Applications of Quantitative Finance – Intermediate
Delivery:
Duration:
1 hour
Price per person (Ex. VAT): Provided on request
This in-depth ten module intermediate level course covers the applications of quantitative finance. It can be delivered in-house, in your your own specified locations around the world, and is most suited for those with existing financial market knowledge.
Course available in-house:
Yes
Price per person (Ex. VAT): Provided on request
For group bookings, to discuss tailored delivery or for any questions about this course, please get in touch:
Take a look at what our course modules include in a little more detail:
Module 1: Fixed Income and Yield Curves
Essential ‘bond math’; Quotation conventions, clean and dirty price, accrued interest; Bond pricing, yield defined, price/yield relationship; Duration, DV01 and convexity; Repo, carry and forward prices; Relative value trading – curve trades, butterflies; Corporate bonds and credit spreads; Spread duration, CS0
Module Two: Interest Rate Derivatives I
FRAs and interest-rate futures; Short rates – from LIBOR to SOFR; Interest rate swaps, mechanics and quotation; Intuitive pricing swaps pricing, PV01; Clearing and settlement, the Central Clearing model; Quantifying and managing swaps risk, DV01, bucket deltas; Swaps trading – outright positions and curve trades
Module Three: Interest Rate Derivatives II
Swaps pricing done properly, the multi-curve approach; Choosing the discount curve – why OIS?; Simple introduction to ‘bootstrapping’ and curve construction; Basis swaps and the market price of liquidity risk; Asset swaps; Cross-currency swaps, mechanics and structure; Drivers of the cross-currency basis
Module Four: Credit Derivatives
Review of single-name CDS; Standard contracts; The cash-CDS basis, drivers of the basis, basis trading; CDS indices and sub-indices; Mechanics of an index-CDS trade; STCDOs and tranche trading; Tranches, correlation and delta; RV trading strategies
Module Five: Foreign Exchange
Review of FX spot market quotation and conventions; FX forwards – forward points versus the outright; Where is the forward price? The cash-and-carry argument; FX swaps, mechanics and applications; Hedging foreign-currency assets into domestic currency; FX carry trades; FX options and barriers
Module Six: Equity and Commodities Delta-1
Commodities overview; Index and commodity futures; Mechanics margining and settlement; Understanding the futures price – the no-arb forward; Basis trading in equities, ‘fair value’ future vs. the traded price; Understanding commodity forward curves – the ‘convenience yield’; Total return swaps in equities and commodities
Module Seven: Option Pricing and Risk Management
Option pricing – review of alternative approaches; Binomial trees; Analytical pricing (the Black-Scholes approach); Monte-Carlo simulation; Delta-hedging and gamma; Gamma vs. theta; Vega as a measure of vol risk; Hedging risk at the portfolio (aggregate) level; P&L Attribution
Module Eight: The Volatility Surface
What implied vol is all about; Lognormal vol vs. absolute (bp) vol; The vol surface for equities, commodities and FX; Understanding the drivers of the smile and skew, the role of stochastic vol; Volgamma and vanna, how they relate to smile and skew; Trading the surface with Risk Reversals and flys; Modelling vol dynamics
Module Nine: Interest Rate Options
Caps and floors; European swaptions, payoff and price; Quoting rates vol – Normal vs. Lognormal; Bermudan swaptions; The IRD vol surface; The callable bond market, the role of swaptions; Constant Maturity Swaps
Module Ten: FX Barrier Options and Other Exotics
Barrier options, conventions and terminology; Barrier options and technical views; Risk-management of barriers; Digital options and range accruals; Vol and variance swaps
KEY OUTCOMES
Fundamental knowledge of Applications of Quantitative Finance up to an Intermediate level.
Growth of your existing financial market knowledge with in-depth lessons delivered by expert ex-practitioners.
An understanding of all key areas of Quantitative Finance from Fixed Income and Yield Curves to Option pricing and Exotics.
If you have any questions about this course, please feel free to get in touch via email on info@thezishi.com or by calling +44 (0)204 551 8568 (please choose option 2).
This in-depth ten module intermediate level course covers the applications of quantitative finance. It can be delivered in-house, in your your own specified locations around the world, and is most suited for those with existing financial market knowledge.
Course available in-house:
Yes
Price per person (Ex. VAT): Provided on request
For group bookings, to discuss tailored delivery or for any questions about this course, please get in touch:
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