30-Jan-14, 9:30 am to 2:15 pm
Throgmorton Room
BBA's Pinners Hall
105-108 Old Broad Street
London EC2N 1EX - UK
Wolfram Research Europe and UnRisk, organizers.
Whether you are a quant or a quant developer we give you full and detailed explanation on the application of advanced numerical schemes to valuation and analytics of financial instruments and portfolios.
The workout is organized in sessions motivated by problems and solutions of the bank practice. Live examples written in the UnRisk Financial Language - atop the Wolfram Language - will provide deep insight into the behavior of models and methods under extreme conditions.
Extreme Vasicek is not Enough - Mean reverting short-rate models. What are the pros and cons of trees, finite differences / elements, Monte Carlo techniques? Lognormal or normal models? What about higher dimensions?
Model Calibration and Spurious Precision - A general framework for stable and robust parameter
identification. Even with analytic inversion formulae, noise in the data can
lead to results which are pure nonsense. Can we trust our parameters?
When Monte Carlo is the Only Choice - More than 3 dimensions
or severe path-dependence? Monte Carlo techniques. Monte Carlo or Quasi Monte Carlo? How can the variance of the result be decreased? What about early exercise?
Risk Management Cascades - The requirements posed by regulators become more and
more stringent. How can we calculate the different VaRs? Expected shortfall? In
reasonable time? And how can we build a CVA system?
Between each session, we have enough time to discuss.
Selected views behind the mathematical curtain can be found here (financial mathematics and physics posts in our UnRisk Insight Blog)
