Numerical Methods for Finance

New York Institute of Finance

How long?

  • 1 day
  • online, in person

What are the topics?

New York Institute of Finance

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Who should attend

  • Risk managers
  • desk quants
  • research analysts
  • regulators
  • aspiring financial engineers and anyone seeking to develop the skills necessary to understand quantitative finance.

About the course

Learn the fundamental numerical techniques that are essential for quantitative roles in finance. Gain experience applying these techniques to practical problems including option pricing and credit risk modelling.

This course is a component of the Quantitative Methods for Finance Professional Certificate.

Prerequisite knowledge:

  • Intermediate MS Excel skills
  • Basic calculus
  • Basic probablility
  • Basic VBA programming

CURRICULUM

Day 1

MODULE 1: MONTE CARLO METHODS

  • Random number generation
  • Application: Simulating Brownian motion
  • Application: Pricing European options by simulation
  • Simulating correlated random numbers
  • Application: Simulating correlated default times
  • Techniques for accelerating convergence

MODULE 2: LATTICE TECHNIQUES

  • Fitting a binomial tree to an asset price process
  • Application: Pricing an American put on a binomial tree
  • Application: Pricing options on dividned paying securities
  • Trinomial tree models

MODULE 3: FINITE DIFFERENCE TECHNIQUES

  • Approximating first and second derivatives by finite differences
  • Explicit finite difference technique for derivatives pricing
  • Application: Pricing options
  • Overview of more robust approaches: Implicit and Crank-Nicolson

WHAT YOU'LL LEARN

  • Learn how to use Monte Carlo techniques to simulate stochastic processes, to price derivatives and to model credit risk
  • Build and calibrate binomial trees to price options
  • Understand and apply finite difference techniques to price derivatives

Numerical Methods for Finance at New York Institute of Finance

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