Course description
Implementing Quantitative Techniques
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, 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
Upcoming start dates
Suitability - Who should attend?
"Implementing Quantitative Techniques" course has been designed for any individuals who needs to understand a comprehensive set of tools for managing risk in the financial markets. The course will be of special interest to:
- Risk managers
- System developers
- Traders and derivatives teams
- Consultants and brokers
Training Course Content
Day One
Bootstrapping yield curves
- The form of the discount function
- Methods of interpolation
- OIS, Term Rates 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 immunisation
Workshop: 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
Workshop: Building and Running a Monte Carlo Simulation
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
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
Modelling 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
Course delivery details
Courses are delivered in the London classroom and live online via LFS Live in London, New York, and Singapore time zones.
Please contact LFS for more details.
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London Financial Studies are specialists in delivering professional development for finance professionals focusing on capital markets. LFS provide individuals, teams and companies with expert teaching that combines theoretical understanding with practical experience, giving them the knowledge to operate at the...