Mathematica / UnRisk distance learning Module with Michael Aichinger

Mathematica / UnRisk distance learning Module with Michael Aichinger
Start Date: Week Commencing 13th April 2015
Early Bird: 20% Discount before 27th February 2015
Location: Globally online
This course can be taken as part of the Annual Subscription Service
Introduction:

In each lecture the presented examples are out of the quant finance field. For example in the lecture Dynamic Interactivity and MMA the audience will be guided to develop a Viewer for diffferent copula functions with different marginal distributions.

Quants Hub Programming School 14 Week Format:

Week 1, Lecture 1. Introduction to Mathematica and Basic Programming in Mathematica

  • MMA Syntax
  • MMA Programming paradigms
  • Modules, Functions
  • Example:Trees

Week 2, Lecture 2. Data Import and Export, Visualization

  • Importing data
  • Statistics in MMA
  • Visualization in MMA
  • Exporting data
  • Example: Bootstrapping

 Week 3, Lecture 3. Writing your own packages

  • IDE for Developing -> Wolfram Workbench
  • Developing your own packages
  • Coding/Encoding packages
  • Installing packages
  • Example: Bonds

Week 4, Lecture 4. Speeding up your MMA Code

  • Compiled Functions and their limits
  • Generating CCode
  • Apply these techniques to the previous examples

Week 5, Webinar Week: This will cover the first 4 weeks of the course. 

Week 6, Lecture 5. Dynamic Interactivity and MMA

  • The Manipulate Command
  • The Dynamic Command
  • Advanced Manipulate (Speeding up, Combining Manipulate with Dynamic)
  • Example: Default Probabilities

 Week 7, Lecture 6. Linking Technologies and MMA

  • LibraryLink -> C++
  • JLink -> Java
  • RLINK -> R
  • Database LINK -> Databases
  • Example: Link code to MMA

  Week 8, Lecture 7. Building Up a MC Simulation with MMA

  • Random Number Generators
  • Setting up Paths            
  • Valuation            
  • Variance Reduction Techniques
  • Quasi Monte Carlo with MMA

Week 9, Lecture 8. PDE based solutions in Mathematica

  • Finite Differences and Upwinding
  • Solving Systems of Linear equations
  • Example: Solution of  a 1D Finance PDE in MMA (HW1F)

Week 10, Webinar Week: This will covers weeks 6 - 9 of the course. 

Week 11, Lecture 9. UnRisk - Q 

Introduction to UnRisk-Q

Models, Methods  (Interest Rates)

  • HW1F
  • HW2F
  • Black Karasinski
  • LMM

Models, Methods  (Equities)

  • Black-Scholes
  • Dupire
  • Heston
  • Jump Models

Instruments

  • Bonds
  • Swaps
  • Range Accruals
  • Snowballs 
  • ExoticOptions
  • Hybrids

 Week 12, Lecture 10. VaR Calculations with UnRisk-Q

  • Parametric, Historical and MC VaR
  • Marginal VaR
  • Contribution VaR

Week 13, Revision week.

Week 14, Final Practical Project week.

The final project will be marked with feedback and a pass or fail will given. One retake is allowed if you fail. 

About the Presenter

MICHAEL AICHINGER obtained his Ph.D. in Theoretical Physics from the Johannes Kepler University Linz with a thesis on numerical methods in density functional theory and their application to 2D finite electron systems. A mobility grant led him to the Texas A&M University (2003) and to the Helsinki University of Technology (2004). In 2007 Michael Aichinger joined the Industrial Mathematics Competence Center where he has been working as a senior researcher and consultant in the field of quantitative finance for the last five years. He also works for the Austrian Academy of Sciences at the Radon Institute for Computational and Applied Mathematics where he is involved in several industrial mathematics and computational physics projects. Michael has (co-) authored around 20 journal articles in the fields of computational physics and quantitative finance. 

Book Now!  (Payments are taken via our sister company WBS Training)
PRMIA Certification:

The Professional Risk Managers' International Association (PRMIA) is a non-profit professional association, governed by a Board of Directors directly elected by its global membership, of nearly 90,000 members worldwide. PRMIA is represented globally by over 65 chapters in major cities around the world, led by Regional Directors appointed by PRMIA's Board.

The Programming School will be fully certified by PRMIA

Other courses: 

Matlab – An Introduction for Financial Applications with Jörg Kienitz
Python for Finance with Yves J. Hilpisch: The Python Quants
F# and Functional Programming in Finance with Tomas Petricek
Advanced C++ Design and Implementation in Quantitative Finance by Nick Webber
R in Finance by Joris Meys