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Advanced Mathematics: Financial Tools and Applications

London Financial Studies

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Course Description

Advanced Mathematical Models in Finance Course Outline: The scope of this course is to revise some of the theories and principles used for calculating the price of financial derivatives. The Black-Scholes model is used as the starting point but gradually the level of complexity is increased to discuss the jump-diffusion models, stochastic volatility models as well as discussions of pricing various exotic pay-offs that will be the new vanilla products tomorrow Who The Course is For: Quantitative analysts, risk-managers, product controllers, financial engineers, researchers. Past participants have included: Chief investment officers, Asset Managers, Strategists, Private Banks, Relationship Managers Prior Knowledge: Differential calculus, yield curves, duration, convexity, covariance matrix, Riemann integral, ODE (covered in Maths Refresher) Random variable, expectation and moments, conditional expectation, Central Limit Theorem, Random walk, Markov chain, Wiener process, Geometric Brownian motion, Ito formula, Girsanov transform (covered in Intermediate Mathematics: Probability and Stochastic Processes) Course Programme* Day One Complete-incomplete markets. Non-arbitrage Pricing Black-Scholes Formula, Pricing Equation, Risk-Neutral Valuation Workshop: Excel Implementation Black-Scholes formula; Calculation of Implied Volatility Market price of Risk Quanto Options Workshop: Pricing Quanto Call option Chooser Options; Forward Start Options Workshop: Structuring and Pricing cliquet reverse cliquet Day Two Asian Options Analytical and Monte Carlo Pricing Workshop: Monte Carlo Option Pricing and Applications to Risk Management Jump-diffusion pricing: Merton Model Rating transition matrix: Markov chain calculations Workshop: Derivation of default probabilities from a rating agency default matrix Swap Pricing; CDS swap Pricing Bootstrapping default probabilities from CDS curves Value at Risk calculation; Quantile Calculation (( )) * Subject to change. Please contact course provider for more details. This program is eligible for 16 Continuing Education credit hours from the CFA Institute. If you are a CFA Institute member, CE credit for your participation in this program will be automatically recorded in your CE Diary.

Advanced Mathematical Models in Finance Course Outline: The scope of this course is to revise some of the theories and principles used for calculating the price of financial derivatives. The Black-Scholes model is used as the starting point but gradually the level of complexity is increased to discuss the jump-diffusion models, stochastic volatility models as well as discussions of pricing...

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