OptiRisk Systems is a UK-based company with a global reach providing products and services for Optimisation and Risk Management solutions. Clients include finance, defence, transportation and supply chain logistics sectors.
1
- 5 November
Brunel University, West London
Optimisation technologies have become key tools in making important business decisions that increase competitive advantage. Optimisation, through the use of advanced mathematics and computer science techniques, is used to assist organisations with solving their complex business problems in areas such as manufacturing, distribution, finance and scheduling. The purpose of this optimisation workshop is to provide participants with an insightful overview and give step-by-step instructions for successfully building optimisation applications.
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8
- 9 November
Brunel University, West London
The application of Hidden Markov Models (HMM) and filters, such as Kalman Filters and Particle Filters, is finding increasing applications in mathematical finance, especially in modelling the evolution of variables, which are not directly observable (such as short rate, stock price volatility and spot prices in energy markets). The aim of this workshop is to introduce the theory underlying HMM, Kalman Filters and Particle Filters. The use of these methods in the calibration of dynamic state space models as well as in prediction of unobservable variables is also discussed.
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15
- 16 November
Brunel University, West London
The aim of this workshop is to provide an introduction to the statistical software R for professionals and academics in Finance. This course gives an insight into possibilities of data analysis and statistics with R, import of data sets, generation of graphics and the preparation of reports. The main focus is on applications in Finance. An example of portfolio optimization highlights the options of Rmetrics, which is a collection of several hundreds of functions in the area of Financial Engineering and Computational Finance.
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30th
November
Brunel University, West London
Monte Carlo methods are often the only choice when it comes to valuing complicated finance or insurance products. However, their efficiency hinges critically on the use of variance reduction methods or on further methods improving the speed of convergence of Monte Carlo. The workshop will enable participants to use standard and advanced Monte Carlo methods in pricing, hedging, and risk management. By demonstrating the key features via numerous applications and via computer exercises, the participants will learn how to adapt advanced methods to their own tasks.
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1
- 2 December
Brunel University, West London
The essence of banking is asset-liability management (ALM). ALM is more an art than a science, with ALM practitioners having to assess future market scenarios and their probability of occurring, and planning for each of these accordingly. This Masterclass provides a comprehensive treatment of an important financial market discipline, covering not only the background to Bank ALM, but also reviewing the techniques, products and art of ALM and Liquidity Management.
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