Annual Report 2008 Centre for Practical Quantitative Finance

Academic Programmes

Professional Programmes

Seminars

Executive Education

Corporate Programmes & Services

Research

International Advisory

Research

Annual Report 2008Centre for Practical Quantitative Finance

Special Thanks

HSH Nordbank for sponsoring the liquidity project

HSH Nordbank for sponsoring the loan commitment project

Deutsche Börse for sponsoring the operational risk project

Thomson Reuters for sponsoring 13 terminals

TÜV Nord for sponsoring the certification project

Deutsche Börse for sponsoring real time data

Commerzbank for sponsoring the risk day

Research Publications Publications in reviewed journals 56 Publications in other journals 9 Reviewed articles in books 25 Conference- and other Working Papers 19 Books 3 Conferences Presentations at academic conferences 35 Presentations at other conferences 15 Organisation of congresses 1 Editorial and reference work 2

External funding (including corp. education) 921.400Number of conferred doctorates (internal) 2Number of conferred doctorates (external) 0Number of PhD students 13

Teaching Mentoring of thesis 73 Bachelor 37Master/MBA 36Number of courses BA 31Number of courses MA 33Lecturers 20

Introduction

The Centre for Practical Quantitative Finance (CPQF) was founded in

the autumn of 2003. The centre coordinates the research activities

of the Frankfurt School of Finance & Management in the field of

quantitative finance. Numerous projects with banks and investment

companies ensure that research at the CPQF is always focused on

the requirements of financial practice. Thus the cooperation partners

receive high-quality solutions tailored to their problems. Additionally,

valuable ideas from the projects find their way back into the univer-

sity curricula. The interchange thus brings numerous advantages for

research, practice and last but not least our students. The diversity of

research at the CPQF is based upon the broad spectrum of research

interests of the individuals who work at the centre. All professors

contribute various experiences from international financial practice

and, in addition to their research activities, are involved in numerous

industry projects. Thus, the close connections with practical business

experiences constantly generate a fresh flow of ideas, ensuring that

instruction is always up-to date with the current state of financial

industry practice.

In 2008, the quant team was enriched by Dr. Matthias Fengler

as associate research fellow. Patricia Rosa from Brazil joined our

team as a new PhD student. Susanne Griebsch finished her PhD

and is now researching in Australia. Christian Schmaltz and Natalie

Packham will follow with their defence in spring 2009. Carlos Veiga

was awarded the DAAD-Preis for outstanding performance amongst

foreign students. Members of the group demonstrated their teach-

ing capabilities in its Master of Quantitative Finance and the finance

track in the Master of Science. Nearly 70% of the Master students

studying the Master of Science at Frankfurt School are enrolled in

these two programmes. The centre arranged a one-week Winter

School, the so-called Quant Talks and Quant Discussions. Uwe

Wystup organized the MathFinance conference and we will offer a

special PhD conference on mathematical finance. With researchers

from six different nationalities, we enjoyed the lively discussions in

2008 and will continue to do so in 2009.

The centre has six major research groups which present an

overview of their activities in 2008 on the following pages.

Thomas Heidorn

Speaker Centre for Practical Quantitative Finance

3ANNuAL REPoRT 2008

The Quant Group 5

Risk Analytics and Arbitrage Theory 6Research Interests 6Presentations 6Publications 6Awards 6

Capital Markets and Risk Management 7Research Interests 7Social Activities 7Outlook 2009 8Presentations 8Publications 8Corporate Education 10

Credit and Interest Rate Modelling 11Research Interests 11Outlook 2009 11Presentations 12Publications 13Corporate Education 13

Evaluation of Exotic Derivatives 14Research Interests 14Presentations 14

Financial Decision Making and Corporate Finance 15Research Interests 15Outlook 2009 15Publications 16Presentations 16

Financial Engineering and Asset Management 17Research Interests 17Outlook 2009 18Presentations 19Publications 19Awards 20

8th Frankfurt MathFinance Conference (17–18 March 2008) 21

Quant Talks 22

Professionals at Frankfurt School 2008 23

Winter School in Winterberg 2008 24Presentations 25

outlook Conferences 2009 25

Contact 27

Contents

4 ANNuAL REPoRT 2008

The Quant Group

ProfessorsProf. Dr. Heinz Cremers��Prof. Dr. Thomas Heidorn��Prof. Dr. Wolfgang Schmidt��Prof. Dr. Robert G. Tompkins��Prof. Dr. Ursula Walther��Prof. Dr. Uwe Wystup��

Research FellowDr. Matthias Fengler��Dr. Dieter G. Kaiser��

AssistantMarie-Noelle Biemer��

Ph.D. StudentsWalid Bacha��Christoph Becker��Susanne Griebsch��Fiodar Kilin��Natalie Packham��Dimitri Reiswich��Patricia Rosa��Christian Schäffler��Christian Schmaltz��Peter Scholz��Tindaro Siragusano��Carlos M. Veiga��

5ANNuAL REPoRT 2008

Risk Analytics and Arbitrage Theory (Prof. Heinz Cremers)

Research Interests

Risk Analytics Most risk models used by professionals have a one period approach. For understanding the risk of a product, not only the possible value change on a certain day is important, but also the dynamics of these changes in a sequence of periods. Therefore, the dynamic approach for risk is one of our major research areas.

Arbitrage Theory Arbitrage Theory develops models for the evaluation of financial position. As the products have an increasing complexity, the theory has to adapt. Most models are using arbitrage free perfect markets. How evaluation is possible, if one of these assumptions is violated, is our second major task. Especially the problem of increasing complexity is being discussed.

Volatility as an Asset Class Volatility is now considered being a separate asset class. We want to consider the impact of Index variance swaps on portfolios. There are two major effects. On the one hand, this additional risk component can be used to get a better diversification, on the other generating α in a core satellite strategy might be possible.

PresentationsCremers, Heinz: �� Structured Credit. Münster, zeb/rolfes.schierenbeck.associates: Structured Credit 2008, 30.05.08

PublicationsCremers, Heinz; Lünemann, Thilko. “Finanzmathemathik” in: Häberle, Siegfried Georg (ed.): �� Das neue Lexikon der Betriebswirtschaftslehre, München: Oldenbourg Wissenschaftsverlag, 2008, S. 434-438

Cremers, Heinz; Lünemann, Thilko. “Ökonometrie” in: Häberle, Siegfried Georg (ed.): �� Das neue Lexikon der Betriebswirtschaftslehre, München: Oldbourg Wissenschaftsverlag, 2008, S. 931-934

Cremers, Heinz; Vetter, Michael. �� Das IRB-Modell des Kreditrisikos im Vergleich zum Modell einer logarith-misch normalverteilten Verlustfunktion. Frankfurt School of Finance & Management, 2008 (Working Paper Series der Frankfurt School Nr. 102)

AwardsProf. Heinz Cremers was awarded the Professor of Excellence prize for the second time in a row (i.e. since its introduc-��tion), an award presented by the students of Frankfurt School

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Capital Markets and Risk Management(Prof. Thomas Heidorn, Dr. Dieter Kaiser, Patricia Rosa, Christian Schäffler, Christian Schmaltz, Peter Scholz, Tindaro Siragusano)

Research Interests

Alternative Asset Classes In collaboration with Nadeshda Demidova-Menzel, the impact of commodities and especially investment in gold were examined in a project sponsored by Deutsche Börse. The results were published in The Handbook of Commodity Investment. There is a substantial work on hedge funds specifically focusing on their life cycle, which was the central theme of Dr. Dieter Kaiser’s PhD thesis. Also numerous questions on the investment strategy in alternative investments were analyzed; specifically commodities and energy. The question of trading strategies in a behavioural finance context is analyzed by Tindaro Siragusano. The special focus in 2008 was on overlay management, the separation of risk classes in a portfolio.

Liquidity Risk We study liquidity risk in theory and practice. On the theoretical side, Christian Schmaltz finished his doctoral thesis about the optimal management of bank liquidity and will have his defence in spring 2009. We derived a liquidity framework that contains the liquidity variables that are necessary to describe bank liquidity. Within the framework an internal liquid-ity model is set up by assigning specific process assumptions to the liquidity variables. Within the model, we derive a strategy on how liquidity can be optimally managed, and how a transfer system can be set up. Parts of the findings were presented in five papers and on three conferences. These topics were sponsored by HSH Nordbank. Christian Schäffler will pursue the research taking a closer look at the liquidity of assets. On the practical side, we finished a project in a large German Landesbank on the risk management of loan commit-ments and credit lines. The project consisted of the estimation of future expected and quantils drawings as well as of the (internal) pricing of credit lines.

operational Risk Sponsored by Deutsche Bank, Patricia Rosa is analyzing external risk drivers for banks’ operational risk exposure. The special focus will be on the measurement and hedging risks related with the legal losses generated by the IPOs in the USA.

Social Activities

On December 2nd, 2008 our group organized the tradi-tional Santa Claus Volleyball Tournament. Eight teams consisting of students and employees of the Frankfurt School participated.

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7ANNuAL REPoRT 2008

outlook 2009

In 2009, Christian Schmaltz is going to defend his thesis on liquidity management and discuss pricing and optimisation of banks’ liquidity risk. Christian Schäffler will focus on market liquidity and the impact on liquidity modelling. Peter Scholz is working on questions of asset management and especially investment certificates. Patricia Rosa will analyze the operational loss of IPO’s during the .com crisis and identify characteristic patterns for operational risk. Working papers on equity optimisation for banks and the new principles of liquidity management will be published early in 2009. We had many television and newspaper interviews in 2008 (e.g. with Bloomberg, ARD, HR3, Sat 1, YLE TV, SZ, FAZ, Börsen Zeitung, Handelsblatt, DPA, HAZ, Die Zeit) and we will be very pleased to discuss our ideas again in 2009.

Presentations

Heidorn, Thomas: �� Die Evolution des Bond-Managements. Chasing the Yield Pick-up. Düsseldorf: portfolio institutionell Fachforum 2008, 10.04.08Heidorn, Thomas; Schmaltz, Christian: �� Roll Over or Be Rolled Over. Optimale Liquiditätsfristentransforma-tion. Frankfurt School of Finance & Management: Fachkonferenz „Determinanten und Konsequenzen der Finanz-krise“, 17.09.08Heidorn, Thomas; Schmaltz, Christian: �� The Unfunding of Rhineland Funding. Wiesbaden: Liquiditätsmanage-ment 2008, 3. IFF Praxis Forum, 11.-13.11.08Heidorn, Thomas: �� Roll Over or Be Rolled Over. Frankfurt am Main: 4. Risk Forum - Next Generation Risk?, 02.12.08Kaiser, Dieter: �� Die Eignung von Hedgefonds für Privatanleger. Wiesbaden: Bankmagazin Fachkonferenz 2008: Private Banking, 27.11.08Schäffler, Christian: �� Was kostet heute die Liquidität? Wien: Liquidität in Kreditinstituten (IIR Fachkonferenz), 26.-27.11.2008

Publications

Articles in Journals:Heidorn, Thomas;. Schmaltz, Christian “Liquiditätsmodellierung von Kreditzusagen. Term Facilites and Revolver” in: ��Zeitschrift für das gesamte Kreditwesen, 61 (2008), Nr. 15, S. 705-709Heidorn, Thomas; Schmaltz, Christian. “Die neuen Prinzipien für sachgerechtes Liquiditätsmanagement” in: ��Zeitschrift für das gesamte Kreditwesen, forthcomingKaiser, Dieter; Thießen, Friedrich. „Unterliegen Hedgefonds einem Lebenszyklus?“ in: �� FinanzBetrieb, (2008), Vol. 10, Nr. 2, S. 139-160Kaiser, Dieter; Thießen, Friedrich. „Implikationen der Renditedispersion von Hedgefonds bei der Berechnung von ��Performancekennzahlen auf Basis von Hedgefondsindizes“ in: FinanzBetrieb, (2008), Vol. 10, Nr. 6, S. 425-432

Prof. Thomas Heidorn interviewed by Bloomberg


Kaiser, Dieter. “The Lifecycle of Hedge Funds” in: �� Journal of Derivatives and Hedge Funds, (2008), Vol. 14, Nr. 2, S. 127-149Füss, Roland; Hoppe, Christian; Kaiser, Dieter. “Heterogenität von Commodity-Futures-Indizes” in: �� Absolut|report, (2008), Nr. 40, Dezember, S. 48-56Kaiser, Dieter; Lauterbach, Rainer. „Die Rolle von Venture Capital bei Börsengängen“ in: �� Zeitschrift für das gesamte Kreditwesen, (2008), Vol. 61, Nr. 3, S. 118-122

BooksFabozzi, Frank; Roland Füss; Dieter G. Kaiser (ed.). �� The Handbook of Commodity Investing. Hoboken: Wiley, 2008Heidorn, Thomas; Schäffler, Christian. �� Liquiditätsrisiken managen. Eschborn: Management Circle Edition, 2008 (Risikomanagement in Banken, Lektion 7)Heidorn, Thomas. �� Finanzmathematik in der Bankpraxis. 6th edition, Frankfurt: Frankfurt School Verlag (forthcoming)

Chapters in BooksDemidova-Menzel, Nadeshda; Heidorn, Thomas. “The Effect of Gold in a Traditional Portfolio” in: Fabozzi, Frank J..; ��Roland Füss; Dieter G. Kaiser (ed.): The Handbook of Commodity Investing, Hoboken: Wiley, 2008, S. 736-762Engelen, Oliver; Kaiser, Dieter. “A Primer on Energy Hedge Funds” in: Fabozzi, Frank; Roland Füss; Dieter G. Kaiser ��(ed.): The Handbook of Commodity Investing, Hoboken: Wiley, 2008, S. 660-678Fabozzi, Frank; Füss, Roland; Kaiser, Dieter. “A Primer on Commodity Investing” in: Fabozzi, Frank; Roland Füss; Dieter ��G. Kaiser (ed.): The Handbook of Commodity Investing, Hoboken: Wiley, 2008, S. 3-37Fabozzi, Frank; Füss, Roland; Kaiser, Dieter. “The Fundamentals of Commodity Investments” in: Fabozzi, Frank (ed.): ��The Handbook of Finance, Hoboken: Wiley, 2008, S. 594-306Füss, Roland, Kaiser, Dieter; Adams, Zeno. “Macroeconomic Determinants of Commodity Futures Returns” in: Fabozzi, ��Frank; Roland Füss; Dieter G. Kaiser (ed.): The Handbook of Commodity Investing, Hoboken: Wiley, 2008, S. 87-112Füss, Roland; Hoppe, Christian; Kaiser, Dieter. ”Review of Commodity Futures Performance Benchmarks” in: Fabozzi, Frank; ��Roland Füss; Dieter G. Kaiser (ed.): The Handbook of Commodity Investing, Hoboken: Wiley, 2008, S. 169-202Füss, Roland; Kaiser, Dieter; Stein, Michael. „Strategies of Hedge Funds and Robust Bayesian Portfolio Allocation ��in Fixed-Income Markets” in: Hoppe, Christian; Greg N. Gregoriou (ed.): The Handbook of Credit Portfolio Management, New York: McGraw-Hill, 2008, S. 325-348Gruber, Walter; Heuter, Henning; Schäffler, Christian. “Einbettung der Liquiditätssteuerung in die Gesamtbanks-��teuerung” in: Bartetzky, Peter; Walter Gruber; Carsten S. Wehn (ed.): Handbuch Liquiditätsrisiko, Stuttgart: Schäffer-Poeschl, 2008, S. 193-229Heidorn, Thomas; Schmaltz, Christian. “Neue Entwicklungen im Liquiditätsmanagement”, in: Bartetzky, Peter; Walter ��Gruber; Carsten S. Wehn (ed.): Handbuch Liquiditätsrisiko, Stuttgart: Schaeffer-Poeschel, 2008, S. 141-170Kaiser, Dieter; Kreuter, Bernd; Storr, Marcus; Söhnholz, Dirk. “Efficient Implementation of an Alpha Overlay Using an ��Investable Hedge Funds Index” in: Euromoney (ed.): The Portable Alpha Handbook 2008, 2nd edition, London: Euromoney, 2008, S. 35-43Kaiser, Dieter. “Activists” in: Gregoriou, Greg (ed.): �� The Encyclopedia of Alternative Investments, London: Chapman Hall, 2008, S. 5-6Kaiser, Dieter. “Fund of Funds”, in: Gregoriou, Greg (ed.): �� The Encyclopedia of Alternative Investments, London: Chapman Hall, 2008, S. 197-199Kaiser, Dieter. “Lock-Up Periods”, in: Gregoriou, Greg (ed.): �� The Encyclopedia of Alternative Investments, London: Chapman Hall, 2008, S. 272Kaiser, Dieter. “Managed Account Platforms”, in: Gregoriou, Greg (ed.): �� The Encyclopedia of Alternative Invest-ments, London: Chapman Hall, 2008, S. 288-290Kaiser, Dieter. “Selection Bias”, in: Gregoriou, Greg (ed.): �� The Encyclopedia of Alternative Investments, London: Chapman Hall, S. 417-418

9ANNuAL REPoRT 2008

Working PapersHeidorn, Thomas; Kaiser, Dieter; Roder, Christoph. �� Empirische Analyse der Drawdowns von Dach-Hedge-fonds. Working Paper Series der Frankfurt School (forthcoming)Heidorn, Thomas; Pleißner, Mathias. �� Determinanten Europäischer CMBS Spreads. Ein empirisches Modell zur Bestimmung der Risikoaufschläge von Commercial Mortgage-Backed Securities (CMBS). Frankfurt School of Finance & Management, 2008 (Working Paper Series der Frankfurt School Nr. 101)Heidorn, Thomas; Böttger, Marc Sebastian; Guthoff, Anja. �� Loss Given Default Modelle zur Schätzung von Recov-ery Rates. Frankfurt School of Finance & Management, 2008 (Working Paper Series der Frankfurt School Nr. 96)Heidorn, Thomas; Schmaltz, Christian; Almer, Thomas. �� The Dynamics of Short- and Long-term CDS-spreads in Banks. Frankfurt School of Finance & Management, 2008 (Working Paper Series der Frankfurt School Nr. 95)Heidorn, Thomas; Schmaltz, Christian. �� Liquiditätsmodellierung von Kreditzusagen (Term Facilities and Revolver). Frankfurt School of Finance & Management, 2008 (Working Paper Series der Frankfurt School No. 93)Schäffler, Christian; Schmaltz, Christian. �� Market Liquidity: An Introduction for Practitioners. CPQF Working Paper, forthcoming

Corporate Education

In cooperation with the Verband Deutscher Treasurer, the Frankfurt School of Finance & Management offers the Certified Corporate Treasurer VDT®. Prof. Degenhard (Universität Lüneburg) and Prof. Heidorn are the academic heads of this programme. Prof. Heidorn is responsible for all risk management elements. The programme has been running since 2004 and in 2008 the 5th and 6th groups have started.

Prof. Heidorn is the academic head of the HVB Junior Exam Markets and Investment Banking. The first five-module one-year programme for trainees started in 2004. In 2008, we had the 7th and 8th group starting. Prof. Heidorn teaches the modules Fixed Income, Options, and Credit Derivatives. Peter Scholz and Prof. Walther teach Equity Derivatives and Equity Market Analysis. Prof. Hölscher teaches Corporate Analysis.

Prof. Heidorn and Peter Scholz developed and taught a special training programme on equity derivatives for Société Générale.

Prof. Heidorn teaches the modules Credit Portfolio and Credit Derivatives in the professional degree programme Certified Credit Analyst of DVFA (CCrA).

Prof. Heidorn teaches the modules Asset Backed Securities in the professional degree programme Certified International Investment Analyst of DVFA (CIIA).

Peter Scholz taught the module Investment Banking Products within a further education programme of Deutsche Bank AG for a delegation of bankers of Chinese Hua Xia Bank.

Memberships:Prof. Heidorn is a member of:Deutsche Gesellschaft für Finanzwirtschaft (DGF)Portfolio Institutionell Awards (head of scientific advisory council)Deutscher Verband vermögensberatender Steuerberater (DVVS) (scientific advisory council)Deutsche Vereinigung für Finanzanalyse und Asset Management (DVFA) Reuters Innovation Award Committee


Credit and Interest Rate Modelling (Prof. Wolfgang Schmidt, Christoph Becker, Natalie Packham)

Research Interests

Modelling of credit spread dynamics We are interested in approaches to default modelling that use the credit spread dynamics as primary starting point. Of particular interest are models incorporating jumps in credit spreads. Applications are the quantification of gap risks.

Modelling state dependent correlation Dependencies are not static but are dependent on states of the world. We investigate modelling of state dependent correlation and its applications in liquid security markets. Applications we have in mind include risk assessment, relative value relationships between index and single name products.

Consistent interest rate modelling in the LIBoR market model We pursue a rate dependent correlation approach to consistent modelling of the cap and swaption market in the framework of a Libor-market model (LMM). Further interest includes modelling the smile in the Libor Market Model.

A new approach to stratified sampling in high dimensions We propose a method for stratified sampling from the joint distribution of several random variables. Contrary to existing methods, such as Latin Hypercube Sampling, we do not require the random variables to be independent. We prove that the resulting estimator is asymptotically unbiased and consistent. Applications in Finance include the valuation of basket products by Monte Carlo methods.

outlook 2009

In 2009 we will finish a paper (Natalie Packham together with Lutz Schloegl, Wolfgang Schmidt) with the results from the PhD work of Natalie Packham concerning point 1. In 2009 we will continue the study of credit spread dynamics in various directions; amongst them:– conditions on the spread dynamics that ensure the existence/uniqueness of a corresponding default model,– modelling spread dynamics with jumps and their impact on the valuation and risk assessment for products with gap

risks.For some approaches concerning the last item we plan a collaboration with Dr. Martin Hellmich and Stefan Kassberger from Deka Bank. Christoph Becker and Wolfgang Schmidt will work in collaboration with Robert Tompkins on approaches to state depend-ent correlation. Our approach will be applied to various liquid security markets (e.g. equity, FX). Methods developed by Yacine Aît-Sahalia will be used for statistical inference of those dependencies. Applications we have in mind include for example the impact on portfolio risk measures like VaR and the relationship between index and single name products.

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11ANNuAL REPoRT 2008

Christoph Becker will finish his work on reconciling the cap and swaption market by modelling the instantaneous correlation of Libor rates as dependent on the actual yield curve. This project is also closely related to the project in state dependent correlation modelling. It is critical to test the theoretical approach on empirical yield curve data.The main theoretical work on stratified sampling in high dimensions has been finished successfully in 2008 but needs publication in appropriate journals. In 2009 we will explore further fields of application for our new technique.

Presentations

Becker, Christoph: �� Introduction to Libor Market Models. Fraunhofer Institut für Techno- und Wirtschaftsmath-ematik, Kaiserslautern, 08.04.08Becker, Christoph: �� Consistent pricing of caps & swaptions in the Libor Market Model. TU Berlin: Dok-torandentreffen Stochastik, 06.09.08Packham, Natalie: �� Introduction to Credit Derivatives. IUP Nancy, France: Finance Master Programme (ERASMUS teaching programme), May 2008Packham, Natalie; Schmidt, Wolfgang: �� Monte Carlo Variance Reduction. A New Universal Method for Multivariate Problems. Maribor, Slowenien: Eurobanking Conference 2008, 18.-21.05.08Packham, Natalie: �� Latin Hypercube Sampling with Dependence. Dublin: Numerical Methods for Finance Conference, 04.-06.06.08Packham, Natalie: �� Modelling credit dynamics. A tractable first-passage time model with jumps. Paris: European Summer School in Financial Mathematics, École Polytechnique, 07.-14.09.08Packham, Natalie: �� Latin hypercube sampling with dependence and applications in finance. Kaiserslautern: Kolloquium des Fraunhofer ITWM, 22.09.08Packham, Natalie: �� Modelling credit dynamics. A tractable first-passage time model with jumps. Konstanz: International Conference on Price, Liquidity and Credit Risk, 03.-04.10.08Packham, Natalie: �� Latin hypercube sampling with dependence and applications in finance. New Jersey: SIAM Conference on Financial Mathematics & Engineering, 21.-22.11.08Packham, Natalie: �� Latin hypercube sampling with dependence and applications in finance. Graduierten-kolleg der Fakultät für Mathematik und Wirtschaftswissenschaften, Universität Ulm: Modellierung, Analyse und Simulation in der Wirtschaftsmathematik, 28.11.08Packham, Natalie: �� Modelling credit dynamics. A tractable first-passage time model with jumps. Karls-ruhe: 11th Symposium on Finance, Banking, and Insurance, 17.-19.12.08Schmidt, Wolfgang: �� Default Swaps and Hedging Credit Baskets. Fraunhofer Institut für Techno- und Wirtschafts mathematik, Kaiserslautern, 18.06.2008Schmidt, Wolfgang: �� Modeling Challenges for Credit Derivatives. Frankfurt: Deka Bank, 20.03.08


Publications

Articles in JournalsBecker, Christoph; Wystup, Uwe. “On the Cost of Delayed Currency Fixing Announcements“ in: �� Annals of Finance, (2008), pre-print version “online first”

Chapters in BooksSchmidt, Wolfgang; Ward, Ian. „Pricing Default Baskets“ in: Lipton, Alexander (ed.): �� Theory and Practice of Credit Risk Modelling, London: RiskBooks, 2008, S. 161−173

Working PapersBecker, Christoph; Wystup, Uwe. �� Was kostet eine Garantie? Ein statistischer Vergleich der Rendite von langfristigen Anleihen. Frankfurt School of Finance & Management, 2008 (CPQF Working Paper Series No. 8)Packham, Natalie; Schmidt, Wolfgang. �� Latin hypercube sampling with dependence and applications in finance. Frankfurt School of Finance & Management, 2008 (CPQF Working Paper Series No. 15)

Corporate Education

Wolfgang Schmidt:Various Seminars for IRR Deutschland and the Center for Financial Studies on “Zinsprodukte: Analyse und Bewertung”

Memberships:

Wolfgang Schmidt: Bachelier Finance SocietyMember of the Advisory Boards of the International Faculty of FinanceAssociate Editor of Finance and Stochastics, Springer VerlagMember of the Editorial Board of the Journal of Applied Mathematics

Natalie Packham: Bachelier Finance SocietyDGF (Deutsche Gesellschaft für Finanzwirtschaft)Gesellschaft für Informatik


Evaluation of Exotic Derivatives(Prof. Robert Tompkins, Walid Bacha)

Research Interests

VolatilityPricing, Hedging and Trading of Volatility/Variance Derivatives

Returns in non-trades periodsEvaluation of Return Processes for non-trades periods

Drift AdjustmentsEmpirical Drift Adjustments between the Real and Risk Neutral Worlds

Default ProbabilitiesAlternative Structural Approaches to Determination of Firm Default Probabilities

Presentations

Tompkins, Robert: �� Volatile Days and Jumping Nights, Hebrew University of Jerusalem, Israel: Finance Seminar, 24.-28.02.2008

Memberships:Robert Tompkins is a:Member of American Finance AssociationMember of the European Finance AssociationMember of the Institute of Directors (UK)Member of the Bachelier Finance AssociationEditorial Board, The Journal of InvestingAssociate Editor, The European Journal of Finance

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Financial Decision Making and Corporate Finance(Prof. Ursula Walther)

Research Interests

Financial Decision Making and Intermediation Financial models predominantly rest on the assumption of decision making according to rational choice theory. New find-ings in neurobiology and the social sciences provide deeper insight into the principles and processes that govern actual decision making, thereby altering our understanding of how decisions are made. In cooperation with Friedrich Thiessen, TU Chemnitz, we explore how these findings can be applied to financial decision making and intermediation theory. In particular, we try to incorporate new aspects of decision making into models of financial decision making and intermedi-ated financial markets.

Risk Allocation and Risk Capital in Financing SolutionsThe allocation of project/business risk by appropriate financing instruments and the provision of sufficient risk capital are core elements of any financing solution. We analyze how instruments reflect risk characteristics, investor preferences and the market situation. A special focus lies on SME financing and Public Private Partnerships (PPP).

Time Aspects in Financial Risk ManagementThe particular relevance of time is characteristic for many financial decisions. We consider time as a risk component in saving and financing activities and analyze interest rate risk in a time-oriented interpretation, especially when the time horizon is very long.

Enzyklopädisches LexikonIn 2007 the new edition of Knapps Enzyklopädisches Lexikon des Geld, Bank- und Börsenwesens was finished and has already been published. The encyclopaedia – for the first time conceptually designed as a CD ROM – offers structured access to 300 articles written by more than 200 different authors, supplemented by a high number of short contributions. Altogether more than 1,000 keywords are covered.

outlook 2009

In 2009 we will continue our work on neurobiologically-based decision making and plan to contribute to appropriate research conferences. Additionally, we want to combine the material in a book. Ongoing projects on time aspects of housing finance are to be developed and finished. We also will continue research on SME financing and long term inter-est rates.

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Presentations

Walther, Ursula: �� How long does it take to finance a privately owned home? A six variable model, Universität Augsburg: Operations Research 2008, 03.-05.09.2008Walther, Ursula: �� Measuring equity similarity by market price sensitivity of financial instruments, Yerevan, Armenien: ICAOR 2008 Conference, 15.-17.09.2008

Publications

Articles in JournalsThießen, Friedrich; Ursula Walther. “Zur Fehlbewertung einer Gruppe europäischer Hybridanleihen mit erheblichen ��Schäden für die Anleger” in: ZBB, 20 (2008), 5, S. 346-355

Chapters in BooksHundt, Irina; Ursula Walther. “Mezzanine Finanzierung – Formen, Verträge, steuerrechtliche und bilanzielle Behand-��lung“ in: RKW-Handbuch Führungstechnik und Organisation, Berlin: Erich Schmidt Verlag, 2008.Kern, Andreas; Ursula Walther. “Measuring Equity Similarity by Market Price Sensitivity of Financial Instruments“ in: ��Sheibani, Kaveh (ed.). Proceedings of the 1st International Conference on Applied Operations Research (Lecture Notes in Management Science Vol. 1), Tehran: Tadbir Institute for Operational Research, Systems Design and Financial Services, 2008.

Memberships: Prof. Walther is a member of the DGF, Deutsche Gesellschaft für Finanzwirtschaft /German Finance Association and the GOR, Gesellschaft für operations research.


Financial Engineering and Asset Management(Prof. Uwe Wystup, Ingo Beyna, Susanne Griebsch, Fiodar Kilin, Dimitri Reiswich, Carlos Veiga, Dr. Matthias Fengler)

Research Interests

Valuation of Faders and Discrete Barrier options in Heston's Stochastic Volatility Model We focus on closed-form option pricing in Heston’s stochastic volatility model, where closed-form formulas exist only for a few option types. Most of these closed-form solutions are constructed from characteristic functions. We follow this closed-form approach and derive multivariate characteristic functions dependent on at least two spot values for different points in time. The derived characteristic functions that are then used as building blocks to set up (semi-) analytical pricing formulas for an exotic option with payoffs depending on a discrete spot path sample, such as fader options and discretely monitored barrier options. Within the Heston model we compare our results with different numerical methods and examine accuracy and computational times. This is part of Susanne Griebsch’s PhD thesis. The first quantitative doctorate degree has been awarded to Susanne Griebsch in June 2008. She has taken up a post-doc position at Sydney University of Technology and will be working in the team of Prof. Carl Chiarella.

Investment Strategies and Fee Structures in Riester Pension We compare different investment concepts and give valuable information for millions of Riester saving plans.

Structured products rating In Europe and around the world there is a growing galaxy of securities and contracts issued and written by financial institutions whose purpose is to offer a customized risk/return profile that suits investors’ preferences. These so-called structured products are linked to diverse underlying assets and are used by private and institutional investors alike. The agreement between issuer and investor these products constitute is generally imbalanced and biased in favor of the issuer. Apart from payment-like obligations as redemption amount, coupon payment, early exercise, etc., that are clearly stated in the term sheet and constitute binding commitments, in general, there are no binding commitments to regulate the interactions between both parties in the remaining moments of the product’s life-cycle. Even when they exist, they tend to be too incipient to balance the agreement. The research is focused on the agreement’s balance over the full life-cycle of the structured product to produce a rating scheme. This is part of Carlos Veiga’s PhD thesis.

Closed formulas for exotic options The research is developed in the context of the Black-Scholes model and aims for the development of closed formulas for fast and accurate pricing of a general class of exotic options. This is part of Carlos Veiga’s PhD thesis.

The Cost of Poor Volatility Modelling We have conducted pricing and hedging experiments in order to check whether simple stochastic volatility models are capable of capturing the forward volatility and forward skew risks correctly. As a reference we have used the Bergomi model that treats these risks accurately per definition. Results of our experiments show that the cost of poor volatility modeling in the Heston model, the Barndorff-Nielsen-Shephard model and a Variance-Gamma model with stochastic arrival is too high when pricing and hedging cliquet options. This is part of Fiodar Kilin’s PhD thesis.

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Forward-Start options in the Barndorff-Nielsen-Shephard Model We derive a semi-analytical formula for pricing forward-start options in the Barndorff-Nielsen-Shephard model. In terms of computational time, this formula is equivalent to one-dimensional integration. This is part of Fiodar Kilin’s PhD thesis.

Empirical Analysis of Extrapolation Techniques for FX Volatility Smiles We study the quality of extrapolation techniques for FX volatility smiles. These techniques provide a method to extrapo-late out of the money volatilities from quoted at the money, 25D and −25D volatilities. The quality of the extrapolations is tested empirically by using linear regression and descriptive statistics. This is followed by an empirical analysis of the hedging performance of the Vanna-Volga method compared to other smile consistent models for barrier options. In addition to the classical Vanna-Volga method, we plan to include the hedging performance of the Vanna-Volga method patented by Superderivatives in the United States. The research activities following this project are planned to be more focused on the theoretical justification and analysis of the Vanna-Volga method and will not be based on empirical work. This is part of Dimitri Reiswich’s PhD thesis.

Efficient Calibration Techniques for Term-Structure Models We analyse the performance of various calibration tools for term-structure models. This is part of Ingo Beyna’s PhD thesis.

The Exact Modeling of Dividend Payments in Equity Derivatives We developed a closed-form solution approach to accurately model the impact of dividend payments for equity options trading. This is part of Carlos Veiga’s PhD thesis.

outlook 2009

We will further develop the structured products rating, which we consider an essential help for the buy-side. Persistent criticism of structured products, certificates and their issuers by consumers and media requires a scheme that establishes a basis of trust of consumers. We will follow up the empirical analysis of hedging an FX options portfolio subject to conditions of a financial crisis, examine issues of numerical stability. We will also extend our research on the efficient cali-bration of term structure models, and hedging of exotic options under stressed markets. Many working papers will have to be submitted or revised. The Wiley Encyclopaedia of Quantitative Finance is expected to appear in 2009. It contains many sections contracted to Uwe Wystup. We expect Fiodar Kilin to complete his PhD during 2009. Many quantitative master theses will have to be guided by our team and we expect to be very busy with teaching.


Presentations

Griebsch, Susanne: �� Pricing of Exotic Options in the Heston Model, Sorbonne, Paris: 14th International Confer-ence on Computing in Economics and Finance, 26.-28.06.08Kilin, Fiodar; Morton Nalholm; Uwe Wystup: �� On the Cost of Poor Volatility Modeling, New Brunswick, USA: SIAM Conference on Financial Mathematics & Engineering, 21.-22.11.08Kilin, Fiodar: �� Accelerating the Calibration of Stochastic Volatility Models. Frankfurt School of Finance & Management: Frankfurt MathFinance Conference, 17.-18.03.08Veiga, Carlos: �� Closed Formula for Options with Discrete Dividends and its Derivatives, London: Fifth World Congress of the Bachelier Finance Society, 15.-19.07.08Wystup, Uwe: �� Pricing of First Generation Exotics with the Vanna-Volga Method: Pros and Cons. Carnegie Mellon University, USA: Probability and Mathematical Finance Seminar, 10.11.08Wystup, Uwe: �� Pricing of First Generation Exotics with the Vanna-Volga Method: Pros and Cons. Mathematics Research Institute, University of Warwick: Workshop on Computational Methods for Pricing and Hedging Exotic Options, 11.-12.07.08 (keynote speaker)Wystup, Uwe: �� Was kostet der Vollkaskoschutz den deutschen Anleger? Frankfurt School of Finance & Mana-gement: Fachkonferenz “Finanz- und Vermögensberatung 2008 - Financial- und Estate Planning im Private Banking und Wealth Management”, 11.06.08Wystup, Uwe: �� On the Cost of Poor Volatility Modeling – The Case of Cliquets. Carnegie Mellon University, USA: Probability and Mathematical Finance Seminar, 21.04.08Wystup, Uwe: I�� st die Einführung der Riester-Rente vor allem ein Geschenk an die Finanzindustrie? – Gebühren vs. Zulagen, Investmentansätze, Verbraucherinformationen. Frankfurt School of Finance & Management: Frankfurt School im Dialog mit Walter Riester, 12.03.08

Publications

Articles in JournalsBecker, Christoph; Uwe Wystup. “On the Cost of Delayed Currency Fixing Announcements” in: �� Annals of Finance, (2008), pre-print version “online first”

Chapters in BooksGriebsch, Susanne; Christoph Kühn, Uwe Wystup. “Instalment Options: A Closed−Form Solution and the Limiting ��Case” in: Sarychev, A., et al. (ed.). Mathematical Control Theory and Finance, Heidelberg: Springer, 2008, S. 211-229Wystup, Uwe. “Darstellung des Forschungsschwerpunktes Quantitative Finance”, in: Müller, Klaus-Peter; Udo Steffens ��(ed.): Die Zukunft der Finanzdienstleistungsindustrie in Deutschland, Frankfurt am Main: Frankfurt School-Verlag, 2008, S. 205-208Wystup, Uwe et al. Chapters in: Cont, Rama (ed.): �� Encyclopedia of Quantitative Finance, Chichester: Wiley (forthcoming)


Working PapersBecker, Christoph; Uwe Wystup. �� Was kostet eine Garantie? Ein statistischer Vergleich der Rendite von langfristigen Anleihen. Frankfurt School of Finance & Management, 2008 (CPQF Working Paper Series No. 8)Griebsch, Susanne; Wystup, Uwe. �� On the Valuation of Fader and Discrete Barrier Options in Heston’s Stochastic Volatility Model. Frankfurt School of Finance & Management, 2008 (CPQF Working Paper Series Nr. 17)Hakala, Jürgen; Uwe Wystup. �� FX Basket Options. Frankfurt School of Finance & Management, 2008 (CPQF Working Paper Series Nr. 14)Kilin, Fiodar; Martin Keller-Ressel. �� Forward-Start Options in the Barndorff-Nielsen-Shephard Model. Frankfurt School of Finance & Management, 2008 (CPQF Working Paper Series Nr. 18)Kilin, Fiodar; Morton Nalholm; Uwe Wystup. �� On the Cost of Poor Volatility Modeling. CPQF Working Paper (forthcoming)Veiga, Carlos; Uwe Wystup. �� Closed Formula for Options with Discrete Dividends and its Derivatives. Frankfurt School of Finance & Management, 2008 (CPQF Working Paper Series No. 16)Weber, Andreas; Uwe Wystup. V�� ergleich von Anlagestrategien bei Riesterrenten ohne Berücksichtigung von Gebühren. Eine Simulationsstudie zur Verteilung der Renditen. Frankfurt School of Finance & Manage-ment, 2008 (CPQF Working Paper Series No. 13)Weber, Andreas; Uwe Wystup. �� Riesterrente im Vergleich. Eine Simulationsstudie zur Verteilung der Renditen. Frankfurt School of Finance & Management (CPQF Working Paper Series No. 12)Wystup, Uwe. �� Vanna-Volga Pricing. Frankfurt School of Finance & Management (CPQF Working Paper Series No. 11)Wystup, Uwe. �� Foreign Exchange Quanto Options. Frankfurt School of Finance & Management, 2008 (CPQF Working Paper Series No. 10)Wystup, Uwe. �� Foreign Exchange Symmetries. Frankfurt School of Finance & Management, 2008 (CPQF Working Paper Series No. 9)

Awards

Carlos Veiga was awarded the DAAD-Preis for outstanding performance amongst foreign students.��Prof. Uwe Wystup was awarded a Fulbright Grant for a Visiting Professorship at the Carnegie Mellon University, ��Pittsburgh, Pennsylvania, USA. He spent the whole winter term 2008 there.

Memberships:Uwe Wystup is a Member of the Investment Advisory Board of the Foundation Erinnerung, Verantwortung und ZukunftMember of the MiFiD Advisory Board of Bankhaus Metzler Editorial Board, Annals of Finance (Springer)Editor, The MathFinance Newsletter


8th Frankfurt MathFinance Conference 17–18 March 2008

Derivatives and Risk Management in Theory and Practice

The conference was intended for practitioners of the areas of trading, quantitative or derivative research and risk and asset management as well as for academics studying or researching in the field of financial mathematics or finance in general. The talks during the two days of the workshop covered a broad range of current topics and were presented by internationally known academics and practitioners.

List of speakers

Prof. Claudio Albanese Independent ConsultantDr. Alexander Antonov NumerixDr. Oliver Caps Dresdner BankDr. Jürgen Hakala Standard CharteredDr. Markus Himmerich d-fineFiodar Kilin Quanteam AGDr. Sven Ludwig SungardProf. Antje Mahayni University of Duisburg-EssenDr. Jan Maruhn UniCredit Markets & Investment BankingProf. Hans Mittelmann Arizona State UniversityHåkan Norekrans SungardAndrea Odetti CommerzbankProf. Goran Peskir University of ManchesterDr. Kay Pilz Sal. OppenheimProf. Eckhard Platen Sydney University of TechnologyProf. Rolf Poulsen University of CopenhagenDr. Dietmar Schölisch AXASanjeev Shukla CommerzbankDr. Jianwei Zhu LPA

The Frankfurt MathFinance Conference was organised by MathFinance and sponsored by Commerzbank AG, Financial Engineering Team��d-fine GmbH��Lucht Probst Associates GmbH��NumeriX Software Ltd.��Quanteam AG��SciComp Europe��SunGard Sal. Oppenheim jr. & Cie. KGaA, Trading & Derivatives��

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Quant Talks and Discussions

Becker, Christoph (Frankfurt School): �� Consistent pricing of caps & swaptions in the Libor Market Model, 22.10.08Kruse, Susanne (University of Applied Sciences, Bonn): �� Pricing Inflation Options, 07.02.08Meucci, Attilo (Lehmann Brothers New York & New York University): Advanced Portfolio and Risk Management, ��04.-06.06.08Müller, Stefanie (University of Kaiserslautern): T�� he Decoupling Approach to Binomial Pricing for Multiasset Options, 06.11.08Packham, Natalie (Frankfurt School): P�� anjer Recursion, 24.04.08Pechtl, Andreas (LBBW): �� Occupation Time of a Brownian Bridge with Drift, 25.06.08Reiswich, Dimitri (Frankfurt School): �� An Empirical Analysis of Extrapolation Techniques for FX Volatility Smiles, 19.11.08Schmaltz, Christian (Frankfurt School): �� A Quantitative Liquidity Model for Banks, 03.12.08Spending, Bernd (HVB): �� Exotische Optionen in Theorie und Praxis, 27.11.08Platen, Eckhard (University of Technology Sydney): �� A Benchmark Approach to Quantitative Finance, 15.03.08Veiga, Carlos (Frankfurt School): �� Closed formula for pricing options with discrete dividends and its deriva-tives, 25.06.08

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Professionals at Frankfurt School 2008

Aufsatz, Christian; Lenhard, Martin; Moldenhauer, Oliver (Moody’s Investors Service): �� Securisation. Frankfurt School, 17. and 03.11.08Golan, Götz (Equinet): Backstage: �� Challenges and factors for success of a small Investment Bank. Frankfurt School, 03. and 07.11.08Heidinger, Michael (Allianz Global Investors): �� Fonds Management, Frankfurt School, 06.12.08Heise, Andreas (Deutsche Bank): �� Liquidity Risk Management at Deutsche Bank. Frankfurt School, 10. and 14.11.08Hübner, Robert (Deutsche Bank): �� Operational Risk Management. Frankfurt School, 04.10 and 22.10.08Kaiser, Dieter (Feri): �� A Primer on Hedge Funds. Frankfurt School, 23. and 30.10.08Karels, Ralph (DEKA Investment): �� Praxis des Asset Managements; Risikomanagement; Performance-Messung und Performance-Attribution. Guest lectures in the Bachelor’s Asset Management course, WS 08/09Koch, Werner (cominvest): �� Consistent Return Estimates: The Black-Littermann Approach. Frankfurt School, 30.10.08Kolbeck, Dirich; Pitsch, Daniel (Morgan Stanley): �� EUR Steepender Trades. Frankfurt School, 29.05.08Korbmacher, Martin (Credit Suisse): �� Investment Banking Sales. Frankfurt School, 31.10.08Nagel, Reinhard; Rapp, Steffen (Deutsche Bank): �� Commodities as an Asset Class. Frankfurt School, 31.10.08Nagel, Reinhard; Zschieschang, Katja (Deutsche Bank): �� Structured Commodity Trade Finance. Frankfurt School, 04. and 07.11.08Otto, Stefan (Commerzbank): �� Auf dem Weg zur besten Mittelstandsbank. Frankfurt School, 24. and 28.11.08Oriwol, Diethard (Helaba): �� Sparkassen-Kreditbasket IV. Frankfurt School, 06.12.08Redder Stefan (Postbank): �� Investmentbanking Sales 24.10.08Rühmer, Christian (WestLB): �� Portfolio Management and the Transformation of Lending. Frankfurt School, 08.01.08Thiessen, Andreas (Deutsche Bank): �� Bank Capital Management. Frankfurt School, 08.12.08Traughber, Patrick (DZ Bank): �� Strategische Asset Allocation auf Gesamtbankebene. Frankfurt School, 06.12.08Safran Robert (Schalast & Partner): �� Der deutsche NPL-Markt: Rechtliche Gesichtspunkte. Frankfurt School, 06.12.08Sanddorf-Köhle, Walter (das wirtschaftsseminar): �� Arbitrage- und Gleichgewichtsmodelle. Frankfurt School, 18.10.08Speyerer, Helmut (DWS Investment): �� Asset Allocation. Frankfurt School, 06.12.08Stojkovic, Sladjana (Helaba): �� Distressed-Assets-Plattform der Helaba. Frankfurt School, 06.12.08

Commerzbank Day, 2008

On November 8th, 2008 the Commerzbank was guest at Frankfurt School and, for the second time, sponsored an event on the topic of Risk Management in banks. Presentations included:– Structured Finance Products – Demanding Challenges for Risk Management (Dirk Wilhelm Schuh)– Structured Financing of Commercial Real Estate Assets (Thomas Köntgen)– Modern Forecast in the Crisis!? (Jörg Erlebach)– Financial Market Crisis (Wolfgang Hartmann)

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Winter School in Winterberg 2008

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Since the first Winter School of the Quant Centre in Winterberg in 2007 was so successful, we again chose this location for our second Winter School from February 11th to 15th, 2008.The Winter School is a platform that brings together professors and PhD students. Not only members of the Quant Centre are invited, though. This time, we had guests from the Justus-Liebig-University, Gießen. While the professors presented interesting topics that helped to get insights beyond one’s own experience, the PhD students had the chance to discuss their ideas and research very intensively. We enjoyed lively debates and challenging questions. Due to the intellectual audience many topics could be discussed from different angles. The limited number of participants ensured that everyone could hold a talk and all questions could be discussed in detail. The presentations were held in the morning (from 9 am to noon) and in the afternoon session (from 5-7 pm). In the long lunch break we had the chance to pursue sports activities such as skiing, hiking and tennis.All participants share the opinion that the week was very inspiring. Many returned to Frankfurt and Gießen with a list of new ideas and hints for improving their work. Based on the success, the third Winter School has been scheduled for February 2009. This time it will take place on the Feldberg near Freiburg. We are sure it will be yet another research and social highlight as it was this year.

Christian Schmaltz & Natalie Packham,

Winter School Winterberg 2008


Presentations held at Winter School 2008:

Becker, Christoph: �� Smile modelling in Libor Market Models. 11.02.08Packham, Natalie: �� Modelling credit dynamics. 12.02.08Reiswich, Dimitri: �� Numerical Solutions of Stochastic Differential Equations. 15.02.08Schäffler, Christian: �� Introduction into Market Liquidity Risk. 13.02.08Schmaltz, Christian: �� Optimal Liquidity Management for Banks. 13.02.08Schmidt, Wolfgang: �� Correlation in Credit Models. 12.02.08Scholz, Peter: �� Analyzing Investment Certificates by Monte Carlo Simulation. 14.02.08Veiga, Carlos: �� Closed Formula for Options with Discrete Dividends. 14.02.08Walther, Ursula: �� Time Aspects in Decision Making. 11.02.08Wystup, Uwe: �� At-the-Money Conventions. 13.02.08


Outlook Conferences 2009

We are planning a conference for PhD students in March 2009, which focuses on topics in mathematical finance that are closely related to our research interests. This conference will differ in various respects from other conferences in this area: more time for every speaker, a very small number of participants, the task to referee somebody else’s work, and professors in the audience, shall stimulate deep discussions on current research projects. The conference will take place at the Frankfurt School.

The PhD students’ conference almost directly follows the 9th Frankfurt MathFinance Conference which will be held from March 23rd to 24th, 2009. The conference will again look at “Derivatives and Risk Management in Theory and Practice“.


Frankfurt School of Finance & ManagementCentre for Practical Quantitative FinanceSonnemannstraße 9–1160314 Frankfurt am Main

Marie-Noelle BiemerAssistant CPQFTel.: +49-69-154008-734Fax: [email protected]

ProfessorsProf. Dr. Thomas HeidornDirector CPQFTel.: [email protected]

Prof. Dr. Heinz CremersTel.: [email protected]

Prof. Dr. Wolfgang SchmidtTel.: [email protected]

Prof. Dr. Robert TompkinsTel.: [email protected]

Prof. Dr. Ursula WaltherTel.: [email protected]

Prof. Dr. Uwe WystupTel.: [email protected]

Internal PhD studentsChristoph BeckerTel.: [email protected]

Susanne [email protected]

Natalie PackhamTel.: [email protected]

Dimitri ReiswichTel.: [email protected]

Patricia RosaTel.: [email protected]

Christian [email protected]

Peter ScholzTel.: [email protected]

External PhD studentsWalid [email protected]

Ingo [email protected]

Fiodar [email protected]

Christian Schä[email protected]

Tindaro [email protected]

Carlos [email protected]

Associate Research FellowsDieter G. Kaiserdieter.kaiser@ fs-researchfellows.de

Dr. Matthias Fenglermatthias.fengler@ fs-researchfellows.de

Contact


Sonnemannstraße 9–11

60314 Frankfurt am Main

Telefon: 069 154008-0

Telefax: 069 154008-650

[email protected]

frankfurt-school.de

Annual Report 2008 Centre for Practical Quantitative Finance

Documents

Transcript of Annual Report 2008 Centre for Practical Quantitative Finance