Past Workshops
DSOR CARISMA Workshop Series[to web page]
30 - 31 March 2009
Optimisation Methods and Business Applications
Introduction to Optimisation and its Applications: Linear and Integer Programming: Modelling Systems and embedded DSS
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, DSS application developers, and academics. Everyone can benefit from a clear presentation of optimisation and how it is applied to solve business problems.
Optimisation Series Workshop[to web page]
3 - 7 November 2008
Business Application of Optimisation, Stochastic Programming & Portfolio Planning
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, DSS application developers, and academics. Everyone can benefit from a clear presentation of optimisation and how it is applied to solve business problems.
Robust Portfolio Optimisation [to web page]
30 June 2008 - Morning Workshop
(Pre Conference "Risk Control Strategies for Hedge Funds and Program Trading" workshop)
Presentation 1: Continuing Work on Robust Portfolio Optimization
Dan Bienstock, Professor of Operations Research, Columbia University
Presentation 2: Robust Portfolio Construction
Adrian Zymolka, Axioma
Presentation 3: Robust Efficient Frontiers
John Beasley, Deputy Director CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, Brunel University
LDI/ALM Workshop [to web page]
30 June 2008 - Afternoon Workshop
(Pre Conference "Risk Control Strategies for Hedge Funds and Program Trading" workshop)
Presentation 1: A Review of Modelling and Solution Methods for ALM/Pension Fund Planning
Gautam Mitra and Katharina Schwaiger, CARISMA/Brunel University
Presentation 2: Institutional Asset Liability Management
M A H Dempster, Centre for Financial Research, Judge Business School, University of Cambridge & Cambridge Systems Associates Limited
New Developments: Performance Measures and Structured Products; Coherent Risk Measures and Liquidity Risk
[to web page]
3 July 2008 - Morning Workshop
(Post Conference "Risk Control Strategies for Hedge Funds and Program Trading" workshop)
Presentation 1: New Performance Measures and Structured Product Valuation
Dilip Madan, University of Maryland, Consultant to Morgan Stanley & Visiting Professor, CARISMA
Presentation 2: Hedge Fund Performance: Sources & Measures
Dilip Madan, University of Maryland, Consultant to Morgan Stanley & Visiting Professor, CARISMA
Presentation 3: Coherent Measures of Risk and Liquidity Risk
Carlo Acerbi, Abaxbank
RavenPack workshop: News Analytics and Financial Modelling [to web page]
3 July 2008 - Afternoon Workshop
(Post Conference "Risk Control Strategies for Hedge Funds and Program Trading" workshop)
The workshop covers basic properties of time series data and quantitative models which are based on news. Applications to financial models are presented.
Philip Gagner, RavenPack
EVT-Copula Workshop
30 November 2007
Presenters:
Thorsten Schmidt, University of Leipzig
Oliwia Koslowska, Brunel University/CARISMA
Xiaochen Sun, Brunel University/CARISMA
Following the enthusiastic feedback from the 2005 CARISMA Financial Engineering workshop and the distinguished CARISMA lecture given by Prof. Alexander McNeil, we have decided to focus once again on EVT and Copula methods in quantitative finance.
Financial risk management confronts us with a real world of heavy-tailed risks, rapid changes and complex interdependencies which force us to go beyond standard statistical models and simplifying assumptions of normality to develop more sophisticated methodologies.
EVT is a practical and useful tool for modelling and quantifying risk. This workshop provides an overview of the role of extreme value theory (EVT) in risk management, as a method for modelling and measuring extreme risks.
Copula functions represent a methodology which has recently become the most significant new tool to handle in a flexible way the co-movement between markets, risk factors and other relevant variables studied in finance. It has become more and more popular both among academics and practitioners in the field of finance principally because of the huge increase of volatility and erratic behaviour of financial markets. In this workshop we will introduce the use of copulas and consider applications to credit risk.
Asset Liability Management/Liability Driven Investment
28 November 2007, London
Presenters:
Professor M A H Dempster, Centre for Financial Research, Judge Business School, University of Cambridge & Cambridge Systems Associates Limited
Dr Teemu Pennanen, Helsinki School of Economics
Professor John Mulvey, Princeton University
Professor Gautam Mitra, CARISMA/Brunel University
Ms Katharina Schwaiger, CARISMA/Brunel University
In recent years the pension fund industry has adopted tailor made asset and liability management (ALM) strategies, also called Liability Driven Investment. The aim of LDI strategies is to match and outperform a pension fund’s liability stream and at the same time take into account country-specific regulations. Furthermore, some additional risks have to be measured and directly managed in LDI solutions: inflation risk, interest-rate risk, contribution risk of the pension plan’s sponsor and no doubt the longevity risk of its members. This one day in-depth workshop will provide insight into “what” is the problem and “how” to analyse the challenging pension problem by showing real life problems as well as research led approaches by experts from both academia and industry. Different methodologies and strategies including alternative investments (i.e. hedge funds), the latest technologies (i.e. optimisation software) and enhancing financial products (i.e. longevity bonds, swaps or swaptions) are introduced and discussed. The workshop is targeted at quantitative and technical analysts, risk analysts, pension fund managers and academics and will be presented in an interactive format with ample time for question and answer sessions and discussions.
Credit & Interest Rate Risk Workshop
27 November 2007, London
Presenters:
Moorad Choudhry, Visiting Professor, London Metropolitan University
Leelavati Mitra, CARISMA/Brunel University
Investors increasingly demand more sophisticated credit and interest rate products to help them meet their risk management and investment challenges. Originators are constantly competing and striving to innovate and create better solutions as they recognise the potential to generate income, hedge risk, reduce capital and preserve liquidity. Driven by this, credit derivatives and structured products are amongst the fastest growing investment and risk management products in today’s capital markets.
The workshop describes the instruments and strategies used to manage credit and interest rate risks; infrastructure of the markets; and pricing of instruments
It provides essential background material on debt capital markets but also gives an overview of pricing methods. Mathematical models are supported by illustrative cases studies, which help translate theory to practice. This allows the attendee to gain access to real solutions and techniques, which they are then able to implement for their own work.
Financial Innovation & New Structured Products in the Equity World Workshop
19 November 2007, London
Presenter: Professor Dilip Madan, Robert H. Smith School of Business, University of Maryland / Consultant to Morgan Stanley; Visiting Professor, CARISMA,Brunel University
This popular workshop surveys the broad range of products now being traded and created in the market for equity investments. These include what are now called vanilla cliquet products and the more recently developed swing and reverse swing cliquet trades. Multiasset structures and dispersion products will also be discussed. A theoretical discussion of the rationale for the creation of these products will be presented. The structure of risk exposures to be managed in the creation of such liabilities will then be enumerated. We shall discuss concepts like the volgamma, the skewgamma and crossgamma effects. This will be followed by a theoretical discussion of the implications of the technology of hedging to acceptability. Concepts of coherent risk measures and coherent utilities are employed to define risk acceptability. We will then survey a collection of models ranging from the traditional jump diffusion, to a number of stochastic volatility models, the local volatility model and a recent extension to local Lévy models, used by industry in the valuation and regular marking to market of these product liabilities. The results of applying a variety of models to the valuation of a variety of products including options on realized variance will conclude the presentation.
Optimisation Series : Business Applications of Optimisation, Stochastic Programming & Portfolio Planning
- Introduction to Optimisation and its Applications: Linear & Integer Programming - Embedded DSS using COM Objects (22-23 Oct)
- Decision Making under Uncertainty: Stochastic Programming (24-25 Oct)
- Financial Planning Using Integer Quadratic Programming (26 Oct)
The courses will take you through all the steps of an optimisation project using powerful optimisation tools such as AMPL/AMPL Studio Modelling System, CPLEX, FortMP, FortSP and SPInE. They are most comprehensive and cover the latest developments in the field, with plenty of hands-on examples, which help you develop stochastic programming applications for your sector, be it financial planning, portfolio selection, supply chain, or energy systems planning.
The workshop series is specially designed to provide insight into the discipline of optimisation for a wide range of individuals such as OR professionals, quantitative analysts, risk analysts, DSS application developers, consultants, and academic researchers.
3rd Annual CARISMA Seminar: Program Trading Techniques and Financial Models for Hedge Funds ; 26 – 27 June 2007, London
- Robust Portfolio Optimisation - Daniel Bienstock, Columbia University, 25 June
- Structuring Step-up CDOs: an Optimization Approach (including models and software demonstration) - Stan Uryasev, University of Florida, and Gautam Mitra, CARISMA & OptiRisk Systems, 25 June
- Great investors and hedge fund managers: their methods and evaluation - William T Ziemba, University of British Columbia, 25 June
- Financial Innovation - Dilip Madan, University of Maryland, and Marek Musiela, BNP Paribas, 28 June 2007
- Algorithmic Decision Making Framework – Roberto Malamut, SAC Capital Advisors, 28 June
Equity portfolio risk management lectures
May 2007, London
Financial Innovation and New Structured Products in the Equity World
22 May 2006, London
CARISMA co-sponsored and presented at the conference Algorithmic Trading 2007
Monday 19th March 2007
The conference is aimed at attracting individuals from Investment banks, Asset managers and Hedge funds who are considering utilising algorithmic trading solutions for increasing investment returns. In this conference, Professor Gautam Mitra, our visiting Professor Dan Di Bartolomeo as well as our PhD student Ms Ekaterina Kochieva will give a joint presentation on Algorithm Trading: Market Impact Models and Trade Scheduling.
Financial Innovation and New Structured Products in the Equity World
Monday, May 22, 2006 - Monday, May 22, 2006 London
This event is part of the CARISMA/Brunel University series of leading edge finance workshops and seminars. The objective of the series is to bring together practitioners, academics and PhD students working in the area of risk modelling, financial mathematics, computational finance, credit risk and optimisation. The events will provide an opportunity for participants engaged at the forefront of this area to discuss problems and challenges and suggest fruitful directions for future research, which focus on the emerging requirements of the finance industry.
Demonstrations of specialist financial software systems
Date & Venue : Thursday, May 25, 2006 - Thursday, May 25, 2006 London
The theme of the final day is to present specialist financial software systems. Some systems are commercial and others have been developed in academic labs and are migrating to commercial applications.
CARISMA Financial Engineering Workshops
29 November - 2 December, London
LP/IP workshop October 2005
3-7 October 2005, Brunel University
LP/IP Embedded DSS using COM objects/ Decision making under uncertanity/ Stochastic programming/ models & tools for portfoilio planning workshops
LP/IP/QP/SP Workshop
December 2003, IIT Bombay
The group runs a one week training course for business and industry on Applied Linear, Integer, Quadratic and Stochastic Programming. The course is a tutorial and workshop with significant "hands-on" use of modelling and optimisation software.
This course may be provided in house to industry and research organisations.
OPTIMISATION IN PRACTICE
20 Nov. - 21 Nov. 2000
Introduction to Optimisation and its Applications: Linear and Integer Programming
OPTIMISATION IN PRACTICE
22 Nov. - 23 Nov. 2000
Decision Making under Uncertainty: Stochastic Programming
OPTIMISATION IN PRACTICE
24 Nov.2000
Financial Planning Using Integer Quadratic Programming
Asset and Liability Management
Cash Flow streams,Models for Asset Management, Representation of Liabilities .....
Optimisation and its use in Business Applications
December 2002
The workshop is designed to give the participants hands-on experience with industrial-strength optimisation tools...
Decision Making under Uncertainty: Stochastic Programming Workshop
December 2002
The workshop is focused around two streams of applications: Financial modelling and Supply Chain Planning applications....
LP/IP/QP/SP Workshop
July 2003
The group runs a one week training course for business and industry on Applied Linear, Integer, Quadratic and Stochastic Programming. The course is a tutorial and workshop with significant "hands-on" use of modelling and optimisation software.
This course may be provided in house to industry and research organisations.
LP/IP/QP/SP Workshop
September 2003
The group runs a one week training course for business and industry on Applied Linear, Integer, Quadratic and Stochastic Programming. The course is a tutorial and workshop with significant "hands-on" use of modelling and optimisation software.
This course may be provided in house to industry and research organisations.