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Asset and Option Pricing Using Monte Carlo Methods |
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Topics
- Scope and Purpose:
- Key features
- Benefits of attending
- Speaker Profile
- Target audience
- Workshop Timetable
- Dates & Venues
- Workshop Fees
- Registration
- Contact Us
- Brochure
Scope and Purpose:
The 2008 Global Financial Crisis brought to light the limitations of classical asset pricing models, which assume returns are normally distributed. What are termed as 6sigma to 10sigma events, which are supposed to happen once in 10,000 to 1 million years, happened every few decades. Some of the recent developments in the financial modelling avoid such pitfalls of classical asset pricing models. This workshop broadly covers three such building blocks of financial modelling:
Option Valuation Techniques , Regime Switching Models and Robust Statistics.
Addressing the needs of both professional analysts and academics, this advanced workshop provides insights into:
- Standard and advanced Monte Carlo methods and tree-based methods for pricing of financial instrument
- Regime-Switching Models for modelling asset prices
- Principles of Robust Statistics to thoroughly analyse market data.
The attendees will learn how to apply these methods for their own asset and option pricing problems. The main focus is application and integration of these concepts.
Key features:
- Monte Carlo methods and binomial-trinomial tree methods for pricing financial products
- Basics of Monte Carlo simulations including random number generation
- Variance reduction techniques
- Simulation of SDE-modelled stock prices based on standard methods (Euler discretisation)
- Pricing options with Monte Carlo simulations
- Multilevel Monte Carlo
- Basics of tree-based methods used for pricing options
- Idea of moment matching in order to guarantee convergence
- Insight into creating two-dimensional trees linked to Heston's stochastic volatility model
- Regime-switching models for risky assets
- Introduction to time series analysis and regime-switching models in finance
- Modelling asset prices with regime-switching parameters
- Concepts of filtering and parameter estimation
- Forecasting asset prices
- Statistical Methods for model evaluation and empirical model fit
- Preprocessing Data: Date types, week-end effects, handling of discontinuities caused by stock splits, currency reforms
- Exploratory data analysis with special focus missing data and outliers
- Concepts and diagnostics of Robust Statistics applied to financial market data:
- Propagating and non-propagating outliers
- Stability of inference w.r.t outliers
- Identification of influential observations
- Model evaluation and choice of prediction errors/li>
- Sequential learning method in finance:
This topic covers sequential Monte Carlo methods, also known as particle filters. Sequential Monte Carlo methods are simulation based algorithms used to compute the higher-dimensional and/or complex integrals that arise regularly in applied work. These methods are becoming increasingly popular in economics and finance, in particular for the analysis of on-line data.
This introduction will be followed by the discussion of a sequential learning approach for tracking and forecasting the stochastic volatility through the bayesian estimation of the parameters of a stochastic process with jumps on the base of the discrete observation of prices.
Benefits of attending:
The workshop provides insight into three key areas of Financial Engineering. The attendees will be able to utilise the presented concepts to model asset and option prices. Special attention will be put on comprehensible numerical examples with financial market data, easily to be reproduced on suitable standard software (Matlab/R).
Speaker Profile:
Dr.Peter Ruckdeschel is a research associate at the Financial mathematics group at Fraunhofer ITWM, Kaiserslautern and at the University of Kaiserslautern, Germany. He received his PhD in Statistics at University Bayreuth in 2001 with an award-winning dissertation on Robust Kalman Filtering. He is co-author of 13 R packages available on the comprehensive R archive network, ranging from integration of automatic markup to R documents, over objected-oriented implementations of distributions to optimally robust estimation. Within the collaborative software development platform r-forge, he is developing-with other authors-R package robKalman. Since his affiliation to ITWM, he has been working on several industry projects covering parameter estimation in stochastic correlation models, quantification of operational risk, and pricing of loans in illiquid markets.
Dr. Christina Erlwein is a research associate at the Financial mathematics group at Fraunhofer ITWM, Kaiserslautern, Germany. She received her PhD in financial mathematics on hidden Markov models in Finance from CARISMA, Brunel University in 2008. She was awarded a Marie Curie Fellowship for Early Stage Researchers and worked within international research projects on financial mathematics at CMA, University of Oslo, Norway, Heriott-Watt University, UK and University of Western Ontario, Canada. She published several papers on applications of HMMs in Finance. Since 2008 she is affiliated to ITWM, where she works on various projects with the financial industry ranging from modelling alternative investments to software concepts for statistical models and credit pricing
Dr. Enza Messina is an Associate Professor in Operations Research at the Department of Informatics Systems and Communications, University of Milano-Bicocca, Italy where she founded the research Laboratory MIND (Models in decision making and data analysis). She received her PhD in Computational Mathematics and Operations Research from the University of Milano. in 1994.Her research activity is mainly focused on the development of models and methods for decision making under uncertainty, in particular probabilistic models for sequential data analysis. These modelling techniques have been applied to the solution of risk management problems in different domains such as finance, supply chain and environment.
Tilman Sayer is a PhD researcher at the Technical University of Kaiserslautern working within the Financial mathematics group at Fraunhofer ITWM, Kaiserslautern, Germany. He was awarded a PhD scholarship of the Fraunhofer Society. He received his Master of Science in 2008 from University of Kaiserslautern in Financial Mathematics on Pricing Executive Stock Options. His main area of research is pricing financial derivatives under stochastic volatility, mainly by binomial and trinomial tree methods.
Target audience:
- Fund Managers - Hedge Funds, Alternative investment funds, mutual funds, etc
- Investment Advisers, and consultants
- Valuations Consultants
- Merger & Acquisition consultants.
- Financial Risk Professionals - Risk Managers, Risk Consultants
- Academics and students specializing in asset pricing methods
Workshop Timetable: Day 1
| Day - 1 :Asset and Option pricing using Monte Carlo Methods & Regime Switching Models | ||
| Time | TOPIC | Presenter |
| 9:30 - 10:30 | Monte Carlo methods and binomial-trinomial tree methods for pricing financial products
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Tilman Sayer |
| 10:30 - 11:00 | Coffee Break | |
| 11:00 - 12:00 | Regime-switching models for risky assets
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Christina Erlwein |
| 12:00 - 13:00 | Statistical Methods for model evaluation and empirical model fit
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Peter Ruckdeschel |
| 13:00 - 14:00 | Lunch Break | |
| 14:00 - 15:00 | Sequential learning method in finance
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Enza Messina |
| 15:00 - 15:30 | Monte Carlo methods and binomial-trinomial tree methods for pricing financial products
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Tilman Sayer |
| 15:30 - 16:00 | Tea Break | |
| 16:00 - 17:00 | Statistical Methods for model evaluation and empirical model fit.
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Peter Ruckdeschel |
| 17:00 - 17:30 | Discussion of day's topics. | Christina Erlwein |
Dates & Venues:
| Date | City | Location | |
| Day 1 | 13th January, 2011 | Mumbai | Hotel Lotus Suites |
| Day 2 | 14th January, 2011 | Mumbai | Hotel Lotus Suites |
Workshop Fees:
| Workshop | Day 1 | Day 2 | Both Days |
| Industry | Rs.9,500/- | Rs.9,500/- | Rs.17,000/- |
| Academic (Professors) | Rs.6,500/- | Rs.6,500/- | Rs.12,000/- |
| Research Students | Rs.4,500/- | Rs.4,500/- | Rs.8,000/- |
* Service Tax 10.3% Extra
*Register before 13th December and avail 10% discount. Service tax extra.
Payment Options:
1. Pay by Cheque/DD in favor of "OptiRisk Learning Systems (P) Ltd" payable at Chennai.
Send the cheque / DD to the following address along with the registration details.
OptiRisk Learning Systems (P) Ltd,
L-468, Ground Floor, 21st Cross Street ,
Thiruvalluvar Nagar, Thiruvanmiyur.
Chennai - 600041
Ph: 044 4501 8472 / Mob: +91 90945 32918
[ OR ]
2. Pay by bank transfer to the following bank account.
| Online Account Details : | |||
| Account Name: | OptiRisk Learning Systems (P) Ltd. | Account Number: | 30801187665 |
| Bank Name: | State Bank of India | IRTGS/NEFT/IFSC Code: | SBIN0011721 |
| Branch : | Valmiki Nagar Branch, Chennai | MICR Code: | 600002157 |
Upon successful transfer of the payment, please send the transfer confirmation details to contact@optiriskindia.com.
Registration:
Offline Registration: Please complete registration form (last page of the brochure : click here to download) along with a payment of Rs. 10,479/- (For One Day) to the address mentioned in the registration form. Alternatively, you could call / email us to register: Padmakumar. Bala, at contact@optiriskindia.com.
Ph: +91 9094532918 / +91 44 45018472.
Contact Us
For registration and more information on the workshop or to find out about exhibition, sponsoring the workshop, please contact Padmakumar. Bala, at contact@optiriskindia.com.
Ph: +91 9094532918 / +91 44 45018472.
Brochure
Click here to download PDF version of the workshop brochure.
