Self-Paced Mathematica / UnRisk by Michael Aichinger

Self-Paced Mathematica / UnRisk by Michael Aichinger

  • Self-Paced Course
  • Location: Globally online
  • This course can be included as part of the Annual Subscription Service.
  • This course 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

 


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.


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


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£199.00