Dear Allstat members,

I thought you may be interested in the following workshops next month 
organised by CARISMA (The Centre for the Analysis of Risk and Optimisation 
Modelling Applications) at Brunel University.

Below are brief descriptions and web links for the workshops.

Kind regards

Alec McCutcheon
UNICOM

NOVEMBER FINANCE SERIES FROM CARISMA
http://www.carisma.brunel.ac.uk/forthcomingconf.html
 or www.unicom.co.uk/finance

1.  Financial Innovation & New Structured Products in the Equity World
19-November-2007, Brunel University, West London, UK
http://www.carisma.brunel.ac.uk/forthcomingconf.html
 or www.unicom.co.uk/finance

Presenter: Professor Dilip Madan, Robert H. Smith School of Business, 
University of Maryland / Consultant to Morgan Stanley

This workshop surveys the broad range of products now being traded and 
created in the market for equity investments, including "vanilla cliquet" 
products "swing and reverse swing cliquet" trades; multi-asset structures, 
dispersion products, etc.  It then evaluates a collection of models ranging 
from the traditional jump diffusion, to a number of stochastic volatility 
models, the local volatility model and a recent extension to local Lévy 
models, used by industry in the valuation and regular marking to market of 
these product liabilities. The results of applying a variety of models to 
the valuation of a variety of products including options on realized 
variance are also covered.

2.  Credit & Interest Rate Risk Workshop
27-November-2007, Brunel University, West London, UK
http://www.carisma.brunel.ac.uk/forthcomingconf.html
 or www.unicom.co.uk/finance

Presenters: Mr. Moorad Choudhry, Visiting Professor, London Metropolian 
University; Miss Leela Mitra, CARISMA, Brunel University

The workshop describes the instruments and strategies used to manage credit 
and interest rate risks; infrastructure of the markets; and pricing of 
instruments.  It provides essential background material on debt capital 
markets but also gives an overview of pricing methods. Mathematical models 
are supported by illustrative cases studies, which help translate theory to 
practice. This allows the attendee to gain access to real solutions and 
techniques, which they are then able to implement for their own work.

3. Asset Liability Management/Liability Driven Investment
28-November-2007, Brunel University, West London, UK
http://www.carisma.brunel.ac.uk/forthcomingconf.html
 or www.unicom.co.uk/finance

Presenters: Professor Michael Dempster, Centre for Financial Research, 
Cambridge University / Cambridge Systems Associates; Professor John Mulvey, 
Princeton University;
Dr. Teemu Pennanen, Helsinki School of Economics; Professor Gautam Mitra, Dr 
Cormac Lucas and Ms. Katharina Schwaiger, CARISMA, Brunel University.

In recent years the pension fund industry has adopted tailor-made asset and 
liability management (ALM) strategies, also called Liability Driven 
Investment.  The aim of LDI strategies is to match and outperform a pension 
fund's liability stream and at the same time take into account 
country-specific regulations. This one day in-depth workshop provides 
insight into "what" is the challenging pension problem and "how" to analyse 
it by showing real life problems as well as research-led approaches by 
experts from both academia and industry. Different methodologies and 
strategies including alternative investments (i.e. hedge funds), the latest 
technologies (i.e. optimisation software) and enhancing financial products 
(i.e. longevity bonds, swaps or swaptions) are introduced and discussed. The 
workshop is targeted at quantitative and technical analysts, risk analysts, 
pension fund managers and academics and will be presented in an interactive 
format with ample time for question and answer sessions and discussions.

4. Extreme Value Theory and Copulas
30-November-2007, Brunel University, West London, UK
http://www.carisma.brunel.ac.uk/forthcomingconf.html
 or www.unicom.co.uk/finance

Presenters: Dr. Thorsten Schmidt, University of Leipzig; Ms. Oliwia 
Kozlowska, CARISMA, Brunel University; Mr. Xiaochen Sun, CARISMA, Brunel 
University

Financial risk management confronts us with a real world of heavy-tailed 
risks, rapid changes and complex interdependencies which force us to go 
beyond standard statistical models and simplifying assumptions of normality 
to develop more sophisticated methodologies. EVT is a practical and useful 
tool for modelling and quantifying risk. This workshop provides an overview 
of the role of extreme value theory (EVT) in risk management, as a method 
for modelling and measuring extreme risks.

HOW TO REGISTER:

If you would like to book, you can register online at: 
http://www.unicom.co.uk/registration.asp

Alternatively you can email to [log in to unmask]   for a PDF flier. (The 
events are managed by UNICOM on behalf of CARISMA)

Fees:

1 Day PhD Student - £75.00 + VAT
  2 Day PhD Student - £150.00 + VAT
  3 Day PhD Student - £210.00 + VAT
  4 Day PhD Student - £280.00 + VAT

  1 Day Academics and Researchers - £105.00 + VAT
  2 Day Academics and Researchers - £200.00 + VAT
  3 Day Academics and Researchers - £295.00 + VAT
  4 Day Academics and Researchers - £390.00 + VAT

  1 Day Industry - £395.00 + VAT
  2 Day Industry - £695.00 + VAT
  3 Day Industry - £995.00 + VAT
  4 Day Industry - £1,195.00 + VAT

Alec McCutcheon
UNICOM Seminars Ltd
UNICOM R&D House
One Oxford Road
Uxbridge
UB9 4DA

Direct: +44 (0) 1895 819 475
Swbd: +44 (0) 1895 256 484
Fax: +44 (0) 1895 813 095
www.unicom.co.uk