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Quant Finance

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last update : 08/09/2015

Optimum Decision Making and Risk Analysis Applied to Finance

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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 

(i)            asset allocation and portfolio construction

(ii)           asset and liability management

(iii)          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

  • be able to
    • 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.

Further Information 

This workshop is modular and presented in three parts (two days x 2 plus one day].  

Practical sessions 

Our instructors are all acknowledged 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.

Workshop Format 

The 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 practical and valuable.  Participants are encouraged to engage in general discussion and further examples of applying the lessons learned.   

Attendee numbers are limited to 10 to ensure that personalised tuition is available. 

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. 

Module Plan: 

1. Theory and applications of Linear and Integer Programming

  • Basic concepts of linear and integer programming
  • Formulation, solution and investigation of LP and IP models
  • Embedding of models in information systems
  • Prototyping Business Intelligence and DSS solutions 

2. Optimisation under uncertainty: Stochastic Programming and Robust Optimisation

  • Implications of time and uncertainty in optimisation
  • Representing uncertainty with discrete scenarios
  • Formulation of Stochastic Programming (SP) and Robust Optimisation (RO) models
  • Solution of SP and RO models 

3. Risk and return analysis for Asset Allocation

  • Markowitz mean-variance quadratic programming models, with real world restrictions such as buying thresholds and cardinality constraints
  • Methods of computing the efficient frontier  

Target Audience: 

This workshop series is specially designed to provide insight into the discipline of optimisation for a wide range of individuals such as OR professionals & financial quantitative analysts, risk analysts, consultants, and academics. 

  • OR Professionals: This workshop series will help you to get up-to-date on the latest methodologies and receive exposure to the wide range of technologies and software now available in the field of optimisation.
  • Quantitative Analysts / Risk Analysts: This workshop series gives you an overview of the wide range of the technologies available allowing you to define and conceptualise your business problem in terms of an optimisation problem.
  • Software Developers/IT: This workshop series provides instruction on how to embed optimisation models into software applications. It will also give you all the necessary information and techniques in order to understand optimisation modelling and data modelling integration. 

 

 Registration Fees:

1 day: £575 + VAT
2 days £1025 + VAT
3 days £1500 + VAT
4 days £1750 + VAT
5 days £1950 + VAT

Delegates are also welcome to participate online at a 50% discounted rate to the prices listed above. This workshop will be streamed live online to delegates all around the world.

Discounted rates for group bookings can be also arranged on request. 

 

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