Dear colleague,
We are pleased to announce the forthcoming workshop:
CONTINUOUS TIME FINANCE
27-29 November 2006, Brunel University, West London, UK
(www.unicom.co.uk/finance)
Background
Three-day workshop presented by Dr Paresh Date and Mr Luka Jalen, CARISMA:
The Centre for the Analysis of Risk and Optimisation Modelling Applications,
Brunel University
Whether it is mergers and acquisitions, derivative asset pricing, optimal
portfolio choice or risk management, success in modern finance is
unthinkable without a solid grasp of mathematics. Continuous time models now
play a central role in pricing of financial assets under more challenging
circumstances than can be handled with discrete time models. This course
introduces models in continuous time and the advanced mathematics required
for their analysis such as stochastic analysis (Brownian motion), partial
differential equations and martingale measures, and shows how these can be
used for asset and derivative valuation in continuous time.
Given the fast pace of development of finance theory and product innovation
in recent times, the course will be of great value to banking professionals
who want to learn basic modeling and pricing methods in investment banking
as well as to graduate students starting their doctoral studies in finance.
Course Outline
• Day 1
o Introduction to stochastic calculus
 Wiener processes
 Linear stochastic differential equations: asset price dynamics
 Ito's lemma
o Introduction to Splus for mathematical finance
 Writing functions
 Random number generation and generating sample paths
• Day 2
o Introduction to pricing and hedging of derivatives
 Pricing of futures contracts
 Hedging using futures
 European Option payoffs and hedging using options
 Black-Scholes formula
 Delta hedging
o Pricing European options using Monte Carlo in Splus
• Day 3
o Stochastic interest rate models
 Spot rates, forward rates and arbitrage
 Bond prices and yield curve
 Short rate models, Vasicek model
o Calibration of Vasicek model from real yield data using Splus
Each day will include hands-on demonstrations of Splus
Benefits of Attending
You will learn about the latest developments in the field from acknowledged
research leaders, gathered together in London. By networking and listening
to the presentations, you will gain valuable knowledge and practical
techniques to apply your own area of practice or research. You will gain
first hand experience of the innovative thinking and best practices
currently being developed in some of the world’s leading educational
institutions.
This workshop is organized by The Centre for the Analysis of Risk and
Optimisation Modelling Applications (CARISMA) at Brunel University and
managed by UNICOM Seminars. It takes place at Brunel University campus,
West London.
Prices are very competitive to allow practitioners, academics and
researchers working in the area of risk management, financial engineering,
quantitative finance and optimisation to exchange ideas and to benefit from
a series of top-flight events.
3 Days
Students £210
Academics & Researchers £295
Industry £999
For further details please go to www.unicom.co.uk/finance or email
[log in to unmask] for a PDF flier.
Alternatively you may telephone UNICOM on +44 1895 256 484 for further
information.
Kind regards
Michael
CARISMA
PS – Please note that we have a related event,
Basel II and Operational Risk: An Introduction and Overview, on 22-23
November.
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