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June 20 | 10:00 am - 6:00 pm June 21 | 10:00 am - 5:00 pm

MARCO AVELLANEDA NYU Marco Avellaneda was named 2010 Quant of the Year by RISK Magazine. He has been involved in teaching, developing and practicing quantitative finance for the last 15 years. He worked at Banque Indosuez as Consultant in FX Derivatives, then as a Vice-President in Fixed-Income Research at Morgan Stanley, as Quant Strategist at Gargoyle Strategic Investments, as Head of Volatility Arbitrage at Capital Fund Management, where he created the Nimbus Fund, and as Quant Equity Portfolio Manager at the Galleon Group. His interests — both practical and theoretical — are unabashedly focused on quantitative alpha generation. He is known in academic finance as the inventor of the Uncertain Volatility model, for developing model-calibration algorithms using Weighted Monte Carlo / Max Entropy, for the theory behind dispersion trading, and for his more recent works on statistical arbitrage in the US equities market, high-frequency trading and price forecasting. A faculty member at the Courant Institute since “before the internet”, he teaches classes in Stochastic Calculus, Risk management and Portfolio Theory, PDEs in Finance and Quantitative Investment Strategies. He is in the editorial boards of Communications on Pure and Applied Mathematics, the International Journal for Theoretical and Applied Finance and Quantitative Finance and coauthored the textbook “Quantitative Modeling of Derivative Securities”. COURSE DESCRIPTION: A 2-day workshop on quantitative methods for equity investment & trading. The course will cover all investment horizons, from buy-and- hold and low-frequency strategies, to active portfolio management with monthly or daily rebalancing. It will also discuss intraday and high-frequency trading strategies. The underlying asset class is equities, so the investment universe is composed of index etfs, index futures, sector ETFs, single-name stocks, volatility ETFs, volatility futures, index options and equity options. The goal of the workshop is give quantitative traders and risk-managers ideas on how to build strategies which combine all trading frequencies and all of the above securities, in order to build portfolios which can beat a target benchmark, be it cash or index. The requirements for this workshop is some previous knowledge of finance (present value, bond mathematics) and of general theories like CAPM and Markowitz’ portfolio theory. Black Scholes, implied volatility and Greek sensitivities are also assumed to be known. No previous knowledge of VIX or VIX derivatives and ETFs is necessary. This course will involve exercises using Excel and other programming languages such as Python, as well an introduction to statistical packages. This course will involve exercises using Excel and other programming languages such as Python, as well an introduction to statistical packages.


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Passive versus active equity investing. Funds, ETFs, indexation, quantitative stock selection, benchmarking. Factor investing, weighting, smart beta. How to integrate modern portfolio theory in today’s world. The discussion around indexing, fees and hedge-fund underperformance in the last 5 years. Quantitative portfolios with individual stock selection. PCA and random-matrix theory approach to factors. PCA-based factors versus ETFs. Factor-neutral investing. The effect on cross sectional volatility on performance of quant portfolios. Statistical Arbitrage. Performance attribution of statistical arbitrage. Using an API interface and testing intraday stock strategies on streaming market data. Options: pricing and risk-management. Volatility indices and volatility futures. Contango, backwardation. Modeling the evolution of VIX futures. Differences and analogies between volatility futures and other commodity futures. Trading the shape of the term-structure of volatility. High and medium frequency strategies with VIX futures. Trading options. Selling and buying volatility. Vertical and horizontal spreads. Tail risk. Volatility surfaces and their dynamics. Case studies of successful and unsuccessful option trades. Practical examples of equity derivatives trades and their management.

PRICE: $20,000.00 Mexican Pesos + Tax (16%) Duration: 15 hours (2 Sessions) Venue: Westin Santa Fe Hotel

Javier Barros Sierra 540 Col. Lomas de 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 BRANCH NUMBER: 0956 SWIFT: BCMRMXMM BENEFICIARY: RiskMathics, S.C. ACCOUNT NUMBER: 0121 8000 11 0583 0066 2. Credit Card: VISA, MASTERCARD or AMERICAN EXPRESS. IMPORTANT NOTICE: There will be no reimbursements.

Registration E-mail: Teléfonos: +52 (55) 5638 0367 y +52 (55) 5669 4729


Risk and Portfolio Management for Quantitative Investors 2018 Ing  
Risk and Portfolio Management for Quantitative Investors 2018 Ing