[R-SIG-Finance] CONTINUOUS TIME FINANCE with S-Plus

Xiaochen Sun Xiaochen.Sun at brunel.ac.uk
Tue Nov 7 11:16:47 CET 2006


Dear list, we are pleased to announce the following workshop with S-Plus:
 

CONTINUOUS TIME FINANCE with S-Plus

CONTINUOUS TIME FINANCE with S-Plus
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 modelling 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.


The target audience
*Graduate students who are starting their doctoral studies in finance
*PhD Research Students
*Academics
*Banking professionals who want to learn basic modelling and pricing methods in investment banking.

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.

For further details please go to www.unicom.co.uk/finance  or email info at unicom.co.uk  for a PDF flier.

Alternatively you may telephone UNICOM on +44 1895 256 484 for further information.

We look forward to welcoming you to the CONTINUOUS TIME FINANCE, 27-29 November 2006; please also make your colleagues aware of it.

With regards,

Michael

 
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ 
Michael(Xiaochen) Sun
CARISMA, www.carisma.brunel.ac.uk <http://www.carisma.brunel.ac.uk/>  
Centre for the Analysis of Risk and Optimisation Modelling Application; 
School of Computing, Information Systems and Mathematics 
Brunel University 
Uxbridge, UB8 3PH 
United Kingdom 
Email: xiaochen.sun (at) brunel.ac.uk
http://optirisk.googlepages.com/ <http://optirisk.googlepages.com/>  
http://people.brunel.ac.uk/~mapgxcs <http://people.brunel.ac.uk/~mapgxcs>  
Blog: http://mam3xs.blogspot.com <http://mam3xs.blogspot.com/> 
Tel: (+44) (0)1895 265625
Mobile: (+44) (0)7841873292
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~



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