Course description
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.
Course Objectives
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
Who The Course is For
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
Prior Knowledge
Basic understanding of financial markets and probability (also covered inMaths Refresher).
Upcoming start dates
Who should attend?
London Financial Studies is registered with CFA and GARP Institute as an Approved Provider of continuing education programs.
Training content
Day One
Bootstrapping Yield Curves
- The form of the discount function
- Methods of interpolation
- OIS, Term Rates 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
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London Financial Studies - Capital Markets Executive Education in the USA
Global markets move quickly, evolving continuously and deepening in complexity. Over the past decades London Financial Studies has provided specialist executive education programs and short courses focused exclusively on global capital markets. Preparing only the highest quality and most relevant...