier, Alain Galli |
5032 Views |
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In this article we present an introduction to various Filtering algorithms and some of their applications to the world of Quantitative Finance. We shall first mention the fundamental case of Gaussian noises where we obtain the well-known Kalman Filter.
Because of common nonlinearities, we will be discussing the Extended Kalman Filter
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| STRESS TESTING EUROPE 2010 - Zurich - Register by 26th February 2010 and SAVE up to €500 - Additional 20% Discount |
20% Discount Quote VIP CODE: KM6392WMTEM
Register by 26 February and SAVE even more!
To register for Stress Testing Europe 2010 click here.
To register for Stress Testing for Risk Management & Capital Planning click here.
This conference is the key European forum dedicated to sharing best practice and innovative stress testing techniques within the Banking and Investment Sector.
The 2nd Annual European Forum:
STRESS TESTING
EUROPE 2010
Regulatory Guidance & Industry Case Studies
23 & 24 March 2010 ● Zurich, Switzerland
…PLUS the Post Conference Workshop:
Emerging Technique & Strategy in
Stress Testing for
Risk Management & Capital Planning
25 March 2010 ● Zurich, Switzerland
Obtain practical guidance on:
• Regulatory Expectations and feedback
• Credit Portfolio Model performance in market stress
• Cyclical Stress Testing for Macro Economic Scenarios
• Enhancing Capital Planning and management
Benchmark your approach to:
• Liquidity Stress Testing vulnerabilities
• Market and Credit Stress Testing interplay
• Unexpected Event and Macro-Economic Scenarios
• Maximising the Value in the ICAAP
Gain new insights into:
• Stress Testing Across Risk Types
• Embedding a Group-Wide Stress Testing model
• Interaction with Economic and Regulatory Capital
• Informing Risk Profile and Directing Management
Access recent developments in:
• Operational Risk Stress Testing
• Market Risk Stress Testing
• Analysing Systemic Risk and Contagion
• Macro and Microeconomic stress testing
• Ratings Agency Approaches to Evaluation
Attending this case-study led event will provide access to a wealth of unique perspectives selected to add practical value to your risk and capital management activities.
Contributors already confirmed include:
Roland Goetschmann, Risk Management Large Banking Groups, FINMA
Trevor Wells, Executive Director, Scenario Analysis, UBS
Phil Rogers, Head of Risk Strategy, European Risk, HSBC
Oliver Deutscher, Head of Liquidity and Collateral Trading, DZ BANK
Johannes Gauger Rebel, Head of Market Risk, NYKREDIT
Alistair Mcleod, Head of Portfolio Analytics, BARCLAYS CAPITAL
Herve Genvy, Head of Global Risk, ICAP
Colin Burke, Head of Group Wholesale Portfolio Analytics, LLOYDS BANKING GROUP
Rune Toft Nielsen, Stress Test Expert, DANSKE BANK
Sean Cotton, Team Leader Capital Models & ICAAP, NORDEA BANK
Sophia Velissaratou, Senior Portfolio Modelling Analyst, ING
Hannes Huck, Senior Basel II Manager, RAIFFEISEN INTERNATIONAL BANK
Carola Schuler, Managing Director, Financial Institutions, MOODY’S
Urs Wolf, Senior Manager, Risk & Performance Management, DELOITTE
Mike Finlay, Managing Director – EMEA, RISK BUSINESS INTERNATIONAL
Lionel Stehlin, Senior Manager, ERNST & YOUNG
Register by 26th February 2010 and SAVE up to €500
Remember as a Wilmott member you are entitled to a further 20% Discount, just Quote VIP CODE: KM6392WMTEM
To register for Stress Testing Europe 2010 click here.
To register for Stress Testing for Risk Management & Capital Planning click here.
Alternatively, email custserv@infoline.org.uk or call us on +44 (0)20 7017 7702, quoting VIP code: KM6392WMTEM.
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| Algorithmic Quant, High Frequency Trading – Leading Hedge Fund – London, £85k+ - NJF444 |
Algorithmic Quant, High Frequency Trading – Leading Hedge Fund – London, £85k+
Major financial firm in NYC is looking for high frequency quant researchers for their quantitative research group. Responsibilities include variety of mathematical disciplines, mathematics, analytics, data analysis, and model implementation and optimization studies. Quantitative Research group takes a large role in designing and implementation of the trading system algorithms and, therefore, an increased participation in the trading process.
The successful candidate will be familiar with Time Series Econometric Research and Modeling, and have the capacity to test theories and incorporate them into strategy. The primary duty will involve researching of market structure/executions and market microstructure modeling and developing automatic pricing and trading strategies. The candidate must have substantial professional experience in high frequency trading strategies of equities and equity options.
The ideal candidate will have a PhD degree in a quantitative discipline and very strong C/C++ programming experience or academic coursework with proven programming skills. Ideal candidates will be highly self-motivated and detail-oriented, possess strong mathematical, analytical and problem-solving skills, and must be able to communicate ideas effectively. The ideal candidate should posses a proven track record of high Sharp Ratio, emphasized on research, back-testing, optimization and execution
Please send your CV to w.murday@njfsearch.com or call Will on +44 207 604 4444 for more details |
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