Report on Cimpa-Imamis School on
Financial Information Systems
Kuala Lumpur, May 22nd, June 2nd, 2006
(Francine and Marc Diener)
1. Introduction: why a Cimpa-Imamis School
In 1998 took place in Ho Chi Minh City a Cimpa school where Pr. Piriou met 10
mathematicians of the University of the Philippines (UP) who asked him to organize a second
Cimpa School in Manila, in 2000. During this second school appeared the idea of creating a
teacher training programme in UP; Pr. Cioranescu from Paris 6 gave lectures in UP in 2002
which gave rise of the idea to apply to the Asia Link programme for financial support for
creating a multi-track Masters programme and the subsequent teacher training programme. A
first draft has been prepared in 2002 by Pr. Piriou under the name Imamis, for International
Master in Applied Maths and Information Science. As Pr. Piriou was to retire, Cimpa asked
Profs. Francine and Marc Diener to take over the project, what they did during a first visit to UP
in July 2003. The first proposal, submitted in September 2003 with Cimpa as Applicant, was
rejected by the EC as Cimpa is not a University. A new proposal was submitted in May 2004,
with the University of Nice as Applicant, and Cimpa as one of the partners. This IMAMIS
project has been accepted in July 2004.
The Asia Link IMAMIS project is constructed on two major ideas: creation of 15 new courses
with teachers training in these 15 subjects from the Asian partner universities. In order to give
to the trainee a larger view on the taught lectures, three Cimpa school will be organized, one in
each track. This will also be a good opportunity to advertise about the new Master programme
in other universities. These school will be organized by the Asian partner universities. This
school is the first, related to the Information Science track; the two others will be in IM-Hanoi
(April 2007, Mathematical Finance track) and in ADMU-Manila (November 2007, Numerical
Methods track).
The scientific program of this school has been prepared under the responsibility of Pr. Patrice
Boursier, in charge of the IS track. For personal reasons Pr. Boursier could not take part to the
school and asked Francine and Marc Diener to take over his duty, what they did with the
irreplaceable help of M. Harikrishna and Mrs. Mariam Abrahim from OUM, and Pr. Dr. Yang
Farina and Mrs Zie F. Hashim.
2. The lectures
Three sets of lectures have been given (see full programme in Appendix):
Anne Marie Hugues (University of Nice): Information Systems Methods and Tools: UML for
Product Definition. This was an introduction to a new powerful project manager that provided
the participants with an insight on the kind of tools used in is software companies.
Nicolas Privault (University of La Rochelle): Financial modelling and numerical methods. This
was a nice and original introduction to mathematical models of finance that was perfectly
suited to computer scientist participants with little mathematical background. There was also in
remarkably clear introduction to Malliavin Calculus applied to the computation of Greeks, a hot
and difficult technique recently introduced.
Thierry Michel (Autorité des Marchés financiers, ABN AMRO bank): The organisation of
financial markets As a counterpart of the theoretical lectures of N. Privault, this was a
wonderful set of econometric models and research on financial data such are required by the
two institutions for which Michel works. Such talks are seldom provided in universities as they
deal with subjects that are strategic for the companies that ordered the research. It provided
the participants with many open problems emerging from real data.
A fourth set of lecture, given by Pr. Laurent Augier from Université de La Rochelle was
planned. As Mr Augier could finally not come, this provided the opportunity to various
participants to give talks related to the lectures:
There have been two talks on statistical methods given by two Indian Computer Scientists: Pr.
Maulik Ujjwal: Evolutionary algorithm for clustering, and Dr. Sanghamitra Bandyopadhyay
(Indian Statistical Institute): Genetic algorithm. Mohammed Mraoua who works in the trading
floor of the OCP Group in Casablanca gave a talk on OLAP data base, a powerful tool for
decision making: a practitioner’s point of view on budgeting in a corporate company, that was a
useful complement to A-M Hugues’ lectures, and on Pricing of volatility swaps within the frame
work of GARCH(1,1) stochastic model, that provided an interesting case study of one lecture
by Th. Michel.
Finally, Marc Diener gave a talk on Ho-Lee model of stochastic interest rates term structure
that was an introduction of random interest rates in the spirit of lectures of N. Privault.
3. Activities
We describe here on a more or less chronological basis how the school took place. All
organization has been done by the local staff: Mrs Mariam Abrahim (OUM) and Zie F. Hashim
(UKM), under the supervision of Mr. T. Harikrishnan and Pr. Dr. Yang Farina.
The welcoming of participants and organization of the first week has been taken in charge by
OUM. All participants on the list provided by Nice received a message explaining how to reach
the first-week lodging place: hotel Vistana. Most were required to use the fast train from Kuala
Lumpur International Airport (KLIA) to KL Sentral, 35 Malaysian Ringgit (1MR=0,22€) single
way, and a taxi that could be hired and paid for (about 10MR) from an easy to find desk at KL
Sentral. This turned out to be extraordinarily easy and efficient. Some late arriving participants
were welcomed at the Airport. Some clever participants used the Air Asia bus from KLIA, for
9RM and monorail to Titiwansa (3,70MR)
Accommodation and breakfast at Vistana were luxurious.
Participants gathered each morning in the lobby until the arrival of the OUM bus and reached
Open University Malaysia (OUM), the place of lectures, in a 15mn bus-ride. Determining each
morning who was missing before the bus could depart was a first exercise to know each other.
OUM is wonderfully located in the forest at North-West outskirts of KL. As students were on
vacation we were the only users of the premises. The school thus had to its disposal a lecture
room, a nicely organised computer room, and a dining hall for tea or coffee breaks and lunch.
Each participant had access to the internet, to the digital library, and a permanent Wifi was
accessible on all the premises.
Lectures took place from 9:00 to 10:30, 11:00 to 12:30, and 14:30 to 16:30. Coffee break was
served at 10:30, lunch at 13:00, and tea at 17:00. The bus took participants back to the hotel
just after where they had easy access to food stalls and restaurants and to public
transportation to downtown. Participants organized themselves in small groups during this
week, more or less on a regional or language basis. Lunches and breaks were the best
occasions for discussions on the topics taught and possible international collaboration as
follow-ups for the school.
Participants were offered a dinner on Thursday 25th to which took part Pr. Dr. Anuwar Ali
(President/Vice Chancellor of OUM) and Mr. Repin Ibrahim (Chief Operating Officer, from the
Meteor higher education consortium). This was also a first opportunity for them to meet Mrs
Zie Hashim.
On Saturday 27th participants have been taken to an intensive visit of KL, beginning with a visit
to the Petronas Towers and the KLCC park and the skybridge, followed by a visit to National
Science Centre, Batu caves (where some had also a visit of the “dark caves” and an
introduction to its ecology), Little India, Central Market and China town. All participants reach
the bus in time, most before the heavy rain that fell that evening.
On Sunday, participants checked out from Vistana hotel and the bus took them to Genting
Highlands and its recreation park in the middle of forest, and finally to Ibu Zain College (IZC),
UKM, where they were welcomed by Pr. Dr. Yang Farina at Mrs. Zie Hashim that will take over
the duty of Mrs. Mariam Abrahim. From that time on the organization of the school was done
by UKM.
For sure, accommodation in IKC, a student accommodation at UKM, and its fan-cooled rooms
and its two collective bathrooms was a bit of change to participants who generally reacted
positively.
At UKM, lectures took place from 9:00 to 10:30, 11:00 to 12:30, and 14:30 to 16:30, in the
Math Department, at the Faculty of Science and Technology. Coffee break was served at
10:30. A bus moved participants back and forth to IZC for lunch at 13:00, tea at 17:00, and to
various malls in the evening, for leisure and dinner.
The dinning room at IZC was at walking distance from the rooms and was also at participants
disposal during the evening also so that many discussion could take place there. This gave us
the opportunity to organise a discussion on “finance and ethic” that led to useful exchanges on
the purposes and demands of Islamic banking.
Participants had one or two access to internet and also Wifi, actually a bit slow, on the
premises of IZC that complemented usefully the computer room access that worked after a few
days.
The participants were offered a welcoming dinner on Monday, 29th, to which took part Pr. Dr.
Yang Farina, Prof. Dr. Aziz Deraman ([email protected] ) Dean of the Faculty of Information
Science and Technology, Ass. Pr. Dr. Abdul Aziz Jemain ([email protected]), Head of
the Maths Department of the Faculty of Science and Technology. On Thursday 1st there was a
closing dinner at Danau Golf to which took part Pr. Dr. Mohd. Salleh, Vice-Chancellor of UKM.
This was the occasion for participants of good-will and nice voice to perform some music
playing.
On Wednesday afternoon we visited the new capital city Putra Jaya. Those who wished to
travel to KL could hire a taxi (5MR) to UKM-Komuter station where a train running every 15mn
took them to KL in 35mn for 14MR return.
On the day of departure shared taxi arrangements where made to KLIA or KL Sentral (50MR
per taxi).
As a general remark this second week was more dependant on participants adaptation skills
but showed that spending less money may bring at least as much new ideas and projects, if
not more. Isn’t this the purpose of any good Unesco programme?
As one participants writes: “it was a good experience living in a student dormitory and opened
an opportunity to get to know the other participants better; both universities did their best to
provide us with the very best that they have”.
4. What’s next
This was the subject of the last afternoon programme (and actually the permanent concern of
the organizers).
Obviously and to our great pleasure, participants were eager to know how to have a second
chance to take part to a new Cimpa school. They asked us about Cimpa’s next year
programme that was not available on Cimpa’s web site
http://www.cimpa-icpam.org/Anglais/Content.html
We could inform them on the Cimpa-Imamis MIH-school on Mathematical Finance and ADMUschool on numerical methods; both are of interest to several participants.
We informed them on how to apply for organizing a Cimpa-school.
Several projects emerged.
One could be a joint project between Kolkata (Calcuta)/India and Dhaka/Bangladesh from Pr.
Ujjwal Mailik, Dr. Sanghamitra Bandyopadhyay, and Pr. Md. Shafiqul Islam on Data Mining /
Multifactorial Analysis.
A second one could associate two southern campuses of the University of the Philippines, in
Visayas and Cebu, and would involve Geraldine Garcia and Lorna Almocera S.. The subject
should be related to applications of Maths to Biology and would be discussed with Pr. Riccardo
de Rosario.
UKM would also be happy to welcome again a Cimpa school. There have been interesting
discussions with Pr. Abdul Malek Zakaria (amalekz@ pkrisc.cc.ukm.my) and several of his
young students (Munira Ismail, Rozita Ramli) on finance on Malaysia who as a leading position
in Islamic financing, a hot topic according to several papers in the Financial Times. To the
writers understanding, risk less interests are forbidden and joint ventures are encouraged by
sharia: in the same time, all results of modern mathematical finance are related to risk
management as there is no finance without risk. There is a real challenge to organize a
teaching programme leading to mutual understanding.
An important aim of this Cimpa-Imamis school was to popularise the Imamis concept as a
programme that can be taught in different Universities and countries. Most participants
expressed their wish to involve their university in some new application to Asia Link that could
extend the present programme. We explained that in the existing programme there is some
support for Asian academics to come and take part in the teaching given by EU professors at
UP Diliman. Some participants expressed the demand for finding a way to arrange such a visit;
it has been decided that they should begin with getting in touch with Pr. Navarro from UP to
work out together concrete proposals and demand of financing by Imamis.
List of participants
F.name
Name
Mohamed
Riad
Remita
Shafiqul
Islam
Kheam
Bunseng
Tauch
Sothano
Liu
Tang
Sanghamit Bandyopadh
ra
yay
Country
Institution
Université d'Annaba -Badji-Mokhtar ALGERIE
University of Dhaka BANGLADESH
BANGLADESH
Royal Academy of Cambdia CAMBODGE
CAMBODGE
Royal Academy of Cambdia CAMBODGE
CAMBODGE
Tianjin University of Finance and
CHINE
Economics - CHINE
ALGERIE
Email
[email protected]
[email protected]
Kheambunseng@hotmail;com
[email protected]
[email protected]
INDE
Indian Statistical Institute - INDE
[email protected]
Maulik
Ujjwal
INDE
Jadavpur University - INDE
[email protected],
[email protected]
G.A. Pai
Vijayalaksh
mi
INDE
PSG College of Technology - INDE
[email protected]
Mohamme
d
Mraoua
MAROC
Groupe OCP -Casablanca - MAROC
[email protected],
[email protected]
Lorna
Almocera S.
PHILIPPINES
Isa J.
Andres
PHILIPPINES
Edwin A.
Balila
PHILIPPINES
MariaCristina
Bargo
PHILIPPINES
Emmanuel
Cabral
PHILIPPINES
Géraldine
Garcia
PHILIPPINES
Valentine
Blez
Lampayan
PHILIPPINES
Filame Joy
Uyaco
PHILIPPINES
Veera
Boonjing
THAILANDE
Ngoc
Tran Minh
VIETNAM
Loo
SZE Wei
MALAYSIA
Abdul
Malek
Zacaria
MALAYSIA
Zaidi
Bin Isa
MALAYSIA
Munira
Ismail
MALAYSIA
Hartini
Jaafar
MALAYSIA
Rosmini
Ismail
MALAYSIA
Rozita
Ramli
MALAYSIA
Ahmad
MALAYSIA
Diener
FRANCE
University of the Philippines - Cebu
[email protected]
College - PHILIPPINES
College of Sciences - University of
[email protected]
the Philippines - PHILIPPINES
Adventist University of the
[email protected]
Philippines - PHILIPPINES
College of Science - University of the
[email protected]
Philippines, Diliman, PHILIPPINES
Ateneo de Manilla University,
[email protected]
Manille, PHILIPPINES
University of the Philippines in the
[email protected]
Visayas - PHILIPPINES
College of Science - University of the
[email protected]
Philippines - PHILIPPINES
College of Sciences - University of
[email protected]
Philippines - Diliman PHILIPPINES
King Mongkut Institute of
[email protected]
Technology - THAILANDE
Vietnam Nacional University, Hanoi,
[email protected]
VIETNAM
Open University Malaysia- Kuala
[email protected]
Lumpur, MALAYSIA
Center of Math. Sc. Studies, [email protected]
Bangi MALAYSIA
School of Math. Sc., UKM-Bangi
[email protected]
MALAYSIA
Center of Math. Sc. Studies, [email protected]
Bangi MALAYSIA
University Pendidikan Sultan Idris,
[email protected]
Perak, MALAYSIA
University Pendidikan Sultan Idris,
[email protected]
Perak, MALAYSIA
Center of Math. Sc. Studies, [email protected]
Bangi MALAYSIA
Center of Math. Sc. Studies, [email protected]
Bangi MALAYSIA
Université de Nice, Nice, FRANCE
[email protected]
Diener
FRANCE
Université de Nice, Nice, FRANCE
Rokiah
Rozita
Francine
Marc
[email protected]
AnneMarie
Hugues
FRANCE
Nicolas
Privault
FRANCE
Thierry
Michel
FRANCE
Milagros
Navarro
PHILIPPINES
Ecole Polytechnique Universitaire,
UNSA, Nice, FRANCE
Université de La Rochelle,
FRANCE
ABN AMRO Bank, Paris, FRANCE
College of Sciences - University of
the Philippines - PHILIPPINES
[email protected]
[email protected]
[email protected]
[email protected]
Schedule
CIMPA-IMAMIS OUM-UKM MALAYSIA SUMMER SCHOOL
Financial Information Systems School: Programme Schedule
Monday 22
9:00-10:30
Welcome session
Break
Break
T. Michel:
Organisation of
financial markets
Lunch
Thuesday 23
T. Michel:
Organisation of
financial markets
Break
T. Michel:
Organisation of
financial markets
Lunch
T. Michel:
Organisation of
financial markets
A-M Hugues:
Information Systems
Methods and Tools
A-M Hugues:
Information Systems
Methods and Tools
Tea
Tea
Tea
Monday 29
N. Privault:Financial
Modelling and
Numerical Methods
Break
Thuesday 30
T. Michel: The
econometrics of
financial markets
Break
11:00 -12:30
T. Michel: The
econometrics of
financial markets
N. Privault:Financial
Modelling and
Numerical Methods
T. Michel: The
econometrics of
financial markets
N. Privault:Financial
Modelling and
Numerical Methods
A.M.Zakaria
Malaysain Markets
Muslim Banking
+N. Privault
Lunch
Lunch
Lunch
Lunch
Lunch
Lunch
Maulik Ujjwal
Mohamed Mraoua
T. Michel: The
econometrics of
financial markets
What's next ?
Visit of Putra Jaya
Tea
Tea
Closing dinner (Golf)
dinner: Warta
11:00 -12:30
Lunch
14:30-16h30
9:00-10:30
Break
14:30-16h30
17h00
20h00
Mohamed Mraoua
Saghamitra
Bandyopadhyay
Tea
Leisure: Warta
Welcoming Dinner
Tea
Leisure: Mines
dinner: Mines
Wednesday 24
A-M Hugues:
Information Systems
Methods and Tools
Break
N. Privault:Financial
Modelling and
Numerical Methods
Lunch
Thursday 25
N. Privault:Financial
Modelling and
Numerical Methods
Break
A-M Hugues:
Information Systems
Methods and Tools
Lunch
Friday 26
Saturday 27
A-M Hugues:
Information Systems City Visit
Methods and Tools
Break
A-M Hugues:
Petronas
Information Systems
Twin Towers
Methods and Tools
Lunch
Science Mu
Leisure
N. Privault:Financial
Visit to Batu
Modelling and
Caves
Numerical Methods
Tea
Dinner at OUM
Tea
Visit of
Genting
Highlands
Little India
Tea
China Town Check in UKM
Wednesday 31
Thursday 1
Friday 2
Saturday 3
N. Privault:Financial
T. Michel: Organisation M. Diener: Seminar in
Departures
Modelling and
of financial markets
Financial Maths
Numerical Methods
Break
Break
Break
dinner: Salamata
Sunday 28
Répartition par nationalité des participants à l'école
"Systèmes d'Information pour la Finance", Kuala Lumpur (Malaisie), 22 mai - 2 juin 2006
1
1
1
1
ALGERIE
1
BANGLADESH
1
CAMBODGE
2
CHINE
1
INDE
3
MALAISIE
8
MAROC
1
PHILIPPINES
9
THAILANDE
1
VIETNAM
1
2
1
3
9
1
8
TOTAL = 28