Modular Seminar: Quantitative Finance

  • UM1: Models for Underlyings

  • UM2: Deal Types / Case Studies

  • UM3: Financial PDEs and PIDEs and their Numerical Treatment

  • UM4: Monte Carlo Simulation and Longstaff-Schwartz

  • UM5: Model-Calibration
  • UM 6: Value at Risk Methodologies and Calculations

The Seminar is designed for 17 days, but can be configured. In each topic theory will be covered as well as hands-on training (using UnRisk) will be provided.

A typical module refinement:

UM1: Models for Underlyings

  • Part 1A: Preparation: Mathematical set-ups tools (random walks, stochastic differential equations, Brownian motion, Ito's lemma,...)

  • Part 1B: Equity models (from Black Scholes to Exponential Levy): Black Scholes (idea, derivation, strengths and weaknesses,...); Dupire (local volatility); Stochastic volatility models (Heston and beyond)

  • Part 1C: Interest Rate models (Short rate & market models): One factor models - Hull-White (idea, derivations, strengths and weaknesses), Cox Ingersoll Ross, Black Karasinski; Two factor models - Hull White (introducing stochastic drift), Anderson Andreasen Cheyette; Market models, LMM

  • Part 1D: Derived Models: Inflation; FX rates models - Kjaergaard, Hull White, Gaman-Kohlhagen

  • Part 1E: Advanced Models: Jump processes (Exponential Levy, Bates, ...)

  • Part 1F: Even more complex: LMM + stochastic Volatility, Interest rate + jumps

UM2: Deal Types and Case Studies

  • Part 2A: Equity based Instruments: Preparation: Greeks, Futures & Forwards (with underlyings either index or equity), Option Basics (European , American), Barrier Options, Path dependent Options (Asian), Valuation under different models for the underlying: price differences, dangers

  • Part 2B: Interest rate instruments: Preparation:  Duration, Convexity, Spot rate, Forward rate, yield to maturity; Different Types of Bonds (Zeros, Perpetual, Floater, Target Redemption, Snowball, Accreting,…); Swaps; CMS spreads/steepeners; Options on Bonds, Callabilities; again: valuation under different models: differences in (dirty) values of instruments, differences in optional rights and survival probabilities, the role of correlation

  • Part 2C: Miscellaneous and Hybrid Instruments: Inflation Linked Derivatives; FX Linked Instruments; Conversion Instruments