---------- Forwarded message ----------
Date: Tue, 7 Nov 2006 09:50:57 -0000
From: Xiaochen Sun <Xiaochen.Sun(a)brunel.ac.uk>
Subject: CONTINUOUS TIME FINANCE Workshop
Dear list, we are pleased to announce the following workshop:
1. CONTINUOUS TIME FINANCE
CONTINUOUS TIME FINANCE
27-29 November 2006, Brunel University, West London, UK
(
http://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 modeling 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 worlds
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 modeling 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(a)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.
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Michael(Xiaochen) Sun
CARISMA,
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://people.brunel.ac.uk/~mapgxcs
Blog:
http://mam3xs.blogspot.com
Tel: (+44) (0)1895 265625
Mobile: (+44) (0)7841873292
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