Attend Optimum Decision Making and Risk Analysis Applied to Finance + Optimization under Uncertainty [aka Stochastic Programming(SP)] workshop: Understanding SP will enhance your expertise in financial analytics in general and financial decision making in particular.
Participants of the workshop receive Six (6) months’ licence for the bundled product [ AMPLDev SP + Cplex + FortSP ] to practice the models and solutions explained at the worshop and become familiar with the software usage.
This workshop in London costs to £1950 ; in India it is US$475, so why not travel to Chennai, attend the workshop and have a short vacation!!
Benefits of attending:-
(i) Free AMPLDev + CPLEX Licence for 6 months
(ii) Fast track start to your Masters or Research project in Optimzation and Risk Analytics
(iii) Gain 35 CPD hours from GARP
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- Introduction and Overview
- Introduction to LP Terminology, model representation and mathematical models
- An Introduction to Modelling via AMPLDev
Participants will learn how to use various functionalities of AMPL Studio
- An Introduction to AMPL Syntax
A formal presentation of basic AMPL modelling constructs
- Efﬁcient/Structured Modelling
A process to create an efﬁcient model starting from the problem that is presented. [Example taken from portfolio construction.]
- Goal programming / Elastic Constraints
Presentation of an introductory ﬁnancial model that includes goal programming
- Using EXCEL as data source for AMPL
How to connect an AMPL model to Excel
- Financial Models workshop
Participants investigate, formulate and solve an introductory ﬁnancial model using AMPL
- Hands-on models partial description: bond stripping, portfolio construction and ALM
Description of the models to be used for the hands on session and hints for the implementation
- Hands-On Session
The attendees should form groups and implement one of the models presented in the previous session
- Mixed Integer Programming Problems
Integer problems involving binary variables, semi-continuous variables and special ordered set variables are introduced. A few discrete programming problems are explained.
- Case Study: IP with buying threshold
An IP model illustrated for portfolios with cardinality constraints
- An Introduction to AMPL Scripting Functionalities
Introduction to AMPL’s powerful scripting functionalities
- Continuation of Hands-On Session
The groups should continue the implementation of the chosen models and prepare brief presentations of their results
- Introducing AMPL API
How to embed optimisation models in applications
- Part I: Heuristic for solving Integer Programs using AMPL Script
Different kind of heuristics to speed up solution of problems are proposed here and prototyped using AMPL scripting functionalities
- Part II: AMPL API Implementation of AMPL script procedures
Examples of integration of models and scripts into applications
- Attendees' presentations and feedback
The groups have ten minutes each to present the model they implemented and their results.
- Stochastic Programming and Scenario Generation: A modelling perspective
The role of scenario generation in SP is illustrated
- Scenario Generation: Overview and Desirable Properties
- Hands-on: formulation of SP models in AMPL and SAMPL
An extended statement of the earlier ALM model
Creation of a prototype ALM application by connecting market data, formulated model, scenario generation and results presentation
- Investigation and Simulation: Two-stage SP, ICCP and Robust Optimisation
- Formulation of SP models in SAMPL
Various SP models will be described and attendees will be helped in their implementation in SAMPL
- Stochastic Programming: optimum decision making under uncertainty-an overview
A theoretical background to decision making under uncertainty will be given, with a particular focus on stochastic programming
- Stochastic Programming and Risk Measures
Multiple Formulations of Multiple Asset and Liability Management (ALM) Problems as Alternative Stochastic Programming Models 13
- Hands-on: Expected Value, Wait and See and Deterministic Equivalent - an ALM model
Various models are described and attendees are helped with their implementation in AMPL
- Formulation in AMPL
AMPL extensions to represent Stochastic Programming and Robust Optimisation problems, and problems with (Integrated) Chance Constraints
- SAMPL Example: an ALM model
An ALM model will be reﬁned by the introduction of uncertainty and expressed using AAMPL syntax
- Solution Methods for Stochastic Programming
- Introduction to Robust Optimisation Models (Family)
- Introduction and Overview
- Formulation of Quadratic Programming problems and Mean Variance Efﬁcient Frontier
- Hands-on: Representation of Discrete Constraints in Portfolio Planning
- Hands-on: Computation of Mean Variance Efﬁcient Frontier
- Mean Variance and CVAR: a multi-objective model
- Portfolio Construction using Stochastic Dominance and Reference Distribution
- SP Models for Portfolio Construction with Trading Constraints
- Stochastic Programming Models for ALM
Benefits of sponsorship
This is a great opportunity to strategically brand your organization. As a sponsor, you will receive a tremendous amount of visibility and numerous other benefits at the conference.
Platinum Sponsor (Limited to 2)
Gold Sponsor (Limited to 3)
Knowledge Partner (Limited to 1)
Silver Sponsor (Limited to 4)
Bronze Sponsor (Limited to 4)
Conference Bag Sponsor (Limited to 1)
Track Sponsor (Limited to 2)
Standard Price : Rs 30,000
You can also choose to strategically brand your organisation as per the below combo offer.
Full day attendance to the event
Logo on brochure
Speaking Slot – 30 minute presentation slot or panel discussion (optional)
Name tag branding
"Was an excellent event!"
"We are truly committed to UNICOM events and have seen a great return from the events we have been involved with this year. The real value for us here is having the opportunity to present and talk to the delegates during the breaks."
"Well done – an excellent event! We were very happy with the number and quality of delegates"
"Good format! Good focus and quality of delegates"
This workshop series is specially designed to provide insight into the discipline of optimisation for a wide range of individuals such as OR professionals, ﬁnancial quantitative analysts, risk analysts, software developers, consultants and academics.
OR professionals: This workshop series will help you to get up-to-date on the latest methodologies and receive exposure to the wide range of technologies and software now available in the ﬁeld of optimisation.
Quantitative analysts/Risk analysts: This workshop series gives you an overview of the wide range of technologies available, allowing you to deﬁne and conceptualise your business problems in terms of an optimisation problem.
Software developers/IT: This workshop series provides instructions on how to embed optimisation models into software applications. It will also give you all the necessary information and techniques in order to understand optimisation modelling and data modelling integration.
Yes, all conference attendees must register in advance to attend the event.
Yes you can, please contact firstname.lastname@example.org with what you would like to be changed and we can assist.
Please fill the below details of your colleague and send us an email block the seats.
"Confirm your CANCELLATION in writing up to 15 working days before the event and receive a refund less a 10% service charge. Regrettably, no refunds can be made for cancellations received less than 15 working days prior to the event.
However, SUBSTITUTIONS are welcome at any time and is done at no extra cost. The organisers reserve the right to amend the programme if necessary.
INDEMNITY: Should for any reason outside the control of UNICOM Training & Seminars (P) ltd (hereafter called UNICOM), the venue or the speakers change, or the event be cancelled due to industrial action, adverse weather conditions, or an act of terrorism, UNICOM will endeavour to reschedule, but the client hereby indemnifies and holds UNICOM harmless from and against any and all costs, damages and expenses, including attorneys fees, which are incurred by the client. The construction validity and performance of this Agreement shall be governed by all aspects by the laws of India to the exclusive jurisdiction of whose court the Parties hereby agree to submit."