Alberto Suarez

 

 


 

Professor , Computer Science Department, Universidad Autónoma de Madrid - After studying Chemistry at the Universidad Autónoma de Madrid, he received a Ph.D. degree in Physical Chemistry from the Massachusetts Institute of Technology (MIT) in Cambridge and held postdoctoral positions at Stanford University, at the Université Libre de Bruxelles and at the Katholieke Universiteit Leuven. Other appointments at the International Computer Science Institute at the University of California, Berkeley, and the MIT followed. He has worked on relaxation theory in condensed media, stochastic and thermodynamic theories of nonequilibrium systems, lattice-gas automata, and automatic induction from data. His current research interests include machine learning, quantitative and computational finance, time series analysis and information processing in the presence of noise.




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Jan 20th 2014

In this course you will simulate prices of financial assets, use the Black-Scholes model to price European or Asian options, compute the Value-at-Risk of a bank and model financial time series with GARCH processes. The approach is hands-on with a strong emphasis on practical simulations that you will program, run and explore in your own computer.

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