The ALM one-day hands-on workshop will give participants the opportunity to implement their own ALM study. Mathematical programs such as deterministic linear programming, stochastic programming, chance constrained programming and integrated chance constrained programming are covered to represent an ALM problem. Representing uncertainty, both on the asset and liability side, will be taught by both standard and state-of the art scenario generation methods. Participants will be using AMPL Studio to model and solve the ALM problem, and will use SPInE to reformulate it as a stochastic problem to account for uncertainty. This hands-on workshop can be taught in conjunction with the more practical ALM workshop or independently as a computer-based workshop.

Key Features include:
- Introduction to Practical Asset and Liability Management Principles
- Introduction to Mathematical Programming
- Introduction to Scenario Generation:
- Desirable Properties
- Asset Price Dynamics
- Liability Modelling
- Factor Models
- Hands-on Session:
- Introduction to AMPL
- Data Input/Output to AMPL
- Introduction to SAMPL/SPInE

This hands-on workshop can be taught in conjunction with the more practical ALM workshop or independently as a computer-based workshop.

The Practical Asset & Liability Workshop covers ways to analyse ALM problems. Mathematical models are supported by illustrative cases studies, which help translate theory to practice. This allows the attendee to gain access to real solutions and techniques, which they are then able to implement for their own work.

This workshop is targeted at
• Quantitative and technical analysts,
• Risk analysts,
• Fund managers,
• ALCO members of pension funds, insurance and banking industries and academics.

Strategic decision makers (CEO, CFO, CTO, CRO etc), ALCO members and fund managers from pension, insurance, banking industries and fund managers of HNI will all benefit from this course.

For Quantitative Analysts/Risk Analysts: This workshop give you an overview of the wide range to the technologies available, allowing you to define and conceptualise your business problem in terms of an optimisation problem.

Professor Gautam Mitra is an internationally renowned research scientist in the field of Operational Research in general and computational optimisation and modelling in particular. He has developed a world class research group in his area of specialisation with researchers from Europe, UK & USA. He has published three books and over hundred refereed research articles. He was Head of the Department of Mathematical Sciences, Brunel University between 1990 and 2001. In 2001 he has established CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications. CARISMA specialises in the research of Risk and Optimisation and their combined paradigm in decision modelling. Professor Mitra is a Director of OptiRisk Systems UK and OptiRisk India. Many of the research results of CARISMA are exploited through these companies.

Dr. Katharina Schwaiger is a KTP Post-Doc Associate at OptiRisk Systems. She received her PhD in Operational Research on the topic of "Asset and Liability Management under Uncertainty: Models for Decision Making and Evaluation" from CARISMA (Centre for the Analysis of Risk and Optimisation Modelling Applications) in 2009. Prior to this she gained a First Class BSc in Financial Mathematics from Brunel University. Her work experience includes internships in Applied Research, Equities and Asset Management at Metzler Investments and Metzler Asset Management Frankfurt, Germany, sponsored research on the topic Liability Driven Investment at Insight Investments, London and an EPSRC funded research internship at ACE Ltd, London.

Dr. Stefan Lorenz works as research scientist at the Fraunhofer Institute for Industrial Mathematics in Kaiserslautern, Germany since 2005. His main fields of research include development and improvement of pricing models for equity and fixed income derivatives such as multi factor models and stochastic volatility models as well as its efficient numerical implementation. Research and project partners are among others large banks and insurance companies as well as asset management companies. He received his PhD in Mathematics at the University of Kaiserslautern in 2009. Prior to this he finished his studies of Financial Mathematics at the department of Stochastic Control and Financial Mathematics at the University of Kaiserslautern.

Dr. Jörg Wenzel is deputy head of the Financial Mathematics Department
of Fraunhofer Institute for Industrial Mathematics (ITWM) in
Kaiserslautern, Germany. He received his PhD in Mathematics from the
Friedrich-Schiller-University in Jena, Germany. He is co-author of a book on
orthonormal systems and Banach spaces and has published many research articles. At ITWM he is responsible for managing projects in option pricing and interest rate derivatives valuation and works on problems in stochastic analysis.