The CFM – Imperial Institute of Quantitative Finance is pleased to announce a series of Distinguished Lectures by Olivier Gueant (Université Paris 1 Panthéon-Sorbonne) on Mean Field Particle Samplers in Statistical Learning and Rare Event Analysis.
The goal of the course is to present a generalization of the seminal model of Almgren and Chriss and to show how it can be used in practice in various fields: optimal execution, option pricing and hedging, the pricing of block trades, asset management, etc. Initially built to tackle optimal execution issues, the Almgren-Chriss model can be used (i) in the cash equity area for designing the trading curve of IS orders, but also of Target Close orders and POV orders, and (ii) outside of the cash equity area for hedging and pricing options and for solving optimal portfolio issues. The course will rely on stochastic calculus, stochastic and deterministic optimal control, and will also use ideas coming from Bayesian learning. Part of the course will be based on the book “The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making”.
Lecture 1 – THE ALMGREN-CHRISS MODEL REVISITED
(Tuesday October 25, 18:00-20:00, Lecture Theatre 340, Huxley Building)
In this first course, we will present a generalization of the Almgren-Chriss model, and show how the optimal trading curve of an IS order can be characterized by a simple Hamiltonian system. We will also discuss the limitations of the model, the numerical methods that can be used to approximate the trading curves, and how practitioners use this model in practice. Finally, we shall discuss the use of the Almgren-Chriss framework for executing Target Close and POV orders in an optimal way.
Two further lectures will be held on 26 October & 2 November 2016. Further information can be found here.
Due to limited seats, registration is compulsory. Click here to REGISTER.