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ALLSTAT  October 2010

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Subject:

November Workshops: Financial Mathematics

From:

Chanakya Mitra <[log in to unmask]>

Reply-To:

Chanakya Mitra <[log in to unmask]>

Date:

Mon, 18 Oct 2010 16:05:57 +0100

Content-Type:

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Dear Colleague,

We are writing to bring to your notice our events in November that we think may be in your area of interest.  They are:

1.Optimisation Series: Business Application of Optimisation, Stochastic Programming & Portfolio Planning, 1-5 November 2010, Brunel University
http://www.optirisk-systems.com/events/ortraining.asp
Five days are devoted to optimisation technologies that have become key tools in making important business decisions that increase competitive advantage.  An overview of the tools, setting them up and implementing them are covered and the week is planned as:  

-The days one and two are based on Linear and Integer Programming which find applications in diverse areas covering scheduling, planning industrial and chemical applications.

-The third and fourth days cover the topics of Stochastic Optimisation which is gaining increasing applications in finance, energy systems and logistic planning.

-The fifth day is on Portfolio Planning and the different aspects of asset allocation. 

At the end of the workshop, participants will be able to develop their own optimisation models, link them to data sources and solve the models using state-of-the-art commercial solvers. Participants are also free to choose the days to attend according to their immediate interest areas.

2.Finance with R, 15-16 November 2010, Brunel University
http://www.optirisk-systems.com/events/rtraining.asp 
This workshop provides insights into the statistical models and concepts in R, which are useful for solving problems arising in Finance.  The attendees will be learn to import datasets into R, analyse them statistically and apply concepts from time series modelling.  In addition concepts in financial mathematics and statistics which are provided in R will be illustrated.  In the practical sessions, attendees will learn and practice using R as a modelling and development tool.    

3.Applications of Hidden Markov Models & Filters to Financial Time Series Data, 8-9 November 2010, Brunel University
http://www.optirisk-systems.com/events/hmm.asp
The aim of this workshop is to introduce the theory underlying Hidden Markov Models (HMM) Kalman Filters and Particle Filters.  The use of these methods in the calibration of dynamic state space models as well as in prediction of unobservable variables is also discussed.  The workshop introduces and explores theoretical aspects, explains the practical applications and provides an overview on the future development of the application of filtering in finance and financial risk management.
 
4.Stochastic Process, Stochastic Calculus & Continuous Time Finance, 22-24 November, Brunel University
http://www.optirisk-systems.com/events/stochcalc.asp
This course has been designed to strengthen continuous time finance modeling skills.  The comprehensive workshop updates the participants on the key concepts in arbitrage pricing of stock and interest rate derivatives and the mechanics of derivative trading. 

5.Monte Carlo Methods in Finance: Basic Methods and Recent Advances, 30 November, Brunel University
http://www.optirisk-systems.com/events/fhmc.asp
This one-day workshop is a concise introduction to the use of standard and advanced Monte Carlo methods in pricing, hedging and risk management.  By demonstrating the key features via numerous applications and via computer exercises, the attendees will learn how to adapt advanced methods to their own tasks. 
 
Further Info:
We have also recently been accepted into the CFA Approved-Provider Program and are in the process of getting our workshops reviewed for CE Credits for CFA members.

Thanks to our sponsors, there are generous bursaries to reduce the attendance cost for academics and research students.  For more details on registration fees, you can reply to this message or phone us on +(44) 1895 819 488 to enquire directly.  We do hope this information will be of interest and look forward to welcoming you to these events.

For further information, including a full calendar of events, and programmes please use the direct link; http://www.optirisk-systems.com/finance. 

Best regards


Chanakya Mitra

OptiRisk Systems
OptiRisk Systems R&D House 
One Oxford RoadUxbridge, 
UB9 4DA 
UK 
Tel: +44 (0) 1895 256 488
http://www.optirisk-systems.com


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