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Risk Management
Total risk management is the combination of all the elements of risk management into a consistent strategy...
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Training - Financial Enginering
Advanced Financial Modeling:
3 days
Acquire a working knowledge in financial engineering, using
unique problem based learning environment.
1 INTRODUCTION
1.1 Capital and markets
1.2 The risk and return from conventional assets
1.3 Modern portfolio theory and basic risk management
strategies
1.4 Historical data and modeling
1.4.1 Drift and volatility of market prices
1.4.2 Moving averages: UWMA, EWMA, GARCH
1.4.3 Maximum likelyhood estimate of parameters
2 A VARIETY OF SECURITIES
2.1 The stock market and its derivatives
2.1.1 Shares, market indices
2.1.2 Forward and futures contracts
2.1.3 Plain vanilla options
2.1.4 Exotic options
2.1.5 LEAPS and warrants
2.2 The credit market and its derivatives
2.2.1 Interest rates: tresury note, LIBOR, credit spread
2.2.2 Underlying discount bonds and forward rates
2.2.3 Interest rate swaps and forward rate agreements
2.2.4 Bond options: caps, floors and swaptions
2.3 Convertible bonds
2.4 Hedging parameters, portfolio sensitivity
FORECASTING WITH UNCERTAINTY
3.2 Simple valuation model using binomial trees
3.3 Improved model using stochastic calculus
3.3.1 Wiener process and martingales
3.3.2 Stochastic (Itô) calculus
3.3.3 Evaluate an expectancy or eliminate the uncertainty
3.4 Hedging an option with the underlying (Black-Scholes)
3.5 Hedging a bond with another bond (Vasicek)
4 EUROPEAN PAYOFF DYNAMICS
4.1 Plain vanilla stock options
4.1.1 The European Black-Scholes model for dummies
4.1.2 Parameters illustrated with VMARKET experiments
4.1.3 Application, time value and implied volatility
4.2 Exotic stock options
4.2.1 Binary options
4.2.2 Barrier options
4.3 Methods for European options: analytic formulation
4.3.1 Transformation to log-normal variables
4.3.2 Solution of the normalized diffusion equation
4.3.3 Black-Scholes formula
4.4 Methods for European options: finite differences (FD)
4.4.1 Naive implementation with a regular sampling of the
underlying
4.4.2 Improved scheme using log-normal variables
4.5 Methods for European options: Monte-Carlo sampling (MCS)
4.5.1 Modeling possible realizations of the underlying asset
4.5.2 Expected value of an option from sampled data
5 BONDS, SWAPS AND DERIVATIVES
5.1 Discound bonds
5.1.1 Term structure models for dummies
5.1.2 Parameters illustrated with VMARKET experiments
5.2 Credit derivatives
5.2.1 Vanilla swaps
5.2.2 Cap-/floorlets
5.3 Methods for options and bonds: finite elements (FEM)
5.3.1 The Vasicek equation for a bond
5.3.2 Extensions for derivatives
6 AMERICAN PAYOFF DYNAMICS
6.1 American stock options
6.1.1 The American Black-Scholes model for dummies
6.1.2 Parameters illustrated with VMARKET experiments
6.1.3 Application
6.2 Methods for American options: finite elements (FEM)
6.2.1 The Black-Scholes equation for American options
6.2.2 Solution of the obstacle problem using finite elements
7 EXTREMAL EVENTS
7.1 Basel accord on banking
7.2 Value at risk (VaR)
7.3 Copulas for risk management
8 MULTI-FACTOR MODELS
8.1 Principal components analysis
8.2 Martingales and measures
8.3 Two factor models
Course Fees
VAT to be included at the local rate, if applicable. Costs
shown are per delegate inclusive of refreshments, lunches and
seminar materials. Cost of accommodation is not included.
GBP 3000
Certificates of Participation
Certificates of participation are remitted to course
participants upon request. |
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