Sale Date Ended
Sale Date Ended
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.
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).
Dr.Peter Ruckdeschel, Dr. Christina Erlwein, Dr. Enza Messina, Tilman Sayer.
* 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