Organized by: Perm State National Research University,
Department of Information Systems and Mathematical Methods


Supported by:










    Course Streams

  • Optimal control (led by Prof. Dr. Vladimir Maksimov)
  • Continuous models (led by Dr. Bela Myznikova)
  • Prognoz Platform (led by Andrei Boyarshinov)
  • Risk management and financial markets modeling (led by Dr. Sergey Ivliev & Risk Lab)

Perm State National Research University
invites you to join a series
of online webinars in:

November 2013


Time

Topic

18 November

09.45-11.20 Optimal Control I Pontryagin's Maximum Principle and Application to the Problem of Integral Consumption Maximization
11.30-13.05 Optimal Control ISufficient Conditions of Optimality
14.05-15.40 Risk management and financial markets modeling Introduction to financial risk management. Decision making under uncertainty. Risk measurement. Coherent risk measures.
15.50-17.25 Risk management and financial markets modelingIntroduction to credit risk measurement. Counterparty credit risk models. Model validation. Reduced form models. Basel Committee capital requirements: IRB approach

19 November

09.45-11.20 Optimal Control IOptimal Control of a Nonlinear Macroeconomic Model
11.30-13.05 Optimal Control IIVariational Problems with General Linear Conditions
14.05-15.40 Risk management and financial markets modelingIntroduction to financial markets. Market risk measurement. Stress-testing. Basel Committee capital requirements: market risk management framework.
15.50-17.25 Risk management and financial markets modeling Operational risk measurement. Basel Committee capital requirements: Loss Distribution Approach (LDA).

20 November

09.45-11.20 Risk management and financial markets modeling. Financial markets modeling in R workshop.
11.30-13.05 Risk management and financial markets modeling. Financial markets modeling in R workshop.
14.05-15.40 Risk management and financial markets modeling. Introduction to multifractal processes.
15.50-17.25 Risk management and financial markets modeling. Introduction to multifractal processes.

21 November

09.45-11.20 Risk management and financial markets modeling. Financial bubble diagnostics based on log-periodic power law model.
11.30-13.05 Risk management and financial markets modeling. Shocks (jumps) in asset prices.
14.05-15.40 Risk management and financial markets modeling. Empirical market microstructure. High frequency trading activity modeling. Zero intelligent agent based models.
15.50-17.25 Risk management and financial markets modeling. Liquidity and optimal execution.

22 November

09.45-11.20 Optimal Control II Control Problems in Classic, Impulsive, and Mixed Formulation
11.30-13.05 Optimal Control II An Optimal Control Problem with the Functional of Total Cost
14.05-15.40 Prognoz Platform Workshop
15.50-17.25 Prognoz Platform Workshop

25 November

09.45-11.20 Risk management and financial markets modeling. Introduction to multifractal processes.
11.30-13.05 Risk management and financial markets modeling. Introduction to multifractal processes.
14.05-15.40 will be announced later
15.50-17.25 will be announced later

26 November (not for the online broadcast)

11.00-12.00 Open Lecture by John Dill, Managing Director, Bermuda Monetary Authority
12.10-15.00 Cyber Day

27 November

09.45-13.05 Continuous models (will be announced later)

28 November

11.30-16.30 FinMod-2013 Students Conference on Financial Modeling

29 November

09.45-11.20 Optimal Control I Written Examination. Discussion of the Results
11.30-13.05 Optimal Control II Written Examination. Discussion of the Results
14.05-15.40 Risk management and financial markets modeling. Final Examination.
  • Learn best practice modeling approaches from leading researchers and industry professionals

  • Receive a certificate for participation

  • Get prepared for Professional Risk Manager (PRM) exam

  • The participation is free






  • Prof. Dr. Vladimir Maksimov


    Professor in the Department of Information Systems and Mathematical Methods in Economics (PSU), Head of the International Laboratory of Constructive Methods of Dynamic Economic Models Research, Member of the editorial board for the magazines «Russian Mathematics (Iz. VUZ)» and «Functional Differential Equations».




    Dr. Sergey Ivliev


    Assistant Professor in the Department of Information Systems and Mathematical Methods (PSU), Head of Prognoz Risk Lab, Member of Steering Committee of PRMIA Russian Chapter.







    Anrei Boyarshinov


    Leading Specialist of the Training Center (Prognoz)


    Dr. Bela Myznikova


    Deputy Head of the Information Systems and Mathematical Methods Department (PSU)

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