Dear List Members,
Please find below a list of upcoming training events organised by MoneyScience.
Feel free to pass this mail on to any friends or colleagues you think might
be interested!
Thanks very much for your time.
Jacob
+44 117 923 8851
www.moneyscience.com
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Monte Carlo Methods in Finance
April 19 - 20, 2010 - London, UK
http://www.moneyscience.com/training/Monte-Carlo-Methods-in-Finance.html
10% 'Early Bird' Discount Before March 30th 2010
In the seminar we discuss the application of the Monte Carlo method to
Quantitative Finance. In particular we focus on pricing derivatives. We
investigate how several methods to simulate sample paths of risky assets,
tune the efficiency of the method and finally solve advanced problems like
computing hedge sensitivities and early exercise features.
Trainer: Dr Jörg Kienitz
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Advanced Financial Mathematical Methods – Using Stochastic Volatility and
Lévy Processes based models in Finance – Models, Algorithms and Practice
May 19th, 2010 - London, UK
http://www.moneyscience.com/training/Advanced-Financial-Mathematical-Methods.html
10% 'Early Bird' Discount Before March 30th 2010
The goal of this one day seminar is to provide a detailed overview and
insights into the latest techniques of modelling uncertainty in financial
markets and demonstrating computational methods to tackle the models.
Trainer: Dr Jörg Kienitz
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Advanced C++ for Computational Finance - New and Updated
June 2 - 4, 2010 - London, UK
http://www.moneyscience.com/training/advanced-c-plus-plus-for-computational-finance.html
15% 'Early Bird' Discount before April 5th, 2010
20% Discount for first 5 delegates
The goal of this three-day intensive hands-on course is to learn those
advanced features in C+ that are of direct relevance to writing and
extending application for quantitative and computational finance. The course
uses the object-oriented and generic (templates) programming models (OOP,
GP) in combination with design patterns and the STL and boost libraries to
allow you to create robust and flexible applications. We develop the
contents of the course by discussing important C++ language, using OOP and
GP models to write clean and effective code. We also discuss how to improve
the performance of your application. In all cases, the examples and test
cases are based on finance experience.
Trainer: Dr Daniel Duffy
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Pricing exotic interest rate derivatives - The LIBOR Market Model in QuantLib
June 2 - 4, 2010 - London, UK
http://www.moneyscience.com/training/pricing-exotic-interest-rate-derivatives-the-libor-market-model-in-quantlib.html
This three-day course will be led by an international expert who played a
large role in the coding of the LIBOR market model in the QuantLib C++
open-source project. He will examine the practical problems that arise when
implementing the LIBOR market model to price exotic interest rate
derivatives. Each issue will be discussed at theoretical, practical and
coding levels. The solution of these using QuantLib classes will be the
focus of the course. We will see how QuantLib provides a free
easily-extendible implementation that achieves rapid pricing and sensitivity
computation, and stable calibration to the market; whilst being able to cope
with path-dependence, discontinuous pay-offs and early exercise features.
Trainer: Professor Mark Joshi
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Advanced Finite Difference Method for Quantitative Finance: Theory,
Applications and Computation
June 28 - 30, 2010 - London, UK
http://www.moneyscience.com/training/advanced-finite-difference-methods-for-quantitative-finance.html
15% 'Early Bird' Discount before May 31st, 2010
This three-day course shows how to use the Finite Difference Method (FDM) to
price a range of one-factor and many-factor option pricing models for equity
and interest rate problems that we specify as partial differential equations
(PDEs). We introduce and elaborate modern and robust finite difference
methods that solve pricing problems and that remain stable and accurate for
various combinations of input parameters, payoff functions and boundary
conditions. This course discusses all aspects of option pricing, starting
from the PDE specification of the model through to defining robust and
appropriate FD schemes which we then use to price multi-factor PDE to ensure
good accuracy and stability. The contents of the course have been updated
and revised to reflect new results and developments in the field.
Trainer: Dr Daniel Duffy
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