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 the whole work-cycle for successfully handling derivatives within the above framework including market data, calibration, simulation, pricing, hedging and risk management.
The seminar is an ideal way to get a detailed overview of the latest development in financial modelling based on Lévy processes.
Course Overview
This seminar discusses the most important issues that need to be addressed when we price and hedge options within a Lévy process framework using Monte Carlo and Fourier transform methods:
- Stochastic Movement; From diffusions to (time changed) Lévy processes
- One - factor and multi - factor options
- Market data
- Calibration
- Mathematical tools; Monte Carlo and Fourier transform methods
- Calculating sensitivities (‘Greeks’)
- We propose some of the most powerful models and propose efficient methods for the implementation and we
discuss why they work, why some other methods are not optimal and we compare our results with other modelling
approaches such as Stochastic Volatility Models.
What do you learn?
- Where to get started with such models
- Properties of models based on Lévy processes
- Mathematical treatment of plain vanilla and exotic options
- Computational and coding issues
In short, we hope that this seminar will kick-start the process of becoming acquainted with financial modelling
using Lévy processes.
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
