CCFEA 2007 Summer School
New Trends in Computational Finance and Economics
3 - 7 September 2007
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Goal
The Summer School offers academics, Post Docs, PhD students and experts from the finance and banking industry the unique opportunity to hear about the latest trends in computational finance and economics. Split into four modules, participants will learn about new paradigms in optimization and how to apply them in financial management; about the latest approaches in volatility modelling and volatility trading; and about agent based economics and how to use it for market simulations, systemic risk analysis and strategy design. Each day consists of four sessions of lectures and demonstrations, followed by an evening hands-on session. Participants will benefit from the expertise of CCFEA faculty and distinguished external speakers.
Certificates of attendance will be awarded.
Modules
Heuristic Portfolio Optimization and Risk Management
(2 days; 3 - 4 September)
Venue SSRC Building (off square 2) room 2N2.4.16
Speakers
- Dr Dietmar Maringer, CCFEA
- Professor Michael Dempster, Judge Business School, University of Cambridge
- Dr Raphael Dorne, Intelligent Systems Lab, BT Group
- Dr. Lawrence Wormald, Deutsche Bank
Topics
- computational finance -- what is it all about?
- optimization in finance
- new paradigms in optimization and heuristic search techniques
- applications to portfolio management
- applications to risk management
- value at risk and linear factor risk modelling
Volatility Models and Volatility Trading (1 day; 5 September)
Venue: ESE Building (off square 1) Room 1N1.4.1
Speakers
- Dr Kyriakos Chourdakis, Fitch
- Dr Wing-Lon Ng, Muenster and CCFEA
- Dr Amadeo Alentorn, OMAM
Topics
- advances in volatility modelling
- volatility indices
- pricing and hedging: volatility risk management
- variance swaps and other derivatives
Computational Market Micro Structures and Automated Trading (1 day; 6 September)
Venue: ESE Building(off square 1) Room 1N1.4.1
Speakers
- Professor Sheri Markose, CCFEA
- Professor Edward Tsang, CCFEA
- Professor Nikolaus Hautsch, Department of Econometrics, Humboldt University Berlin
- Dr Ted Theodosopoulos, IKOS
- David Norman (Van der Moolen)
- Ian Lyall (IDEA Group)
Topics
- artificial stock markets and London Limit Order Book Multi-agent Simulator
- automated Trading
- high frequency financial econometrics
- market Maker Models
- trader psychometrics: the real time assessment of electronic trading behaviour
- what is straight through processing?
Systemic Risk Models and Simulation (1 day; 7 September)
Venue: ESE Building(off square 1) Room 1N1.4.1
Speakers
- Dr Mardi Dungey, CERF, Cambridge University
- Dr. Marco Galbiati, Bank of England
- Professor Sheri Markose, CCFEA
- Neil Burton, IBM
- Dr Steven Simon, Fortis and CCFEA
Topics
- detecting and measuring contagion: pitfalls and progress
- a competitive multi-agent model of interbank payment system and future developments
- a demo of the CCFEA RTGS with endogenous learning
- real time payment and settlement systems: where is the risk?
- modelling mortgage backed securities and systemic risk
For whom?
- academics, researchers in finance, economics, computing, PhDs and Post Docs
- fund managers, risk managers, policy makers, central bankers and regulators
Interested?
Tuition Fees
- £150.00 per day for corporate companies and business customers
£675.00 for the full week booked in advance
- £125.00 per day for Researchers and Academics
£550.00 for the whole week booked in advance
Fees include handouts, morning and afternoon refreshments and lunch
After 1st August - full payment will be required at the time booking for tuition fees and accommodation
A certificate of attendance will be issued
This will confirm your days of attendance together with details of the areas covered.
Registration
Please complete and return our electronic application form together with your full payment to the "University of Essex" to:
Lynda Triolo
Centre for Computational Finance and Economic Agents (CCFEA)
University of Essex
Wivenhoe Park
Colchester CO4 3SQ
United Kingdom
Full payment is required after 1 August for both tuition fees
and accommodation.
You can pay by credit card:
form for payment
Accommodation
Campus accommodation is now FULL.
- Self-catering student accommodation is available at £33.60 per night (includes bed linen, bath and hand towel and shared kitchen). Please clearly indicate on the registration form the nights you wish to book.
- Hotel accommodation on campus is available at Wivenhoe House hotel (this must be booked directly with the hotel)
- Accommodation in and around the Colchester Area
How to get here?
University of Essex web page with directions and maps.
Print a Poster
Please click on the following link to Print a Poster
Contact
Please do not hesitate to contact us if we can be of any assistance
- programme organiser: Dietmar Maringer e-mail: dmaring@essex.ac.uk
- registration: Lynda Triolo e-mail: ltriolo@essex.ac.uk