About Event
Margaret Armstrong and Alain Galli started the Quantitative Finance Group at the École des Mines de Paris in 2001. The group trains French engineers who want to be quants, traders & structurers in banks. The group’s research focuses on:
- Modeling commodities (electricity, oil and gas, CO2 etc).
- Modeling the structure of electricity markets, and the impact of the introduction of renewables (wind power) and electric vehicles on day-ahead electricity prices.
- Evaluating and optimising of projects such as mines, oil fields and power plants that are subject to technical and financial uncertainty.
- Modelling the term structure of interest rates.
- Stochastic volatility models.
- Dynamic hedging of physical commitments.
Copulas, especially Archimedean copulas.
Margaret Armstrong is a professor at the Cerna, Mines-Paristech. She has a masters in mathematical statistics from the University of Queensland, Australia, and a PhD in geostatistics from the École des Mines de Paris.
Alain GALLI is a professor at the Cerna, Mines-Paristech. He holds a PhD in mathematics from the University of Grenoble, France.
Every Friday
Schedule
Week 1
Lecture 1: Basic theory on Geometric Brownian motion, Mean reverting processes Lecture 2: Simulation procedures Computer Session: Simulating a geometric Brownian motion
Week 2
Lecture 1: Options: puts & calls, European, American Asian, Black & Scholes formula Lecture 2: First approach for pricing options: arbitrage, self-financing portfolios Computer Session: Using Black & Scholes formula to price European options; zero cost collar
Week 3
Lecture 1: Second approach for pricing options: conditional expectation, Statement of Feynmann- Kac theorem Lecture 2: Using binomial & trinomial trees to price American options Computer Session: Constructing binomial trees for pricing options
Week 4
Lecture 1: Bonds, Interest rates, Foreign exchange, Term structure Lecture 2: Stochastic processes for modelling interest rates Computer Session: Comparing 3 ways to price European option (a) Simulating geometric Brownian motion (b) Black & Scholes Formula (c) binomial tree
Week 5
Lecture 1: Commodities: spot prices futures, options. Applied to crude oil & to electricity markets Lecture 2: Stochastic processes for commodities Computer Session: Simulating commodity prices.
Examination procedure: computer exercise to be carried out in pairs and handed in 4 weeks end of course.
Location
Endereço
Praia de Botafogo, 190
Botafogo - Rio de Janeiro