A FREE Workout In Computational Finance 2014 - Frankfurt and Zurich

This are free events

First held in London, the "Workout …." now goes to Frankfurt and Zurich

Additive and UnRisk invite:

26-Jun-14, 14:00 to 18:00
Room Gossip
ROOMERS
Gutleutstrasse 85
60329, Frankfurt am Main  - Germany

Nube AG and UnRisk invite:

3-Jul-14, 14:00 to 18:00
Saal 5/6
FOUR POINTS by Sheraton Sihlcity
Kalandergasse 1
8045, Z├╝rich - Switzerland

Whether you are a quant or a quant developer we want to show you advanced numerical schemes to valuation and analytics of financial instruments and portfolios. 

The workout is organized in sessions motivated by problems - and solutions - taken out of the bank practice. Live examples in the UnRisk Financial Language dive deep 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)