Newsletter of the Bachelier Finance Society

Volume 11, Number 1, January 2019


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, preferably in plain text and sending the link to the website containing all the information. Updates and new items appear continuously at:

University of Manchester
Deadline: January 11, 2019
PhD position
University of Vienna
Deadline: January 24, 2019


Call for Submissions – Nicola Bruti Liberati Prize
Theses defended in 2017 and 2018 must be submitted no later than January 31, 2019.


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

Recently published books

Alexandre Antonov, Michael Konikov, Michael Spector
Modern SABR Analytics
Springer (2019), ISBN 978-3-030-10656-0

Rene Carmona, Francois Delarue
Probabilistic Theory of Mean Field Games with Applications I-II
Springer (2018), ISBN 978-3-319-59820-8

Kathrin Glau, Daniël Linders, Aleksey Min, Matthias Scherer, Lorenz Schneider, Rudi Zagst
Innovations in Insurance, Risk- and Asset Management
World Scientific (2018), ISBN: 978-981-3272-55-2

Tom R. Hurd
Contagion! Systemic Risk in Financial Networks
Springer (2018), ISBN 978-3-319-33930-6

Robert Jarrow
The Economic Foundations of Risk Management
World Scientific (2017), ISBN: 978-981-3147-51-5

Charles-Albert Lehalle, Sophie Laruelle
Market Microstructure in Practice
World Scientific (2018), ISBN: 978-981-3231-12-2


The Economic Foundations of Risk Management

by Robert Jarrow

The Economic Foundations of Risk Management

Natalie Packham, Berlin School of Economics and Law

If there is such a thing as a rigorous crash-course on risk management, then this is it! On less than 200 pages, Robert Jarrow provides an economic perspective on financial risk management, preparing future risk managers and regulators in their capacity as decision-makers. Having said that, the book should not be kept a secret from the quantitative finance community: it is an ideal complement to existing monographs on financial risk management.

The main focus lies in a conceptual understanding of risk management theory and practice from an economic perspective – taking into account how markets function and how risks of different types, such as market risk, credit risk, liquidity risk can be managed within the constraints of financial markets and financial regulation. Asset price bubbles – very real, but omitted in many financial models mainly due to strong market assumptions – are embedded into the theory. Roughly a third of the text is dedicated to case studies on Penn Square Bank, LTCM, Orange County, Barings Bank, Metallgesellschaft, Washington Mutual and the credit crisis. Concrete risk measurement and computational aspects, for example the calculation of value-at-risk, are not within the scope of the book (for risk measurement one would consult e.g. McNeil et al. (2015)1.

Although no prior knowledge is assumed, the reader will benefit from a standard background in no-arbitrage pricing. Concepts such as risk-neutral valuation are only briefly explained without the depth necessary to fully embrace the underlying theory.

The book is organised as follows: first, a brief introduction to financial instruments and derivatives is given; next, divided according to risk types, the modeling of risks is treated; then, risk optimization from various perspectives (individuals, firms, banks) as well as different methods of risk management (diversification, hedging) are covered. Finally, the case studies link theory and practice. My personal ROI from reading the book is high: a tour of risk types and risk management principles is presented in a terse, no-fuss manner. Plenty of pointers to additional literature are given, allowing the interested reader to go deeper into any of the topics presented.


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

10 Years After the Crisis – modelling meets policy making
January 14–16, 2019
Toronto, Canada

18th Winter School on Mathematical Finance
January 21–23, 2019
Lunteren, The Netherlands

XXth Workshop on Quantitative Finance
January 23–25, 2019
Zurich, Switzerland

12th Actuarial and Financial Mathematics Conference: Interplay between Finance and Insurance
February 7–8, 2019
Brussels, Belgium

21st Annual Financial Mathematics Quant Symposium
February 22–23, 2019
Tallahassee FL, USA

Federal Reserve Board Conference on the “interconnectedness of financial systems”
March 7–8, 2019
Washington DC, USA


  1. McNeil, A., Frey, R., Embrechts, P., 2015. Quantitative Risk Management, 2nd Edition. Princeton University Press, Princeton, NJ.