Explore the transformation of financial markets from human-driven trading to a complex electronic landscape dominated by algorithms and quantitative analysis. This program covers key changes, offering a spectrum of modeling approaches from basic equilibrium models to advanced reduced-form models, incorporating analytical and numerical tools.

For more info, dates and fees, see this brochure.

For whom?
Quantitative analysts, traders, financial engineers, risk managers, financial regulators, financial analysts and academic researchers.

Required prior knowledge: Bachelor in Mathematics, statistics, econometrics, actuarial sciences or computational science.

Lecturer
Johannes Muhle-Karbe is the of Head of the Mathematical Finance Section in the Department of Mathematics at Imperial College London, and the Director of the CFM-Imperial Institute of Quantitative Finance. He held faculty positions at Carnegie Mellon University, University of Michigan, and ETH Zürich.

Widely recognized for his influential publications in leading finance journals, Johannes Muhle-Karbe has been a guiding force in advancing the field of market microstructure theory. With an international reputation for delivering keynote addresses at esteemed conferences worldwide, Muhle-Karbe bridges theory and practice on a global scale.

After this programme:

• you have learned about the setup of today’s electronic markets.
• you will understand basic economic tradeoffs such as adverse selection and inventory management, and their implications for price formation, liquidity provision, and trading on proprietary information.
• you have learned how to implement and leverage these ideas using quantitative “reduced form models” for market making and optimal trading.
• you see how the models can be calibrated to real trading data.

Practical information

Tuition: € 1.995
Duration:  4 lectures
Dates 2024:
•   Part 1: Monday 25 & Tuesday 26 March, 10:00 – 15:00
•   Part 2: Tuesday 28 May, 10:00 – 15:00 & Wednesday 29 May, 9:00 – 12:00
Lunch is included on the first 3 days.
Teaching method: On location
Location: Science Park campus, Amsterdam
Certificate: you will receive a certificate of the University of Amsterdam
Maximum number of participants: 25

This course will be part of an annual series of courses that feature a different topic each year.