Spring School in Financial Computing and Analytics
General Information
Date: March 29 – March 30, 2014
Duration: 2 days
Location:: University College London, Executive Suit, First Floor, Front Engineering Building, Malet Street/Malet Place, London, WC1E 6BT, University College London, London, United Kingdom.
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Registration
The spring school is limited to 30 places, provided on first booked basis.
- Students - £150
- Non-Studentds - £300
Important: The spring school registration will be available at the beginning of February is now available.
Registration is available through the UCL registration site for the SpringSchool.
There will be IEEE student grants to be announced in due course, for a small amount covering partially the registration and travel expenses.
Lecturers & Topics
 | Dr. Tomaso Aste Head Financial Computing and Analytics Group University College London, United Kingdom www: www.cs.ucl.ac.uk/staff/tomaso_aste/ Topic: ``Financial dependency and causality networks'' |
 | Prof. Michael Dempster Professor Emeritus at the Centre for Mathematical Sciences University of Cambridge, United Kingdom Founder of the Centre for Financial Research at the University of Cambridge Managing Director of Cambridge Systems Associates Ltd www: www.cfr.statslab.cam.ac.uk/people/michaeldempster.html Topic: ``The true use of complex OTC derivatives'' |
 | Dr. Guido Germano Senior Lecturer, Member Financial Computing and Analytics Group University College London, United Kingdom www: www.uni-marburg.de/fb15/ag-germano/people/guido_germano Topic: ``Fourier methods for the pricing of exotic derivatives'' |
 | Prof. Jessica James Visiting Professor, Financial Computing and Analytics Group University College London, United Kingdom Managing Director, Head Quantitative Solutions Group, Commerzbank www: iris.ucl.ac.uk/iris/browse/profile?upi=JJAME42 Topic: ``Inefficiencies in Foreign Exchange Data'' |
 | Prof. Uzay Kaymak School of Industrial Engineering Eindhoven University of Technology, Netherlands Chair Computational Finance and Economics Technical Committee IEEE Computational Intelligence Society www: is.ieis.tue.nl/staff/ukaymak Topic: ``Fuzzy systems in Value-at-Risk estimation'' |
 | Prof. Alexander Lipton Visiting Professor, Department of Mathematics Imperial College London, United Kingdom Managing Director, Enterprise Capital Management, Bank of America Merrill Lynch, New York www: www.imperial.ac.uk/AP/faces/pages/read/Home.jsp?person=a.lipton Topic: ``Three-dimensional Brownian motion and its applications to CVA and trading'' |
 | Prof. Dietmar Maringer Professor of Computational Management Science Department of Quantitative Methods Economics and Business Faculty University of Basel www: wwz.unibas.ch/en/people/profile/person/maringer/ Topic: ``Operationalizing dynamic portfolio strategies under non-standard price process assumptions and realistic market constraints with genetic programming'' |
 | Dr. Christoph Reisinger Lecturer in Mathematical Finance, Oxford-Man Institute of Quantitative Finance University of Oxford, United Kingdom www: www.stcatz.ox.ac.uk/node/306 Topic: ``Numerical solution of PDEs'' |
Course Directors:
| Dr. Tomaso Aste Head Financial Computing and Analytics Group University College London, United Kingdom |
 |
Antoaneta Serguieva Chair Computational Finance and Economics Technical Committee IEEE Computational Intelligence Society Financial Computing and Analytics Group Computer Science Department University College London www: www.cs.ucl.ac.uk/people/A.Serguieva.html |
| Prof. Uzay Kaymak School of Industrial Engineering Eindhoven University of Technology, Netherlands Chair Computational Finance and Economics Technical Committee IEEE Computational Intelligence Society www: is.ieis.tue.nl/staff/ukaymak |
Program
| Day 1 March 29, 2014 |
Day 2 March 30, 2014 |
|
|---|---|---|
| 8:30 – 9:00 | Registration, breakfast | |
| 09:00 – 10:30 | Lecture 1 | Lecture 5 |
| 10:30 – 11:00 | Coffee break | |
| 11:00 – 12:30 | Lecture 2 | Lecture 6 |
| 12:30 – 14:00 | Lunch break | |
| 14:00 – 15:30 | Lecture 3 | Lecture 7 |
| 15:30 – 16:00 | Coffee break | |
| 16:00 – 17:30 | Lecture 4 | Lecture 8 |
Local organization:
| Antoaneta Serguieva Financial Computing Research Group Department of Computer Science University College London Gower Street London WC1E 6BT, UK phone: +44-203-108-1063 fax: +44-207-387-1397 email: a.serguieva .a_t. ucl.ac.uk www: www.cs.ucl.ac.uk/people/A.Serguieva.html |
 | Dawn Bailey University College London Dept. of Computer Science Gower Street London WC1E 6BT, United Kingdom email: D.Bailey .a_t. cs.ucl.ac.uk www: UCL department of Computer Science |