We are delighted to announce that Professor Nicos Christofides, Centre for
Quantitative Finance, Imperial College, will be speaking on Portfolio
Trading for Hedge Funds at our forthcoming conference “New Directions in
Financial Modelling”, London, 23-24 May 2006. The presentation covers
optimization for calibration of pricing (also risk management) models to
market data, a “hot topic” of great interest in the City at the moment.
Following are the details of Professor Christofides’ presentation:-
Portfolio Trading for Hedge Funds
Nicos Christofides, Centre for Quantitative Finance, Imperial College
• The choice of asset and macroeconomic time-series to include in a
dynamic trading model.
• Determination of driving factors using non-linear Independent
Components
• Dynamic stochastic modelling with Neural Networks.
• Training by global optimization using the Bionomic Algorithm
• Construction of an arbitrage-free state transition graph for the
tradable assets
• Solving an optimal portfolio trading problem using state-space
relaxation within Dynamic Programming
• Examples of real-life results obtained from applications to hedge
funds.
On 25 May Professor Christofides will also give a demonstration of the
system – this computer demo will be of a real hedge fund and not an example.
For full programme details, including how to book, please go to
www.unicom.co.uk/finance or write to [log in to unmask] for PDF brochure.
We look forward to welcoming you to the event; please also make your
colleagues aware of it.
Best Regards
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