Highlights

• Last year's German High Court decision has boosted CSA's independent over-the-counter structured derivative valuation business in both Germany and the UK. Recently CSA valued an Italian local authority structured swap for Bloomberg News (here) which has elicited international interest

• CSA principals Professor Michael Dempster and Dr Elena Medova regularly present CSA’s innovative ideas by invitation at international events. They presented a paper on individual asset liability management for households to a sessional meeting of the Institute of Actuaries at Staple Inn, Holborn, London on 22nd February 2010, which has recently appeared with discussion in the British Actuarial Journal

• CSA is a participant, along with a number of leading companies and EU universities (see here) in a 4-year International Training Network funded by the EU "Marie-Curie" initiative to advance high performance computing in finance. CSA's contribution will develop its Stochastics™ and iALM™ technologies for use in the EU

• CSA's UK Individual Asset Liability Management iALM™ household life cycle financial planning system is available for evaluation. Please contact us at admin@cambridge-systems.com or on +44 1223 557640 to arrange a demonstration of the US or UK versions of iALM™

• Stochastic Optimization Methods in Finance and Energy, edited by Professors Bertocchi, Consigli and Dempster, has been published by Springer. The book presents a collection of contributions dedicated to applied problems in the financial and energy sectors that have been formulated and solved in a stochastic optimization framework. The chapters authored by CSA personnel contain recent applications of Stochastics™ technology. See also Quantitative Fund Management, edited by Professors Dempster, Mitra and Pflug, and published by Chapman & Hall CRC.

• A paper by Professors Dempster, Evstigneev and Schenk-Hoppé on growing wealth with fixed-mix portfolio rebalancing strategies has attracted much attention as the definitive study of their earlier theoretical work. It appears as Chapter 29 in a new book on the Kelly Capital Growth Investment Criterion edited by Professors MacLean and Ziemba and E O Thorp

• CSA principals have been giving joint webinars sponsored by our partner IBM presenting to a wider US audience CSA's commercial experience in applying optimization to practical fund management. CSA is currently cooperating with IBM's CPLEX optimization development by contributing large scale practical asset liability management problems to IBM research