Meielisalp 2010 Conference

1st R/Rmetrics Summer School and 4th User/Developer Meeting on
Computational Finance and Financial Engineering


Meielisalp, Lake Thune Switzerland, June 27 - July 1, 2010

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The Summer School and User/Developer Meeting focuse on topics from "Computational Finance and Financial Engineering" and on the use of R/Rmetrics in Finance, Insurance and related fields.

The Summer School morning sessions have four tutorials given by key note speakers covering topics from time series analysis, stochastic differential equations, and risk management. The tutorials are together with practical exercises.

Summer School Lecturers:

  • Alexander McNeil, Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh, UK
    Copulas with Examples in R
  • Eckhard Platen, Quantitative Finance Research Centre, University of Technology Sydney, Australia
    A Benchmark Approach to Computative Finance
  • Nakahiro Yoshida, Graduate School of Mathematical Sciences, University of Tokyo, Japan
    Inference for Discretely Observed Diffusion Processes
  • Eric Zivot, Economics Department, University of Washington, Seattle, USA
    Analysis of High Frequency Data in R

The afternoon User/Developer Meetings are dedicated to about 25 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:

  • Wolfgang Breymann, Cash Flow Modeling and Valuation of a Swiss Pension Fund
  • Peter Carl, Performance Analytics
  • Yohan Chalabi, Outlier Resistant GARCH Modeling
  • Karim Chine, Elastic-R : A Google docs-like Portal for Data Analysis in the Cloud
  • Alexander Eisl, Exploring the Performance of Government Debt Issuance
  • Andrew Ellis, Rmetrics2AMPL: An R Optimization Interface for AMPL
  • Romain Francois, Rcpp: Seamless R and C++ Integration
  • Adam Ghandar, Fuzzy Logic Valuation Rules for Hedge Fund Management
  • Patrick Henaff, A Normalized Measure of Model Risk
  • Stefano M. Iacus, Model Identification for Discretely Observed Stochastic Differential Equations
  • Dominik Locher, Optimally Balanced and Diversified Portfolios: A new Approach for Depot Analysis
  • Mahendra Mehta, Recent Financial Crisis A look, Perspective and Lessons
  • Sebastian Pérez Saaibi, R/Rmetrics Generator Tool for Google Motion Charts
  • Wolfgang Polasek, Sales Response Functions (SRF) with Stochastic Derivative Constraints
  • Charles Roosen, Mainstream Application Development with R
  • Stefan Theussl, Many Solvers, One Interface - ROI, the R Optimization Infrastructure Package
  • Marc Wildi, Financial Trading: Fundamental and Intrinsic Perspectives
  • Diethelm Würtz, The Hull, the Feasible Set, and Portfolio Risk Surfaces
  • ... this list is still  incomplete, about 25 papers will be presented.

Call for Papers - Topics:

We invite to submit 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] 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. Speakers of contributed talks are eligible for a CHF 250.00 reduction on the registration fees. 

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 90.00 CHF). Please send a letter of motivation, a recommendation letter from your supervisor and CV to submissions [at] Note that only applications send from an email address affiliated to an university will be accepted. Please note that by applying for a student scholarship you agree that your CV and motivation letter may be forwarded to our sponsors in the case of a successful application.


Rmetrics Association, co-organized by
Swiss Federal Institute of Technology, Zurich.

Summer School Committee:

Diethelm Würtz, Swiss Federal Institute of Technology, Zurich CH
Stefano Iacus, University of Milano, Milano, IT
Mahendra Mehta, Neural Tech Technologies, Mumbai, IN
David Scott, University of Auckland, Auckland, NZ

Organizing Office:

Yohan Chalabi, Swiss Federal Institute of Technology, Zurich CH
Andrew Ellis, Swiss Federal Institute of Technology, Zurich CH

Registration (Closed)

You can register either by Credit Card payment or we send you an invoice for bank transfer.