# Advanced Tools for Derivatives Valuation

• 2 days
• in person

## What are the topics?

New York Institute of Finance

Disclaimer

Coursalytics is an independent platform to find, compare, and book executive courses. Coursalytics is not endorsed by, sponsored by, or otherwise affiliated with any business school or university.

Full disclaimer.

## Reviews

### Comprehensive course analysis

Unbiased reviews from past participants
Global companies alumni of this course worked for
Positions of participants who took this course
Countries where most past participants are from
FREE
Individual needs analysis

## Who should attend

• desk quants
• risk analysts and financial engineers

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  \$2,156

Coaching can personalize and deepen learning for you and your organization.

Something went wrong. We're trying to fix this error.

## Thank you for your application

We will contact the provider to ensure that seats are available and, if there is an admissions process, that you satisfy any requirements or prerequisites.

To finalize your enrollment we will be in touch shortly.

### Disclaimer

Coursalytics is an independent platform to find, compare, and book executive courses. Coursalytics is not endorsed by, sponsored by, or otherwise affiliated with any business school or university.

Full disclaimer.

Because of COVID-19, many providers are cancelling or postponing in-person programs or providing online participation options.

• Privacy