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Further information is available at and a complete set of brochures and registration forms can be found at

Monte Carlo Methods in Finance
April 19 - 20, 2010 - London, UK
In the seminar we discuss the application of the Monte Carlo method to Quantitative Finance. In particular we focus on pricing derivatives. We investigate how several methods to simulate sample paths of risky assets, tune the efficiency of the method and finally solve advanced problems like computing hedge sensitivities and early exercise features.
Trainer: Dr Jörg Kienitz

Advanced Financial Mathematical Methods – Using Stochastic Volatili...
May 19th, 2010 - London, UK

The goal of this one day seminar is to provide a detailed overview and insights into the latest techniques of modelling uncertainty in financial markets and demonstrating computational methods to tackle the models.
Trainer: Dr Jörg Kienitz

Advanced Financial Mathematical Methods – Using Stochastic Volatili...
May 20th, 2010 - London, UK

This one day workshop complements the previous day's seminar by offering practical examples and discussion of the most important issues that need to be addressed when implementing
advanced financial models using Monte Carlo and Fourier transform methods:
Trainer: Dr Jörg Kienitz

Advanced C++ for Computational Finance - New and Updated Course
June 2 - 4, 2010 - London, UK
The goal of this three-day intensive hands-on course is to learn those advanced features in C+ that are of direct relevance to writing and extending application for quantitative and computational finance. The course uses the object-oriented and generic (templates) programming models (OOP, GP) in combination with design patterns and the STL and boost libraries to allow you to create robust and flexible applications. We develop the contents of the course by discussing important C++ language, using OOP and GP models to write clean and effective code. We also discuss how to improve the performance of your application. In all cases, the examples and test cases are based on finance experience.
Trainer: Dr Daniel Duffy

Pricing exotic interest rate derivatives - The LIBOR Market Model i...
June 2 - 4, 2010 - London, UK

This three-day course will be led by an international expert who played a large role in the coding of the LIBOR market model in the QuantLib C++ open-source project. He will examine the practical problems that arise when implementing the LIBOR market model to price exotic interest rate derivatives. Each issue will be discussed at theoretical, practical and coding levels. The solution of these using QuantLib classes will be the focus of the course. We will see how QuantLib provides a free easily-extendible implementation that achieves rapid pricing and sensitivity computation, and stable calibration to the market; whilst being able to cope with path-dependence, discontinuous pay-offs and early exercise features.
Trainer: Professor Mark Joshi

Advanced Finite Difference Method for Quantitative Finance: Theory,...
June 28 - 30, 2010 - London, UK
This three-day course shows how to use the Finite Difference Method (FDM) to price a range of one-factor and many-factor option pricing models for equity and interest rate problems that we specify as partial differential equations (PDEs). We introduce and elaborate modern and robust finite difference methods that solve pricing problems and that remain stable and accurate for various combinations of input parameters, payoff functions and boundary conditions. This course discusses all aspects of option pricing, starting from the PDE specification of the model through to defining robust and appropriate FD schemes which we then use to price multi-factor PDE to ensure good accuracy and stability. The contents of the course have been updated and revised to reflect new results and developments in the field.
Trainer: Dr Daniel Duffy

Tags: Finance, Training

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