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Specialist focus. Specialist knowledge.

Maximise your experience with our full-day technical workshops

In small, interactive groups you will expand your skillsets in areas that are fundamental to your current and future quantitative work.

Choose from the following:

Volatility Workshop

Monday 8 May 2017

Workshop Leader: Bruno Dupire, Head Of Quantitative Research, BLOOMBERG L.P.

This workshop covers many practical aspects of volatility data, modelling, risk management, and trading. It provides notably a step by step explanation of how to construct a volatility surface, how to implement a Local Volatility model and various extensions of it, how to price and manage variance swaps, how to exploit links between various volatility derivatives.

Key Issues In Credit Risk Workshop

Friday 12 May 2017

Workshop Leader: John Hull, Maple Financial Professor Of Derivatives & Risk Management at Joseph L. Rotman School of Management, UNIVERSITY OF TORONTO  

Handling credit risk is a challenging area of risk management. This workshop will cover key issues such as how default probabilities can be estimated and why the estimates obtained from credit spreads are much higher than those given by historical data. It will also cover counterparty credit risk and the valuation of both single name and multi-name credit derivatives.

Hands-On Adjoint Coding Workshop

Friday 12 May 2017

Workshop Leaders: Luca Capriotti, Managing Director - Head Quantitative Strategies Global Credit Products EMEA, CREDIT SUISSE; Mike Giles, Professor Of Scientific Computing, OXFORD UNIVERSITY; Uwe Naumann, Professor Of Computer Science, RWTH AACHEN UNIVERSITY

The course provides a hands-on introduction to adjoint algotithmic differentiation (AAD). Both manual coding of adjoints and the use of an operator overloading AAD tool for C++ (dco/c++) will be considered. Hybrid schemes include combinations of hand coding and use of operator overloading as well as integration of local finite difference approximations (bumping) into adjoint code. Participants are encouraged to bring their laptops in order to draw full benefit from the interactive hands-on coding sessions. A C++98 compiler should be installed. A trial version of dco/c++ will be distributed. The general adjoint code generation rules are formulated in a language-independent fashion. We use C++ for examples including the main case study in form of a LIBOR market simulation.

Modern Option Pricing

Friday 12 May 2017

Workshop Leaders: Pierre Henry-Labordere, Quant, Global Markets Quantitative Research, SOCIÉTÉ GÉNÉRALE & Julien Guyon, Senior Quant, BLOOMBERG L.P.

In this workshop we will address various aspects and techniques of modern option pricing. We will introduce mathematical tools, old and new, and explain how they can be used to solve modern quantitative finance problems. The tools include McKean stochastic differential equations, backward stochastic differential equations (BSDEs), branching diffusions, linear programming, and optimal transport. They will be applied to a variety of challenging issues that are crucial for risk-management and model risk assessment: the exact calibration of models to market smiles; the valuation of derivatives under parameter uncertainty; the computation of the credit valuation adjustment (CVA) of a large book of derivatives; and the derivation of model-independent bounds for option prices, given the prices of vanilla options. Implementation details will be provided, together with illustrative examples.

Derivatives Valuation and xVA

Friday 12 May 2017

Workshop Leader: Jon Gregory, Independent Consultant, OFT TRAINING / MAXELER 

Derivatives valuation used to be solely concerned with cashflows. Now aspects such as credit, collateral, funding and capital are critical components and are known collectively as xVA. This course will cover market practice around valuation of CVA, FVA, KVA and MVA and the related accounting and regulatory issues.