[NMOF-news] 2nd Summer School on Numerical Methods and Optimization in Finance

[Enrico Schumann]

*2nd Summer School on Numerical Methods and Optimization in Finance*

August 6-18, 2012 in Geneva, Switzerland


Organisers
   Gérard Antille, Fabrizio Carlevaro, Manfred Gilli

Lecturers
   Manfred Gilli, University of Geneva
   Dietmar Maringer, University of Basel and University of Geneva
   Enrico Schumann, VIP Value Investment Professionals AG, Wilen (SZ)


The content of the summer school is based on the textbook "Numerical
Methods and Optimization in Finance" (Elsevier, July 2011); thus,
there will be lectures on numerical analysis, simulation and
optimisation, accompanied by hands-on sessions. Some highlights:

- option pricing and calibration of option pricing models: binomial
   trees, finite differences, Monte Carlo and other pricing
   methods; modelling of volatility surfaces.

- how to create random variates from specified marginal distributions,
   how to induce cross-sectional correlation (beyond Cholesky for
   Gaussian variates) and serial dependencies; examples for copulaes;
   resampling: bootstrapping data sets.

- portfolio optimisation: how to optimise portfolios under any
   objective function (eg, drawdown, partial moments) and restrictions
   (eg, cardinality constraints).

- various strategies how to calibrate a yield-curve model: through
   fitting to bootstrapped yields, to bond prices or to
   yields-to-maturity

MATLAB and R sample code will be provided, but other languages can be
used in the practical sessions.


For more information, please contact Sandrine.Gueniat at unige.ch