Online Course Running Time: 10 Hours
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
(RUNNING TIME: 33 Minutes)
- MMA Syntax
- MMA Programming paradigms
- Modules, Functions
- Example:Trees
Lecture 2. Data Import and Export, Visualization
(RUNNING TIME: 47 Minutes)
- Importing data
- Statistics in MMA
- Visualization in MMA
- Exporting data
- Example: Bootstrapping
Lecture 3. Writing your own packages
(RUNNING TIME: 33 Minutes)
- IDE for Developing -> Wolfram Workbench
- Developing your own packages
- Coding/Encoding packages
- Installing packages
- Example: Bonds
Lecture 4. Speeding up your MMA Code
(RUNNING TIME: 21 & 31 Minutes)
- Compiled Functions and their limits
- Generating CCode
- Apply these techniques to the previous examples
Lecture 5. Dynamic Interactivity and MMA
(RUNNING TIME: 47 & 44 Minutes)
- The Manipulate Command
- The Dynamic Command
- Advanced Manipulate (Speeding up, Combining Manipulate with Dynamic)
- Example: Default Probabilities
Lecture 6. Linking Technologies and MMA
(RUNNING TIME: 1 Hour 17 Minutes)
- LibraryLink -> C++
- JLink -> Java
- RLINK -> R
- Database LINK -> Databases
- Example: Link code to MMA
Lecture 7. Building Up a MC Simulation with MMA
(RUNNING TIME: 1 Hour 5 Minutes & 44 Minutes)
- Random Number Generators
- Setting up Paths
- Valuation
- Variance Reduction Techniques
- Quasi Monte Carlo with MMA
Lecture 8. PDE based solutions in Mathematica
(RUNNING TIME: 1 Hour 9 Minutes)
- Finite Differences and Upwinding
- Solving Systems of Linear equations
- Example: Solution of a 1D Finance PDE in MMA (HW1F)
Lecture 9. UnRisk - Q
(RUNNING TIME: 1 Hour 7 Minutes & 39 Minutes)
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 40 CPD points (10 hours of structured CPD and 30 hours of self-directed CPD) for taking 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.