FINANCIAL ENGINEERING AND ANALYTICS

Offer
a one week Summer School on
FINANCIAL ENGINEERING AND ANALYTICS
at IIT Madras Campus
May 14 to 18, 2015
What is Financial Engineering?
Financial Engineering is a multidisciplinary field involving financial theory, the methods of engineering, the tools of
Mathematics and Statistics and the practice of computer programming. Financial Engineering started out with the
bundling of primitive and derivative securities to create new financial securities with specified payoff patterns. It has
evolved into a highly sophisticated field leading up to the securitization of many loan products that has allowed
borrowers to enter the capital market directly.
Objectives of the Summer School
1.
2.
3.
To enhance awareness of and knowledge about FE &
Analytics among UG and PG students who are
pursuing studies in quant disciplines, such as in
Engineering, Mathematics, Statistics, Physics and
others.
This interdisciplinary summer school is intended to
foster interaction between finance, analytics and
computation. There will be a wide range of topics
discussed and the necessary mathematical background
will be provided. The participants will work in
interdisciplinary groups on projects throughout the
program.
Upon completion of the program students will learn the
basic financial and computational techniques that are
4.
5.
useful in formulating and solving real life problems
in finance and analytics.
With the availability of (Big) Data, this summer
school will provide an opportunity for the
participants to apply statistical techniques to analyze
and gain insight from the data. This will be a good
experience for jobs in industry and also academic
research.
Students can find opportunities through the summer
school for working on various projects under the
guidance of the faculty which will enhance the value
of their resume and open up possibilities for paper
publication which will help them in pursuing higher
studies.
FACULTY
Faculty will be from IIT-M and IFMR specializing in financial engineering.
VENUE
DOMS, IIT Madras.
FEES
Rs.5,000/- (Rupees five thousand only) per participant by Cheque/Demand Draft in favour of
“Institute for Financial Management and Research” payable at Chennai. This is a nonresidential program.
ENROLMENT
Interested candidates can visit the website ifmr.ac.in to download the form or send an email to
kem@ifmr.ac.in for registration. Limited number of seats. Registration will be on first-cum-first
served basis.
ACCOMMODATION Limited twin sharing hostel accommodation on payment basis is available for outstation
candidates at IIT Madras campus. Outstation candidates seeking accommodation are requested to
send an email to kem@ifmr.ac.in.
LAST DATE for Registration April 15, 2015
Program Outline:
This will be a one-week program. The program covers –
Day - 1
Probability
- Sample Space, Events, Probability, Random Variable,
Distribution Function
Markets
- The various financial markets for stocks, bonds and
currencies; Primary versus derivative assets; Basics of
trading
- The efficient markets hypothesis (EMH), the riskreturn trade-off; Portfolio selection and diversification
Day - 2
Stochastic Process
Markov Chains, Stationary Distribution, Random
Walks, Filtration, Conditional Expectation and
Martingales
Machine Learning Techniques
- Linear and Logistic Regression, K-means Clustering,
PCA
Corporate Finance
- Raising and deploying funds, the two sides of the
Balance Sheet; Information asymmetry and its impact.
Options
- Option pricing, Option strategies with their
corresponding pay-off diagrams and an Intro to
Dynamic Hedging of Options
Simulation Techniques
- Simulating sample paths of common stochastic
processes used in finance, Variance reduction
techniques
Asset Pricing
- Normative versus positive models, Mean variance
analysis, The CAPM and the APT
Empirical Finance/Data
- The overall idea is to give the participants some
experience in working with financial models in real
life. For instance, we could demonstrate how to
implement mean variance optimization in practice,
with a special focus on what the hidden pitfalls are.
Group Assignment exercise on Day 4.
Day – 4
Black Scholes Equation
- Binomial Model, Derivation and Analytical Solution of
Black Scholes equation
- Numerical Solution of Black Scholes Equation
- Explicit and Implicit Finite Difference Techniques
Group assignment
- Normative versus positive models, Mean variance
analysis, The CAPM and the APT
Day – 5
Day – 3
-
Stochastic Calculus
- Brownian motion, Stochastic Integration, Ito’s lemma
-
Presentations
Simulating sample paths of common stochastic
processes used in finance, Variance reduction
techniques
Conclusion
INSTITUTE FOR FINANCIAL MANAGEMENT AND RESEARCH
No.24, Kothari Road, Nungambakkam, Chennai 600 034
5655, Central Expressway, Sector 24, Sri City, Andhra Pradesh 517 541
Website: www.ifmr.ac.in
Summe
er Scho
ool on
Financ
F
cial Engine
eering
g and Anallytics
May 14 – 18, 20
015
Registr
R
ration Form
Name ................................................................................. .....................................................................
ation...............................................................................................................................................
Designa
Educatiional Qualific
cations........................................................ ....................................................................
Organizzation..............................................................................................................................................
Departm
ment..............................................................................................................................................
Addresss ..................................................................................................................................................
......................................................................................... ....................................................................
Contactt No.................................................................... Emaiil-id...............................................................
Rupees Five Thousand
T
Onlly)
Fees: Rs.5,000/= (R
Payment to be
b made in ad
dvance by cheque/DD in favour
f
of ‘Insttitute for Financial Managgement and R
Research’
payable at Chennai.
Paymen
nt Details
N
………… dated ……………………
… Bank Name ……………………
………………………
……………………
……
Cheque/DD No…………………
The la
ast date forr registratiion: April 15,
1 2015
er, or send th
he registratio
on form duly filled-in
f
by m
mail or email tto
Please ccall to registe
KE Munuswamy
M
y
Prog
gram Managerr
Institutte for Financial Manageme
ent and Resea
arch
24, Kothari Road, Nun
ngambakkam , Chennai 6000 034
Ph: 044 282792
208 | Cell: 98
840758470 | e-mail: kem@
@ifmr.ac.in