Highlighted R in Finance 2016 May 20-21, Chicago. 2 days, limited space, 50 speakers, including: Pat Burns on “Some Linguistics of Quantitative Finance” Abstract: How can the abstract be written for a talk with an ambiguous and possibly misleading title without itself being vague and misleading? I don’t know, but perhaps: A quest to discover how markets work … Continue reading →

Highlighted EARL As in “Effective Applications of the R Language”. 2014 September 15-17, London. Somehow they gave higher billing to Ben Goldacre than to Pat Burns.  If Obama were coming, they’d probably bill him above me too — and what does he know about R?  In spite of that little glitch, I’m sure it will … Continue reading →

Highlighted Value at Risk and Expected Shortfall A two-day course exploring Value at Risk and Expected Shortfall, and their role in risk management. 2013 June 25 & 26, London. Lead by Patrick Burns. Details at the CFP Events site. New Events Thalesians — San Francisco 2013 June 5. Jesse Davis on “Risk Model Imposed Manager-to-Manager … Continue reading →

Highlighted LondonR is soon — see the “Previously Announced” section. New Events Thirsty Quants 2013 March 21, London. Some thirsty quants will be going for a drink on the 21st of March as of 18.30 at the Lamb Tavern in Leadenhall Market. http://www.lambtavernleadenhall.com/ Rethinking the Economics of Pensions 2013 March 21 & 22 in London. … Continue reading →

Featured R for Finance Workshop 2013 March 5-6 in London. The target audience are professionals and academics, who wish to learn the basics of the statistical software R and its use in Finance. The workshop is led by Ron Hochreiter, Pat Burns and Michael Sun. Details are on the Unicom website.  Please reference Burns Statistics … Continue reading →

New Events  Thalesians (London) 2012 November 21: Isabel Ehrlich on “Basket Options with Smile”. Abstract: Due to the distinct lack of models for basket options that remain consistent with the market smile we look at approximations that are able to accurately replicate the volatility smile. Notably we turn to the use of an Edgeworth series … Continue reading →

Featured I’ll be leading two courses in the near future: Value-at-Risk versus Expected Shortfall 2012 October 30-31, London. 30th: “Addressing the critical challenges and issues raised by the Basel proposal to replace VaR with Expected Shortfall” 31st: “Variability in Value-at-Risk and Expected Shortfall” led by Patrick Burns Details at CFP Events. Finance with R Workshop … Continue reading →

Featured I’ll be leading two courses in the near future: Value-at-Risk versus Expected Shortfall 2012 October 30-31, London. 30th: “Addressing the critical challenges and issues raised by the Basel proposal to replace VaR with Expected Shortfall” 31st: “Variability in Value-at-Risk and Expected Shortfall” led by Patrick Burns Details at CFP Events. Finance with R Workshop … Continue reading →