Workshop: introduction to contemporary financial mathematics, machine learning, and blockchain technology by top-ranked experts.
SUMMER SCHOOL OF VEGA INSTITUTE FOUNDATION
About The school
through June 15 – for participants from Moscow
through June 22 – for participants from other cities
July 5-9, 2022 Participants arrive on July 4 and leave on July 10
Participation is free of charge
The participants' travel to the school's location is arranged and covered by the organizers
University students in their 3rd and 4th year of the Bachelor's program with majors in mathematics, IT, and related fields
University students in their 3rd and 4th year of the Bachelor's program in economics with advanced mathematical foundation (for example, you know the difference between Riemann, Lebesque, and Ito integrals)
Students in their 2nd year of the Specialist program of the Faculty of Mechanics and Mathematics of the Moscow State University
Kochubey Center, town of Pushkin (St. Petersburg)
*QUANT (Quantitative researcher)
the name given to mathematical finance professionals who work in investment business and finance industry.
You will learn about fundamental ideas underlying the implementation of such financial models and the principal algorithms for evaluation of derivatives, and will try your hand at C++ language programming.
List of topics:
Price = replication. Backward induction.
C++ elements: object oriented programming, smart pointers, RAII ("Resource acquisition is initialization "), PIMPL ("Pointer to implementation").
Development of financial model for assessment of derivatives. Rollback operator.
The processes of state.
Calculation of the estimation algorithms for stock and interest rate options using C++.
The primary focus will be on decentralized finance (DeFi), operational models of landing platforms, stablecoins, decentralized exchanges. We will review the Liquidity Provider problem in Automated Market Making (AMM) with concentrated liquidity. The course's practical component involves dispatch of transactions and work with smart contracts in the Ethereum testing environment.