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Quant Finance - Scenario Generation and Simulation for Risk Control

Unicom

07 Dec 2015 - 08 Dec 2015

17.00 to 20.30

London & Online

Details: click here

Register: click here

Objectives: Scope and Purpose

Scenario Generation typically is based on Monte Carlo techniques to generate data paths in various financial model set-ups and for different asset classes. In this workshop, Monte Carlo techniques are introduced and discretisation schemes are presented. We also highlight the importance of carefully chosen random numbers for scenarios. Generation of paths driven by a Brownian motion is explained and scenario generation based on the Heston model is introduced. Furthermore we present a taxonomy and structure of scenario generation methods. The description of asset price behaviour by discrete scenarios is considered and in particular, description of asset price dynamics using hidden Markov model is presented.

Learning Outcomes:

After successful completion of the workshop, the participants will

  • be able to:
    • understand concepts of Monte Carlo simulation and their use in scenario generation,
    • test the desirable properties of scenario generation,
    • apply Monte Carlo methods to generate scenarios in asset models,
    • understand basics of hidden Markov models in creating scenarios.
  • have acquired a good knowledge of modern Monte Carlo methods as well as of Hidden Markov models to generate scenarios.

Practical sessions:

In the practical sessions, the basic concepts of the software R are introduced.The delegates will implement a Monte Carlo framework to create asset price paths using the Heston model. In the area of filtering, existing R packages are introduced and briefly applied.

Workshop Format:

The workshop is well balanced between Theory and Practical Sessions. Attendee numbers are limited to ensure that personalised interaction can take place.

Target Audience:

Practitioners at banks, risk professionals, traders, consultants and academics.

Presenters:

Dr Christina Erlwein-Sayer: Dr Erlwein-Sayer had worked for OptiRisk as an intern during 2008; recently shehas re-joined OptiRisk in 2015 as a visiting researcher working on the topic of financial analytics in general and models and tools for portfolio construction and Asset and Liability Management in particular. Dr Erlwein-Sayer is sponsored under a joint project between OptiRisk Systems and its partner Fraunhofer ITWM in Kaiserslautern, Germany. She completed her PhD in Mathematics at Brunel University, London in 2008. Prior to the current assignment Dr Erlwein-Sayer had presented workshops on behalf of OptiRisk at the IIM Calcutta Financial Research and Trading Laboratory in Kolkata, and also in Mumbai. Dr Erlwein-Sayer was also the lead member of the training partnership between OptiRisk Systems and Fraunhofer ITWM and presented at many of the workshops; notable of these was the training delivered to the World Bank in Washington. Dr Erlwein-Sayer is fluent in German (her native language) and in English.

Dr Tilman Sayer: Dr Sayer has joined OptiRisk in 2015 as a visiting researcher working on the topic of financial analytics in general and models and tools for daily trade signal generation in particular. Dr Sayer is sponsored under a joint project between OptiRisk Systems and its partner Fraunhofer ITWM in Kaiserslautern, Germany. He completed his Diplom (MSc equiv., 2008) and his PhD (2012) in Financial Mathematics at the University of Kaiserslautern, Germany. Prior to the current assignment Dr Sayer had presented workshops on behalf of OptiRisk at the IIM Calcutta Financial Research and Trading Laboratory in Kolkata, and also in Mumbai. On behalf of Fraunhofer ITWM, Dr Sayer has worked on a risk management project so that the clients' financial tools are UCITS IV compliant. He has also worked on a project to accelerate the hardware performance of the stochastic volatility model of Heston. Dr Sayer is fluent in German (his native language) and in English.

Price: Attend in Person in London @ £300 + VAT
Online Global Attendance @ £225 + VAT

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