Advanced Course on Numerical Methods in Finance (IRP in Quantitative Finance) ONLINE
Sign into June 04, 2021
The Advanced Course will be held ONLINE via Zoom due to the current COVID-19 epidemiological situation.
Participants will receive the link to the sessions by May 28th.
Introduction
In this course we will focus on the pricing of options and quantitative risk management from the numerical standpoint. These problems entail an ambitious task in terms of computational complexity and they therefore require sophisticated algorithms. Efficient numerical methods are required to rapidly price complex contracts and calibrate complex financial models to market data. In option pricing, it is the famous Feynman-Kac theorem that relates the conditional expectation of the value of a contract payoff function under the risk-neutral measure to the solution of a partial differential equation. In the research areas covered by this theorem, various numerical pricing techniques can be developed. In brief, existing numerical methods can be classified into three major groups: partial (integro) differential equation (PIDE) methods, Monte Carlo simulation and numerical integration methods. Each of them has its merits and demerits for specific applications in finance, but the methods from the latter class are often used for calibration purposes. Advanced numerical methods are needed within the risk management field as well. The computation of risk measures in either market or credit portfolios is a real problem that financial companies have to deal with. The size of this type of portfolios along with the continually evolving regulatory changes make necessary to look at the new academic developments.
Organizing Committee
| Elisa Alòs | Universitat Pompeu Fabra |
| Luis Ortiz-Gracia | Universitat de Barcelona |
| Josep Vives | Universitat de Barcelona-IMUB |
Scientific Committee
|
Elisa Alòs |
Universitat Pompeu Fabra |
|
José Manuel Corcuera |
Universitat de Barcelona |
|
Maria Elvira Mancino |
Università di Firenze |
|
Cornelis W. Oosterlee |
Delft University of Technology and CWI |
|
Luis Ortiz-Gracia |
Universitat de Barcelona |
|
Carlos Vázquez Cendón |
Universidade da Coruña |
SPEAKERS
| Yuying Li | University of Waterloo | Course abstract |
| Cornelis W. Oosterlee | Delft University of Technology and CWI | Course abstract |
INVOICE/PAYMENT INFORMATION
IF YOUR INSTITUTION COVERS YOUR REGISTRATION FEE: Please note that, in case your institution is paying for the registration via bank transfer, you will have to indicate your institution details and choose “Transfer” as the payment method at the end of the process.
UPF | UB | UPC | UAB
*If the paying institution is the UPF / UB/ UPC / UAB, after registering, please send an email to comptabilitat@crm.cat with your name and the institution internal reference number that we will need to issue the electronic invoice. Please, send us the Project code covering the registration if needed.
Paying by credit card
IF YOU PAY VIA CREDIT CARD but you need to provide the invoice to your institution to be reimbursed, please note that we will also need you to send an email to comptabilitat@crm.cat providing the internal reference number given by your institution and the code of the Project covering the registration (if necessary).
LODGING INFORMATION
ON-CAMPUS AND BELLATERRA
BARCELONA AND OFF-CAMPUS
 |
For inquiries about this event please contact the Scientific Events Coordinator Ms. Núria Hernández at nhernandez@crm.cat
|
scam warning
We are aware of a number of current scams targeting participants at CRM activities concerning registration or accommodation bookings. If you are approached by a third party (eg travellerpoint.org, Conference Committee, Global Travel Experts or Royal Visit) asking for booking or payment details, please ignore them.
Please remember:
i) CRM never uses third parties to do our administration for events: messages will come directly from CRM staff
ii) CRM will never ask participants for credit card or bank details
iii) If you have any doubt about an email you receive please get in touch