Meielisalp 2011 Conference

5th R/Rmetrics Meielisalp Workshop & Summer School on 
Computational Finance and Financial Engineering


 

   
 
    
   

 

Meielisalp, Lake Thune Switzerland, June 26 - 30, 2011

Workshop Flyer | Program Flyer | Workshop Booklet | Travel Info | Excursion | Poster | Registration (Closed !) | Contact Us

The workshop consists of Summer School-like tutorial sessions and a user/developer meeting. Both focus on topics from "Computational Finance and Financial Engineering" and on the use of R/Rmetrics in finance, insurance and related fields. The morning sessions have tutorials covering topics from quantile regression, wavelet methods, measuring model risk, continuous-time systems, and financial time series analysis. Some of the tutorials incorporate practical exercises. It is a honor to welcome our

Keynote Speaker:

     Professor Brian Ripley, Department of Statistics, University of Oxford, UK

Tutorial Speakers and Topics:

  • Professor Roger Koenker - Topic: Quantile Regression 
    Department of Economics, University of Illinois, Urbana-Champaign, USA
  • Professor Guy Nason - Topic: Wavelet Methods in Statistics
    Department of Mathematics, University of Bristol, Bristol, UK
  • Professor Ganti Prasada Rao - Topic: Continuous-Time Systems
    Inventive Pathways-Management Consultancy, UAE
  • Professor Gerhard Stahl - Topic: Measuring Model Risk
    Talanx Hanover, and University of Hanover, DE
  • Professor Ruey Tsay - Topic: Financial Time Series Analysis
    Booth School of Business, The University of Chicago, Chicago, USA

The afternoon sessions are dedicated to invited and contributed talks and presentations reflecting the wide range of
fields in which R and Rmetrics are used in finance and insurance to analyze and model data. The goal is to bring together students, researchers, developers, practitioners, and users from finance and insurance providing a platform for common discussions and exchange of ideas.

Invited and Contributed Presentations:

  • Mario Annau, Financial Sentiment Analysis, Raiffeisenbank AG Vienna
  • Yohan Chalabi, Risk Modeling with the lambda Distribution, ETH Zurich
  • Heiko Bailer, Long Term Market Study back to 1925, Clariden Leu Zurich
  • Daniele Bianchi, Index-Tracking with Cointegrated Assets, University of Milano
  • Christina Erlwein, Robust Investment Strategies, Fraunhofer ITWM Kaiserslautern
  • Markus Gesman, Motion Charts and Maps in R, Lloyds London
  • Patrick Henaff, Similarity Between Models, University of Brest
  • Ronald Hochreiter, Optimization Using AMPL and R, WU Wien
  • Nataliya Horbenko, Operational Risk, Fraunhofer ITWM Kaiserslautern
  • Tama Ma, Option Pricing with RCpp, ETH Zurich
  • Bernhard Pfaff, Interfacing NEOS from R, Invesco Frankfurt
  • Eckhard Platen, Targeted Pension, University of Technology Sydney
  • Nikolay Robinzonov, Market Uncertainty and Announcements, University of Munich
  • Genaro Succarat, Automated Financial Modeling with R, University of Oslo
  • Tomi Syrja, Spotfire with R in the Finance Space, Tibco Zurich
  • Albina Unger, Robustness of Portfolios, University of Bremen
  • Stefan Wilhelm, Modeling Structured Derivatives, University of Basel
  • Marc Wildi, GARCH-in-Mean Generalization, Zurich University Winterthur
  • Diethelm Wurtz, R/Rmetrics Solver Factory, ETH Zurich
  • Wu Yang, Volatility of High Frequency Data, University of Oxford
    uncomplete list . . .


Participation:
The workshop is limited to about 50 participants, therefore early registration is highly recommended. 

Call for Papers - Topics:
We invite the submission of abstracts presenting innovations or exciting applications covering the whole spectrum of computational topics in finance, insurance and related fields. To submit an abstract, email your pdf file to submissions [at] rmetrics.org. Please keep abstracts to one page. The abstracts will become available in an online abstract booklet. Submission will be considered on a rolling admission basis. 

Scholarship for Students:
A limited number of scholarships are available for full-time Bachelor and Master students which include a reduction on the accommodation fees (total accommodation fees would be 100.00 CHF). Please send a letter of motivation and a recommendation letter from your supervisor to submissions [at] rmetrics.org. Note that only complete applications send from an email address affiliated to a university will be accepted. 

Date:

Registration desks will be open on Sunday June 26, from 4 to 6 pm.
The event ends on Thursday June 30, at 2 pm. 

Organization:

Swiss Federal Institute of Technology, Zurich, and
Rmetrics Association, Zurich and Mumbai 

Conference Chair:
Diethelm Wuertz, Swiss Federal Institute of Technology, Zurich CH

Workshop Committee:
Patrick Henaff, University of Brest, FR
Stefano Iacus, University of Milano, Milano, IT
Mahendra Mehta, Neural Tech Technologies, Mumbai, IN
David Scott, University of Auckland, Auckland, NZ 

Conference Office:
Yohan Chalabi, Swiss Federal Institute of Technology, Zurich CH