Tag Archives: Attilio Meucci

Advanced Risk and Portfolio Management (ARPM) Bootcamp by Attilio Meucci

Advanced Risk and Portfolio Management (ARPM) Bootcamp by Attilio Meucci
Dates: August 11-16, 2014. Location: New York University
40 CE units CFA Institute, 40 CPE units GARP

The ARPM Bootcamp (http://symmys.com/ arpm-bootcamp) provides in-depth understanding of buy-side modeling from the foundations to the latest advanced statistical and optimization techniques, in nine intense, heavily quantitative hours each day, with theory, live simulations, review sessions and exercises.

Topics include portfolio construction, factor modeling, copulas, liquidity, risk modeling, and much more.

Also features Gala Dinner with world-renowned speakers such as Rob Almgren, Peter Carr, Bruno Dupire, Jim Gatheral, Bob Litterman, Bob Litzenberger, Andrew Lo, Fabio Mercurio, Steven Shreve.

See a short video http://www.youtube.com/watch?v=BUnrgjNxBWk

To register with the discounted partner rate go to http://www.symmys.com/arpm-bootcamp/registration, then see 1) “Registration Type”, select “Partner”; 2) go to “Specify”, select “Other”; 3) go to “Specify”, type “Terrapinn”, or contact us at arpm.bootcamp@symmys.com

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Attilio Meucci – Advanced Risk and Portfolio Management Bootcamp announcements

Attilio Meucci – Advanced Risk and Portfolio Management Bootcamp announcements
I. ARPM Bootcamp 2014
Registration for the six-day course Advanced Risk and Portfolio Management Bootcamp is open! Dates: August 11-16, 2014. Location: New York University – Kimmel Center.
The ARPM Bootcamp provides in-depth understanding of buy-side modeling from the foundations to the most advanced statistical and optimization techniques, in nine heavily quantitative hours each day for six days, with theory, live simulations, review sessions and exercises.
Topics include portfolio construction, factor modeling, liquidity and execution, risk modeling, and much more (accreditation for 40 CE units CFA Institute and 40 CPE units GARP)

The ARPM Bootcamp features a Gala Dinner with world-renowned quants (Rob Almgren, Peter Carr, Emanuel Derman, Bruno Dupire, Jim Gatheral, Bob Litterman, Bob Litzenberger, Andrew Lo, Fabio Mercurio, Steven Shreve, …). We also make donations to several charities via One More Reason (to see video, photos, feedback and more from last year’s ARPM Bootcamp, click here)
Much support comes from our Educational Partners (GARP, CFA Institute, PRMIA, Society of Actuaries, …); our Corporate Partners (PricewaterhouseCoopers, Mathworks, Axioma, Northfield, NAG,…); and several Masters in Financial Engineering (Berkeley, Washington, MIT, Carnegie Mellon, …)

For program and overview, click here. To register, click here.


 

II. Featured white papers: special issue on diversification
The SSRN Research Paper Series for Advanced Risk and Portfolio Management has the objective of collecting mathematically rigorous and practical research for buy-side quantitative finance. The series is free, owns no copyright, and your work can be embedded simultaneously in other series/journals. To include your research in the series, please contact us at ssrn@symmys.com
Selected featured articles:
  • Positional Portfolio Management, by P. Gagliardini, C. Gourieroux, M. Rubinread article
  • Equal Risk Bounding Is Better then Risky Parity For Portfolio Selection, by F. Cesarone, F. Tardellaread article
  • Algorithmic Trading with Learning, by A. Cartea, S. Jaimungal, D. Kinzebulatovread article
  • Neither ‘Normal’ nor ‘Lognormal’: Modeling Interest Rates Across All Regimes, by A. Meucci, A. Loregianread article


III. Buy-side quant discussions on LinkedIn

View our technical discussions on the SYMMYS forum on LinkedIn. Sample discussions:

– Correlation and Joint Distribution by Using Copula
– Impact of Higher Moments on Portfolio Optimization
– Application of the 10 steps of “the Prayer” to Portfolios with a Benchmark

Other quant forums exist, but our group focuses on quant buy-side issues. Also, no advertisements here, only practical knowledge sharing! Join to contribute papers, code, or thoughts on topics such as portfolio construction, drawdown control, liquidity risk, market impact, estimation and forecasting, etc.

                                                      IV. Upcoming Events
MathFinance Conference 2014
The MathFinance Conference is the largest quantitative finance event covering the European market and an influential driver in the dissemination of ideas, information and knowledge. Renowned speakers from all over the world, including Senior Quantitative Analysts, Risk Managers and Academics, deliver their talks as part of this two-day event, to be held in Frankfurt on the 14th and 15th of April 2014.
Take a look at our Conference Handout and Registration Page!

The Trading Show Chicago
June 4-5, 2014, Navy Pier, Chicago, IL.
Chicago’s leading quant, automated trading, exchange technology and big data event, the Trading Show Chicago is the only place you will hear from leading CTO’s, CEOs, and experts in proprietary, quant investing and exchange technology.

Whether you’re focused on new quantitative models, adopting low latency systems or managing risk, The Trading Show Chicago provides unparalleled opportunities to network and ultimately do business with top trading firms, quant funds, international exchanges, end investors, banks, brokers, and technology providers.
Download the brochure here
NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

See “The Prayer” – Ten-Step Checklist for Advanced Risk and Portfolio Management with Attilio Meucci

See “The Prayer” – Ten-Step Checklist for Advanced Risk and Portfolio Management with Attilio Meucci

The NYC Contact says this was one of the best he has seen so thanks to him for this

http://www.mathworks.com/videos/the-prayer-ten-step-checklist-for-advanced-risk-and-portfolio-management-with-attilio-meucci-81834.html?form_seq=conf1008&confirmation_page&wfsid=5413443

Join my FREE newsletter to see what else we use from this guy

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Attilio Meucci Advanced Risk and Portfolio Management Bootcamp in Matlab now open

Attilio Meucci Advanced Risk and Portfolio Management Bootcamp in Matlab now open
I highly recommend this
I. ARPM Bootcamp 2014
Registration for the six-day course Advanced Risk and Portfolio Management Bootcamp is open! Dates: August 11-16, 2014. Location: New York University – Kimmel Center.
The ARPM Bootcamp provides in-depth understanding of buy-side modeling from the foundations to the most advanced statistical and optimization techniques, in nine heavily quantitative hours each day for six days, with theory, live simulations, review sessions and exercises.
Topics include portfolio construction, factor modeling, liquidity and execution, risk modeling, and much more (accreditation for 40 CE units CFA Institute and 40 CPE units GARP)

The ARPM Bootcamp features a Gala Dinner with world-renowned quants (Rob Almgren, Peter Carr, Emanuel Derman, Bruno Dupire, Jim Gatheral, Bob Litterman, Bob Litzenberger, Andrew Lo, Fabio Mercurio, Steven Shreve, …). We also make donations to several charities via One More Reason (to see video, photos, feedback and more from last year’s ARPM Bootcamp, click here)
Much support comes from our Educational Partners (GARP, CFA Institute, PRMIA, Society of Actuaries, …); our Corporate Partners (PricewaterhouseCoopers, Mathworks, Axioma, Northfield, NAG,…); and several Masters in Financial Engineering (Berkeley, Washington, MIT, Carnegie Mellon, …)

For program and overview, click here. To register, click here.

II. Buy-side quant discussions on LinkedIn

View our technical discussions on the SYMMYS forum on LinkedIn. Sample discussions:

Minimum Torsion on Correlation and Covariance Matrix
Equity Return Forecasting
Incorporating Estimation Variance in Mean-Variance Optimization
Question about statistical tests for stochastic dominance

Other quant forums exist, but our group focuses on quant buy-side issues. Also, no advertisements here, only practical knowledge sharing! Join to contribute papers, code, or thoughts on topics such as portfolio construction, drawdown control, liquidity risk, market impact, estimation and forecasting, etc.

III. Featured white papers: special issue on diversification
The SSRN Research Paper Series for Advanced Risk and Portfolio Management has the objective of collecting mathematically rigorous and practical research for buy-side quantitative finance. The series is free, owns no copyright, and your work can be embedded simultaneously in other series/journals. To include your research in the series, please contact us at ssrn@symmys.com
 Selected featured articles:
  • An Algorithm for Computing Risk Parity Weights, by F. Spinu, read article
  • Least-Squares Approach to Risk Parity in Portfolio Selection, by H. Bai, K. Scheinberg, R. Tutuncu, read article
  • What is Portfolio Diversification?, by A. Fragkiskos, read article
  • Measuring Portfolio Diversification Based on Optimized Uncorrelated Factors, by A. Meucci, A. Santangelo, R. Deguest, read article
NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Is the best Advanced Risk and Portfolio Management course on the planet with examples done in Matlab? Attilio Meucci

Is the best Advanced Risk and Portfolio Management  course on the planet with examples done in Matlab? Attilio Meucci

http://www.symmys.com/arpm-bootcamp/program

Learn more how I plan to use this in my trading environment

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Pay rates for doing maths in banks, Matlab in Computational Finance, Mathematica In London,Paris, Frankfurt & Zuerich, Daniel Duffy in London, and Attilio Meucci in NY

Subject: Pay rates for doing maths in banks, Matlab in Computational Finance, Mathematica In London,Paris, Frankfurt & Zuerich, Daniel Duffy in London, and Attilio Meucci in NY
Do you use (or misuse) maths in your finance job ?
We’re surveying pay levels for quants, quant developers, algo traders, asset managers, risk people, strats, structurers, analytics developers, risk developers etc. because it’s ironic that those who do numbers for banks have such poor quality numbers to work out how they are paid relative to others.

http://bit.ly/koFj1Q

It is completely confidential because we use a 3rd party SurveyMonkey to collect results. It’s 3-5 minutes, yes really, we’ve tested it.

We’ve have >4,500 responses so far but the reason *you* need to fill this form is that this is a field with lots of specialisations, and one factor can make a significant difference in your pay, so contributing your numbers means you get better information.

We will of course be publishing interesting results on Wilmott.com and through the Trading Tech group. This is the last week before we start publishing final results so you may want to act sooner rather than later,
http://bit.ly/koFj1Q

Dates for Your Diary
Computational Finance with Mathematica -New technologies for accelerating quantitative analytics,
http://bit.ly/k1imgk
Wednesday 14 June Zurich
Wednesday 15 June Frankfurt
Speakers
Efficient Valuation of Complex Derivatives on the GPU
Dr. Andreas Binder, MathConsult GmbH
In the pricing and risk analysis of structured financial instruments, numerical methods for valuation, as well as calibration of the model parameters, have to be implemented very carefully. The calibration often leads to optimization problems for which local algorithms do not converge. We present an efficient hybrid global/local algorithm and compare them to global optimization.

Daniel Duffy author of several major books on financial programming, is running the following workshops in London

One-day Master Class: The Alternating Direction Explicit (ADE) Finite Difference Method. Fast, Unconditionally Stable, High-Order Schemes for Derivatives Pricing and Hedging (8 July, London)
http://bit.ly/fFikUq

Creating Trading and Quant Applications in C# and Excel (September 20, 21, 22 London)
http://bit.ly/dHnXPz

Advanced Risk and Portfolio Management Bootcamp
by Attilio Meucci
August 15-20, 2011, Baruch College, New York City
http://bit.ly/jDv3nq

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Quant/Risk/Trading/Algo/Modeling pay survey, Yann Ticot in London, Matlab Computational Finance, Daniel Duffy in London, GPUs, Attilio Meucci and Paul Wilmott

  • Quant/Risk/Trading/Algo/Modeling pay survey, Yann Ticot in London, Matlab Computational Finance, Daniel Duffy in London, GPUs, Attilio Meucci and Paul Wilmott in New York and Mathematica over Europe.

It’s ironic that currently those who do numbers for banks have such poor quality numbers to work out whether they are getting the market rate..
Since the Quant group now has a high % of people in these areas we are doing an anonymous pay survey receiving 3,500 responses so far, which already makes it the most thorough research ever done in the Quant field, as well as providing averaging anonnymity to contributors.

http://svy.mk/letqkA

It’s completely confidential because we use a 3rd party SurveyMonkey to collect results. We don’t ask your name, and if it turns out that a given segment has too few people in it to mask the identities of those who respond we won’t publish that result.

Why should *you* bother filling this in ?
It is only 3-4 minutes, mostly just clicking boxes with easy questions in them.
We’ve had people test it just to make sure it doesn’t suck up your life with vast arrays of imponderable nonsense.
This is a field with lots of specialisations, and one factor can make a significant difference in your pay, which means if you don’t respond, the numbers for people just like you won’t be quite as good, and I hope I don’t have to make the case for having good numbers for important decisions.

I have started to publish preliminary results on Wilmott.com, and with your help we can make them better.
http://svy.mk/letqkA

Dates for Your Diary
Financial engineering workshops @ Cass

Thursday 9 June Yann Ticot (BAML) “Pricing Inflation Vanillas and Exotics”.

If you want to come, RSVP to stewart.hodges.1@city.ac.uk

MATLAB Computational Finance Virtual Conference – June 9th, 2011

Presentations from Deutsche (on HFT), Dexia (on Basel II, Credit Risk & back-testing), Banc Sabadell (on enterprise deployment of pricing & trading analytics), IMF (on economic forecasting), Bank of Canada (on Systemic Risk), Attilio Meucci (on PRAYER framework), Model IT (on Solvency II and insurance risk) and CamraData (on the threat of the Pythagorean cult)

http://matlab.my/mrBAbH

Computational Finance with Mathematica -New technologies for accelerating quantitative analytics,
bit.ly/k1imgk
Monday 6th June London
Tuesday 7th June Paris
Wednesday 14 June Zurich
Wednesday 15 June Frankfurt
Speakers
Efficient Valuation of Complex Derivatives on the GPU
Dr. Andreas Binder, MathConsult GmbH
In the pricing and risk analysis of structured financial instruments, numerical methods for valuation, as well as calibration of the model parameters, have to be implemented very carefully. The calibration often leads to optimization problems for which local algorithms do not converge. We present an efficient hybrid global/local algorithm and compare them to global optimization.
I will be at the Monday event, if anyone wants to go for a drink afterwards.

Daniel Duffy author of several major books on financial programming, is running the following workshops:

One-day Master Class: The Alternating Direction Explicit (ADE) Finite Difference Method. Fast, Unconditionally Stable, High-Order Schemes for Derivatives Pricing and Hedging (8 July, London)
http://bit.ly/fFikUq

Creating Trading and Quant Applications in C# and Excel (September 20, 21, 22 London)
http://bit.ly/dHnXPz

CQF Information Session
Thursday 2nd June New York 6.30pm Marriott Courtyard Midtown East Manhattan
http://bit.ly/iLmYh7

Your last chance to meet Paul Wilmott and learn about the content of the Certificate in quantitative Finance

Advanced Risk and Portfolio Management Bootcamp
by Attilio Meucci
August 15-20, 2011, Baruch College, New York City
http://bit.ly/jDv3nq

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Pay Survey, Matlab in Computational Finance, Mathematica In London,Paris, Frankfurt & Zuerich, Daniel Duffy in London, and Attilio Meucci in NY and The Thalesians are doing FPGAs in NY

Do you use (or misuse) maths in your finance job ?
We’re surveying pay levels for quants, algo traders, asset managers, risk people, strats, structurers etc. because it’s ironic that those who do numbers for banks have such poor quality numbers to work out how they are paid relative to others.

http://svy.mk/letqkA

It is completely confidential because we use a 3rd party SurveyMonkey to collect results. It’s 3-5 minutes, yes really, we’ve tested it.

The reason *you* need to fill this form is that this is a field with lots of specialisations, and one factor can make a significant difference in your pay, so contributing your numbers means you get better information.

We will of course be publishing interesting results on Wilmott.com

Dates for Your Diary
MATLAB Computational Finance Virtual Conference – June 9th, 2011

Presentations from Deutsche (on HFT), Dexia (on Basel II, Credit Risk & back-testing), Banc Sabadell (on enterprise deployment of pricing & trading analytics), IMF (on economic forecasting), Bank of Canada (on Systemic Risk), Attilio Meucci (on PRAYER framework), Model IT (on Solvency II and insurance risk) and CamraData (on the threat of the Pythagorean cult)

http://matlab.my/mrBAbH

Computational Finance with Mathematica -New technologies for accelerating quantitative analytics,
bit.ly/k1imgk
Monday 6th June London
Tuesday 7th June Paris
Wednesday 14 June Zurich
Wednesday 15 June Frankfurt
Speakers
Efficient Valuation of Complex Derivatives on the GPU
Dr. Andreas Binder, MathConsult GmbH
In the pricing and risk analysis of structured financial instruments, numerical methods for valuation, as well as calibration of the model parameters, have to be implemented very carefully. The calibration often leads to optimization problems for which local algorithms do not converge. We present an efficient hybrid global/local algorithm and compare them to global optimization.

Daniel Duffy author of several major books on financial programming, is running the following workshops:

One-day Master Class: The Alternating Direction Explicit (ADE) Finite Difference Method. Fast, Unconditionally Stable, High-Order Schemes for Derivatives Pricing and Hedging (8 July, London)
http://bit.ly/fFikUq

Creating Trading and Quant Applications in C# and Excel (September 20, 21, 22 London)
http://bit.ly/dHnXPz

Thalesian Seminar (NYC) Rakesh Joshi:FPGAs in HFT
6:30, Wednesday May 25
3rd Floor Playwright Tavern
202 W 49th St, NYC
http://bit.ly/iwzPqy

Advanced Risk and Portfolio Management Bootcamp
by Attilio Meucci
August 15-20, 2011, Baruch College, New York City
http://bit.ly/jDv3nq

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!