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Financial Modelling with Mathematica®

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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