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                                                     Seminar

             Department of Systems Engineering and Engineering Management
                                  The Chinese University of Hong Kong

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Title

:

Fast Monte Carlo simulation techniques for pricing financial derivatives

　

　

　

Speaker

:

Dr. Mark de Vries

　

　

Executive Director and Head of Quantitative Research in Asia, Nomura

　

　

　

　

　

Date

:

Jan 25th, 2010 (Monday)

　

　

　

Time

:

4:30 p.m. - 5:30 p.m.

　

　

　

Venue

:

T.Y. Wong Hall, 5/F

　

　

Ho Sin-Hang Engineering Building

　

　

CUHK

　

　

 

　

　

　

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Abstract:
　

We will discuss the application of Monte Carlo (MC) simulation techniques for the valuation and risk management of financial derivatives. MC is the preferred numerical solution methodology for the high-dimensional market models currently used by trading desks to manage their positions. We will focus in particular on recent methods to improve the computational performance of MC, namely the adjoint risk method and the use of GPU for massive parallelization of the diffusion.


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Biography:
　

I am currently employed at Nomura International as Executive Director and head of quantitative research in Asia. I have been working in the financial industry for about 15 years, mostly in quantitative roles relating to the valuation and risk management of financial
derivatives. My roles at ABN AMRO, Bear Stearns, Lehman Brothers and Nomura have included among others: global and regional head of quantitative research, trading and structuring of correlation and long dated FX instruments, and head of model validation. I have a PhD in theoretical physics from the University of Utrecht, The Netherlands.


************************* ALL ARE WELCOME ************************

　

　

　

Host

:

Prof. Kwai-Sun, Leung

Tel

:

(852) 2609-8307

Email

:

ksleung@se.cuhk.edu.hk

　

　

　

Enquiries

:

Prof. Nan Chen or Prof. Sean X. Zhou

　

:

Department of Systems Engineering and Engineering Management

　

　

CUHK

Website

:

http://www.se.cuhk.edu.hk/~seg5810

Email

:

seg5810@se.cuhk.edu.hk

　

　

　

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