Implementing Fundamental Quantitative Techniques
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I highly recommend LFS' courses to experienced professionals in financial markets.
← | →
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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.
← | →
Short course
In London
A set of tools for managing risk in the financial markets!
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Type
Short course
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Location
London
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Duration
3 Days
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
Start date
Start date
About this course
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).
Reviews
-
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.
← | →
Course rating
Recommended
Centre rating
Former Student
Former Student
This centre's achievements
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 16 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
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
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
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
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
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
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
Using Trees for Pricing Derivatives
- Early exercise and Bermudan structures
- Deriving the “Greeks”
- Modifications for Smile and Skew
- Some basic stochastic calculus and Ito's Lemma
- Normal and lognormal distributions
- Applying the Black Scholes analysis
- Finite difference techniques for continuous time problems
Implementing Fundamental Quantitative Techniques