[R] R/Rmetrics Meielisalp Summer School and User/Developer Workshop 2010

Diethelm Wuertz wuertz at itp.phys.ethz.ch
Wed May 26 20:39:03 CEST 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

                        ***  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, 
    * 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 Pérez 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 Würtz, 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.

    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


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