2012 Meielisap Workshop and Summer School

Meielisalp Summer School 2012

6th R/Rmetrics Meielisalp Workshop & Summer School on Computational Finance and Financial Engineering

Meielisalp, Lake Thune Switzerland, June 24 - 28, 2012

Workshop Flyer | Program Flyer | Workshop Booklet | Travel Info & Excursion | Poster | Registration | 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 multivariate data analysis, robust statistics, actuarial science and portfolio optimization. Some of the tutorials incorporate practical exercises

Key Note Speaker - After Dinner Speech:

Bill Alpert, Barron’s - The Dow Jones Business and Financial Weekly, New York, USA
Catching Wall Street Bad Guys with R

Tutorial Topics:

  • Professor Kurt Varmuza, Technical University of Vienna, Austria,
    Multivariate Data Analysis
  • Professor Andreas Ruckstuhl, ZHAW Zurich, and Dr. Martin Mächler, ETH Zurich and R Core Team, Switzerland
    Robust Data Analysis and Statistics
  • Professor Arthur Charpentier, University of Quebec in Montreal, Canada, and University of Rennes, France,
    Actuarial Science with R
  • Professor Thierry Roncalli, University of Evry and Lyxor Asset Management, France
    From Portfolio Optimization to Risk Parity
  • Professor Manfred Gilli, University of Geneva and Swiss Finance Institute, Switzerland
    Heuristic Optimization in Finance

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 - Topics:

  • Akhil Behl, Finance Research Group IGIDR, Mumbai, Hansen's Model Confidence Set
  • Heiko Bailer, Corepoint Capital, Zurich, Transparency in finance using Tibco Spotfire and R
  • Wolfgang Breyman, University of Applied Science, Zurich, Unified Financial Modeling
  • Chibisi Chima-Okereke, Mango Solutions, Chippenham UK, Actuarial Pricing using General Linear Models in R
  • Rohini Grover, Finance Research Group IGIDR, Mumbai,Volatility Index Estimation
  • Simon Knaus, University of St. Gallen, LASSOing the HAR model: A model selection perspective on realized volatility dynamics
  • Dominik Locher, THETA AG, dynAAx – Rule Based Index with Diversification Objectives
  • Erich Neuwirth, University of Vienna, The Statconn Project
  • Bernhard Pfaff, Invesco Asset Management Frankfurt, Diversification Reconsidered: Minimum Tail Dependency
  • Marcin Pitera, Jagiellonian University in Kraków, On Spatial Contagion and mGARCH models
  • Daria Pupashenko, Hochschule Furtwangen University, Kaiserslautern, Robust Multivariate Extended Kalman Filtering and its Implementation in R
  • Peter Ruckdeschel, University of Kaiserslautern and ITWM, Robust Worst-Case Optimal Investment
  • Enrico Schumann, University of Geneva, Optimisation Heuristics in R
  • David Scott, University of Auckland, Software for Reproducible Research Using R
  • Tobias Setz, ETH Zurich, Data Disaggregattion for Benchmark Construction
  • Ching-Shih Tsou, National Taipei College of Business, Implementing evolutionary multi-objective optimization in R
  • Albina Unger and Thorsten Poddig, University of Bremen, Risk Budgets in Portfolio Optimization
  • Vineet Virmani, Indian Institute of Management, Ahmedabad, Estimation of Parsimonious Term Structure Models
  • Diethelm Würtz, ETH Zurich, Stability - Does it matter?


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. 


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

Scholarship for Students:

A limited number of scholarships are available for full-time Bachelor and Master students that 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.


The registration desk will be open on Sunday June 24, from 4 to 6 pm.
The event ends on Thursday June 28, at 2 pm.


Organizier: Swiss Federal Institute of Technology, Zurich
Co-organizier: Rmetrics Association Zurich
Conference Chair: Diethelm Wuertz, Swiss Federal Institute of Technology, Zurich
Conference Office: Yohan Chalabi and Tobias Setz, Swiss Federal Institute of Technology, Zurich