O Claudio Albanese tem uma excelente experiência tanto acadêmica quanto de trabalho com as empresas (vejam http://www.level3finance.com/). Trabalha em Londres e esta vai ser uma oportunidade única para os alunos da graduação e pós-graduação.
Os alunos interessados devem enviar email para: verao@im.ufrj.br e lella@im.ufrj.br
As inscrições devem ser feitas na página da pós-graduação: http://www.pg.im.ufrj.br/verao.html
Minicurso de 16 horas (primeira semana de fevereiro)
Professor: Claudio Albanese
claudio@albanese.co.uk
http://www.level3finance.com/
Titulo: Financial Derivatives and the Engineering of Global Calibration
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Ementa:
1. Financial Derivatives
Financial Contracts and Temporal Modal Logic
Pricing by Robust Replication
The Fundamental Theorem of Finance
Global Calibration
Local Calibration
2. High Performance and High Throughput Computing
Latest micro-architectures and current trends
SIMD and MIMD processors
High density CPU boards: Nehalem and Opterons
GPU microchips: Tesla, Cypress and Larrabee
PCIe and chipsets
3. Finance with Operator Methods
Semi-martingale property, high frequency trading and arbitrage
Markov Processes and Generators
Fast Exponentiation
Convergence in Graph Norm: Theory and Empirical Evidence
Single Precision Robustness
Monte Carlo Methods
4. OPLIB: Low Level Performance Critical Primitives
Third Level BLAS
Matrix Multiplication on the nVidia Tesla architecture
Matrix Multiplication on the AMD Juniper and Cypress architectures
Batching Strategies and Fourth Level BLAS
Optimizing Scenario Generation Algorithms
5. Model Design and Global Calibration
Model Design without Analytic Solvability
Combining Slow and Fast Factors
Equity Models
Foreign Exchange Models
Interest Rate Models
Examples of Global Calibration
6. Multi-Factor Models
Heterogeneous Clusters with High Density GPU and High Density CPU Nodes
Orchestrating a Kernel Factory
Dynamic Gaussian Copulas
Numerical Radon-Nykodym Derivatives and Sensitivity Analysis
Dynamic Portfolio Simulation
7. Single Factor Path Dependent Derivatives
Theory of Abelian Processes
Feynman-Kac-Girsanov-Ito Theorem
Moment Methods
Example 1: Exotic Volatility Derivatives
Example 2: Derivatives on Cliquets
8. Credit Modelling
Defaultable Equity Models
Aggregate Calibration Strategies and Industry Sector Analysis
CDS Curves
Dynamic Conditioning versus Dynamic Gaussian Copulas
CDO Calibration
Counterparty Risk
