[Quantlib-dev] Anyone else going to TCFA or FEA 2006?

[Joseph W. <jo...@gn...>]

Hi all,

I'll be travelling to Cambridge MA and NYC from 10/6 to 10/15.  I'll
be attending the Chinese Financial Association conference at MIT
followed by the Financial Engineering Applications conference there,
and then I'll be travelling to NYC for where I'll be attending the
nightly seminars at NYU and Columbia.

I was wondering if anyone on this list will also be present there.  

The things I'm working on right now are:

1) I'm trying to construct a model of Shanghai warrants using Levy
   processes, and this involves adding a fairly large chunk of code
   into QuantLib to handle PIDE's and FFT's.  One specific problem
   that I have right now is that I'm trying to figure out how to use
   period minimum and maximum information to calibrate an option
   model.

2) I'm also interested in finding out what is being done with models
   of CNY non-deliverable swaps and non-deliverable options.  In 
   particular, now that the renminbi is being gradually unpegged, I'm
   curious what work is being done in modelling RMB exchange rates.  In
   particular, I have a sense that the People's Bank of China is
   arranging the rates to make arbitrage intentionally difficult.  The
   other thing that I'm curious about is how the coorelation between
   interest rates and exchange rates is being handled.

3) I have some thoughts on the long term general direction of Chinese
   industrial reform.  In particular, I think one model for Chinese
   state ownership of industrial corporations is to move toward a
   "fund model" in which state agencies own and manage a portfolio of
   enterprises in much the same way that state in the United States
   pension funds manage their holdings.  The way to develop this would
   be swaps between government entities to diversify ownership, and
   also mergers and accquisitions in which small enterprises would be
   ammalgamated into larger ones.  Needless to say, this would call
   for expertise in fund management, mergers and accquisitions, which
   would present some opportunities for investment banks with that
   sort of experience.

4) On something completely different, if anyone has any ideas for how
   to develop wikis in Mainland China and deal with the wikipedia
   block, let me know.

5) Finally, I'd be interested in thoughts that anyone has on the
   market for quantitative analysts with interest/expertise in Chinese
   markets.

Other random bits of information that would be useful to me

a) a place in the United States to buy Chinese language books on PRC
law and securities or books in general 
b) good introductions to German industrial and securities law

Anyway if anyone is interested in these lets, just drop me an e-mail,
or if anyone is really interested, my cell phone is listed on my home
page......

Thanks

Joseph
http://www.gnacademy.org/joe
http://twofish.wordpress.com/