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! - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - 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 : - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - 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!