---------- Forwarded message ---------- Date: Tue, 7 Nov 2006 09:50:57 -0000 From: Xiaochen Sun Xiaochen.Sun@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@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 ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~