the only heavily quantitative, omni-comprehensive, intensive buy-side bootcamp
4-6 June 2008, 8:30 a.m. - 6:00 p.m.
Frankfurt, Germany
Course Highlight
The course covers all aspects of quantitative risk and portfolio management from the foundations to the newest developments.
- Statistics: multivariate distributions, copulas, location-dispersion ellipsoid, correlation and other measures of co-dependence
- Multivariate estimation: non-parametric, maximum-likelihood under thick tails, shrinkage, robust, Bayesian, extreme value theory
- Market modeling: quest for invariance in different markets, advanced dynamics, factor models, principal component analysis
- Pricing: FFT projection to horizon, delta-gamma, full Monte Carlo
- Portfolio evaluation: stochastic dominance, satisfaction, utility/certainty equivalent
- Risk management: value at risk, expected shortfall, coherent measures; risk decomposition in elliptical and generic markets
- Classical portfolio management: trading/prospect theory, total return management, benchmark allocation, mean-variance and pitfalls
- Advanced portfolio management: mean-CVaR, mean-VaR, Black-Litterman and beyond, copula opinion pooling, Bayesian, robust cone programming
- Liquidity: transaction costs, optimal execution, algorithmic trading
The most advanced statistical and optimization techniques are introduced and thoroughly discussed by means of live MATLAB simulations, intuitive geometrical representations, figures and plenty of examples.
The course is based on Dr. Meucci's bestseller Risk and Asset Allocation - Springer. Delegates will be given a complimentary copy of the book, as well as all the codes used in the live demos.
Audience
- Buy-side practitioners (portfolio managers and risk managers with solid quantitative background) will deepen and broaden their understanding of the recipes they implement everyday and will learn the most cutting-edge techniques.
- Academics and sell-side practitioners (traders, financial engineers, quantitative analysts, and research teams) will understand the big-picture and the details of buy-side finance in a quantitative language to them.
Prerequisites
The prerequisites for the course are multivariate calculus and linear algebra. The pace of the course is very high. In order to make it more effective, and since we will be using throughout principal component analysis and representations in terms of ellipsoids, we strongly recommend that you become familiar with Section A.5 (pp 475-480) here:
http://www.symmys.com/AttilioMeucci/Book/Downloads/AMeucciRiskAndAssetAllocationSample.pdf
For a detailed course program click here.
Course Fees
All prices are net amounts. An extra 19% VAT will be added on the invoice.
|
Single |
Group (3 or more, 1 invoice)
|
| Early-bird (for registration on or before 30 April 2008) |
EUR 1500 |
EUR 1350 per person |
| Regular (for registration from 1 May to 30 May 2008) |
EUR 1750 |
EUR 1500 per person |
We have reserved 10 seats for students on a first-come, first-serve basis. Students pay a discounted net rate of EUR 500. Any excess number of registering students will be placed on a waiting list and will be informed of availability once the registration deadline is reached.
Booking
You can book online or
send inquiries to ![[spam save email]](http://mathfinance.de/email.png.php?addr=ansua__dutta_xx_mathfinance__com)
or call + 49 - 6087 - 919852
Registration deadline is 30 May 2008.
Venue
Frankfurt School of Finance & Management
Sonnemannstraße 9-11
60314 Frankfurt am Main
Room 2, Ground Floor
Charity Event
Each euro paid by delegates will turn into a 50-cent donation to Doctors without Borders and Gandhi Kinderhilfe provided minimum fixed costs are covered. Attilio Meucci will waive his fees for charity.
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