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Quant Finance

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last update : 25/11/2016

Optimum Decision Making and Risk Analysis Applied to Finance

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Venue & Date

UCL, London (13 February - 17 February 2017)

Registration Fees:

  • 1 day: £575 + VAT
  • 2 days: £1025 + VAT
  • 3 days: £1500 + VAT
  • 4 days: £1750 + VAT
  • 5 days: £1950 + VAT

Discounted rates for group bookings can be also arranged on request.

To book for individual day, please contact aqeela@unicom.co.uk

Background

We are running this popular workshop series in UCL, London. Previously, this workshop has also been successfully held in Brazil, India and Germany. This workshop specially focuses on financial analytics and considers important problems of the finance industry. Optimization technologies have become key tools in making intelligent business decisions and the following topics are addressed in this workshop using optimization-based models:

  • Asset allocation and portfolio construction
  • Asset and liability management
  • Risk quantification and risk control

Our workshop considers many factors that produce successful optimization enabled solutions, such as which modelling tools to use, integration of data sets and the selection of the most efficient solution algorithms available for the problem.

Learning Outcomes

After successful completion of the workshop, the participants will

  • Be able to
    • Formulate and develop their own optimization models.
    • Link them to data sources and solve the models using state-of-the-art commercial solvers.
  • Have acquired a good knowledge of how to embed optimization models into applications.

Practical Sessions

Our faculty consist of highly experienced subject experts (academics and industry specialists) in the field of optimization. They will take you through all the steps of an optimization project using powerful optimization tools such as the modelling language AMPL, its extension Stochastic AMPL (SAMPL), and the modelling system AMPLDev, together with the solvers CPLEX and FortMP.

Module Plan

  • Theory and applications of Linear and Integer Programming
    • Basic concepts of linear and integer programming
    • Formulation, solution and investigation of LP and IP models
    • Embedding of models in information systems
    • Prototyping business intelligence and DSS solutions
  • Optimization under uncertainty: Stochastic Programming and Robust Optimization
    • Implications of time and uncertainty in optimization
    • Representing uncertainty with discrete scenarios
    • Formulation of Stochastic Programming (SP) and Robust Optimization (RO) models
    • Solution of SP and RO models
  • Risk and return analysis for Asset Allocation
    • Markowitz mean-variance quadratic programming models, with real world restrictions such as buying thresholds and cardinality constraints
    • Methods of computing the efficient frontier

Speakers:

Dr Cristiano Arbex-Valle has a bachelor's degree in Computer Science and an MSc in Operations Research from Universidade Federal de Minas Gerais (UFMG), Belo Horizonte, Brazil. In 2011 Dr Valle joined OptiRisk as a software engineer and a researcher. In the year 2014 Dr Valle obtained his PhD in the department of Mathematical Sciences at Brunel University (UK) on the topic of optimisation techniques and financial modelling. In OptiRisk, Dr Valle contributes in two areas: (i) development and enhancement of FortSP which is acknowledged as the best of breed (Integer) Stochastic Programming solver. He is also (ii) in charge of developing financial analytics products [a] SAToolkit and [b] SSD Signals. SAToolkit captures the research results acquired by OptiRisk in the domain of Sentiment Analysis and SSD Signals is based on the company's research in the domain of Stochastic Dominance. Dr Valle is fluent in Portuguese (his native language) as well as in English; he also has advanced knowledge in Spanish and French.

 Dr. Christina Erlwein-Sayer is a visiting researcher working on the topic of financial analytics in general and models and tools for portfolio construction and Asset and Liability Management in particular. Dr Erlwein-Sayer is sponsored under a joint project between OptiRisk Systems and its partner Fraunhofer ITWM in Kaiserslautern, Germany. She completed her PhD in Mathematics at Brunel University, London in 2008. Prior to the current assignment Dr Erlwein-Sayer had presented workshops on behalf of OptiRisk at the IIM Calcutta Financial Research and Trading Laboratory in Kolkata, and also in Mumbai. Dr ErlweinSayer was also the lead member of the training partnership between OptiRisk Systems and Fraunhofer ITWM and presented at many of the workshops; notable of these was the training delivered to the World Bank in Washington. Dr Erlwein-Sayer is fluent in German (her native language) and in English.

 Professor Gautam Mitra is an internationally renowned research scientist in the field of Operational Research in general and computational optimisation and modelling in particular. He has developed a world class research group in his area of specialisation with researchers from Europe, UK & USA. He has published five books and over a hundred and fifty research articles. He is an alumni of UCL and currently is a Visiting Professor of UCL. In 2004 he was awarded the title of 'Distinguished Professor' by Brunel University in recognition of his contributions in the domain of computational optimisation, risk analytics and modelling. Professor Mitra is a Director of OptiRisk Systems UK and OptiRisk India.

 Dr. Christian Valente has a bachelor's degree, first class honours in Computer Science and subsequently an MSc in Artificial Intelligence from Politecnico di Milano, Italy (2004). He was a sponsored industry based PhD research student in Mathematical Sciences, at Brunel University. He joined OptiRisk Systems in 2005; the company, as the managing partner of the WEBOPT project (CRAFT programme of EU), sponsored his PhD research. Dr Valente's PhD research was on the topics of Stochastic Programming and parallel computing. Dr Valente leads the design team for AMPL IDE and Stochastic AMPL (SAMPL). These flagship products have been developed under contract from AMPL Optimization Inc. who are also a Partner of OptiRisk Systems. Dr Valente has designed and developed many optimisation based decision support systems and substantial industrial risk protection systems and acts as the main technological advisor for external projects. Dr Valente is fluent in Italian (his native language) and English and is also proficient in German.

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