|
Provided by: London Financial Studies Implementing Fundamental Quantitative TechniquesAccounting and Finance |
 |
Course Outline
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.
This course is charged and can be booked by the day. Select the days that meet your needs, or participate in the whole course for a thorough understanding of these important techniques.
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
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
* Implementing dynamic term structure models
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.
This course is charged and can be booked by the day. Select the days that meet your needs, or participate in the whole course for a thorough understanding of these important techniques.
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
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
* Implementing dynamic term structure models
|
|
||||||||||
Training
Provided by London Financial Studies
- E asked: How long is the course availabe? are there fees? how much? Is there support online or by phone for questions? how is the course structured/
Implementing Fundamental Quantitative Techniques Seminar Schedule
| Location | ||||
|---|---|---|---|---|
October, 2011 | ||||
| 3rd Oct | London, London | [Register] | ||
Implementing Fundamental Quantitative Techniques
Day One
Convexity and the Money Markets
* Review of the basics
* The difference between forwards and futures
* Sensitivity analysis: Futures v FRAs
* The impact of interest rate volatility
* The importance of correlation between forward and spot rates
Workshop: Futures, FRAs and convexity
Bootstrapping a yield curve
* The form of the discount function
* Methods of interpolation
* Maximum smoothness
* Cubic splines in detail
* Interpolation and the forward curve
Workshop: Interpolation, forward curves and pricing
Day Two
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
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
Day Three
Modelling Movements in Asset Prices: Monte Carlo Simulation
* The generalised Markov process
* Asset prices represented by Brownian motion
* Monte Carlo simulation
* Random number generation
* Control variate and antithetic variable techniques
* Low discrepancy sequences
Workshop: Building and Running a Monte Carlo Simulation
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
Day Four
Using Trees for Pricing Derivatives
* Early exercise and Bermudan structures
* Valuing look-back options with trees
* 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
Workshop: Comparing Techniques
Practical Approaches to Modelling the Dynamics of the Yield Curve
* The stochastic behaviour of interest rates
* Arbitrage and no arbitrage
* Risk neutral valuation
* Spot rate models
* Sources of uncertainty and continuous time
* Forward rate models
* Derivative pricing
* Forwards and futures revisited
* Model calibration
Workshop: Implementing a Single Factor Model
Convexity and the Money Markets
* Review of the basics
* The difference between forwards and futures
* Sensitivity analysis: Futures v FRAs
* The impact of interest rate volatility
* The importance of correlation between forward and spot rates
Workshop: Futures, FRAs and convexity
Bootstrapping a yield curve
* The form of the discount function
* Methods of interpolation
* Maximum smoothness
* Cubic splines in detail
* Interpolation and the forward curve
Workshop: Interpolation, forward curves and pricing
Day Two
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
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
Day Three
Modelling Movements in Asset Prices: Monte Carlo Simulation
* The generalised Markov process
* Asset prices represented by Brownian motion
* Monte Carlo simulation
* Random number generation
* Control variate and antithetic variable techniques
* Low discrepancy sequences
Workshop: Building and Running a Monte Carlo Simulation
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
Day Four
Using Trees for Pricing Derivatives
* Early exercise and Bermudan structures
* Valuing look-back options with trees
* 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
Workshop: Comparing Techniques
Practical Approaches to Modelling the Dynamics of the Yield Curve
* The stochastic behaviour of interest rates
* Arbitrage and no arbitrage
* Risk neutral valuation
* Spot rate models
* Sources of uncertainty and continuous time
* Forward rate models
* Derivative pricing
* Forwards and futures revisited
* Model calibration
Workshop: Implementing a Single Factor Model
About The Training Provider: London Financial Studies
London Financial Studies - London Financial Studies 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.
Our business is driven by a distinct philosophy and clear values:
* Practical Application
* Intellectual Clarity
* Personal Approach
*...
