CARISMA - IIM Calcutta-Workshop Optimisation Methods and its Financial Applications, HighFrequency Finance

Date of Function: Date: 10 – 13 March, 2010

Who Should Attend?

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.

Stochastic Optimisation Techniques and Risk Analysis: Applications in Finance, High Frequency Finance 12 March - 13 March 2010

Background

Stochastic programming models are designed to capture both these aspects in a unique way, thus optimally allocating resources, while taking into consideration the alternative scenarios of how the future unfolds. The result is an optimal, or near optimal, plan of action that is hedged against the vagaries of the future. Stochastic programming is at the forefront of making decisions for the uncertain world of tomorrow. After three decades of research into the theory and application of stochastic programming, today, it is the first choice for analysts in portfolio selection, asset allocation, supply chain planning, energy systems planning, and agricultural planning, among others. We also introduce robust optimisation and illustrate how risk can be modelled and constraints used to control (Conditional Value At Risk - CVaR). This workshop is designed for those who wish to deploy stochastic programming successfully, but have little or no experience in the development of stochastic programming applications. Our course is most comprehensive and covers 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, supply chain, agriculture or energy systems planning. If you want to make optimal plans for an uncertain future, this is definitely the course for you. The course also introduces the delegates to a state of the art software SPInE, for developing and investigating stochastic programming applications. The course will also introduce the

Topics Covered

• Introduction to stochastic programming

• Scenario generation

• Use of simulation as model validation

• Application of stochastic programming in Asset Liability Management

• Robust Optimization

• Portfolio optimisation with conditional VaR

• Volatility Modelling

Overview

The aims of this workshop are to explain to the attendees:

The implications of time and uncertainty in optimum decision making.

The alternative models which have become established as paradigms for capturing uncertainty and optimum resource allocation.

The role of scenarios as a pragmatic way of representing future uncertainties.

The requirements for modelling and solving stochastic programming (SP) problems.

The use of simulation as model validation.

How to make risk decisions.

On successful completion of the workshop attendees will:

Understand the basic concepts underlying:

Scenario analysis (SCENAL)

Two stage stochastic programming (TWOSP)

Multistage stochastic programming (MULTISP)

Chance constrained programming (CHNSP)

Integrated chance constrained programming (ICCP)

Robust Optimisation (RO)

Be able to investigate SCENAL, TWOSP, MULTISP problems in specific application domains such as finance or supply chain planning.

Understand the interplay between algebraic formulation of optimisation models and the imposed (decision) trees of SP representation.

Gain insight into available software tools, their scope as well as shortcomings, in respect of capturing and solving these classes of SP problems.

Be able to incorporate risk measure in SP in order to make optimal risk decisions.

Understand models of randomness, scenario generation and the SP decisions by out of sample simulations.

More Information Please Click here