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Homepage > Finance > Banking and Insurance > Financial Analysis

Advanced Mathematical Models In Finance

in London Financial Studies (England)

Classes Course

Place:

London, London

Price:

£1,580 + VAT Special offers 

Duration:

2 Days

Start:

30/10/2008 other dates
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Requirements:

Differential calculus, yield curves, duration, convexity, covariance matrix, Riemann integral, ODE.

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Course objectives:

The Black-Scholes model is used as the starting point but gradually the level of complexity is increased to discuss the jump-diffusion models, stochastic volatility models as well as discussions of pricing various exotic pay-offs that will be the new vanilla products tomorrow.

London Financial Studies

<strong>London Financial Studies</strong> is a specialist teaching resource that concentrates exclusively on capital markets. We offer individuals, teams and companies expert teaching that...

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Course details

Type Course Duration 2 Days
Method / place Contact course provider Classes in London, London where
Suitability Quantitative analysts, risk-managers, product controllers, financial engineers, researchers. Past participants have included: Chief investment officers, Asset Managers, Strategists, Private Banks, Relationship Managers
Course objectives The Black-Scholes model is used as the starting point but gradually the level of complexity is increased to discuss the jump-diffusion models, stochastic volatility models as well as discussions of pricing various exotic pay-offs that will be the new vanilla products tomorrow.
Requirements
Differential calculus, yield curves, duration, convexity, covariance matrix, Riemann integral, ODE. Random variable, etc. (see more on our website).
Price £1,580 + VAT
Special offer
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Course programme

Advanced Mathematical Models In Finance

Advanced Mathematical Models in Finance

Course Outline:
The scope of this course is to revise some of the theories and principles used for calculating the price of financial derivatives. The Black-Scholes model is used as the starting point but gradually the level of complexity is increased to discuss the jump-diffusion models, stochastic volatility models as well as discussions of pricing various exotic pay-offs that will be the new vanilla products tomorrow

Who The Course is For:
 Quantitative analysts, risk-managers, product controllers, financial engineers, researchers. Past participants have included: Chief investment officers, Asset Managers, Strategists, Private Banks, Relationship Managers

Prior Knowledge:
Differential calculus, yield curves, duration, convexity, covariance matrix, Riemann integral, ODE (covered in Maths Refresher)
Random variable, expectation and moments, conditional expectation, Central Limit Theorem, Random walk, Markov chain, Wiener process, Geometric Brownian motion, Ito formula, Girsanov transform (covered in Intermediate Mathematics: Probability and Stochastic Processes)
Course Programme*
Day One

Complete-incomplete markets. Non-arbitrage Pricing
Black-Scholes Formula, Pricing Equation, Risk-Neutral Valuation

Workshop: Excel Implementation Black-Scholes formula; Calculation of Implied Volatility

Market price of Risk
Quanto Options

Workshop: Pricing Quanto Call option

Chooser Options; Forward Start Options

Workshop: Structuring and Pricing cliquet reverse cliquet
Day Two

Asian Options
Analytical and Monte Carlo Pricing

Workshop: Monte Carlo Option Pricing and Applications to Risk Management

Jump-diffusion pricing: Merton Model
Rating transition matrix: Markov chain calculations

Workshop: Derivation of default probabilities from a rating agency default matrix

Swap Pricing; CDS swap Pricing
Bootstrapping default probabilities from CDS curves
Value at Risk calculation; Quantile Calculation


* Subject to change. Please contact course provider for more details.

This program is eligible for 16 Continuing Education credit hours from the CFA Institute. If you are a CFA Institute member, CE credit for your participation in this program will be automatically recorded in your CE Diary.
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Venues and dates



Where London, 34 Curlew Street, Butlers Wharf see map
When Start: 30/10/2008 Finish: 31/10/2008 See calendar
 
Where London, 34 Curlew Street, Butlers Wharf see map
When Start: 29/04/2008 Finish: 30/04/2008 See calendar
 
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Course provider details

Provider description
<strong>London Financial Studies</strong> is a specialist teaching resource that concentrates exclusively on capital markets. We offer individuals, teams and companies expert teaching that combines theoretical understanding with practical experience.
Course provider history
At <strong>London Financial Studies</strong> we concentrate exclusively on capital markets. We offer individuals, teams and companies a unique and expert teaching resource that combines theoretical understanding with practical experience and equips them to operate at the highest levels of efficiency and profitability. Our business is driven by a distinct philosophy and clear values: Practical Application Intellectual Clarity Personal Approach Economic Value
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