MoneyScience Financial Training
Course Length: 1 Day | Cost: £1100
The goal of this one day seminar is to provide a detailed overview, offering insights into the latest techniques of modelling uncertainty in financial markets and demonstrating computational methods to tackle the models. We show Monte Carlo simulation as well as semi-analytical methods based on Fourier transforms. The latter techniques are suitable for efficient calibration of the underlying models.
We explain how to set up the methods in matlab. We provide market data for calibrating the model and the whole work-cycle for successfully handling derivatives within the above framework including market data, calibration, simulation, pricing, hedging and risk management.
A practical and intensive course covering the implementation of advanced financial models covering Fourier methods and Monte Carlo methods.
Course Overview
This seminar discusses the most important issues that need to be addressed when we implement advanced financial models and price options using Monte Carlo and Fourier transform methods:
- Numerical Schemes for Jump-Diffusion Models
- Monte Carlo Simulation Methods for the Variance Gamma and Normal Inverse Gaussian
- Calibration on market data for DAX data
- Fourier Transform Methods for Carr-Madan and Cosine method
- Stochastic Volatility Lévy models
- Bermudan Options and Fourier Transform
- Bridge sampling
Prerequisites
To participate in this course, you need to bring your own laptop with matlab installed.
Course Methodology
- Short Introduction (Presentation)
- Hands-On exercises (matlab) and discussion
Who should attend?
- Financial Engineers
- Risk managers
- IT staff supporting the structured products group
- Credit Risk Management
- Model Validation Quants
- Quantitative Analysts and Researchers
- Quantitative Model Developers
Course Tutor
JOERG KIENITZ is the head of Quantitative Analysis at Deutsche Postbank AG. He is primarily involved in the developing and implementation of models for pricing of complex derivatives structures and for asset allocation. He is also lecturing at university level, Universities of Oxford, Bonn and Duisburg on advanced financial modelling and gives courses on ‘Applications of Monte Carlo Methods in Finance’ and on other financial topics including Lévy processes and interest rate models as well as lecturing on finance conferences like RISK Europe. Joerg holds a Ph.D. in stochastic analysis and probability theory. Jörg authored several papers on mathematical and computational finance. He also is the co - author of the book “Monte Carlo Object Oriented Frameworks in C++” (together with Daniel J. Duffy) which will be published by Wiley in September 2009.
All delegates will receive a copy of Jörg Kienitz's book with Daniel Duffy:
Monte Carlo Frameworks: Building Customisable High-performance C++ Applications
