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Financial Engineering And Derivatives Pricing

COURSE DESCRIPTION

This class offers an analysis of advanced derivative pricing models. It aims at reviewing the main models and modeling techniques used in practical applications, understanding their applicability and limitations, and at building an integrated framework allowing students to: 1) decide what stochastic factors (e.g., volatility, jumps, one or more interest rate factors, default intensities should be incorporated in a reasonable pricing model for a given derivative; 2) formulate a consistent model incorporating the chosen factors; 3) calibrate the model using market data; 4) price the derivative and identify a hedging strategy.

CERTIFICATION AWARDED

On successful completion of the program, you would be awarded the professional certification in “FINANCIAL ENGINEERING AND DERIVATIVES PRICING” by Moody’s Analytics and EduEdgePro.

COURSE COLLATERALS AND HIGHLIGHTS

  • Pricing Models for Structured Derivatives in Excel-VBA
  • Black Scholes and Options Greeks Calculator
  • Option Strategy Payoff, PL and Greeks calculator
  • Monte Carlo simulations models built using Excel-VBA
  • Model Calibration Frameworks
  • Exhaustive reading material covering detailed sections outlined below
  • Pre-requisite material on mathematics for Finance

COURSE OBJECTIVES

  • Decide what stochastic factors (e.g., volatility, jumps, one or more interest rate factors, default intensities) should be incorporated in a reasonable pricing model for a given derivative
  • Formulate a consistent model incorporating the chosen factors
  • Calibrate the model using market data
  • Understand and implement pricing of equity/fixed income/credit derivative products and identify hedging strategy for the same

WHO SHOULD ATTEND

This course is aimed at those who wish to explore the more advanced aspects of Risk Management to build a career in the below areas:
  • Quant Analyst
  • Model Validation
  • Derivatives Analyst
  • Structurer
  • Derivatives Pricing Specialist
  • Quantitative Risk Manager
  • Derivatives Strategist

Fast Facts

  • Certified by : Moody’s Analytics and EduEdgePro
  • Broad Coverage:
  • Overview of Derivatives Instruments and Markets
  • Fundamentals of Quantitative Finance
  • Black Scholes and Extensions
  • Financial Engineering – Pricing and Hedging
  • Derivatives Pricing and Models
  • Pricing Interest Rate & Credit Products
  • Term Structure Models
  • Hedging Derivatives
  • Structured Products and Financial Engineering

  • DETAILED CURRICULUM

    This comprehensive section covers intricacies of Financial Engineering including Black Scholes and extensions, Derivatives Pricing and Models, Pricing Interest Rate and Credit products, Term Structure models and Hedging Derivatives.

    Black Scholes and Extensions
    • Introduction to Black Scholes
    • Return Form of Asset Pricing
    • PDE approach for Derivatives
    • Black Scholes Framework
    • Extension to Black Scholes
    • Stochastic Volatility models
    • Jump Diffusion Models
    Derivatives Pricing and Models
    • Modeling Implied Volatility and Surfaces
    • Derivatives Pricing Approaches
    • Risk Neutral Pricing
    • Binomial Option Pricing
    • Monte Carlo Simulations
    • Simulations for correlated assets
    • Calibrating Quantitative Models
    Pricing Interest Rate & Credit Products
    • Pricing Swaps and Swaptions
    • Pricing Caps and Floors
    • Pricing Defaultable Bondsetc.
    • Gaussian Copula Models for Credit Derivatives
    • Pricing Credit Default Swaps
    • Pricing CDOs
    • Pricing MBS
    Term Structure Models
    • Term Structure Modeling
    • Calibrating Term Structures
    • Modeling spot and forward rates
    • HJM and LIBOR Market models for Fixed Income
    • Dealing with Volatilities
    • GARCH modeling and Calibration
    Hedging Derivatives
    • Hedging Models
    • Dynamic Hedging with Options
    • Linear Hedging
    • Non-linear Hedging
    • Financial Engineering and Hedging
    • Structured Products Framework for Hedging

    It covers Derivatives and Markets overview with a detailed coverage of financial derivatives instruments in Equities, Fixed Income, Credit and Mortgage markets

    Derivatives and Markets Overview
    • Forward and Futures Contracts
    • tOptions Contracts – Markets and Mechanics
    • Swap Contracts – Markets and Mechanics
    • Options Strategies Framework
    • Equity Derivatives
    • Foreign Exchange Derivatives
    • Fixed Income Securities and Products
    • Credit Derivatives
    • Structured Credit Products
    • Mortgage Backed Securities and Products

    This section covers fundamentals of Quantitative methods applied to Financial derivatives including probability models, default probability math, Stochastic Calculus and other mathematic preliminaries including Brownian Motion and Poisson Processes

    Quantitative Methods
    • Probability Theory
    • Distributions for Financial Markets
    • Statistics for Empirical Distributions
    • Applied Estimation and Hypothesis Testing
    • Financial Economics and Applications to Portfolio Theory
    Fundamentals of Quantitative Finance
    • Mathematical Preliminaries
    • Brownian Motion, Poisson Process
    • Martingales, EMMs
    • Ito’s Lemma for single assets
    • Ito’s Lemma for multi-asset products
    • Default Probability Analytics
    • Risk Neutral Pricing

    DETAILED CASE STUDY AND EXCEL IMPLEMENTATION

    Let us bring our classes to you! Our in-house training are ideal for groups of 10 or more people. We can provide Off-the-shelf training in the form of our classic courses, or we can provide bespoke training, tailored to your organisational goals and objectives. Please contact us for further details