Investor_First
National Institute of Securities Markets on LinkedIn

NISM Newsletters

NISM Schools

Home
Workshop on Computational Finance PDF Print E-mail

What is computational finance?

Computational finance is a wide umbrella of disciplines — mathematical science, and the use of computer simulations to explore the potential risks as well as the probable outcomes of trading, hedging and investment decisions.  Applications of Computational finance are used in the fields of investment banking, financial risk management,  options pricing, strategic planning and so on.

The workshop would be articulating important concepts such as Monte-Carlo simulations, portfolio selection & optimization and high frequency data analysis. The workshop also aims at providing hands on practice on programming tools.

Who should  attend?

  • Industry Experts professionals from Treasury, Banking, Trading, Quantitative analysts, Fund Managers etc.
  • Researchers willing to learn practical applications in finance

What are the pre-requisites for attending the workshop?

  • Flair for Programming
  • Basic Knowledge of Regression Analysis and Basic Mathematics

Will accommodation be provided to outstation participants?

All outstation participants will be housed at UTI Niwas, Vashi on twin sharing basis.

Fee Structure:

Academics– INR  2500
Non– Academics– INR 5000
(Covers Courseware,  Lodging & Boarding )

Topics to be covered:

The workshop is a two-day intensive workshop consisting of eight sessions (90 minutes each) with take home assignments.

1. Introduction with illustrations in R

Applied Econometrics

  • High frequency data
  • Volatility Modeling ( GARCH family techniques)
  • Liquidity estimation
  • Evolving trends in computational finance

2. Portfolio Optimization

Simulation

  • Intuitions
  • Monte Carlo Methods

Applications of Simulation

  • Option Pricing
  • VaR
  • Back– testing
  • Assignments & further readings

Advance Modules in R

  • Rmetrics
  • Quantmod
How to register?

An e-mail may be sent to the contact person mentioned below. Confirmation of your registration will be sent by NISM.

Last Date for Registration is March 15, 2010.

For registrations, contact:

Name: Shobana Balasubramaniam
Email: This e-mail address is being protected from spambots. You need JavaScript enabled to view it
Phone: 022 2788 3047

Faculty:

Dr. K Kiran Kumar

Dr. Kiran Kumar holds a Ph.D. in Finance from Indian Institute of Science, Bangalore after completing M A (Economics) from Hyderabad Central University. Dr. Kiran's research focuses on market microstructure, derivatives, applied financial econometrics. He received five best paper awards in national and international conferences and has ten research papers. He delivered lectures in several research workshops including SAS Workshop for Researchers at Indian School of Business; Structural VAR Models at RBI Staff College; Econometrics Workshop of Indian Econometric Society.

Mr. Suneel Sarswat

Mr. Sarswat is an M.Sc. in Statistics and Informatics from the Department of Mathematics at IIT Bombay. He has worked with Bank of America on Financial Analytics with a keen interest on Computational Finance programming. He taught several computational course at NMIMS, NISM and other reputed institutions.