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| Managing Smile Risk: Wilmott Magazine Article |
| Patrick S.Hagan, Deep Kumar, Andrew S.Lesniewski and Diana E.Woodward |
7349 Views |
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Market smiles and skews are usually managed by using local volatility models a la Dupire. We discover that the dynamics of the market smile predicted by local vol models is the opposite of observed market behavior: when the price of the underlying decreases, local vol models predict that the smile shifts to higher prices; when the price increases, these models predict that the smile shifts to lower prices.
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| CQF Information Session - US - w/c 9 March |
The CQF is one of the most respected and practical quantitative finance programs in the world. Taught by an expert tutor faculty, it provides delegates with practical, cutting-edge skills and knowledge. In these difficult times for financial engineering, this is the one program that has consistently and from its very beginning shown the pitfalls and how to avoid them.
We are holding information sessions in the following cities:
9 March - Los Angeles
10 March - San Francisco
11 March - Las Vegas
12 March - New York
Dr Paul Wilmott will be presenting evening Information Sessions for the internationally renowned Certificate in Quantitative Finance. You are invited to join him and the CQF team to find out why the qualification is the fastest-growing quantitative finance program in the world and how taking it will benefit you and your career. The presentation will commence at 6.30pm.
For further information please email cqf@7city.com. Full details will then be sent to you.
ABOUT THE CQF
The CQF program runs twice yearly, commencing in June and January. It is presented simultaneously over the internet to delegates all around the world. The next CQF program begins in June 2009. For full listings of dates and costs, to view sample lectures and to see what past delegates have to say, please visit our website at www.7city.com/cqf, call Claire Riseley on +44 (0)207 496 8605 or contact quants@7city.com.
Key course elements:
• Live via Distance Learning
• Perpetual access to recorded lectures
• Focus on the practical side of financial engineering
• The program questions all quant assumptions and all models
• A no-frills approach to gaining knowledge and skills
• Part-time course lasting six months
• Lectures from a highly acclaimed team of instructors combining leading academics and practitioners
• Classroom and live web-cast sessions allowing full tutor-delegate interaction
• Coherent learning objectives, from fundamental concepts through to the latest advances
• Innovative and relevant technical course content
• Computer workshops – putting theory into practice
• Advanced trading simulator for putting theory into practice
• Emphasis on the implementation of models and algorithms
• All sessions recorded, allowing learning regardless of schedule or time-zone
Who is the CQF for?
• Do you have a science background and want to leverage your skills in the financial world?
• Do you have a masters or doctorate in finance but find that you still lack practical skills and knowledge?
• Do you want to learn how to apply your mathematical skills to trading, quant research, quant development, and risk management?
• Are you too busy to take time out from work?
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| Front Office Senior Risk Analyst, Houston, $120,000 - SJ2626 |
Front Office Senior Risk Analyst, Houston, $120,000
A European commodities house with significant gas and power trading globally are expanding their operations in Houston as part of their overall Americas strategy. They are looking to increase volume of trades, distribution networks and gas supply and thus need a very bright risk manager to sit with the traders and senior management and calculate the risk to the overall organization in this expansion and recommend how to develop overall risk framework, policy and strategy.
The role responsibilities are as follows:
· Provide effective and reliable risk management to BG’s global commodity desks
· Product Exposure: Gas and Power
· Provide up to date risk management to BG’s traders
· Help create industry best risk methodology
Ø Var methodology
Ø Trading reporting tools
Ø Global co-ordinated risk management network
· Work with traders in monitoring the risk with each position taken
· Attend pre-trade strategy meetings with trading department in evaluating how to minimize risk in trading strategy
· Mentoring junior members of team [assess managerial potential]
· Liaise with IT and quant departments in building entire risk framework, working with IT in particular on Openlink Endur system its integration into the group
· New deal review targeting key risks and control issues to understand the trades, hedges and strategy
· Assessing current infrastructure to house specialised trades and to manage business growth in diverse and complex areas
· Process re-engineering
· Be involved in trans-continental risk management assessments
· P&L analysis and interpreting key risk figures
· Report to senior management on how to improve risk strategy, policy in commodities area
· Assist the Global head of Energy risk on ad-hoc projects
The Ideal Profile would have senior product control, risk control, risk analyst experience at a leading energy trading house or some commodities business in Houston or the surrounding region. If you are looking for a new and challenging career please send your resume in word.doc format to risk@selbyjennings.com / www.selbyjennings.com |
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