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Friday June 22 | 10:00 am - 6:00 pm Saturday June 23 | 8:00 am - 6:00 pm

ALONSO PEÑA

UNIVERSITY OF CAMBRIDGE

TOPICS:

Alonso Peña is now Honorary Senior Visiting Fellow at the University of Cambridge. He has worked for several years as a quantitative analyst for the company Thomson Reuters and for the banking group Unicredit Group in London and Milan. His area of specialty is mathematical finance, particularly mathematical models for calculating the price of financial derivatives.

Module 1: Introduction to Python.

He has achieved his doctorate at the University of Cambridge in the UK, with a thesis on the numerical solution of partial differential equations as well as a degree in Physics at ITESM Campus Monterrey. He holds the Certificate in Quantitative Finance (CQF) of 7city Fitch Learning (London).

He has taught at the graduate level and MBA Cambride universities, Oxford, Bocconi, Bergamo, Castellanza, the European School of Economics and the Indian Institute of Quantitative Finance (Mumbai). Alonso has published in the fields of quantitative finance, applied mathematics, neuroscience and the history of science.

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He has been awarded the Robert J. Melosh Medal (first place) of Duke University, USA, for the best work on finite element analysis; and the Rouse Ball Travelling Studentship in Mathematics, Trinity College, Cambridge. Dr. Peña as a researcher visited the Santa Fe Institute, USA, to study complex systems in the social sciences. COURSE DESCRIPTION: This two-day course (organized in 4 modules) offers a brief but intensive introduction to the use of Python in Finance. Particularly, it explores the key characteristics of this versatile programming language to solve problems in quantitative finance and financial risk management. OBJECTIVES: • • • •

Learn a structured programming method through the Bento Box Method. Demonstrate the benefits of using Python in everyday practical activities of businesses. Have a hands-on programming experience with Python to solve financial problems. Explore in detail how Python is used in modern Finance, Portfolio Management, Financial Derivatives and Risk Management.

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Programming in 3 simple steps. The Bento Box Method. Why learn a new programming language? From Excel to Python, from VBA to Python. Installation of Python packages. Displaying data and working with data: tuples, lists, dictionaries, and sets. Designing functions and organizing programs with much more functions. Matrices, random numbers, and mapping operations. Lab: Python Essentials.

Module 2: Python Applications in Finance.

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About Investments. Example 1: Discount factors and cash flows. Example 2: Net Present Value (NPV) and Internal Rate of Return (IRR). Example 3: Simple and complex bonds. Portfolio Theory. Example 4: Modern Portfolio Theory (MPT), N=2. Example 5: Modern Portfolio Theory (MPT), N=3. Example 6: Modern Portfolio Theory (MPT), the efficient frontier.

Module 3: Stretching Python: NumPy, SciPy, and Matplotlib packages. • • • • •

Why we need packages? NumPy description. SciPy description. Lab: Using of the packages. NumPy examples: interpolation functions, matrix decomposition functions, own values for calculation, solving systems of equations and investment matrices. SciPy examples: statistical functions, how to generate different distributions and perform statistical calculations.

Module 4: Python Applications to Financial Derivatives and Quantitative Risk Management. • • • • • • •

Example 1: The Black-Scholes- Merton classic formula. Example 2: Monte Carlo simulation. Example 3: Implied volatility of quoted call options. About Financial Risk Management. Example 4: Value at Risk (VaR) and Expected Shortfall (ES). Example 5: Combination of statistical distributions. Example 6: Main components analysis.


PRICE: $25,000.00 M.N. + IVA DURATION: 16 Hours (2 Sessions) VENUE: Hotel JW Marriott Santa Fe

Avenida Santa Fe 160 Col. La Fe Santa Fe, CDMX.

REQUIREMENTS • Graduated from an economic and/or administrative career. • Preferably working in Financial Institutions. • Participants should bring a laptop.

PAYMENT METHODS: 1. Bank Transfer in US Dollars (Foreign Institutions) BANK: BBVA Bancomer, S.A. ACCOUNT NUMBER: 012180001649665629 USD SWIFT: BCMRMXMM BRANCH NUMBER: 0956 Sector Financiero, Bancos y Casas de Bolsa, México, D.F. BENEFICIARY: RiskMathics Financial Innovation, S.C. 2. Credit Card: VISA, MASTERCARD or AMERICAN EXPRESS. IMPORTANT NOTICE: There will be no reimbursements.

Registration E-mail: derivatives@riskmathics.com Teléfonos: +52 (55) 5638 0367 y +52 (55) 5669 4729

WWW.RISKMATHICS.COM

Desarrollo de Soluciones Financieras 2018 Ing  
Desarrollo de Soluciones Financieras 2018 Ing