FINANCIAL ENGINEERING WORKSHOP AT COURANT INSTITUTE, January 12-14, 2009

[pkolm]

Financial Engineering: Derivatives, Operator Methods and GPU Computing​

January 12-14, 2009​

Courant Institute, Room 109, 251 Mercer Street, New York, NY 10012​

The workshop provides a comprehensive introduction to derivative pricing and GPU computing emphasizing model agnostic system design. Topics covered include:
- Valuation, calibration, and risk management of exotic derivatives
- Operator methods for derivative pricing
- System design with multi-GPU equipment
- Interest rate, FX, credit and hybrid derivatives


The workshop runs over 3 days from 8:30 am to 5 pm - the third day being dedicated to GPU computing with several different guest lecturers (to be announced). The first day presents the mathematical background and illustrates theory with some examples. The second day focuses on model building with emphasis on interest rate exotics, FX derivatives, credit and hybrid derivatives. The third day is dedicated to GPU-based quantitative financial modeling. In addition to a technical overview of GPU hardware and CUDA computing architecture, industry veterans will discuss several real-world cases where GPUs are enhancing financial modeling.


Audience

Buy-side practitioners (portfolio managers and risk managers), sell-side practitioners (traders, financial engineers, quantitative analysts, research teams), and academics will deepen and broaden their understanding of the recipes they implement everyday and will learn the most cutting-edge techniques.

Prerequisites for the first two days are undergraduate linear algebra, probability theory and some knowledge of mathematical finance at the level of a first term in an M.S. program. The third day assumes good programming skills.


Registration

Register at www.cims.nyu.edu/~mathfcon
For questions or inquiries, send e-mail to mathfcon@cims.nyu.edu

 

[pkolm]

Special student discount

A separate email went out earlier this week to mathematical and quantitative finance M.S. and Ph.D. programs, but here I mention it again if you have not seen it:

Full-time students in mathematical or quantitative finance M.S. and Ph.D. programs may attend this event at the discounted price of $99. To take advantage of this discount, please e-mail your registration (should include your first and last name, your program, and your e-mail address) to mathfcon@cims.nyu.edu. You need to bring a personal check for $99 made out to "New York University" and a valid full-time student ID to the event. Sorry, the event staff cannot accept cash or credit cards.

Please come and introduce yourself if you attend. I would enjoy that.