Harvard Statistics Summer Retreat
June 11-13, 2007
Modern Perspectives on Quantitative Financial Modeling
The Harvard Statistics Department is pleased to announce its second Summer Retreat: Modern Perspectives on Quantitative Financial Modeling.
This exceptional three-day program brings together leading Wall Street practitioners and members of the Harvard community (including from the Statistics faculty and the Harvard Management Company) to address the theory and practice of quantitative modeling in today's financial markets.
Course Overview: Participants will review how quantitative financial innovation is changing market conditions, thereby providing both challenges and opportunities to investors across asset classes. They will discuss recent research by Harvard faculty on statistical models in finance, including fast techniques for portfolio risk management and copula models. Market participants will assess the actual and potential transition of quantitative models from theory to practice. The retreat will include a panel discussion in which leading practitioners will evaluate current quantitative challenges they face in today's markets and suggest where future research and opportunities in quantitative finance may lie.
Target Audience: The summer retreat will be of benefit to traders, portfolio managers, marketers and risk managers who wish to improve their theoretical and practical understanding of quantitative models, quantitative researchers in both industry and academia who are interested in the current interplay between theory and practice, and finance professionals looking to improve their knowledge of current market challenges.
Course Topics: Monte Carlo Simulation, Risk Management, Extreme Value Theory, Derivatives Trading, Bayesian Inference, High-Dimensional Volatility Estimation, and Copula Models in Finance.