Introduction to Quantitative Finance Lecture Series

16 November, Monday, 16:15 – 17:00 hrs GMT

Background

In this webinar we will present recent topics in the area of Quantitative Finance and introduce our evening lecture series. The webinar covers introduction and examples to the four topics “Financial Modelling in R”, “Scenario Generation and Simulation for Risk Control”, “Predictive Analytics and Filtering for Finance” as well as “Portfolio Construction, Asset Allocation and Trading Strategies”. We will present features of the statistical software R, which can be utilized in full for quantitative purposes in Finance, e.g. for portfolio optimization, risk analytics and statistical analysis of financial time series. We will present details on scenario generation problems. Scenarios are needed for various optimization questions in Finance. We will see how to create scenarios and how to use scenario sets. The introduction to Predictive Analytics and Filtering in Finance will cover the creation of a Hidden Markov Model. We explain, why regime-shifting models are useful in Finance, how they can be structured and how to use them for predictive analytics. Last but not least, our Quantitative Finance Webinar will give you a glimpse on recent advances in trading strategies.

Presenter:
Dr. Christina Erlwein-Sayer is a visiting researcher working on the topic of financial analytics in general and models and tools for portfolio construction and Asset and Liability Management in particular. Dr Erlwein-Sayer is sponsored under a joint project between OptiRisk Systems and its partner Fraunhofer ITWM in Kaiserslautern, Germany. She completed her PhD in Mathematics at Brunel University, London in 2008. Prior to the current assignment Dr Erlwein-Sayer had presented workshops on behalf of OptiRisk at the IIM Calcutta Financial Research and Trading Laboratory in Kolkata, and also in Mumbai. Dr Erlwein-Sayer was also the lead member of the training partnership between OptiRisk Systems and Fraunhofer ITWM and presented at many of the workshops; notable of these was the training delivered to the World Bank in Washington.