Mathematica / UnRisk by Michael Aichinger

Mathematica / UnRisk by Michael Aichinger

(2016 date to be confirmed)


  • 6 month online course
  • 3 month for final project
  • Course support includes 2 live webinars with the presenter and a forum
  • Location: Globally online
  • This course can be included as part of the Annual Subscription Service.
  • This course can be taken In House

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.


Lectures


Lecture 1. Introduction to Mathematica and Basic Programming in Mathematica

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

Lecture 2. Data Import and Export, Visualization

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

Lecture 3. Writing your own packages

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

Lecture 4. Speeding up your MMA Code

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

Lecture 5. Dynamic Interactivity and MMA

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

Lecture 6. Linking Technologies and MMA

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

Lecture 7. Building Up a MC Simulation with MMA

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

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)

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

Lecture 10. VaR Calculations with UnRisk-Q

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

Final Practical Project.

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


Two Live Webinars:

The two webinars are live with the presenter and will be set during the course.


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. 


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


CPD Certification

You will be able to receive up to 20 CPD points (10 hours of structured CPD and 10 hours of self-directed CPD) for completing this course.

The CPD Certification Service was established in 1996 as the independent CPD accreditation institution operating across industry sectors to complement the CPD policies of professional and academic bodies. The CPD Certification Service provides recognised independent CPD accreditation compatible with global CPD principles.

www.cpduk.co.uk


BOOK NOW:

£799.00