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Monte Carlo methods are often the only choice when it comes to valuing complicated finance or insurance products. However, their efficiency hinges critically on the use of variance reduction methods or on further methods improving the speed of convergence of Monte Carlo. The workshop will enable attendants to use standard and advanced Monte Carlo methods in pricing, hedging, and risk management. By demonstrating the key features via numerous applications and via computer exercises, the attendants will learn how to adapt advanced methods to their own tasks.
Key features:
- Concise introduction to basic and advanced features of Monte Carlo simulation
- Demonstration of the main aspects via specific examples
- Application oriented and pedagogical presentation
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Getting a swift introduction into standard Monte Carlo methods;
Learning the latest Monte Carlo technology to speed up simulations;
Better understanding of the principles of variance reduction and weak extrapolation.
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Quants, actuaries, risk managers.
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Material based on:
Korn, Korn, Kroisandt “Monte Carlo Methods and Models in Finance and Insurance”, Chapman & Hall /CRC, 2010.
Duration:
One day (6 hours of lecturing plus breaks, computer exercises/demonstrations via Excel programmes)
TIME |
TOPIC |
Presenter |
9.00 |
REGISTRATION AND COFFEE |
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9.15 |
Ice Breaker session |
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9.30 |
Monte Carlo Methods: Basic principles
- Introduction (Simple properties, random numbers, …)
- Variance reduction methods (Antithetic variates, control variates, importance sampling, conditional sampling, stratified sampling)
- Computer exercises
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Prof. Dr. Ralf Korn |
10.30 |
COFFEE BREAK |
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11.00 |
Simulation of stochastic processes and stochastic differential equations for applications in financial mathematics
- Simple methods (Euler scheme, Milstein scheme)
- Simulation of stock price models and Monte Carlo pricing of exotic options
- Simulation and interest rate models
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Prof. Dr. Ralf Korn |
12:00 |
Simulation of stochastic processes and stochastic differential equations for applications in financial mathematics (cont.)
- Monte Carlo pricing of American options (Longstaff-Schwartz algorithm)
- Monte Carlo calculation of option price sensitivities
- Computer exercises
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Prof. Dr. Ralf Korn |
13.00 |
LUNCH |
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14.00 |
Recent models and improved methods
- Simulation of special Levy processes
- Extrapolation methods
- Statistical Romberg method
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Prof. Dr. Ralf Korn |
15.00 |
TEA BREAK |
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15.15 |
Recent models and improved methods (cont.)
- Multilevel Monte Carlo
- Computer exercises
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Prof. Dr. Ralf Korn |
16.00 |
Discussion and Feedback |
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Prof. Dr. Ralf Korn (University Kaiserslautern, Fraunhofer Institute for Industrial Mathematics Kaiserslautern)
Ralf Korn is Professor of Financial Mathematics at the Univ. Kaiserslautern (Germany). He is also heading the Financial Mathematics group at the Fraunhofer Institute for Industrial Mathematics ITWM in Kaiserslautern which collaborates in numerous projects with the finance and the insurance industry. He has written five books (the most recent one on “Monte Carlo Methods and Models in Finance and Insurance”) and has published over 50 papers in refereed journals.
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1 day: £575 + VAT
Thanks to our sponsors, there are a limited number of bursaries available for academics and research students.
For more information regarding bursaries, please contact us on + 44 (0) 1895 819 488 or email info@optirisk-systems.com
Discounted rates for group bookings can be also arranged on request.
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