27-Mar-06, 17:50 - 19:30
Special session in the frame of the MathFinance Workshop Derivatives and Risk Management in Theory and Practice
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Traders, treasurers, structurers, quants and risk analysts who want to apply the latest numerical schemes for the analysis of their sophisticated deal types. Managers who want to empower their teams with best practice solutions. Researchers interested in a practical application of the latest research results.
Andreas Binder is CEO of MathConsult GmbH, makers of UnRisk. He is also head of its computational finance group and Austrian Industrial Mathematics Competence Center. He holds a Ph.D. in Applied Mathematics.
Additive, Frankfurt and the UnRisk consortium.
| 17:50 |
1. Insight into new mathematical approaches, algorithms and numerical schemes.Finite Element and Streamline Diffusion Techniques, High-End Numerics for Derivatives Analytics with Unmatched Accuracy. Identification of Model Parameters in Computational Finance based on Inverse Problems Techniques. |
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| 18:20 | Coffee Break. |
| 18:35 |
2. The UnRisk2 working environment. A numerics-engine in C++ integrated into Mathematica, Excel and web environments.How UnRisk2 quickly transforms High-End Numerics into Values. Valuation of Complex Structured Instruments, Sensitivity Analysis and Exploration in Movies, Scenarios and Handling of Trading Books Quick Customization in Mathematica's unparalleled declarative programming environment. UnRisk as web and grid applications. |
| 19:15 | Discussion (panel and face to face). |
Participation is free of charge, registration required.