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, analyze 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

Date: 10th - 12th December 2018

Venue: Central London

Fee: £1195 per day

You might be eligible for preferential rates. Please contact us to check if your company is a member of the LFS Global Client Programme.


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 (covered in Maths Refresher).


Course Outline

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 immunization

Workshop: Portfolio Immunisation

Modeling 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

Modeling 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

Modeling 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

Program taught in:
English

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Last updated August 9, 2018
This course is Campus based
Start Date
Dec. 2019
Duration
3 days
Full-time
Price
3,585 GBP
£1195 per day. You might be eligible for preferential rates. Please contact us to check if your company is a member of the LFS Global Client Programme.
Deadline
By locations
By date
Start Date
Dec. 2019
End Date
Application deadline

Dec. 2019

Location
Application deadline
End Date

Implementing Fundamental Quantitative Techniques