A common cold has killed today's mathematics wednesday post.
This is to inform you that the UnRisk Academy launched a Blog to present its courses, seminars, workouts, .. in a form that allows more detailed descriptions but keep an overview archive: UnRisk Academy Events.
It starts with A Workout in Computational Finance 2014 - and the workout is bursting with mathematics.
"For shaping your body you should go to to a gym, while for building up your numerical tool kit you need a workout in computational finance", said Phillipp Mayer, Financial Modeling, ING Financial Markets, Brussels referring to the book.
And we decided to offer a live workout. For those who enjoy the freestyle of quant work, but recognize how important it is to stay strong, agile and balanced.
It is about the power of mathematics explaining complex financial concepts and simulating the behavior of financial objects.
The risky horror of model-method traps
Andreas and Michael will show how dangerous wrong model-method pumps can be and how to avoid them.
They will discuss the pros and cons of numerical methods for mean reverting short rate models, including trees, finite differences, finite elements and Monte Carlo techniques and explain stabilization techniques for convection dominated PDEs. In the model calibration session they will explain why the ill-posedness of calibration is a principle hurdle and show how stabilization techniques help obtaining stable model parameters. When Monte Carlo is the only choice, speed maybe the problem. Quasi Monte Carlo or variance reduction techniques speed up.
But having accurate, fast and robust pricing and calibration engines is perhaps not enough. Proper risk management based on VaR, Expected Shortfall measures and the introduction of CVA/FVA/DVA introduce much more complexity in the valuation space. In the workout an out look will be given how a sound implementation looks like.
The UnRisk Academy has been established to give full explanation on quantitative theories, mathematical techniques and critical implementations.
Picture from sehfelder