T R A I N I N G

Numerical Methods for Pricing Financial Derivatives

-Implementation and Analysis using Mathematica

For whom?
Financial quantitative analysts, developers of finance products, risk management and risk controlling consultants and IT professionals

Content:
With the speed-up and extension of its numerical methods Mathematica is now even better suited for implementing numerical routines to price complex financial products. Together with the available possibility to do parallel computing and to seamlessly integrate with MS Excel, Mathematica is hard to beat when fast development cycles and short valuation times for pricing complex financial products are necessary. Within the two day hands-on training course, participants learn how to apply and implement numerical methods to price financial derivatives. The rich functionality available within Mathematica allows to discuss different implementation approaches during the course and to analyze numerical issues arising from the presented methods. This makes the course also attractive for someone who is only interested in the implementation of numerical methods. Each topic is accompanied with practical sessions.

Topics:

Monte Carlo simulations of one and multidimensional processes and the pricing of simple, spread and basket options
Applying and comparing variance reduction techniques for the Monte Carlo simulations
Monte Carlo simulations of jump processes and the pricing of credit events
Setting up a parallel computing environment for Monte Carlo simulations
Implementing and analyzing simple tree valuation routines for the pricing of american and other path dependent options
Applying variance reduction techniques to the tree valuation routines
Implementing and analyzing the Hull-White tree valuation method and the pricing of swaptions
Implementing and analyzing different finite difference methods
Integration of Mathematica based numerical pricing routines with MS Excel

Skills:
Basic knowledge of Mathematica is necessary, basic knowledge of finance is helpful.

Duration:
two successive days

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

Cost savings: Sending 3 or 4 of your staff abroad for a seminar could easily cost more then an in-house presentation.
Tailored seminars: An in-house course can be tailored to exactly your needs and wishes.

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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