Advanced Tools for Derivatives Valuation

New York Institute of Finance

How long?

  • 2 days
  • in person, online

What are the topics?

New York Institute of Finance

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Who should attend

  • Traders
  • desk quants
  • risk analysts and financial engineers

About the course

Learn how to use a variety of numerical techniques to price American options and exotic derivatives.

This course is a component of the Advanced Derivatives Professional Certificate.

Prerequisite knowledge:

  • Familiarity with derivative instruments
  • Basic knowledge of stochastic calculus, e.g. Ito's lemma
  • Intermediate to advanced MS Excel skills
  • Intermediate probability and statistics
  • Basic calculus, including partial differentiation and integration

CURRICULUM

Day 1

MODULE 1: EXOTIC OPTIONS AND PATH DEPENDENCY

  • Strong vs. weak path dependency
  • Asian Options
  • Barrier Options
  • Exchange options
  • Lookback options

MODULE 2: OVERVIEW OF NUMERICAL METHODS

  • Valuation techniques for path dependent options
  • Monte Carlo basics
  • Finite difference methods
  • Numerical Integration

MODULE 3: MONTE CARLO METHODS FOR DERIVATIVES VALUATION

  • Monte Carlo methods applied to discrete models
  • Monte Carlo methods applied to continuous models
  • Getting to the Greeks
  • Techniques for accelerating convergence
  • Pros and Cons of Monte Carlo techniques

Day 2

MODULE 1: FINITE DIFFERENCE METHODS: ONE FACTOR MODELS

  • The fundamental PDE and boundary conditions
  • Explicit finite difference methods
  • Implicit finite difference methods
  • Crank-Nicolson method

MODULE 2: FINITE DIFFERENCE METHODS: TWO FACTOR MODELS

  • Explicit finite difference methods
  • Alternating direction implicit method
  • Hopscotch method

WHAT YOU'LL LEARN

  • Price American- and exotic options by Monte Carlo simulation
  • Understand and apply variance reduction techniques to Monte Carlo simulations
  • Understand the pros and cons of various finite difference techniques, including explicit, implicit and Crank-Nicolson, for derivatives valuation
  • Learn how to use a Crank-Nicolson pricer for pricing options which have no closed form solutions.

Advanced Tools for Derivatives Valuation at New York Institute of Finance

From  $2,425

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