08 October
1.45pm, Clore LT Huxley
| Title: | Applications of Monte Carlo Simulations in Finance |
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| Abstract: | In financial markets the value of exotic derivative instruments is commonly based on the projected evolution of some underlying measure (e.g. interest rates). Monte Carlo models are applied to statistically estimate the evolution of interest rates over a given period in order to calculate prices. We will cover the what and why of Monte Carlo followed by a look at the practical challenges and techniques of its implementation in real trading systems. |
| Speaker Details: | Matt Brown and Avi Tillu Avi Tillu is a Junior Portfolio Manager within the Fixed Income team at Citadel, primarily trading Volatility products. He has developed his expertise within quantitative based trading via previous experience at Goldman Sachs and Deutsche Bank. He graduated with a First Class Honours in Mathematics from Magdalen College, Oxford in 2010. Matt Brown is a senior quantitative developer at Citadel Investment Group. A physics graduate from Imperial College, he has spent the last 5 years working for the Global Fixed Income group on the front desk. |
