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MathGroup Archive 2001

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Numerical Methods for Pricing Financial Derivatives

  • To: mathgroup at smc.vnet.net
  • Subject: [mg31930] Numerical Methods for Pricing Financial Derivatives
  • From: Dick Verkerk <verkerk at candiensten.nl>
  • Date: Thu, 13 Dec 2001 01:08:33 -0500 (EST)
  • Sender: owner-wri-mathgroup at wolfram.com

NUMERICAL METHODS FOR PRICING FINANCIAL DERIVATIVES

February 7-8, 2002 in Amsterdam


Would you like to visit Amsterdam AND extend your knowledge on the 
numerical capabilities of Mathematica?
This is your opportunity to enter a special course with a visit 
to one of the most beautiful cities of Europe. 

The course is aimed at financial quantitative analysts, developers 
of finance products, risk management and risk controlling consultants 
and IT professionals 


topics
- Monte Carlo simulations of one and multidimensional processes and 
  the pricing of simple, spread and basket options
- Applying and comparing variance reduction techniques for the Monte 
  Carlo simulations
- Monte Carlo simulations of jump processes and the pricing of credit 
  events
- Setting up a parallel computing environment for Monte Carlo 
  simulations
- Implementing and analyzing simple tree valuation routines for the 
  pricing of american and other path dependent options
- Applying variance reduction techniques to the tree valuation routines
- Implementing and analyzing the Hull-White tree valuation method and 
  the pricing of swaptions
- Implementing and analyzing different finite difference methods
- Integration of Mathematica based numerical pricing routines with 
  MS Excel 


you will learn how to
- implement different numerical pricing methods
- improve the speed and accuracy of the numerical methods
- approach, setup and numerical solve complex pricing problems 


Basic knowledge of Mathematica is necessary, basic knowledge of 
finance is helpful. Please contact us for information on introduction 
courses.

Return your subscription today, as the number of participants is 
limited! Registration is possible via fax, phone, email, or via our 
web site:
http://www.candiensten.nl/english/cursussen/inschrijving.asp?id=138

The costs of this exclusive two-day course are EURO 1.200 (VAT excluded) 
per participant. The Academic price is EURO 950 VAT excluded.

Please contact me if you have any questions.

Best Regards,
Dick Verkerk

P.S. 
Feel free to share this information amongst friends and colleagues 
who might be interested!


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Registration Form

Herewith I register for the course "Numerical Methods for 
Pricing Financial Derivatives" by dr. Thomas Weber 
Amsterdam, February 7-8, 2002


Name       :                          M/F
Function   :
Department :
Institute  :
Address    :
Zip        :
City       :
Phone      :
Fax        :
Email      :


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Special Events
-----------------------
December 13 An Advanced Course on the S Language
            drs. Longhow Lam

January  29-30  Visualization for the Computational Sciences
            dr. Anton Heijs (Visualization consultant) 
        
Courses
-----------------------
December
  11   General Introduction to S-PLUS 6
  12   Introduction to the S-Language
  13   An Advanced Course on the S Language
  19-20 Mathematica Intermediate Course

January
  8    General Introduction to S-PLUS 6
  9    Introduction to the S-Language
  29-30 Visualization for the Computational Sciences
  30   General Introduction to S-PLUS 6 (Louvain-la-Neuve UCL)

http://www.candiensten.nl/english/cursussen/home.asp


_________________________

Dick Verkerk, managing director
CANdiensten, Nieuwpoortkade 23-25, NL-1055 RX Amsterdam              
tel: +31 20 5608410 fax: +31 20 5608448 verkerk at candiensten.nl
_________________________
Your Partner in Mathematics and Statistics!


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