Eckhard Platen New Numerical Methods in Financial Engineering: An Applied Introduction This Event Occured in March and April 2008 New York City The seminar presented various quantitative and numerical methods used in modern quantitative finance. It developed quantitative concepts, techniques, and intuition necessary for modern financial modeling, derivative pricing, portfolio optimization, and risk management. This provided the foundations for an understanding of advanced numerical and statistical methods in finance.

The seminar covered: Random number generation Stochastic expansions Scenario simulation Monte Carlo simulation of stochastic differential equations Variance reduction techniques Valuation of derivatives under stochastic volatility Trees and Markov chain approximations Partial differential equation methods

About Eckhard Platen
Professor Eckhard Platen holds a Chair in Quantitative Finance at the University of Technology, Sydney, Australia. Before this appointment he was the founding head of the Centre for Financial Mathematics at the Institute of Advanced Studies at the Australian National University, where he is now adjunct professor. He has a PhD in mathematics from the Technical University in Dresden and obtained his DrSc from the Academy of Sciences in Berlin.

Dr. Platen is co-author of two well-known books on numerical methods for stochastic differential equations and a recent book on his benchmark approach in quantitative finance at Springer Verlag. He has written more than 130 papers on finance and applied mathematics. He serves on the editorial boards of five international journals including Mathematical Finance and Quantitative Finance. His current research interests range from financial market modeling, portfolio optimization, derivative pricing, and dynamic risk analysis to numerical methods in finance. Professor Platen initiated and has helped organize the annual Quantitative Methods in Finance conference series.

About the Global Finance Executive Seminar Series
The New School’s exclusive Global Finance Seminar Series offers the opportunity to meet and learn from internationally renowned leaders of global finance.  Seminars are held throughout the year in financial capitals around the world. Check back for information about future seminars.

Contact us
For more information, email Leslie Wang at wangl@newschool.edu or call 212.229.5974.