[NMOF-news] 3rd Summer School on Numerical Methods and Optimization in Finance

[Enrico Schumann]

*3rd Summer School on Numerical Methods and Optimization in Finance*

August 6-17, 2013 in Geneva, Switzerland

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" (Academic Press, July 2011).
There will be lectures on numerical analysis, simulation and
optimisation, accompanied by hands-on sessions.  Topics covered:

- fundamental numerical methods (root finding, approximating
  derivatives, &c.)

- stochastic simulation: 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)

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

- various strategies how to calibrate yield-curve models: 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 Manfred[DOT]Gilli[AT]unige.ch


-- 
Enrico Schumann
Lucerne, Switzerland
http://enricoschumann.net