This in-depth two-day workshop gives participants a comprehensive overview of the most important concepts in this field, and introduces and explores the theoretical aspects. It presents the applications of state space modelling, Kalman filtering and nonlinear filtering; explains the practical applications of linear/non-linear filtering in financial risk management and provides an overview on the future development of the application of filtering in finance.

CARISMA and Fraunhofer ITWM present the Asset and Liability Management Hands-On Workshop.
Key Features include:
-Introduction to Practical Asset and Liability Management Principles
-Introduction to Mathematical Programming
-Introduction to Scenario Generation
-Hands-on Session

CARISMA and Fraunhofer ITWM present the "EVT and Copula" Workshop
Extreme value theory(EVT) is a practical and useful tool for modelling and quantifying risk. This workshop provides an overview of the role of EVT in risk management, as a method for modelling and measuring extreme(downside) risks.

The workshop provides insight into the statistical models and concepts in R, which are useful for various problems arising in Finance. The attendees will be able to import datasets into R, analyse them statistically and apply concepts from time series modelling. An example on how to optimise a portfolio in R will show various concepts in financial mathematics and statistics, which are provided in R. In practical sessions, the attendees will learn and practice how to use R.

This workshop will enable participants to enhance their knowledge of interest rate modelling and pricing; experience the design of a generic pricing framework; learn how to deal with a wide range of pricing problems for interest rate products

Participants receive a swift introduction to standard Monte Carlo methods; learn the latest Monte Carlo technology to speed up simulations; gain a better understanding of the principles of variance reduction and weak extrapolation.

CARISMA and Fraunhofer ITWM present the Practical Asset and Liability Management Workshop.
Key Features include:
-Introduction to practical asset and liability management principles
-Explanation of the key risk features affecting the ALM problem
-Measurement and management of the key risk factors
-Implementation of quantitative models to bank borrowing and lending, pension funds, insurance companies, bank borrowing and lending, and individuals' ALM.

At the end of the workshop, the participants will be able to develop their own optimisation models, link them to data sources and solve the models using state-of-the-art commercial solvers. Participants will also acquire a good knowledge on how to embed optimisation models into applications.

The topic of financial time series method has attracted substantial attention in recent years, especially with the 2003 Nobel Laureates‘ awards to Professors Robert Engle and Clive Granger. Nowadays, financial time series method is widely used in quantifying various risk factors, predicting returns, volatilities, and risks.

The purpose of the course is to provide an accessible, yet rigorous introduction to the fundamentals of continuous time finance. The course delivers, in a structured and coherent manner, a significant amount of knowledge on the use of continuous time stochastic processes in pricing of assets and interest rate derivatives.

The essence of banking is asset-liability management (ALM). ALM is more an art than a science, with ALM practitioners having to assess future market scenarios and their probability of occurring, and planning for each of these accordingly. 

30 November 2009
Venue: The Pullman Hotel, Bangkok, THAILAND

The 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 their ALM problem, as well as using SPInE which will be used to represent and solve the ALM model under uncertainty.

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30 November - 2 December 2009
Venue: The Pullman Hotel, Bangkok, THAILAND

Join us to learn, discuss and share the best strategies to manage risk through these uncertain times. World-renowned risk experts are sharing with us on how risk modeling can be put into risk strategies for effective risk management.

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Date: 17 November 2009
Venue: MWB, Canada Square, Canary Wharf LONDON

CARISMA (The Centre for the Analysis of Risk and Optimisation Modelling Applications) with OptiRisk Systems is publishing a biannual Asset Liability Management: Handbook (Wiley & Sons); with the first volume being published in October 2010. The pre-launch forum brings together academics, ALM solution providers and end-users to discuss advances and available products in ALM. Short presentations will be given by invited speakers followed by a panel discussion with input from the floor. The evening will finish with a networking session where consultants and solution providers can meet potential clients over a glass of wine.

Date: 9 November 2009
Venue: MWB, Canada Square, Canary Wharf LONDON

CARISMA (The Centre for the Analysis of Risk and Optimisation Modelling Applications) with OptiRisk Systems is publishing a biannual Handbook on News Analytics in Finance(Wiley & Sons) The pre-launch forum brings together academics, News Analytics solution providers and end-users to discuss advances and available products in News Analytics. Short presentations will be given by invited speakers followed by a panel discussion with input from the floor. The evening will finish with a networking session where consultants and solution providers can meet potential clients over a glass of wine.

This workshop series is specially designed to provide insight into the discipline of optimisation for a wide range of individuals such as OR professionals & financial quantitative analysts, risk analysts, consultants, DSS application developers, and academics.

    Programme Download

Date: 30 March - 2 April 2009
Venue: University of Paderborn

This workshop series is specially designed to provide insight into the discipline of optimisation for a wide range of individuals such as OR professionals & financial quantitative analysts, risk analysts, consultants, DSS application developers, and academics.

Please click here for more information.     Programme Download

Date: 23-26 March 2009
Venue: IIM Calcutta

In this workshop, our instructors, who all have years of experience in this field, will take you through all the steps of an optimisation project using powerful optimisation tools such as CPLEX, FortMP, FortSP and AMPL Studio. The purpose of the workshop is to show how optimisation models, relational data and optimisation algorithms can be brought together in one cohesive business application.

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Date: 3 - 4 April 2009
Venue: Victoria Palace Hotel, Sliema

This workshop introduces construction of different financial models and analysis of their application and uses. The programme is delivered using formal lectures combined with practical and interactive case studies and exercises to reinforce concepts covered in each session.

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UNICOM Seminars Ltd & OptiRisk Systems are one of the very few UK training providers offering staged and weekend FRM revision sessions in the London area. It is the only course led by a trainer who has himself passed the FRM examination and has worked with GARP setting some of the examination questions.

Please click here for enquiry and booking.

This workshop series is specially designed to provide insight into the discipline of optimisation for a wide range of individuals such as OR professionals & financial quantitative analysts, risk analysts, consultants, DSS application developers, and academics.

Please click here for enquiry and booking.