Sydney Financial Mathematics Workshop

About SFMW

The Sydney Financial Mathematics Workshop (SFMW) is an initiative of Sydney-based practitioners and academics in Quantitative Finance to provide a forum for the discussion of questions and issues and the presentation of research of practical relevance in the field, which is to say all areas of the finance industry making use of sophisticated mathematical and statistical methods. In convening SFMW events, the Organising Committee focuses on quality rather than filling regular time slots; thus the number of seminars each year varies according to the availability of expert speakers and discussion facilitators on topics of current interest to the industry.

There is no fee for attending any SFMW workshop. SFMW attendees are encouraged to join Q Group, but anyone registered in response to an SFMW event announcement e-mail is welcome to attend.

You can add yourself to the SFMW mailing list.


SFMW was first convened by Peter Buchen in 1999. The founding Organising Committee consisted of Alan Brace, Peter Buchen, Sean Carmody, Volf Frishling, Erik Schlögl and Rob Womersley. It was initially sponsored by National Australia Bank, and subsequently (from 2003 to 2014) by Westpac. In December 2000, SFMW became a special interest branch of Q-Group Australia, though SFMW continue to be open to non-members. Since 2016, sponsorship is being provided by Commonwealth Bank, and the current organising Organising Committee consists of Anna Aksamit, Daniel Beltrami, Alex Buryak, Tim Dun, David Garvin and Erik Schlögl. Ben Goldys and Sureshkumar Swaminathan were previously members of the organising committee.

Upcoming Workshops

  • 18 September 2019, Jan Obloj, University of Oxford: Robust finance: data-driven approach to pricing, hedging and risk management

Recent Workshops

  • 1 August 2019, Christina Nikitopoulos, University of Technology Sydney: Oil Futures Volatility and the Economy

  • 23 May 2019, Volf Frishling, National Australia Bank: Transition to New Benchmark – abandoning LIBOR

  • 12 February 2019, Andrew Kirk, Australian Prudential Regulation Authority: The missing term in FVA calculations

2017/18 Workshops

  • 23 October 2018, Mesias Alfeus, UTS: A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors

  • 6 November 2017, Imanuel Costigan, Westpac: Model Risk: a primer

  • 16 October 2017, Peter Thompson, ANZ: The FRTB PnL Attribution Test

  • 11 September 2017, David Garvin, Commonwealth Bank: An Introduction to the Theory of Quantum Computing

2015/16 Workshops

  • 8 December 2016, Bok Khoo: The Ethereum Blockchain, Smart Contracts, Tokens, Tokenising Fiat Currency and a Decentralised Trustless Exchange Contract Market

  • 29 November 2016, Alan Brace, National Australia Bank: A Finance Industry Quant's Perspective on the Mathematical Concepts Behind Public Key Cryptography and the Blockchain - Part 2

  • 8 November 2016, Alan Brace, National Australia Bank: A Finance Industry Quant's Perspective on the Mathematical Concepts Behind Public Key Cryptography and the Blockchain - Part 1

  • 6 September 2016, Thomas A. McWalter, University of Cape Town and University of Johannesburg: Recursive Marginal Quantization of Higher Order Schemes

  • 2 March 2016, Marek Musiela, Oxford-Man Institute of Quantitative Finance, University of Oxford: Analysis and Development of the SABR Framework

  • 11 March 2015, Sean Carmody, Westpac: Bitcoin, Banking and the Blockchain

2014 Workshops

  • 10 September 2014, Judith Schneider, Westfälische Wilhelms-Universität Münster, Germany: Robust measurement of (heavy-tailed) risks: Theory and implementation

  • 23 July 2014, Tal Morgenstern, Ernst & Young: Towards FVA Pricing: A Martingale Approach

  • 1 July 2014, Dilip Madan, Robert H. Smith School of Business, University of Maryland: Abandoning the Law of One Price: Economic Foundations and Mathematical Structure of Two Price Economies

  • 14 May 2014, Yang Chang, Research Fellow at the ARC Centre of Excellence in Population Ageing Research (CEPAR), UNSW: A Consistent Framework for Modelling Spreads in Tenor Basis Swaps

  • 15 April 2014, Tim Dun, Westpac and Volf Frishling, National Australia Bank: The Basel Committee's "Fundamental Review of the Trading Book"

2013 Workshops

  • 3 December 2013, Erik Schlögl, UTS: Generic and object-oriented programming techniques for Monte Carlo simulation in C++

  • 10 September 2013, John Jarratt, National Australia Bank: Practicalities of Operational Risk Capital Modelling

  • 21 August 2013, Leo Krippner, Reserve Bank of New Zealand: Yield Curve Modeling and Monetary Policy in Zero Lower Bound Environments

  • 7 August 2013, Andy McClelland, Numerix LLC: Physical-Measure Future Value Distributions

  • 21 May 2013, Alan Brace, National Australia Bank: Curve Stripping with Full Collateralisation

  • 20 February 2013, Klaus Sandmann, Department of Economics, University of Bonn, Germany: New Performance-Vested Stock Option Schemes

2012 Workshops

  • 20 June 2012, Paul Embrechts, Department of Mathematics, ETH, Zurich: Extreme-Quantile Tracking for Financial Time Series

  • 26 March 2012, David Hobson, University of Warwick: Robust Hedging of Variance Swaps

2011 Workshops

  • 29 November 2011, Farshad Behvand, Westpac Banking Corporation: Modelling Forward Implied Volatility

  • 31 August 2011, Camelia Tiplea, Westpac Banking Corporation: On the Super-Replication Approach for American Multiasset Derivatives

  • 13 April 2011, Alex Buryak, National Australia Bank: Pricing of Equity Options with discrete dividends: Overview and recent results

2010 Workshops

  • 2 June 2010, Michael Nealon, National Australia Bank: Discount Curve and Interest Rate Termstructure Issues After the Credit Crisis

  • 9 March 2010, Christian-Oliver Ewald, School of Mathematics and Statistics, University of Sydney: Options on Renewable Resources: A New Version of the Black (1976) Pricing Formula for Commodity Options

2009 Workshops

  • 13 October 2009, Yacine Aït-Sahalia Princeton University, USA: Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data

  • 17 September 2009, Guang-Hua Lian, School of Mathematics and Applied Statistics, University of Wollongong, Australia: An Analytical Pricing Formula for VIX Futures and Its Empirical Applications

  • 14 September 2009, Vladmir Surkov, Department of Applied Mathematics at the University of Western Ontario and the Fields Institute at the University of Toronto: Fourier Space Time-stepping for Option Pricing with Levy Models

2008 Workshops

  • 15 October 2008, François Oustry, CEO, RaisePartner (Paris-Grenoble, New-York, Dubai) and Véronique Piolle, Head of Quant Consulting, RaisePartner: Covariance Matrices Convex Calibration