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MathGroup Archive 2002

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Seminar on Computational VaR using Mathematica

  • To: mathgroup at smc.vnet.net
  • Subject: [mg33744] Seminar on Computational VaR using Mathematica
  • From: "Michael Kelly" <mkelly at mail.stuart.iit.edu>
  • Date: Wed, 10 Apr 2002 00:50:13 -0400 (EDT)
  • Reply-to: <mkelly at mail.stuart.iit.edu>
  • Sender: owner-wri-mathgroup at wolfram.com

                    Seminar Announcement 

             Computational VaR using Mathematica 

                       by Dr Michael Kelly 

                  Wednesday, April 17, 12 noon 

                          Room 490 
               Stuart Graduate School of Business 
                Illinois Institute of Technology 
                    565 West Adams Street 
                       Chicago, Illinois   



Abstract: 

"Computational VaR using Mathematica" 
A seminar devoted to showing how the symbolic, statistical, 
graphical and advanced programming capabilities of the software 
Mathematica can be used to implement the details of the premier 
text on Risk Management, entitled "Value at Risk" by Philippe 
Jorion. This is an outline of the course, designed using original 
programs in Mathematica, which was given by the presenter last 
quarter. The purpose is to exemplify that advanced computing 
techniques make the presentation and teaching of difficult risk 
management ideas easier for students, while providing them with 
examples of re-usable programs for professional risk analysis. 

Biography: 

Dr Michael Kelly is currently a visiting Associate Professor in 
Finance at the Stuart Graduate School of Business, IIT. 
Previously he has held senior academic appointments at 
universities in Australia in Mathematics and Finance. These 
included Senior Lecturer in Mathematics in the School of 
Mathematical Sciences and Senior Lecturer in Finance in the School 
of Economics and Finance at the University of Western Sydney. He 
is also an Honorary Research Associate at the School of 
Mathematics and Statistics, University of Sydney, and has been 
a consultant to businesses for the use of programs such as 
Mathematica and Matlab.

Dr Michael Kelly
Associate Professor in Finance
Stuart School of Business
Illinois Institute of Technology
Room 454
565 West Adams Street
Chicago, Illinois  60661-3691
email: mkelly at stuart.iit.edu
phone: +1-312-9066569 


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