Implementing Fundamental Quantitative Techniques

0.0 Project-Id-Version: PACKAGE VERSION Report-Msgid-Bugs-To: POT-Creation-Date: 2018-01-19 16:01:05 PO-Revision-Date: 2018-01-19 16:01:05 Last-Translator: Language-Team: LANGUAGE MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit 0 opiniones
London Financial Studies
En London (Inglaterra), New York (Estados Unidos)
  • London Financial Studies

4001-5000 €

Información importante

Tipología Short course
Lugar En 2 sedes
Duración 3 Days
Inicio 11/06/2018
otras fechas

In a complicated financial world a detailed understanding of the application of quantitative techniques is essential. This course provides an in depth coverage of practical quantitative methods important in today's financial markets.

Información importante
¿Qué objetivos tiene esta formación?

To provide practitioners with a practical understanding of how a range of tools can be used to manage, analyse and price financial instruments. Participants will study:

- Principal components
- Duration and the impact of convexity
- Methods of interpolation, their uses and limitations
- Regression techniques
- Implementing Monte Carlo simulations
- Binomial and trinomial tree building
- How to model assets and price derivatives in continuous time

¿Esta formación es para mí?

Anyone who needs to understand a comprehensive set of tools for managing risk in the financial markets. The seminar will be of special interest to:

Risk managers
System developers
Traders and derivatives teams
Consultants and brokers

Requisitos: Basic understanding of financial markets and probability (covered in Maths Refresher).

Instalaciones y fechas

Dónde se imparte y en qué fechas

Inicio Ubicación
11 jun 2018
34 Curlew Street, se12nd, London, Inglaterra
Ver mapa
Fechas a elegir
New York
New York, Estados Unidos
Ver mapa
Inicio 11 jun 2018
34 Curlew Street, se12nd, London, Inglaterra
Ver mapa
Inicio Fechas a elegir
New York
New York, Estados Unidos
Ver mapa

¿Qué aprendes en este curso?

Financial Training
Quantitative techniques
Risk Neutral Valuation
Trinomial trees
Binomial tree
Monte Carlo


Day One

Bootstrapping yield curves
  • The form of the discount function
  • Methods of interpolation
  • OIS, Libor and N way curve building
  • Maximum smoothness
  • Cubic splines in detail
  • Interpolation and the forward curve
Workshop: Interpolation, forward curves and pricing

Curve building techniques for use with limited data
  • Applying multiple regression to bond data
  • Finding a functional form for the yield curve
  • Basis splines and other approximating functions
  • Econometric issues
  • Extension to credit and inflation curve building
Workshop: Building a bond market yield curve

Day Two

Principal components and yield curve hedging
  • Review of single and two factor duration
  • Principal components
  • Using principal components with B splines to derive hedging factors
  • Bond arbitrage and portfolio immunisation
Workshop: Portfolio Immunisation

Modelling Movements in Asset Prices: Monte Carlo Simulation
  • Asset prices represented by Brownian motion
  • Monte Carlo simulation
  • Random number generation
  • Control variate and antithetic variable techniques
  • Low discrepancy sequences
  • Multiple dimensions and stochastic volatility
  • Simulating SABR processes
Workshop: Building and Running a Monte Carlo Simulation

Day Three

Modelling Movements in Asset Prices: trees
  • Alternative futures
  • Probabilities and pseudo probabilities
  • The binomial tree
  • Trinomial trees
  • Trees and Monte Carlo
  • Risk neutral valuation
  • Valuing standard options
Workshop: Building a binomial tree for pricing and hedging

Using Trees for Pricing Derivatives
  • Early exercise and Bermudan structures
  • Deriving the “Greeks”
  • Modifications for Smile and Skew
Modelling Asset Prices in Continuous Time
  • Some basic stochastic calculus and Ito's Lemma
  • Normal and lognormal distributions
  • Applying the Black Scholes analysis
  • Finite difference techniques for continuous time problems
Workshop: Comparing binomial trees and Monte Carlo techniques
Este curso está en español. Traducir al inglés