Have you ever had to quickly analyse a bunch of financial time series on a spreadsheet? Equity or fx returns, or bond yields, or CDS or interest rate swap spreads, or various combinations of those? Did you do it in a "fairly simple way"? Having attended our workshop, you will be sure you are doing it the correct way . Our concise and practical course will help you to see the big (though detailed) picture of the subject and to learn practical skills and tricks to get better at your game.
We will warm up with intuitive exercises involving basic probabilistic modelling and statistical inference. This will lead us to a framework of joint dynamic modelling of fairly generic families of time series. We will apply it to financial time series associated with most asset classes and derivatives. Having learnt how to identify and estimate the model, we will unleash the fury of Monte Carlos to tackle dynamic investment strategy analysis or Expected Shortfall/VAR or credit exposure.
Aimed at entry to mid-level quants, risk and portfolio managers, the course is a mixture of short segments interleaved with examples and exercises. Active participation and questioning are welcome. Most of the practical tasks will be entirely spreadsheet/formula based; VBA usage will be minimal. However, prior exposure to financial markets, including derivatives, and understanding of stochastic methods is essential. Your first probability or financial markets course it probably should not be.
You can learn from this course how to jointly model equities, fx, swaps, as well as their volatility surfaces. It answers a question: how to correlate factors that are themselves autocorrelated?
Having attended Andrey’s workshop at quantitative recipes, I must highlight that I am extremely pleased with the quality of the content and the method of presentation. A must attended for any one interested in quant finance or looking to widen their current knowledge of quant finance.
Andrey is an excellent speaker and subject matter expert in the area of Quant finance. I highly recommend attending the workshops at quantitive recipes.
I would highly recommend the course, Multivariate Dynamics of Financial Markets. The content of the course was excellent and the presentation was first class. This course is essential for any quant or investment professional who uses time series analysis.