Stochastic Processes, Stochastic Calculus and Continuous Time Finance
The purpose of the course is to provide an accessible, yet rigorous introduction to the fundamentals of continuous time finance. The course delivers, in a structured and coherent manner, a significant amount of knowledge on the use of continuous time stochastic processes in pricing of assets and interest rate derivatives. On completion of the course, the participants are expected to be familiar with the basic concepts in arbitrage pricing of stock and interest rate derivatives and the mechanics of derivative trading. The specific topics covered in the course are outlined in the programme set out below.
This course has been designed to strengthen continuous time finance modelling skills. The comprehensive three-day workshop updates you on the key concepts in arbitrage pricing of equity and fixed income derivatives and the mechanics of derivative trading.
There will be adequate time allocated for refreshment breaks, lunch and for delegates to network and discuss the issues being addressed.
Financial engineers, researchers, risk managers, structurers, market analysts and product controllers, consultants and academics.
Duration:
Three-day course
Part I: Stochastic processes and Ito calculus
• A review of basic probability
• discrete and continuous time stochastic processes
• Wiener process
• stochastic integral
• Ito processes
• Ito formula
• numerical simulation of stochastic processes.
Part II: Stock derivatives
• Option payoffs
• Black-Scholes-Merton partial differential equation
• B.S. pricing formula for European options
• relationship with risk neutral valuation
• implied volatility surfaces
• delta hedging
• pricing of American options using binomial trees
• futures and hedging with futures.
Part III: Fixed income products
• Continuous time interest rate models
• bond pricing
• calibration of interest rate model from observed yields
• caps and pricing of caps as call options on interest rate
• swaps and pricing of swaps using arbitrage argument
• LIBOR swap models.
3 days £1500 + VAT
Thanks to our sponsors, there are a limited number of bursaries available for academics and research students.
For more information regarding bursaries, please contact us on + 44 (0) 1895 819 488 or email info@optirisk-systems.com
Discounted rates for group bookings can be also arranged on request.