X CCMF – Lecture topics2022-05-09T18:20:16+02:00


  • Rafał Szepietowski
    Title: Climate Risk Modelling
    Short abstract: Climate change is one of the great challenges of our time and is already spearheading transformation within Banking and Finance. In this talk, we will discuss what is Climate Risk and how the environmental changes and the policy response to them impact business. We will also present how climate scenario analysis is used in risk management and the unique challenges it poses to risk modelling and data analysis. We will wrap up with an overview of how to include sustainable values in investing. The speech will be conducted in English.
  • Krzysztof Turek
    Title: LIBOR Market Model
    Short abstract: LIBOR Market Model is a popular multifactor framework for Interest Rate modelling, which is very intuitive for practitioners. This apparent simplicity comes at cost. Various approaches were developed to mitigate this issues and adapt the model to changing times.
  • Marcin Jaskowski
    Title: Big data or Dumb Data
    Short abstract: The “Big Data” is a fashionable concept now. The exponential growth in our ability to generate and collect data leads to a lot of optimism. Some authors/journals, like Wired magazine, even claimed that the sheer volume of data will obviate the need for any theory or scientific methodology. Based on some simple examples from statistics, I will argue that this optimistic view is manifestly mistaken. “Big Data” is an opportunity but it comes with many non-trivial challenges. These challenges are not only of the “computational” type.
  • Tadeusz Czernik
    Title: „Variance reduction methods and multilevel Monte Carlo technique”
    Short abstract: During this presentation, we will provide a short introduction to Monte Carlo method and an overview of variance reduction methods. Variance reduction techniques focus attention on statistical error only, and totally neglects bias. Unfortunately, in many pricing problems where numerical solutions of the stochastic differential equations are employed, bias should also be taken into account. Multilevel MC technique, a relatively new algorithm, allows for optimal simulation planning where Mean Squared Error (MSE = variance + bias2) is the measure of error.
  • Dmytro Zubenko
  • Title: „Data Collection planning or a better way to plan Data visualization for business”
  • Short abstract: You know how to collect the data, interpret them and consider the most proper scenarios? Do you also know how to show it to the business to proof your analysis? During our speech with UBS expert, we’ll cover key aspects of requirements evaluation flow and key steps to build high-quality reports. We will discuss the best ways of data visualization asking a crucial question – “What business really expects?”. And we’re not going to focus only on identifying a true metrics that business stakeholders take as important ones and which helps them to take the most difficult decisions. Here it’s not only important which data we really need to address expected quality of our work, but also how we’re going to show the results of our analysis to other people to help them understood it better and make proper business decisions based on that. During the speech, we’ll also get familiarize ourselves with data collection planning cycle and we’ll understand better how to formulate questions we want our data to ask with. Sounds interesting? Join the presentation!
    The speech will be conducted in English.


  • Piotr Mikler
    Title: Multidimensional modeling with domes – an example of distribution
    Short abstract: How to faithfully model complex relationships between market variables? When there are many random factors at stake and linear correlation is not enough – it is a sign that it is high time for domes. During the lecture, we will learn about the most popular approach to this topic recently, using the example of asset spread option pricing.
  • dr hab. Paweł Przybyłowicz
    How to efficiently price options in jump diffusion models?
    Short abstract: The paper presents basic information on stochastic differential equations (SRR) with jumps. We will compare two ways to multi-threaded simulate the SRR trajectory when pricing options:
    1) Python 'multiprocessing’ module,
    2) graphics cards (GPUs).
  • Damian Jelito
  • Title: Non-standard risk-based stopping problems
    Short abstract: The classic task facing the theory of optimal stopping is to identify the right moment to complete a certain investment or exercise an American-type option. In the course of the talk, we will discuss some non-standard stopping problems that allow you to consider the balance between expected return and investment risk. We will indicate the optimal stop moments and discuss the properties of the value function of the stopping problem. We will also pay attention to the challenges related to numerically solving this type of problems.


  • Dawid Bąbol
  • Title: A simple strategy, a sophisticated instrument – behind the scenes of an ETF
    Short abstract: 1. ETF – history and definitions
    2. The order sheet, which is what the investor sees
    3. Behind the scenes, which is what the investor will not notice
    4. What to look for when analyzing ETFs?