4th Annual CARISMA Conference
RISK CONTROL STRATEGIES FOR HEDGE FUNDS
AND PROGRAM TRADING
30 June Pre-conference Workshops, 1– 2 July Conference, 3 July Post-conference Workshops
7city Learning Centre, London
Topics covered include:
Program Trading
Algorithmic Trading
Models for Hedge Funds
Long-Short Portfolios
Derivatives Trading and
Risk Management
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Download Conference/Workshops Programme (PDF):
FOR SECURE ONLINE REGISTRATION PLEASE CLICK HERE
Please email enquiries to info@optirisk-systems.com or phone +44 (0)1895 819483
Background:
Algorithmic trading continues to evolve at a rapid pace, with new developments coming from both industry and the academic community, where much ground-breaking research has taken place. This research is being translated into practical applications for traders to automate sophisticated hedge funds trading strategies.
Hedge funds are emerging as a mainstream investment, as more and more investors view hedge funds as a viable way to preserve and grow capital in difficult markets. The hedge fund industry has experienced significant growth in recent years, both in terms of the number of hedge funds and the assets they manage. There is therefore a growing need to share information among hedge fund managers, service providers and investors, and report recent advances and research in the field of financial models for managing such funds.
This conference provides a platform to discuss the applications and advances, and to explore fruitful directions for future research focusing on the emerging requirements of the finance industry. It brings together practitioners and academics working in the area of financial planning, optimisation and risk modelling. The related workshops provide an in-depth view of related topics in investment and risk modelling.
Speakers include:
• Carlo Acerbi, Abaxbank
• Art Asriev, Bear Stearns
• Les Balzer, University of NSW & HFA Asset
Management
• Dan Bienstock, Columbia University
• Nicos Christofides, Imperial College
• Robert Clarkson, Cass Business School,
City University
• Kevin Dowd, Nottingham University Business School
• M A H Dempster, Centre for Financial Research,
Judge Business School, University of Cambridge
& Cambridge Systems Associates Limited
• Dan diBartolomeo, Northfield Information Services
Inc.
• Chanaka
Edirisinghe, University of Tennessee
• Armando Gonzalez,
RavenPack Int'l
• Gerd Infanger,
Stanford University
• Dilip Madan,
University of Maryland,
Consultant to Morgan Stanley &
Visiting Professor, CARISMA
(Risk Awards Quant of the Year 2008)
• Gautam Mitra,
CARISMA, Brunel University
• Bernd Scherer,
Morgan Stanley
• Alan Slomowitz,
Dow Jones
• Stefan Thurner,
red-stars.com
• Pamela Vance,
Axioma
• Xunyu Zhou,
University of Oxford
Related Workshops:
30 JUNE 2008: TWO HALF-DAY WORKSHOPS:
Morning: Robust Portfolio Optimisation
Presentation 1: Continuing Work on Robust Portfolio Optimization, Dan Bienstock, Columbia University.
Presentation 2: Robust Portfolio Construction, Adrian Zymolka, Axioma
Presentation 3: Robust Efficient Frontiers, Nigel Meade, Professor of Quantitative Finance at Imperial College London’s Tanaka Business School & John Beasley, Deputy Director CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, Brunel University
Afternoon: LDI/ALM
Presentation 1: Stochastic Programming Tools and Components for Asset and Liability Management, Gautam Mitra CARISMA/Brunel University
Presentation 2: An Investigation of Generic Models for Pension Fund Planning, Katharina Schwaiger, CARISMA/Brunel University
Presentation 3: ALM Models for Pension Planning - A Road Map, Kevin Dowd, Nottingham University Business School
Presentation 4:
Institutional Asset Liability Management, M A H Dempster, Centre for Financial Research, Judge Business School, University of Cambridge & Cambridge Systems Associates Limited
3 JULY 2008: TWO HALF-DAY WORKSHOPS:
Morning: New Developments: Performance Measures and Structured Products; Coherent Risk Measures and Liquidity Risk
Part A:
Presentation 1: New Performance Measures and Structured Product Valuation
Presentation 2: Hedge Fund Performance: Sources & Measures, Dilip Madan, University of Maryland, Consultant to Morgan Stanley & Visiting Professor, CARISMA
Part B:
Presentation 3: Coherent Measures of Risk and Liquidity Risk, Carlo Acerbi, Abaxbank
Afternoon: RavenPack workshop: News Analytics and Financial Modelling
Jason Cornez, RavenPack
The workshop covers basic properties of time series data and quantitative models which are based on news. Applications to financial models are presented.
FOR SECURE ONLINE REGISTRATION PLEASE CLICK HERE
Past event details: 3rd Annual CARISMA seminar