New papers

1. Mixed distribution scenarios for investment decisions with downside risk.
2. Nonparametric Multivariate Conditional Distribution and Quantile Regression.

Research Topic

Current Research Interest:

1. Dynamic Risk Measures: VaR, CVaR, Coherent Risk Measures
2. Independent Components and Copulas

Offshore Topics:

• Assessing the Policy response to extreme events and the use of Extreme Value Theory
• Robust policy design and the use of H infinty methods
• Decision making in the face of uncertainty as opposed to risk
• The evolution of asset price bubbles
• Environmental Finance- the use of markets to manage pollution and the impact of extreme climate conditions on financial markets
• The use of Energy Derivatives
• Operational Risk in Financial Markets
• The computation of Capital requirements to meet regulatory limits
• Basle II
• Theoretical issues in the measurement of Risk
• Portfolio design with quantile constraints
• Quantile based risk measures and causality
• The management of jointrRisks and the Use of Copulae
  Ref: WBS,UK

Coherent, Convex, and Monetary Risk Measures

Value at Risk

Dependence Measures and Copulas

Financial Data

FxHistory: historical currency exchange rates

Financial Modelling in C++,VBA,S-Plus

Mathtools.Net

MATLAB Aerospace, Algorithms and Data structures, Astronomy, Automotive... Excel Accounting and organizers, Add-on functions, Algorithms and Data structures, Astronomy... C,C++ Algorithms and Data structures, Astronomy, Biotechnology, Books and Tutorials... Java Algorithms and Data structures, Astronomy, Biotechnology, Books and Tutorials...

Fortran Algorithms and Data structures, Biotechnology, Books and Tutorials, Calculus... Visual Basic Add-on functions, Biotechnology, Books and Tutorials, Converters... Applications and Industries Aerospace, Astronomy, Automotive, Biotechnology... Learning and Education Books and Tutorials, Jobs, Reference and documentation, Seminars Conferences and Tradeshows...

Financial Numerical Recipes
This is a discussion of algorithms and computer code for advanced financial calculations. It was written for use in a course teaching derivative securities. It contains the basic and some advanced algorithms for option pricing, and some algorithms dealing with term structure modeling and pricing of fixed income securities.
All computer code is in the C++ language, and implemented as self-contained subroutines that can be compiled on any standard C++ compiler.

VB Numerical Methods
This site is designed for practitioners, researchers, and students as a tool for programming in EXCEL VBA. Users of this site can search for commonly used finance or math code, post their own code and participate in the VB Numerical Methods discussion Forum.

Financial Numerical Recipes in C++

Matlab Links



ExcelTIP

"Advanced Modelling in Finance using Excel and VBA" by Jackson and Staunton, eBooks
http://www.it-ebooks.com/

Web Pages that Perform Statistical Calculations!( StatPages.net )
The web pages listed here comprise a powerful, conveniently-accessible, multi-platform statistical software package. There are also links to online statistics books, tutorials, downloadable software, and related resources. All of these resources are freely accessible.

Gauss Resources

• READ ME FIRST: USE AND SUBMISSION OF CODE (Rules of the Game)
• Bayesian Econometrics
• Covariance Matrix Estimators
• Multivariate Statistics
• Optimization Routines
• PDFs and RNGs
• Qualitative Choice Models
• Regression
• Time Varying Parameters, including Markov Switching
• Simulation
• Simultaneous Equations Estimation
• Time Series
• Unit Roots and Cointegration
• Dynamic Programming
• Utilities
• Generalized Method of Moments
• DYNARE
  

R-Project

Finance Forum Site List & E-Books

Finance Site List
http://fisher.osu.edu/fin/journal/jofsites.htm#der
www.finmath.com
www.cqf.info
www.wilmott.com/index.cfm
www.finance-and-physics
www.global-derivatives.com/
http://cswww.essex.ac.uk/CSP/finance/links.html

Case Studies about Financial
http://www.math.nyu.edu/fellows_fin_math/gatheral/case_studies.html

Gauss Resources
http://gurukul.ucc.american.edu/econ/gaussres/GAUSSIDX.HTM

E-BOOKS
http://www.xplore-stat.de/ebooks/ebooks.html
mam3xs is me:)

Conference and Workshop

• Extreme Value Theory, Independent Components and Copulas (1 Day)
  Presenters include: Claudio Romano, University of Rome/Capitalia Bank Holdings
  
• Credit Risk
• Financial Innovation and New Structured Products in the Equity World
  (30 November)
  Presenter:
  Dilip Madan, Robert H. Smith School of Business, University of Maryland/Morgan Stanley
  
• Financial Optimisation: Workshop based on forthcoming book by S.Zenios's new book (1 December)
  Presenter:
  Stavros Zenios, Wharton School of Business/ University of Cyprus
  Gautam Mitra, CARISMA, Brunel University
• Hidden Markov Models, Kalman Filters, No-Liner Time Series Analysis, Robust Regression
  Presenters:
  Paresh Date, Rogemar Mamon, Keming Yu, Fabio Spagnolo, CARISMA, Brunel University
  
• Optimisation Series Workshops:
  (3 - 7 October 2005)
  
  1. Introduction on Optimisation and its Applications: Linear & Integer Programming - Embedded DSS using COM Objects (3 - 4 October)
     
  2. Decision Making under Uncertainty: Stochastic Programming (5 - 6 October)
     
  3. Financial Planning Using Integer Quadratic Programming(7 October)
     
     
• New Directions in Risk Modelling and Financial Planning, 18-19 May, 2005
  

We are pleased to remind you of the forthcoming launch event of The Centre for the Analysis of Risk and Optimisation Modelling Applications (CARISMA), Brunel University:
1.International seminar: New Directions in Risk Modelling and Financial Planning on 18-19 May at 09:30 - 17:00 Hours

2.An evening reception on 18 May at 17:30 Hours (attendance at this reception is complimentary).

3.The venue for both days will be the historic Institute of Actuaries, Staple Inn Hall, High Holborn, London.

BACKGROUND AND OBJECTIVES

The objective of the two-day seminar is to bring together practitioners, academics and PhD students working in the area of financial planning, optimisation and risk modelling. The seminar will provide an opportunity for participants engaged at the forefront of this area to discuss problems and challenges and suggest fruitful directions for future research which focus on the emerging requirements of the finance industry.

The speaker panel includes world leaders such as David Heath, Carnegie Mellon University, Stanley R Pliska, University of Illinois at Chicago and many others. All the speakers have achieved distinction through their research contributions and also possess wide experience of real world applications of highly sophisticated quantitative models.