Ko\u0142o Naukowe Finans\u00f3w Obliczeniowych zaprasza na konferencj\u0119 Quant Days, kt\u00f3ra odb\u0119dzie si\u0119 w dniach 25-27 listopada 2021 w formie zdalnej na platformie Zoom.<\/p>\n
harmonogram wyk\u0142ad\u00f3w z 25 oraz 26 listopada wraz z abstraktami i linkami Zoom, a tak\u017ce bio prelegent\u00f3w:<\/p>\n
czwartek 25.11<\/p>\n
17:45 – 18:55
\n„Excursions in Mathematics of Quantitative Finance: on robustness and data-driven approaches” (lecture in English)
\nprof. Jan Ob\u0142\u00f3j, University of Oxford
\nhttps:\/\/us02web.zoom.us\/j\/86855324047
\nabstract:
\nIn the talk I will showcase how fascinating mathematics arise from trying to understand and quantify model uncertainty in modern quantitative finance. I will present various recent developments on the crossroads of statistics, optimal transport, stochastic analysis and optimization. I will also mention how machine learning tools are changing both the modelling approaches, and computational solutions, to some classical problems in mathematical finance. While part of the talk will have a broad outlook, I will also specifically focus on explaining how thinking of data series via its empirical measure \u2013 an element of an infinite dimensional space \u2013 rather than a collection of points, can help develop robust methods. I will work with Wasserstein distributionally robust optimization, develop its sensitivity analysis and show applications in finance, statistics and machine learning.<\/p>\n
pi\u0105tek 26.11<\/p>\n
16:15 – 17:25
\n„How banks manage default risk for derivative portfolios” (lecture in English)
\nKarol Partyka, Adam Foster, Jan Malinowski (Goldman Sachs)
\nhttps:\/\/us02web.zoom.us\/j\/82608135868
\nabstract:
\nDuring the presentation Goldman Sachs experts in modelling will explain default risk management of financial derivative portfolios. The presentation will provide insight into derivative pricing, key risk measures, exposure simulation and quantification of capital. The content will be supplemented with practical examples of programmatic application of each of the topics.
\n17:30 – 19:10
\n„Jak zaawansowane narz\u0119dzia analityczne mog\u0105 wspiera\u0107 proces wyceny nieruchomo\u015bci?” + sesja Q&A
\nTomasz Falkowski (EY)
\nhttps:\/\/us02web.zoom.us\/j\/83624537351
\nabstrakt:
\nPodczas wyk\u0142adu zostanie om\u00f3wione podej\u015bcie do budowy algorytmu wyceny nieruchomo\u015bci z wykorzystaniem technik nauczania maszynowego (XGBoost, elastic net, ensemble learning) z uwzgl\u0119dnieniem danych o geolokalizacji (w tym feature engineering). Porozmawiamy te\u017c o metodach do oceny modeli ML, oraz szerzej o interpretowalno\u015bci modeli historycznie kategoryzowanych jako black-box.<\/p>\n
Wi\u0119cej informacji na wydarzeniu: https:\/\/fb.me\/e\/3V7VyALxB<\/p>\n","protected":false},"excerpt":{"rendered":"
Ko\u0142o Naukowe Finans\u00f3w Obliczeniowych zaprasza na konferencj\u0119 Quant Days, kt\u00f3ra odb\u0119dzie si\u0119 w dniach 25-27 listopada 2021 w formie zdalnej na platformie Zoom. harmonogram wyk\u0142ad\u00f3w z 25 oraz 26 listopada …<\/p>\n","protected":false},"author":1,"featured_media":1816,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[30],"tags":[],"class_list":["post-1813","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-uncategorized-pl"],"_links":{"self":[{"href":"https:\/\/knfo.mimuw.edu.pl\/index.php\/wp-json\/wp\/v2\/posts\/1813","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/knfo.mimuw.edu.pl\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/knfo.mimuw.edu.pl\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/knfo.mimuw.edu.pl\/index.php\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/knfo.mimuw.edu.pl\/index.php\/wp-json\/wp\/v2\/comments?post=1813"}],"version-history":[{"count":5,"href":"https:\/\/knfo.mimuw.edu.pl\/index.php\/wp-json\/wp\/v2\/posts\/1813\/revisions"}],"predecessor-version":[{"id":1819,"href":"https:\/\/knfo.mimuw.edu.pl\/index.php\/wp-json\/wp\/v2\/posts\/1813\/revisions\/1819"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/knfo.mimuw.edu.pl\/index.php\/wp-json\/wp\/v2\/media\/1816"}],"wp:attachment":[{"href":"https:\/\/knfo.mimuw.edu.pl\/index.php\/wp-json\/wp\/v2\/media?parent=1813"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/knfo.mimuw.edu.pl\/index.php\/wp-json\/wp\/v2\/categories?post=1813"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/knfo.mimuw.edu.pl\/index.php\/wp-json\/wp\/v2\/tags?post=1813"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}