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Nassim and Paul Wilmott are offering their “infamous” two-day seminar “Quantitative Risk Management: In Theory and In Practice” on March 12th and 13th, in London. Here are the points that will be addressed:
- What is risk?
- What are fat tails?
- The idea of fragility and how to measure it
- Size and scaling
- The law of large numbers in the real world
- What is complexity?
- How to price options using different distributions
- How to simulate fat tails
- How to measure model risk
- How not to measure model risk
- Sometimes it’s wrong to use probabilities
- The concept of delta-alpha
- The commonest quant mistakes
- The Greeks that give you false hope
- Why calibration does not work
- The dangers of correlation
- The importance of nonlinearity
- Volatility nonsense
- What commonsense tells you about volatility, and turning that into a model
- Why simple models are often the best and why too much math can be dangerous
- A summary of what to do and where the real world is different
To register, please visit the Wilmott Forums.