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Schedule is updated.
A week long high-end workshop with lectures and hands-on session
A week long high-end workshop with lectures and hands-on session
This Karyashala (High-End Workshop) on 'Computational Finance' will be conducted under Abhyaas ( Skill Development) mission, a SERB initiative, in offline mode from July 10 to July 16, 2022, at the School of Mathematics and Computer Science, IIT Goa. The objective of this Karyashala is to provide participants with a theoretical and implementational understanding of a few numerical methods such as finite difference methods, binomial/multinomial tree models, and Monte Carlo methods for pricing various types of options. Moreover, hands-on sessions will help the participants to price several single as well as multi-asset options by implementing these methods in Python/C/C++. This Karyashala is open to motivated Masters (PG students) and early-stage Research Scholars (PhD students) from all Institutes, Colleges, and Universities.
This Karyashala (High-End Workshop) on 'Computational Finance' will be conducted under Abhyaas ( Skill Development) mission, a SERB initiative, in offline mode from July 10 to July 16, 2022, at the School of Mathematics and Computer Science, IIT Goa. The objective of this Karyashala is to provide participants with a theoretical and implementational understanding of a few numerical methods such as finite difference methods, binomial/multinomial tree models, and Monte Carlo methods for pricing various types of options. Moreover, hands-on sessions will help the participants to price several single as well as multi-asset options by implementing these methods in Python/C/C++. This Karyashala is open to motivated Masters (PG students) and early-stage Research Scholars (PhD students) from all Institutes, Colleges, and Universities.
List of Topics
List of Topics
Introduction to the option pricing problem:
Discrete-time modeling: a review of probability theory, pricing theory, binomial model
Continuous-time modeling: stochastic calculus, Black-Scholes model
Computational methods for pricing options:
Binomial tree method
Monte Carlo methods
Finite Difference Methods for the Black-Scholes model.
Parallel implementation of the numerical methods for pricing options under the Black-Scholes model
Hands on session along with theoretical understanding of few numerical methods
Speakers
Speakers
Professor, IIT Bombay
Distinguished Professor, LNMIIT Jaipur (Formerly IIT Kanpur)
Professor, IIT Delhi
Assistant Professor, IIT Goa
Assistant Professor, IIT Goa
Assistant Professor, IIT Goa
Assistant Professor, IIT Goa
Assistant Professor, BITS Pilani Goa Campus
Assistant Professor, BITS Pilani Goa Campus
Support Team
Support Team
Mr. Jitendra Naik
Mr. Jitendra Naik
PhD Student, IIT Goa
Ms. Aditi Tomar
Ms. Aditi Tomar
PhD Student, IIT Goa
Mr. Debendra Kumar Swain
Mr. Debendra Kumar Swain
PhD Student, IIT Goa
Mr. Nitin Anirudh
Mr. Nitin Anirudh
PhD Student, IIT Goa
Mr. Dheeraj R
Mr. Dheeraj R
PhD Student, IIT Goa
Event Organizer
Event Organizer
The Venue
The Venue
Indian Institute of Technology Goa
Indian Institute of Technology Goa
At Goa College of Engineering Campus, Farmagudi, Ponda - 403401, Goa
Plane/Air
Nearest Airport : Dabolim – Vasco
Distance from IIT Goa : 38 Km
Mode of travelling available : Prepaid Taxi, Rickshaw, Pilot
Train
Nearest Railway station : Madgaon
Distance from IIT Goa : 24Km
Mode of travelling available : Prepaid Taxi, Rickshaw, Pilot, Bus from madgao bus stand
Let us know if you'll be attending!
Let us know if you'll be attending!
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