Quants and quant developers, join us for a one-day workout with inspiring sessions on the risky horror of model and method traps and how to avoid them. We give you full explanation of the application of advanced numerical schemes to the analytics of financial instruments and portfolios thereof.
The FREE workout is a reference class of the UnRisk Academy
Extreme Vasicek is not enough - Mean reverting short-rate models. Pros and cons of trees, finite differences / elements, Monte Carlo. Lognormal or normal? What about higher dimensions?
Model Calibration and Spurious Precision - A general framework for stable and robust parameter identification. Even with analytic inversion formulae, noise in the data can lead to results which are pure nonsense.
When Monte Carlo is the Only Choice - More than 3 dimensions or severe path-dependence? MC or QMC? How can the variance of the result be decreased? What about early exercise?
Risk Management Cascades - Regulatory become more and more stringent. How can we calculate the different VaRs? Expected shortfall? In time? And how can we build a CVA system?
What will you walk away with?
A roadmap of advanced schemes and their implementations derived from examples of the bank practice.
A copy of the book.
For details visit the Workout Pages