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| Workshop on Computational Finance July 15, 2006 |
Date : Saturday, July 15, 2006
Time : 10:30 AM – 4:30 PM
Venue : Academic Centre, ISB campus, Gachibowli, Hyderabad, INDIA.
Objective
This workshop provided an in-depth understanding of two key areas in computational finance:
Statistical estimation techniques in financial modeling
Monte Carlo methods in finance
Who should attend?
The workshop is aimed at financial researchers and analysts, including derivatives desk staff at financial services companies, and anyone else interested in modern computational techniques used in finance.
Benefits for participants
The workshop provided analytical insights and technical skills in applied finance that are very important for superior performance but are not usually available from a single source.
Instructors
Dr Abhinanda Sarkar, Senior Scientist, GE Global Research, Bangalore
Dr Sarkar received his B.Stat.and M.Stat. degrees from the Indian Statistical Institute (ISI) and his PhD in Statistics (with a minor in Economics) from Stanford University, USA. He taught Applied Mathematics at the Massachusetts Institute of Technology (MIT), USA, for several years while pursuing research interests in time-frequency methods in stock prices and mutual fund ranking dynamics. He has also been visiting faculty at Stanford and ISI. While at IBM Research, he received invention achievement awards for his work on pricing of e-commerce services. His work in GE on consumer finance has earned him a Super Achiever Award.
In addition, he has enabled technology and published in the areas of default prediction from bond market analytics and decision support based on incomplete data. Currently, he works on data-driven financial risk management as it applies to sectors like energy and water.
Dr Sandeep Juneja, Associate Professor, TIFR and Visiting Associate Professor, ISB
Dr Juneja received his BTech from IIT Delhi and Masters in Statistics and PhD in Operations Research from Stanford University. He has taught courses at Columbia and Stanford University as visiting faculty. He has worked for American Credit Indemnity (then a company of Dun and Bradstreet) as their Director for Quantitative Analysis, and for Accenture as a Senior Consultant. Currently, he also consults with a financial company and a multi-national research lab on mathematical finance and e-commerce related issues. His research addresses modeling and computational problems in derivatives pricing in risk management and he has worked extensively on Monte Carlo methods in these areas. He is a recipient of a Faculty Partnership award from IBM TJ Watson center. He serves as an associate editor for Management Science.
Schedule
10:30 AM – 1:00 PM
Statistical estimation techniques in financial modeling
Instructor: Dr Abhinanda Sarkar
Topics:
- Brief overview of financial econometrics
- Regression applications; such as to term structures of interest rates
- Time series applications; such as to volatility of market fluctuations
1:00 PM – 2:00 PM Lunch
2:00 PM – 4:30 PM
Monte Carlo methods in finance
Instructor: Dr Sandeep Juneja
Topics:
- Monte Carlo method
- Techniques to price multi-dimensional American options
- Variance reduction techniques
- Monte Carlo techniques for portfolio credit risk and credit derivatives.
Enrollment
The workshop fee is INR 5,000 per participant, payable in full before June 30, 2006. Please remit the fee through a cheque or demand draft in favour of The Indian School of Business and mail it to the following address:
Ms Candice Francis
Executive Development
Indian School of Business
Telephone: + 91 40 23187532 / Fax: + 91 40 23007012
Mobile: + 91 9394568039
Email: candice_francis@isb.edu |
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