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Workshop on Computational Finance
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The 2-day workshop will consist of seminars by expert researchers from academia and industry in the areas of Monte Carlo methods in computational finance, theoretical pricing of American and exotic options, quantum theory in interest rate pricing, credit risk and derivatives pricing, volatility, and risk management topics such as VaR and model risk.
It is open to researchers as well as to finance and banking professionals in the quantitative finance, structured finance, and risk management industry.
Day 1 - Monday, 29 Aug 2005 |
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09:00am - 09:25am |
Registration |
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09:25am - 09:30am |
Opening Remarks by Louis Chen, Director, IMS |
09:30am - 10:15am |
Towards the Technical Analysis:
Prediction, Estimation of the Changes in Stock Prices,
and Price Range Charts (Part I) |
10:15am - 10:45am |
--- Coffee Break --- |
10:45am - 11:30am |
Towards the Technical Analysis:
Prediction, Estimation of the Changes in Stock Prices,
and Price Range Charts (Part II) |
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11:30am - 12:15pm |
Hedging and
Pricing Options with Transaction Costs |
12:15pm - 02:15pm |
--- Lunch break --- |
02:15pm - 03:00pm |
Weak Interest Rate Parity and Currency
Portfolio Diversification |
03:00pm - 03:45pm |
Feynman
Perturbation Expansion for the Price of Coupon Bond
Options and Swaptions in a Field Theory of Forward
Interest Rates |
03:45pm - 04:15pm |
--- Coffee Break --- |
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04:15pm - 05:00pm |
Pricing Mortgage Backed Securities:
Continuous Time Stanton's Model |
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End of Day 1 |
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Day 2 - Tuesday, 30 Aug 2005 |
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09:30am - 10:15am |
The Volatility Risk Premium Embedded in
Currency Options |
10:15am - 10:45am |
--- Coffee Break --- |
10:45am - 11:30am |
Reclaiming
Quasi-Monte Carlo Efficiency in Portfolio Value-at-Risk
Simulation |
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11:30am - 12:15pm |
Detecting Extreme Risk Spillover Between
Financial Markets |
12:15pm - 02:15pm |
--- Lunch break --- |
02:15pm - 03:00pm |
The Hull and White Model: Its
Advantages, Disadvantages and Enhancements |
03:00pm - 03:45pm |
Credit Risk Premia |
03:45pm - 04:15pm |
--- Coffee Break --- |
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04:15pm - 05:00pm |
Discrete
Credit Barrier Models |
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End of Workshop |
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Please complete the registration form (MSWord|PDF|PS) and fax to (65) 6873 8292 or email to ims@nus.edu.sg.
Industry participants are required to pay a registration fee of S$200 for the 2-day Workshop. Industry participants may be eligible for Financial Sector Development Fund (FSDF) support on a case by case basis. Interested applicants should submit their applications to the FSDF Secretariat directly. More details on the FSDF can be found at www.mas.gov.sg. Please send a cheque of S$200 payable to "National University of Singapore" and address to
Secretary
Institute for Mathematical Sciences
National University of Singapore
3 Prince George's Park
Singapore 118402
or bring it along on the day of registration.
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