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A two-day training session for financial professionals that will cover the basics of Mathematica and examples from finance. You will learn how to use the rich structure of Mathematica to approach and solve practical problems in finance.
Topics
Remarks: During the course the practical application of Mathematica is
emphasized, i.e. topics like getting common data structures into Mathematica,
doing exact day calculations and other boring but necessary stuff for the
practical application is also part of the training.
Skills
Basic knowledge of Mathematica is necessary, basic knowledge of finance is helpful.
Please contact CANdiensten for information on introduction courses.
Duration: two days
Agenda:
| Day 1 | Examples for the valuation of derivative instruments |
| 9.00 - 10.30 | Modelling with Mathematica - Introduction/Repetition of important Mathematica constructs |
| 10.30 - 12.00 | Valuation of fixed income instruments - Calendar and day count calculations with Mathematica - Generating cash flows - Valuation of bonds and swaps - Worked example: Calculation of swap rates |
| 12.00 - 13.00 | Option valuation with the Black-Scholes model - Implementing the analytical solution - Calculation and analysing the greeks - Worked example: Hedging with Black-Scholes with discrete portfolioadjustments |
| 14.00 - 15.00 | Application of option valuation - Implementing the analytical Hull-White model for interest rate options - Using Hull-White to value swaptions and caps/floors - Worked example: Calibrating Hull/White on market quotes for caps |
| 15.00 - 17.00 | Numerical methods for the valuation of derivatives - Implementing and analysing Cox/Ross/Rubinstein trees - Implementing and analysing of an explicit difference method |
| Day 2 | Examples from risk management |
| 9.00 - 10.30 | Modelling complex portfolios, curve groups and different
valuation models in Mathematica |
| 10.30 - 12.00 | Parameter estimation for risk calculation - Using the statistical functions within Mathematica - Estimation of volatilities and correlations of time series |
| 13.00 - 15.00 | Implementing and analysing different value-at-risk models - Historical simulation - Parametric model (RiskMetrics style) - Monte-Carlo Simulation |
| 15.00 - 17.00 | Credit portfolio risk - Implementing and analysing the CreditMetrics-Modell |
Courses:
|
date |
location |
language |
price excl. VAT |
registration |
|---|---|---|---|---|
| not scheduled at the moment | Amsterdam | English |
Euro 995,- |
CANdiensten |
In-house-Trainings
Our trainings can also be customized as an in-house course delivered at your offices for the members of your organization. This could be an attractive option if there are three or more people, who are interested in a training.The two key benefits are
If you are interested in a special topic in finance (with or without the use of Mathematica) we will be happy to put together a progam to meet your specific needs.
Ask us or our local partners about our in-house trainings or send us an e-mail.
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