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>
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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