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
- Date:
- Please contact us
- Venue:
- Cliftons Singapore - The Finexis Building
- Fee:
This course is also available in London Time Zone and New York Time Zone
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
Basic understanding of financial markets and probability (covered in Maths Refresher).
Dr Simon Acomb has over 30 years of experience in quantitative finance. He started his career in finance at Barclays deZoete Wedd in 1992 in the Equities Derivatives Group and progressed to run the quantitative research team. This was followed by five years at Commerzbank, where he established a derivatives proprietary trading team and then became head of the equity quantitative research group.
Most recently, Simon has been a managing director at Morgan Stanley as global head of the Equities Analytic Modelling Group. He now works as a consultant and trainer in mathematical finance.
Request a Brochure with full details for Implementing Quantitative Techniques
06-Mar-2017 - FRTB: Standardising risk - FTSE Global Markets
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
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
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
I recommend LFS's courses for experienced professionals in financial markets as they deepen the expertise in the subject.
(Team Manager - Banco do Brasil)
The remote learning experience (LFS Live) was extremely satisfying. I was able to talk to the lecturer whenever I had a doubt and all the questions were clarified. It enabled me to feel like I was in LFS's classroom without leaving my office in Brazil.
(Team Manager - Banco do Brasil)
The course gives a brilliant insight into the techniques used by quants. I was very impressed with Simon [teacher]. He's very knowledgeable, passionate & patient. The training provided by LFS is relevant, interesting and presented in very accessible manner.
(Developer - BNP Paribas)
A lot of important material is covered in a short period of time effectively.
(Quantitative Analyst - Abu Dhabi Investment Authority )
Course Details
This course is also available in London Time Zone and New York Time Zone
- To run this course at your organisation, contact us.
Call now for more information on this course or to book:
Asia Pacific +65 3159 3707
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London Financial Studies is registered with GARP as an Approved Provider of Continuing Professional Development (CPD) credits.