Implementing Fundamental Quantitative Techniques

4.0
2 opinions
  • I highly recommend LFS' courses to experienced professionals in financial markets.
    |
  • Great insight into techniques used by quants. Simon impressed me in particular because he as very passionate, patient and knowledgeable. Revelant, interesting and well presented training by LFS.
    |

In London

£ 3,585 + VAT

Description

  • Typology

    Short course

  • Location

    London

  • Duration

    3 Days

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.

Facilities

Location

Starts

London
See map
34 Curlew Street, se12nd

Starts

On request

To take into account

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

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

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

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Opinions

4.0
  • I highly recommend LFS' courses to experienced professionals in financial markets.
    |
  • Great insight into techniques used by quants. Simon impressed me in particular because he as very passionate, patient and knowledgeable. Revelant, interesting and well presented training by LFS.
    |
100%
4.4
fantastic

Course rating

Recommended

Centre rating

Former Student

4.0
07/10/2014
What I would highlight: I highly recommend LFS' courses to experienced professionals in financial markets.
What could be improved: .
Would you recommend this course?: Yes

Former Student

4.0
31/03/2014
What I would highlight: Great insight into techniques used by quants. Simon impressed me in particular because he as very passionate, patient and knowledgeable. Revelant, interesting and well presented training by LFS.
What could be improved: .
Would you recommend this course?: Yes
Reviews gathered by Emagister & iAgora

Achievements for this centre

2016

All courses are up to date

The average rating is higher than 3.7

More than 50 reviews in the last 12 months

This centre has featured on Emagister for 12 years

Subjects

  • Financial Training
  • Financial
  • Simulation
  • Trinomial trees
  • Binomial tree
  • Risk Neutral Valuation
  • SABR
  • Econometric
  • OIS
  • Libor
  • Bootstrapping
  • Quantitative techniques
  • Monte Carlo
  • Stochastic

Teachers and trainers (1)

Simon Acomb

Simon Acomb

Teacher

Dr Simon Acomb has over 20 years of experience in quantitative finance. He started his career in finance at Barclays deZoete Wedd in 1992 in the Equities Derivatives Group and progressed to run the quantitative research team. This was followed by five years at Commerzbank, where he established a derivatives proprietary trading team and then became head of the equity quantitative research group. Most recently, Simon has been a managing director at Morgan Stanley as global head of the Equities Analytic Modelling Group.

Course programme

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

Implementing Fundamental Quantitative Techniques

£ 3,585 + VAT