Prerequisite is a very good master degree in a mathematical field of study or a comparable degree, and interest in future research in at least one of the areas Financial Mathematics, Financial Econometrics, Statistics of Stochastic Processes, Stochastic Analysis, Stochastic Optimal Control, Stochastic Processes or Time Series Analysis. The opportunity for further scientific qualification (in particular PhD) is given.

The duties include contributing to the teaching activities of the institute. For the position the teaching duty is two hours per week during the teaching period. The language of the courses is usually English. Thus no knowledge of German is initially necessary. The contract duration will be in accordance with the qualification aim. A future increase in the percentage of the position (by third party means) is aimed for.

Ulm University is committed to increase the share of women in research and teaching positions and therefore explicitly encourages female candidates to apply.

The salary is determined by group 13 of the collective agreement (13 TV-L)

Please send your **application** with the usual documents **until May 21st, 2017**, preferably in electronic form to

Ulm University

Prof. Dr. Robert Stelzer

Institute of Mathematical Finance

Helmholtzstraße 18

89081 Ulm

Germany

E-Mail: robert.stelzer@uni-ulm.de

Please indicate the index number 38 on the envelope or in the reference line of the email.

Physically disabled applicants receive favourable consideration when equally qualified.

The appointment is made by the central university administration.

]]>Applications in the general areas of probability theory and statistics are welcome. The successful candidate is expected to be an internationally highly recognized researcher, and the research must have excellence status in the applicant’s area of specialization. The Department is a leading mathematics institution with a lively international research environment that spans several areas of pure and applied mathematics. It has strong groups in, e.g., statistics, actuarial mathematics and mathematical physics, and intends to become stronger in probability theory.

The detailed job advertisement and a link for online application can be found on http://employment.ku.dk/jobagent/?show=898688

The **deadline** for applications is **11 June 2017**, 23:59 GMT +1.

Use of stochastic deflators for the calculation of the economic value of life insurance contracts

DAMI is a research chair financed by BNP Paribas Cardiff which is interested in the problems related to the Data and Models in Insurance (http://chaire-dami.fr/). It proposes a postdoctoral position within the framework of her research orientation “Models for insurance”.

**Characteristics of the station**

We seek one doctor in actuarial science or quantitative finance with a strong interest for the questions specific to the insurance and quantitative modelling. Work comprises a theoretical part as well as the development of applications using tools like R or Python.

The financing is planned for one year duration with possibility of extension by 6 months or one year.

The position is based in Lyon, within the SAF laboratory.

Remuneration is to be discussed per the profile the candidate.

**Research topic**

The general calculation framework of the economic value of a life insurance contract is presented in chapters 4 and 5 of Laurent et al (ed.) [2016].

In a schematic way, the value of such a contract is comparable at the “price” of the contract seen as a credit derivative from the various financial risk factors to which the insurer is subjected (rate, actions, credit, etc.). Consequently, the methods based on the arbitrage free assumption in finance of market are used. Their use however is made delicate because of:

- the lack of observable price (see FÉLIX and PLANCHET [2015]),

- the impossibility of an analytical description of the function of determination of cash-flows per the risk factors, cash-flows being obtained via an algorithm (see chapter 4 of LAURENT et al. (ed.) [2016]).

The practitioners are simply modelling the risk factors under a risks neutral probability (of which the choice among the whole of the possible probabilities is only seldom discussed), which avoids clarifying the form of the market prices of the implicitly associated risk.

In addition to the difficulties induced using this modelling “risks neutral” in model ALM of production of flows (see FÉLIX and PLANCHET [2016]), coherence between the “historical” modelling used for example in 2 the ORSA (see chapter 4 of Laurent et al. (ed.) [2016]) and the modelling of the factors for pricing is not assured.

In this context, an alternative consists in using stochastic deflators, as in DASTARAC and SAUVEPLANE [2010] what makes it possible to use scenarios generated under the historical probability, the pricing of the options being then integrated in the actualization kernel.

With this kind of approach, the functions of reaction used in the construction of cash-flows do not have consequently to be wide any more with beaches of “extreme” values, current under the probability Q but rare under P.

The difficulty is moved on the level of the construction of the actualization process (deflator), which implies to explicitly model the “market prices of the risk”.

A synthesis of this approach is described in CAJA and PLANCHET [2010] and an example of implementation for savings contracts with a simplified economic environment is proposed in DASTARAC and SAUVEPLANE [2010]. The authors explicitly build the deflator in a market with two assets (actions and bonds) by introducing a risk on the market prices of risk.

One can also mention the work of DUBAUT [2015], which is based on the framework proposed in TURC et al. [2009]. This framework is a special case of the more general approach presented in CHRISTENSEN et al. [2010], which exploits the properties of the Nelson-Siegel representation of the risk-free rates seen as an affine model of interest rate.

The research will thus consist in building a deflator integrating the major financial sources of risk to which the insurer is exposed (rate, action, credit, inflation) and to describe an operational framework for the calculation of economic values of life insurance contracts within a realistic framework, usable by an insurer for calculations which it carries out within the framework of pillar 1 of Solvency 2. This operational framework will be declined at the same time from a theoretical point of view, with a formal description of the model and from a practical point of view, with an implementation in R or Python.

**Contact**

Frédéric PLANCHET

Professeur à l'Université Claude Bernard, Lyon 1

Laboratoire SAF

Frederic.planchet@univ-lyon1.fr

Applications are invited for the Professorship of Mathematical Finance to be held in the Mathematical Institute with effect from 1 January 2018 or as soon as possible thereafter. A non-stipendiary Fellowship at St Hugh’s College is attached to this Professorship.

For more information visit the website: https://www.maths.ox.ac.uk/node/25126

**Closing date: Monday, May 22, 2017 - 12:00.**

For more information visit the website: http://www.luiss.it/news/2017/04/05/call-expressions-interest-19-positions

**Closing date: May 1, 2017**.

Applications are sought from researchers who have completed their PhD two to eight years ago and will have an excellent publication record as well as high potential in the field of Mathematical Finance.

The applicant should also provide strong evidence of their potential to make a significant contribution to their particular research field. Female applicants are explicitly encouraged to apply.

The selected candidate will, together with Professor Walter Schachermayer as a proponent, prepare the proposal for submission to the WWTF.

In the case of a successful funding decision, the research group will be financed for 6-8 years, with up to 1.6 million EUR being provided by the WWTF, supplemented by an additional contribution from the University itself. After a successful interim evaluation, the University of Vienna will offer the group leader a tenure-track position.

Application procedure:

- Interested PostDoc candidates should get in touch with Professor Walter Schachermayer and briefly outline their intended research project.
- Please send your CV with publication list, list of research projects, teaching activities (evaluations, if available) and supervised PhD students to projektservice.mathematik@univie.ac.at by no later than 30th April 2017.

Contact:

Prof. Walter Schachermayer

walter.schachermayer@univie.ac.at

Further information:

http://projektservice-mathematik.univie.ac.at/funding/WWTF/VRG/

https://www.wwtf.at/calls/

The aim of these postings is to create a forum for the dissemination of information on academic and industrial positions related to mathematical finance, across different disciplines and different geographical regions. Please submit any job advertisements you are aware of to jobads@bachelierfinance.org, preferably in plain text and sending the link to the website containing all the information. Updates and new items appear continuously at: http://www.bachelierfinance.org/forum/jobs/.

**Associate Professor/Senior Lecturer/Lecturer**

University of Melbourne

Deadline: April 23, 2017

**Research Group Leader**

University of Vienna

Deadline: April 30, 2017

**2 Lecturers and Associate Professor/Senior Lecturer**

University of Auckland

Deadline: May 8, 2017

**Postdoc/Visiting Assistant Professor**

University of California Santa Barbara

Deadline: June 30, 2017

**Assistant Professor**

Stony Brook University

Deadline: September 8, 2017

**Postdoctoral position**

Boston University

The Society maintains a list of books, book reviews and journals at: http://www.bachelierfinance.org/publications.html. Members that would like to have their books added to the website, should please let us know.

John Armstrong

**C++ for Financial Mathematics**

Chapman & Hall/CRC (2016), ISBN 9781498750059

René Carmona

**Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications**

SIAM Series on Financial Mathematics (2016), ISBN 9781611974232

Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst (Eds.)

**Innovations in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation**

Springer Verlag (2016), ISBN 978-3-319-33445-5

Olivier Gueant

**The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making**

Chapman & Hall/CRC (2016), ISBN 9781498725477

Jan Kallsen, Antonis Papapantoleon (Eds.)

**Advanced Modelling in Mathematical Finance: In Honour of Ernst Eberlein**

Springer Verlag (2016), ISBN 978-3-319-45873-1

Paolo Sironi

**FinTech Innovation**

John Wiley & Sons, Inc. (2016), ISBN-13: 9781119226987

**High Frequency
**High Frequency is an interdisciplinary journal devoted to the theory, analysis, and practice of high-frequency data questions. Editors-in-Chief: Ionut Florescu & Frederi Viens. Published by Wiley.

**Call for papers** associated to the 3rd Symposium on Quantitative Finance and Risk Analysis (QFRA 2017, http://www.liv.ac.uk/qfra, Corfu, Greece, June 15-16, 2017).

- Annals of Operations Research (Springer) will publish a special conference issue on papers dedicated to "Application of Operations Research to Financial Markets".
- China Finance Review International (Emerald Journals) will publish a special conference issue on papers dedicated to "Modern Aspects of Financial Engineering".
- ASCE-ASME Journal of Risk and Uncertainty in Engineering Systems (ASCE Library) will publish a special conference issue on papers dedicated to "Community Resilience Economics".

The deadline for all submissions is October 31, 2017.

by Marcos Carreira and Richard Brostowicz,

Palgrave Macmillan, 2016.

“Brazil is not a simple country”, warn the two personable authors in their opening sentence, “. . . yet it is a fascinating country”. The same is certainly true for this demanding yet fascinating book. Carreira and Brostowicz have written a *sui generis* exposition of Brazilian interest rate (IR) and foreign exchange (FX) derivatives and securities with all the flavour and sway of my home country. The humorous style runs from the start (“If you see a turtle on top of a post, you wonder: ‘Who put it there?’. Well, in this book there are some turtles not only sitting on top of posts, but they’re juggling chainsaws as well”, page 1) to the end (“Brazil being Brazil, the only thing we can be sure about is that we cannot be sure about anything else”, page 297) of the book, alongside a mixture of historical accounts, institutional details, mathematical derivations, deep financial insight, and the kind of trader’s talk that give a headspin to non-market types like myself.

Chapter 1 sets the tone for the book by offering a breakneck-speed overview of financial markets in Brazil over the last 50 years. Here we see the Selic rate (short for “Sistema Especial de Liquidação e Custódia”, the Brazilian analogue of the Fed funds market, with the corresponding Fed funds rate) shoot up to almost 800,000% per year in 1990, or the CDI rate (“Certificado de Depósito Interbancário”, the Brazilian analogue of a LIBOR rate) hover around 2% per day around the same period. We learn about the all-important COPOM meetings (“Comitê de Polı́tica Monetária”, the Brazilian analogue of the Fed’s FOMC meetings) and their role in setting monetary policy through the SETA rate (“Selic Target”, the equivalent of the Fed funds target rate). The extraordinary behaviour of interest rates is matched by bouts of currency devaluation so severe that the rollercoaster graphs for the exchange rate only make sense in logarithmic scale. It is clear after reading the chapter that the behaviour of interest and exchange rates in Brazil is overwhelmingly influenced by what Peter Carr calls “events” in the book’s Foreword, precisely the types of jumps that are largely neglected by mainstream mathematical finance. And the mother of all events was without a doubt the Plano Real, the inflation fighting measures enacted by President Fernando Henrique Cardoso in 1994, which marks a regime change clearly identifiable with naked eyes in all graphs in this chapter.

Chapter 2 is a more sedate overview of several market conventions in Brazil, including calendars (an important issue in a country with a record number of public holidays) and different reference rates, or “fixings”. The aforementioned Selic, CDI, and SETA rates are explained in more details, together with some other less relevant interest rates. Two important inflation indices are introduced in this chapter: the IPCA (“Índice Nacional de Preços ao Consumidor”), a consumer price index published by IBGE, a government statistical agency, and used by COPOM for inflation targeting and many inflation-linked government bonds, and the IGPM (“Índice Geral de Preços de Mercado”), a more volatile price index published by FGV - Fundação Getúlio Vargas, a renowned private think-tank named after a statist president (oh the contradictions!). The chapter ends with a discussion on references for exchange rate, most importantly the PTAX, a weighted average of BRL/USD spot rates provided to the Central Bank by FX dealers for trades occurring at predetermined times throughout the day, and some alternatives when the PTAX rate is not available or suitable for certain derivatives.

Chapters 3 and 4 provide an in-depth exploration of the most liquid and important IR derivative in Brazil: the DI future, namely a future contract on the CDI rate mentioned above (think of it as a Brazilian LIBOR). Just as with any future contract, a long position in a DI future is a bet that its price will move up, and consequently, because of the inverse relationship between prices and rates expressed in equations (38)-(39) in the book, that CDI rates will move down in future. These are the contracts used to obtain the CDI term structure curve, which is prevalent not only in derivatives markets in Brazil, but also used in a large array of loans for the real economy, so the authors cover in detail the pricing of DI futures, margining, curve construction, and interpolation.

Chapter 5 performs the same job for the most basic FX derivative in Brazil: the DOL, namely a future contract on the BRL/USD exchange rate. Since this represents the price of one US dollar in Brazilian reais, a long position in a DOL future corresponds to a bet that the Real will depreciate against the Dollar in the future. Not all DOL contracts are born the same, however. Because the futures market is open to more participants than the BRL/USD spot market itself, there is an abundance of liquidity concentrated in DOL of the nearest maturity, which are used as an (imperfect) proxy for spot. For those participants who are allowed to operate in the two markets, there is a need to “migrate” positions formed in the more liquid futures market into the less liquid spot market. This is achieved through the *casado* (meaning “married” in Portuguese), whereby a trader simultaneously buys a DOL contract and sells the same amount of dollars in the spot market (or vice-versa). The value of the casado exhibits a typical sawtooth pattern, seen in Figure 66 in the book, and shows the degree to which DOL and spot FX fail to be interchangeable, which can be quite a lot in periods of financial stress.

Things start to get really interesting in Chapter 6, where we meet the first example of a hybrid IR/FX derivative: the DDI, or Dollar DI, namely a future contract on the CDI rate, paid in Brazilian reais, but with notional amount in US dollars. In other words, a DDI contract is a bet on both the exchange rate and the local (Brazilian) interest rates. The resulting rate associated with a DDI contract, is called the “cupom cambial” - a mixture between interest coupons (“cupom”) and exchange rates (“câmbio) - and corresponds to the difference between the Brazilian interest rate and the increase in the exchange rate during the life of the contract. In other words, this can be viewed as the local interest rate in dollars, or equivalently, the payment in reais for dollars invested in Brazil. A long position in a DDI contract is therefore a bet that the cupom cambial will go down in the future, which means either that local interest rates go down or the Real depreciates, or both. Peculiarly, the payoff for a DDI is calculated using the PTAX value quoted one day before maturity of the contract (a prime example of a chainsaw-juggling turtle on top of a post mentioned in Chapter 1), which gives rise to what market participants in Brazil call a “dirty cupom rate”, namely contaminated by exchange rate fluctuations during the last day of the contract. To deal with this potentially troublesome contamination (remember, one day can be a lifetime in FX) the BM&F (“Bolsa Mercantil de Futuros”, the main exchange for derivatives in Brazil) created the deliciously named “FRA de cupom” (when spoken with a carioca accent, a FRA de cupom sounds much more like a dish to be served in Ipanema, like a “caldinho de feijão” or a “bobó de camarão”, than a derivative contract), or FRC. As explained in the book, a long position in an FRC can be seen as a long position in a DDI with maturity T_{2} and a short position in a DDI with maturity T_{1} < T_{2}. After careful analysis, the end result is that the price of an FRC depends on a “clean cupom rate”, that is to say, not contaminated by exchange rate fluctuations near maturity. The remainder of the chapter is dedicated to currency swaps, namely the SCC and SCS contracts (“SC” stands for “swap cambial”, or currency swap), that essentially work in the same way as a DDI contract, namely linking Brazilian interest rates to the BRL/USD exchange rate. This is followed in Chapter 7 by a long and detailed discussion of several IR and FX derivatives traded in Brazil, including the very interesting IDI option, which allows market participants to bet on future Brazilian monetary policy decisions in a way that does not seem to be readily available for monetary policy in other countries.

Up until this point, the book is focussed on so-called onshore (i.e Brazilian) markets for IR and FX products. Chapters 8 and 10 deal with the opposite situation, namely products that depend on Brazilian rates and currency, but are traded in offshore (primarily US) markets. The most well known examples are the BRL/USD future contracts traded in the Chicago Mercantile Exchange (CME), which are paid in US dollars and therefore use the reciprocal PTAX as the reference rate. Another example are offshore over-the-counter (OTC) non-deliverable forwards (NDF) on BRL/USD, which differ from their onshore counterparts by using the EMTA rate, a fallback rate obtained by polling Brazilian currency dealers, instead of the PTAX rate provided by the Brazilian Central Bank. The existence of both offshore and onshore NDFs based on BRL/USD allows one to compute the spread between these two contracts, which turn out to show that offshore contracts sell at a discount whenever there is high demand by foreign investors to be long BRL. This is because it is relatively more difficult for them to open accounts in Brazil and trade in onshore contracts than for Brazilian banks to open accounts abroad, therefore leading to a “premium” charged by Brazilian banks in the form of buying these NDF forwards at a discount compared to the onshore market. A similar dynamics is at play for offshore BRL IR swaps, where foreign investors wanting to profit from high BRL fixed swap rates without having to open accounts in Brazil agree to receive a slightly lower swap rate than in the onshore market. The pricing of these OTC products gives the authors an opportunity to discuss collateralized derivatives and show that they are fully up-to-date (and in some senses ahead) of the emerging literature on this subject

Several portions of the book, in particular Chapters 9, 12, and 13, are dedicated to practical issues, such as the observability of contracts and rates, which contracts to keep constant and which to recalculate when receiving an updated quote, how to deal with date conventions, best practices to mark-to-market, and many other topics that are important for traders but a bit lost on academic readers. For good measure, Chapters 14 and 15 give a brief overview of government bonds and their inflation-linked versions, with the admonition that “a government bond without market, credit or liquidity risk paying a high rate should not exist”, but nevertheless is common in Brazil and epitomizes some of the country’s core economic problems. Chapter 16, on market microstructure is:

- written entirely in bullet point form
- very concise
- interesting but
- somewhat hard to follow
- difficult to connect with the remainder of the book.

In the last chapter, the authors muse about obsolescence of books on financial markets in general, and of their book in particular, given the speed and unpredictability of changes in Brazilian markets. This reminds me of British Prime Minister Harold Macmillan’s response to a journalist when asked what is most likely to blow governments off course: “Events, dear boy, events”. Given the pace of events in Brazil – including the very recent impeachment of President Dilma Rousseff, which happened after the book was published with consequences for the Brazilian economy that are yet to be fully assessed – I dare to predict a successful future for this book, with new editions continuing to make sense of Brazilian markets in years to come.

This list contains conferences related to mathematical finance that take place in the next three months. A full list is available at http://www.bachelierfinance.org/congresses/conferences.html. Please let us know of conferences we are not aware of and include a URL for the event.

**Innovations in Insurance, Risk- and Asset Management**

April 5–7, 2017

Munich, Germany

**Midwest Mini-Conference on Stochastic Processes and Mathematical Finance**

April 8, 2017

Fargo ND, USA

**Easter School on Quantification and Management of Risk**

April 18–21, 2017

Liverpool, United Kingdom

**MathFinance Conference**

April 20–21, 2017

Frankfurt, Germany

**5th Asian Quantitative Finance Conference**

April 24–26, 2017

Seoul, South Korea

**Second National Conference of Women in Financial Mathematics (WFM2017)**

April 27–28, 2017

Los Angeles CA, USA

**Quantitative Finance at Work**

April 28, 2017

Rome, Italy

**Workshop on Stochastic Analysis in Finance**

May 11–12, 2017

Hong Kong, China

**Mathematical Finance, Probability, and Partial Differential Equations Conference**

May 17–19, 2017

New Brunswick NJ, USA

**Big Data in Predictive Dynamic Econometric Modelling**

May 18–19, 2017

Philadelphia PA, USA

**Conference for the 10th Anniversary of the Center for Financial Mathematics and Actuarial Research**

May 19–21, 2017

Santa Barbara CA, USA

**5th International Symposium on Environment and Energy Finance Issues (ISEFI-2017)**

May 22–23, 2017

Paris, France

**Workshop on Dependence Modelling**

May 22–23, 2017

Island of Aegina, Greece

**School and Workshop on Dynamical Models in Finance
**May 22–24, 2017

Lausanne, Switzerland

**Thera Stochastics–A Mathematics Conference in Honor of Ioannis Karatzas**

May 31 - June 2, 2017

Fira, Santorini, Greece

**Market Microstructure and High Frequency Data**

June 1–3, 2017

Chicago IL, USA

**Young Finance Scholars' Conference**

June 12–13, 2017

Brighton, United Kingdom

**Submission deadline: 1 **May 2017

**Summer School and Workshop on Equilibrium Theory**

June 12–15, 2017

Pittsburgh PA, USA

**Commodity and Energy Markets Conference 2017**

June 14–15, 2017

Oxford, United Kingdom

**3rd Symposium on Quantitative Finance and Risk Analysis, QFRA 2017**

June 15–16, 2017

Corfu, Greece

**8th General AMaMeF Conference**

June 19–23, 2017

Amsterdam, The Netherlands

Further details are available at https://www.mathjobs.org/jobs/jobs/9731 ]]>

Successful applicants will be expected to teach undergraduate and postgraduate courses, supervise student research projects and PhDs, develop and run their own independent research program, and participate in the organisation and running of the department.

Applicants at the Lecturer level should have or be about to complete a PhD in Statistics or a closely related discipline; appointments at the Senior Lecturer/Associate Professor level should have a record of excellence and leadership in teaching and research.

**Applications close on 8 May 2017.**

The ads for both positions can be accessed through the University's website at

https://www.opportunities.auckland.ac.nz/psp/ps/EMPLOYEE/HRMS/c/HRS_HRAM.HRS_CE.GBL?Page=HRS_CE_JOB_DTL&Action=A&JobOpeningId=18865&SiteId=1&PostingSeq=1

Please contact the Head of Department, Ilze Ziedins, if you have any queries. i.ziedins@auckland.ac.nz

]]>The Centre invites applications for the position of **Associate Professor/Senior Lecturer/Lecturer**.

The Centre is interested in applicants with the capability to publish in leading refereed journals and to provide high quality teaching and service at both the undergraduate and postgraduate levels. The successful candidate must also be in a position to engage with the actuarial profession and will hold the associateship of the Actuaries Institute or equivalent.

**The Benefits:** A highly attractive remuneration package will be negotiated which will reflect the University of Melbourne Salary scale and an additional actuarial loading. To view other University benefits go to: http://about.unimelb.edu.au/careers/working/benefits

**Enquiries only to:** Professor Mark Joshi, Director of the Centre for Actuarial Studies , tel. +61 3 8344 5299, email: mjoshi@unimelb.edu.au

**Close date: 23 Apr 2017**

For position information and to apply go to:

http://jobs.unimelb.edu.au/caw/en/job/890363/lecturer-senior-lecturer-associate-professor-actuarial-studies

For information to assist you with compiling short statements to answer the selection criteria, please go to http://about.unimelb.edu.au/careers/search/info/selection-criteria

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