QUANTITATIVE FINANCE PROGRAM |
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FROM 5th TO 8th January, 2008 |
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JOINTLY CONDUCTED BY |
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Ph: +91-512-259-7376 |
Fax: +91-512-259-7553 |
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LALLY SCHOOL OF MANAGEMENT AND TECHNOLOGY |
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Ph: +1-518-276-6565 |
Fax: +1-518-276-8661 |
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Indian Institute of Technology Kanpur, India Indian Institute of Technology, Kanpur (IIT Kanpur) is one of the premier technical institutions established in 1959 by the Government of India with the collaboration of a consortium of universities from the USA. From the day of its inception, the aim of the institute has been to provide meaningful education, to conduct original research of the highest standard and to provide leadership for the growth of this country. At present IIT Kanpur has a sprawling residential campus of 420 acres with about 1500 undergraduate and 900 postgraduate students, 300 faculty members and more than 1500 supporting staff. The institute has a well designed faculty building, fully equipped classrooms, seminar and conference rooms, computer science building, biological sciences building, residential quarters for the faculty & staff members, hostels for the students, an excellent library, etc. The presence of lush green trees, manicured lawns, wide roads make the campus picturesque and well endowed. IIT Kanpur has always strived to develop itself into an institution of excellence in education and research in consonance with the contemporary and future needs of India. IIT Kanpur has always made special efforts to recruit talented faculty on a worldwide basis and admits students in the different programs from all over the country by a very careful selection process. In addition to offering formal undergraduate, post-graduate and Ph.D. programs, the institute has also been involved in continuing education and research & development in areas of value to both the industry and the society. The vision of the institute is to emerge as an international centre of excellence in all facets of technical and management education by being a melting pot of academia, industry and research, but at the same time being rooted in Indian ethos and societal values. Industrial and Management Engineering (IME) Department The Industrial and Management Engineering (IME) department at IIT Kanpur started in 1974. It has three separate programs, which are M.Tech, MBA and Ph.D. For the M.Tech and Ph.D. programs the main thrust areas of research and teaching are in Operations Research (OR), Operations Management (OM), Flexible Manufacturing Systems (FMS), Total Quality Control (TQC), Enterprise Resource Management (ERP), etc. In 2000 the IME department started the MBA program, which, under the aegis of IIT Kanpur, has fast blossomed into a successful program where the emphasis is always on building the quantitative skills of the students along with their knowledge in other areas of management, like OM, Marketing, Finance, Management Information System (MIS), Human Resource Management (HRM), etc. A variety of other different subjects are available to the IME students under the IIT Kanpur environment, which is unique in itself. IME has a very vibrant faculty, who are deeply dedicated into research and teaching. The vision of the department is to define itself as a leading management institute of the twenty-first century so that it is able to educate the leaders of a technologically driven world for the coming decades. For that the IME department is geared up to impart the best education needed to the students as well as to the industry in such a way that synergy is attained within the requirements of industry, government and the core beliefs of IIT Kanpur. IIT Kanpur Quantitative Finance Program The faculty members of IME Department have been involved in teaching and research in quantitative finance (QF) over the last few years. Various innovative heuristic techniques like GA, ANN, De Novo programming, Artificial Immune systems and Vertebrae Immune systems along with traditional financial areas of VaR, CVaR, ARCH and GARCH have been thoroughly investigated and applied to research problems pertaining to various facets of financial markets. Other areas of research are stock market predicting, market efficiency, risk quantification, portfolio selection and valuation, bankruptcy prediction, IPO returns, banking and infrastructure, cost of capital, project financing, real options, etc. The above list is not exhaustive but is an indicator of the teaching and research topics explored at IIT Kanpur in great detail. IME, IIT Kanpur Faculty for the Quantitative Finance Program
1. Ashok K. Mittal: Prof. Mittal has a B.Tech and M.Tech from IIT Kharagpur after which he obtained his Ph.D. from Case Western Reserve University. Prof. Mittal has over thirty years of academic experience at IIT Kanpur, AIT Bangkok and Northwestern University. Prof. Mittal has published his research in journals such as IIE Transactions, International Journal of Logistics Systems and Management, Operations Research Letters, etc. He has also been the head of the IME department, Dean Planning and Resource Generation IIT Kanpur and Dean Research and Development IIT Kanpur. He is currently President of OR Society of India and Vice President of Quality Circle Forum of India.
2. B. V. Phani: Dr. B.V.Phani holds a Ph.D. in finance with specialization in both MIS and Finance from IIM Calcutta and is currently a faculty of finance at IIT Kanpur. He holds additional responsibility as Coordinator of SIDBI Innovation and Incubation Centre at IIT Kanpur. He also held various positions in the industry and has been a CEO of BCIT Ltd. before coming to academics. He also has consulted for various organizations in the country over the last 10 years. His teaching and research interests are in the areas of Financial Intermediation, Corporate Finance, Valuation & Real Options, Financial Intermediaries, Credit Risk Modeling, etc.
3. Raghu N. Sengupta: Dr. Sengupta completed his B.E from BIT, Mesra and his FPM (Ph.D.) from IIM Calcutta with a specialization in OM and Finance. His research interests are in the areas of Sequential Analysis, Statistical & Mathematical Reliability, Financial Risk Analysis and use of Meta-heuristic techniques for optimization. He research work has been published in journals like Sequential Analysis, Journal of Applied Statistics, European Journal of Operational Research, etc. At IIT Kanpur he teaches the following courses, Probability & Statistics, Financial Risks Analysis, Portfolio Management and Derivatives.
4. Kripa Shanker: Prof. Shanker obtained his B.Sc.Engg. (Mechanical) from BHU, M.Tech. in Mechanical Engineering from IIT Kanpur; and M.S and Ph.D. in OR&IE from Cornell. He joined IIT Kanpur as faculty in the IME department in 1978. He has been visiting Professor at the AIT, Bangkok from 1982-84, and 1998-2000 and has taught at Cornell also. He has supervised over 125 Masters and 8 Doctoral theses. Prof. Shanker has published several papers in international journals and conference proceedings in the fields of production/operations management, quantitative modeling, manufacturing systems, etc. He has been associated with more than a dozen sponsored projects. Prof. Shanker has received several scholastic awards and prizes for his studentship and also for his professional accomplishments, and has been the recipient of Gold Medal for standing 1st in Mechanical Engineering at BHU. He has also been recipient of National Merit Scholarship and Government of India Scholarship for Studies Abroad. He has been awarded ISTE National Award for Outstanding Academic, 2001. Presently he is the Deputy Director of IIT Kanpur since 2002.
5. R.R.K.Sharma: Prof. Sharma is an engineering graduate and has worked with Tata Motors. He obtained his Ph.D. from IIM Ahmedabad after which he joined as a faculty member in the IME department at IIT Kanpur. He has taught over sixteen different courses in management to both M.Tech. and M.B.A. students. Prof. Sharma has written over 35 papers in international/national journals and one book on MRP systems. He has won several international awards, notable among them are the Archimedes Award, Life Time Achievement Award and the 2006 Man of the Year award given by the American Biographical Institute, Inc. Recently he was appointed to the Research Council of International Biographical Centre.
6. Anoop Singh: Dr. Anoop Singh holds bachelor's and master's degrees in engineering. He is a Ph.D. from Indira Gandhi Institute of Development Research (IGIDR), Mumbai. His teaching and research interests includes Infrastructure Regulation, Policy & Finance, Corporate Finance, Investment Valuation, Cost of Capital, Real Options, Project Financing, Power Market Reform & Regulation, Managerial Economics and Energy Economics. He has executed a number of consulting and research projects including those for the World Bank and the UNCTAD. He is also a guest editor to International Journal of Energy Sector Management (special issue related to India and China), Emerald. He was also a member of the Working Group on Power for the 11th Five-Year Plan (2007-12).
Rensselaer Polytechnic Institute, USA Rensselaer Polytechnic Institute, founded in 1824 in Troy, New York (USA), is the nation's oldest technological university. The university offers bachelors, masters, and doctoral degrees in engineering, the sciences, information technology, architecture, management, and the humanities & social sciences. Institute programs serve undergraduates, graduate students, and working professionals around the world. Rensselaer faculty members are known for pre-eminence in research conducted in a wide range of fields, with particular emphasis in biotechnology, nanotechnology, information technology, and the media arts and technology. The Institute is well known for its success in the transfer of technology from the laboratory to the marketplace so that new discoveries and inventions benefit human life, protect the environment, and strengthen economic development.
Lally School of Management and Technology
The Lally School of Management and Technology was founded in 1963 as an integral part of Rensselaer Polytechnic Institute. Building on a heritage of more than 175 years of leadership in science and engineering, Rensselaer's Lally School develops technologically-savvy, entrepreneurial business leaders who can initiate and guide innovation for commercial success. All programs enable the next generation of business leaders to combine their passion for technology with the management ability to succeed in today's challenging global marketplace. The School offers BS, MS, and MBA programs consistent with the School's mission to develop technically sophisticated business leaders who are prepared to guide their organizations in the integration of technology for new products, new businesses, and new systems. The School's thriving doctoral program is built around rigor and relevance in intellectual contributions and business practice. The cutting-edge research and programs offered by the Lally School faculty, as well as the diversity in our student body increasingly reflect Rensselaer's emergence as a world-class research university with global reach and global impact.
Lally School Faculty for the Quantitative Finance Program
1. Aparna Gupta (Assistant Professor of Quantitative Finance): Professor Gupta teaches managerial finance, investments, risk management and financial simulations at the Lally School of Management and Technology. Professor Gupta's research interests are in financial decision support, risk management, and financial engineering. Her research work has been published in reputed journals, such as, Journal of Computational Finance, Insurance: Mathematics and Economics, Annals of Operations Research, Computational Optimization and Applications, etc. Professor Gupta has an M.Sc. (Integrated) in Mathematics from IIT Kanpur, and she received her Ph.D. from Stanford University. Professor Gupta serves as a reviewer for several business, finance and management science journals, and is the Vice-Chair of the Financial Services section of the Institute for Operations Research and Management Science (INFORMS). Professor Gupta is also a member of AFA, FMA, IAFE, INFORMS, and IEEE.
2. Iftekhar Hasan (Cary L. Wellington Professor, Director of the International Center for Financial Research): Professor Hasan teaches corporate finance, financial institutions and markets, and empirical issues in research. He has held visiting faculty positions in several European and American universities including the University of Rome, Robert Schuman University at Strasbourg, EPFL at Lausanne, Carlos III at Madrid, and the Stern School of Business. He has been a consultant for the World Bank, United Nations, Italian Deposit Insurance Corporation and a number of other foreign central banks and regulatory authorities. Professor Hasan focuses his research on international banking issues, the economics of stock exchanges, privatizations in emerging markets, and new ventures. He has published in reputed journals such as the Journal of Financial Economics, Journal of Business, Journal of Monetary Economics, Journal of International Money and Finance, Journal of Money Credit and Banking, Journal of Banking and Finance, etc. Professor Hasan is a co-author of several books and edited volumes including the widely-cited book Quantitative Methods for Finance and Investment. Professor Hasan serves on the editorial boards of a number of journals such as the Journal of Money Credit and Banking, the Journal of Banking and Finance, and the Journal of International Money and Finance and serves as the Editor of the Journal of Financial Stability.
3. John Teall, Visiting Professor of Finance: John Teall is currently Visiting Professor of Finance at RPI and Adjunct Professor of Finance at New York University. He has previously served on the faculties of Pace University, Fordham University, Dublin City University, etc. He is the author of the book Financial Market Analytics published by the Quorum Press, Governance and the Market for Corporate Control published by Routledge Press and coauthor of Quantitative Methods for Finance and Investments published by Blackwell Publishing. Dr. Teall obtained his Ph.D. from New York University and is a former member of the American Stock Exchange. Professor Teall's primary research activities have been concentrated in the area of corporate control, though his interests in applications of quantitative technique have led to other research topics as well.
Objectives and Outline of the Quantitative Finance Program The workshop in ²Quantitative Finance² explores the different introductory aspects of quantitative and mathematical finance. The program¢s curriculum aims to build up from the fundamentals to the applications aspect, covering topics such (i) financial markets; (i) CAPM and APT models; (ii) Derivative Pricing; (iii) Mutual Funds; (iv) Investment performance measures and Valuation; (v) Risk Management, etc. Emphasis would be laid on the different quantitative techniques like (i) Statistics and estimation; (ii) Optimization; (ii) Time series analysis; (iv) Stochastic Calculus, etc., which would ensure a very thorough and an in depth understanding of the different theories and aspects of QF. Through exciting class lectures; innovative and up to date course materials and hands on tutorials, participants of this program will gain the knowledge and be conversant with the different techniques in mathematical finance under the able guidance of reputed faculty members from IIT Kanpur, India and RPI, USA. People in academia and industry or anyone keenly interested in gaining knowledge about quantitative finance, investment and its application are encouraged to attend the program. With an excellent blend of theory as well as practical examples and a very comprehensive and exhaustive course curriculum schedule, this program would undoubtedly be a very good learning experience for the participants. Moreover it would be a good platform for the participants to build up the requisite knowledge in this field, in future. The city of Kanpur is well connected via rail and road with the rest of India and it falls in the main route of the railways linking New Delhi and Kolkata. Trains like Swarn Shatabdi, Howrah Rajdhani, Seldah Rajdhani, Kalka Mail, etc., are some of the important trains which connect the metropolitan cities of Kolkata, New Delhi with Kanpur. The city of Lucknow is about 80 kms from Kanpur and apart from trains, private taxis and luxury buses are other good means of transport between Lucknow and Kanpur. Other cities like Hyderabad, Mumbai, Bangalore and Chennai are also well connected with Kanpur through both air as well as railways. The IIT Kanpur campus is about 18 kms from the railway station along the Grand Truck route (NH-91) and about 30 kms from Kanpur airport. Taxi fares are approximately Rs 200/- and Rs. 400/-from the railway station and the airport respectively to the IIT Kanpur campus. Participants would be required to report to the visitor¢s hostel, where they would be put up, once they arrive inside the campus. The phone number for the visitor¢s hostel is +91-512-259-7209.
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Course Content • Introduction to Financial Markets • Quantitative Methods-I • Portfolio Basics • Derivative Basics • Equity market • Quantitative Methods-II • Derivative Pricing • Simulation • Quantitative Methods-III • Mutual Funds • Fixed Income Markets • Risk Management-I • Risk Management-II • Investment Analysis General Performance and its Measures |