Financial Engineering and Computational Finance

PDF Document ... Poster ...

The 2nd International R/Rmetrics User and Developer Workshop …
Computational Finance and Financial Engineering

will take place from June 29th -July 3rd, 2008 at Meielisalp, Lake Thune, Switzerland. It will be organized by the "Rmetrics Foundation for Financial Computing" and co-organized by the Swiss Federal Institute of Technology in Zurich, by the University of Economics and Business Administration in Vienna, and by the University of Auckland, Auckland.

The Workshop Focuses on ...

• using R/Rmetrics as the premier open source solution for financial market analysis, valuation of financial instruments, and insurance tasks,
• providing a platform for R/Rmetrics users to discuss and exchange ideas how R and Rmetrics can be used to do computations, data analysis, and visualization in finance and insurance,
• giving an overview of the new features of the rapidly evolving R/Rmetrics project and discussing future developments.

The Program Consists of ...

• presentations of new R/Rmetrics directions and developments through keynote lectures.
• user-contributed presentations reflecting the wide range of fields in which R and Rmetrics are used in finance and insurance to analyze and model data.
• bringing together developers, practitioners, and users from finance and insurance providing a platform for common discussions and exchange of ideas.

The Call of Papers Invites...

all R/Rmetrics users and developers to submit abstracts presenting innovations or exciting applications of R and Rmetrics on topics such as:

• Econometrics, Finance and Insurance
• Portfolio Selection and Optimization
• Valuation of Financial Derivatives
• Extreme Value Theory and Copulae
• FX High Frequency and Time&Sales Data
• Robust Statistics, and related ...

We recommend a length of about one page in pdf format. A program committee decides on acception. There is no proceedings volume, but the abstracts are made available in an online publication.

is a place with a marvelous seminar house located on a sunny terrace facing Lake Thune. You can reach Meielisalp from Basel, Berne or Zurich taking the train to Leissigen via Spiez/Interlaken. From station Leissigen we offer a shuttle transfer to Meielisalp.

The seminar house offers about 30 single and 15 double rooms and a lecture hall for about 60 participants. Internet and WLAN access will be available.

Students can apply for ...

scholarships including an essential reduction of accommodation fees.

Important Dates are ...

• Registration (first come first serve basis) starts on 2008-02-01
• Submission of presentation abstracts ends on: 2008-05-31
• Notification of acceptance of presentation: 2008-05-16

  The Conference starts on Sunday June 29th, 2008. The registration desk
  will open at 15:00, Welcome Apéro starts at 16:30, and Sunday evening
  dinner at 19:00.

Organization ...

Swiss Rmetrics Foundation, Co-Organizers:
Swiss Federal Institute of Technology, Zurich, and
University of Economics and Business Administration, Vienna
The University of Auckland, Auckland.

Web Site: www.rmetrics.org
Mail to: wuertz@phys.ethz.ch

Sponsors ...

ETH Zurich, Finance Online GmbH, Theta AG, ...

Progeam/Conference Chairs ...

Diethelm Würtz, ETH Zurich,
Kurt Hornik, WU Vienna, and
David Scott, University of Auckland, Auckland