Financial Modeling and Optimization under Uncertainty ... - Gams

Financial Modeling and
Optimization under
Uncertainty
October 9-11, 2002
Munich, Germany
Language: English
Instructor: Dr. Søren S. Nielsen
Objective
The workshop will introduce techniques
for mathematical modeling and optimization
under uncertainty, such as stochastic
programming, robust optimization,
and classical risk-management
methods. The primary application area
will be in Financial Modeling and Optimization
but examples from other areas
will be included.
The workshop will be a combination of
presentations, computer modeling exercises,
case studies, and group discussions.
Outline of the Workshop
Day 1: What is uncertainty and how do
people perceive it? Risks, returns and
relevant objectives in Financial Planning.
Classical models for Fixed-Income
Portfolio Management. Mean-variance
Models.
Day 2: Mean-absolute deviation and
Tracking. Formulating and solving Stochastic
Programs; the scenario tree.
Multistage Stochastic Programs. Expected
Utility.
Day 3: Value at Risk. Integrative Case
Study: A large-scale, multi-stage Stochastic
Program (Danish Mortgage
Model), complete with model and
documentation. Other areas of special
interest to participants, discussions.
Audience
Managers and staff with risk management
functions in the area of finance,
and Ph.D.-Students in Finance, OR or
related areas.
Some familiarity with applied Financial
Modeling and Optimization is desirable.
Knowledge of modeling languages is not
required.
You will take home with you:
1. Copies of notes and transparencies
2. The standard reference text "Financial
Optimization" (Zenios, ed.).
3. Drafts of the new comprehensive
texts "Practical Financial Optimization"
(Zenios) and "Library of Financial
Optimization Models" (Nielsen/Zenios),
including the complete
Financial Model Library.
4. A full-scale PC version of the
modeling system GAMS (limitedtime
use), including executable
versions of all the models covered
during the course.
5. Information for follow-up
Instructor
Dr. Søren S. Nielsen is Associate Professor
at the Department of Informatics
and Mathematical Modeling, Technical
University of Denmark. His research activities
are in the field of Stochastic Programming,
Applications in Finance, Computational
Finance, Modeling Languages
and Object-Oriented Programming.

GAMS Software GmbH, Eupener Str. 135-137, 50933 Cologne, Germany
Tel.: +49-221-949-9170, Fax: +49-221-949-9171
Phone number:
E-mail:
___________________________________________________________
Please send / fax to:
[] academic
Name: [] commercial
Address:
Registration Form
Fees
The fee for the workshop is 1200 Euro +
VAT. This includes lunches, coffee
breaks, and an evening dinner. There is
a discount of 25% for the second and
subsequent participant from within the
same company.
A special academic rate of 900 Euro +
VAT is available.
Travel and Accomodation
The course will take place in the Center
for Mathematical Sciences, Technical
University of Munich, in Garching. You
can reach it easily with public transfer
from the airport and the train station.
We will be happy to send you a
description how to get there.
The beautiful Hotel König Ludwig II
provides a special price for course
participants. Its address is:
Hotel König Ludwig II
Bürgerplatz 3
85748 Garching
Tel.: +49-89-3205046
Fax: +49-89-3291510
E-mail: hotel@hkl.de
Please make your own reservations.
Sixth
Summer School
On Optimization and
Financial Modeling
October 9-11, 2002
in Munich
"Financial Modeling and
Optimization under
Uncertainty"
Søren S. Nielsen
Department of Informatics and
Mathematical Modeling,
Technical University of Denmark