Quant Finance

Objectives-Scope and Purpose:

Optimisation technologies have become key tools in making intelligent business decisions and are often adopted in the Finance industry. Important problems of the Finance industry, such as

• asset allocation and portfolio construction
• asset and liability management
• risk quantification and risk control

are well-addressed by optimisation-based models. The success of optimisation enabled solutions depends on many factors such as which modelling tools are used, integration with data sets and the selection of the most efficient solution algorithms available for the problem.

Learning Outcomes:

After successful completion of the workshop, the participants will

• formulate and develop their own optimisation models
• link them to data sources and solve the models using state-of-the-art commercial solvers.

have acquired a good knowledge of how to embed optimisation models into applications.

Workshop Format:

This workshop is modular and presented in three parts (two days x 2, plus one day). This workshop is presented in an interactive format and is split into theory and practical sessions. The participants have the opportunity to familiarise themselves with relevant software and learn some practical applications. In the afternoon of each day participants spend some time discussing their modelling and solving requirements with the expert presenters. This reinforces the theory learned and provides an excellent grounding which makes the training truly valuable and practical. Participants are encouraged to engage in general discussion and further examples of applying the lessons learned.

Practical sessions:

Our instructors are all acknowledge subject experts and have many years' experience in this field. They will take you through all the steps of an optimisation project using powerful optimisation tools such as the modelling language AMPL, its extension Stochastic AMPL (SAMPL), and the modelling system AMPLDev, together with the solvers CPLEX and FortMP.

Accreditation:

This program qualifies for .... GARP CPD credit hours. If you are a certified Financial Risk Manager (FRM®), please record this activity in your Credit Tracker.

Pre-requisites: This is an advanced course designed to allow individuals with various levels of optimisation knowledge to attend. Some previous exposure to optimisation theory and methods is helpful but not essential.

This program qualifies for 35 GARP CPD credit hours. If you are a certified Financial Risk Manager (FRM®) or ERP, please record this activity in your Credit Tracker at http://www.garp.org/cpd