[NMOF-news] 4th Summer School on 'Numerical Methods and Optimization in Finance'

[Enrico Schumann]

4th Summer School on 'Numerical Methods and Optimization in Finance'

4-15 August 2014 in Geneva, Switzerland

Lecturers
   Manfred Gilli, University of Geneva
   Dietmar Maringer, University of Basel and University of Geneva
   Enrico Schumann, Aquila Capital Group

The summer school offers lectures on numerical techniques in finance,
with focus on stochastic simulation and optimisation.  We emphasise the
practical application of those methods, thus all lectures go along with
computer-lab sessions.

All lectures are based on the textbook 'Numerical Methods and
Optimization in Finance' (Academic Press, 2011).  

Topics include:

- stochastic simulation: creating random variates with specific marginal
  distributions and cross-sectional/serial dependencies;
  resampling/bootstrapping data sets; simulating financial
  instruments/portfolios and trading strategies; agent-based models

- optimisation: introduction to optimisation methods for hard problems,
  such as Genetic Algorithms and Simulated Annealing

- case studies on portfolio optimisation [optimising portfolios under
  non-mean--variance objective function such as drawdown, partial
  moments and with restrictions, such as cardinality constraints] and
  calibrating yield-curve models [discussion of alternative calibration
  strategies, such as fitting to bootstrapped yields, to bond prices or
  to yields-to-maturity]

... and more

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