Mathematical Finance and Risk Management

From: ₹1,272.00

Last Date of registration : 12th February, 2025

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SKU: 15th & 16th February, 2025 Categories: ,

Objective of the Workshop

To provide participants with practical insights into financial modeling, derivatives pricing, and risk management techniques, equipping them with the skills to apply theoretical concepts to real-world financial scenarios using Python.

This online workshop aims to bridge the gap between theoretical knowledge and practical application in mathematical finance and risk management, empowering undergraduate students with the skills needed to excel in quantitative roles within the financial sector.

Profile of the Instructor

Dr. Neelesh S Upadhye is a distinguished professor of statistics at IIT Madras, renowned for his expertise in Mathematical Finance, Risk Management, and Quantitative Modeling. With a rich research background in probability, stochastic processes, and optimization, he has made significant contributions to top-tier journals and industry projects.

Dr. Upadhye specializes in bridging the gap between theoretical knowledge and practical application, empowering students and professionals with tools to excel in quantitative roles. Known for his engaging and hands-on teaching style, he has conducted numerous workshops on Financial Modeling, derivatives pricing, and Risk Analysis, using Python to translate complex concepts into actionable insights.

In this workshop, Dr. Upadhye will provide participants with a comprehensive understanding of Financial Modeling and Risk Management, equipping them with the practical skills needed to thrive in the Financial sector.

Methodology

  • Interactive Lectures: Combine theory with practical examples via online platforms (e.g., Zoom, Microsoft Teams).
  • Hands-On Sessions: Use Python for real-time data analysis and modeling; participants can share screens to demonstrate their work.
  • Group Activities: Foster collaboration and problem-solving through breakout sessions and discussions.

Resources Required

  • Online meeting platform with screen sharing and recording capabilities.
  • Workshop materials (handouts, Python code snippets, software access).
  • Access to a cloud-based Python environment (e.g., Google Colab, Jupyter Notebooks).

Expected Outcomes

  • Participants will gain a solid understanding of mathematical finance concepts and risk management techniques.
  • Practical experience in financial modeling and data analysis using Python.
  • Enhanced readiness for quantitative job opportunities in the finance sector.

Day 1 : Module Details

 Financial Modeling and Derivatives Pricing

  1. Session 1: Introduction to Mathematical Finance (1.5 hours)
    • Overview of the workshop and objectives
    • Importance of mathematical finance in today’s financial landscape
  2. Session 2: Basics of Derivatives (1.5 hours)
    • Types of derivatives (options, futures, swaps)
    • Applications of derivatives in financial markets
  3. Session 3: The Black-Scholes Model (1.5 hours)
    • Derivation of the Black-Scholes formula
    • Applications and limitations of the Black-Scholes model
  4. Session 4: Hands-On Implementation of Black-Scholes using Python (1.5 hours)
    • Participants implement the Black-Scholes model in Python
    • Case studies and discussion on practical applications

Day 2 : Module Details

  1. Session 5: Understanding Risk in Finance (1.5 hours)
    • Types of financial risks (market risk, credit risk, operational risk)
    • The role of risk management in finance
  2. Session 6: Value-at-Risk (VaR) (1.5 hours)
    • Introduction to VaR: Concepts and importance
    • Methods of calculating VaR (historical simulation, variance-covariance)
  3. Session 7: Hands-On Calculation of VaR using Python (1.5 hours)
    • Participants calculate VaR using historical data in Python
    • Group discussion on results and insights
  4. Session 8: Introduction to Quantitative Trading Strategies (1.5 hours)
    • Overview of quantitative trading strategies
    • Key concepts: alpha generation, backtesting, and execution

Session Details

Date of the Workshop: 15th & 16th February, 2025

Timings: 10:00 a.m. – 01:00 p.m. and 02:00 p.m. – 05:00 p.m.

Mode of the Workshop: Online

Fees for the Workshop

Students : Rs. 1500 (Rs. 1272 + 18% GST)

Faculty : Rs. 2000 (Rs. 1695 + 18% GST)

Industry : Rs. 3000 (Rs. 2543 + 18% GST)

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