Risk Latte - Monte Carlo Simulation & Binomial Trees to Price Structured Notes

Monte Carlo Simulation & Binomial Trees to Price Structured Notes

Risk Latte is currently scheduling a new training programme to address one of the hottest topics in the industry: Monte Carlo Simulation & Binomial Trees to price Structured Notes. This programme is targeted at fixed income & equity derivatives traders, structurers and quants who are interested in acquiring the knowledge and tools to significantly enhance their performance and their careers.

COURSE OUTLINE

PART I : 2 Hours

  • Basics of Monte Carlo Simulation - Mathematical Technique;
  • Monte Carlo simulation on Excel/VBA spreadsheet;
  • Basics of Binomial Trees íV Mathematical Technique;
  • Binomial Trees on Excel/VBA spreadsheet.

PART II : 10 Hours

  • Vasicek's model and CIR model (as discrete binomial trees) for interest rate modelling;
  • Lognormal and Black-Derman-Toy (BDT) model (as discrete binomial trees) for interest rate modelling;
  • Pricing callable bonds, call & put options on bonds using the above models;
  • Monte Carlo Simulation to model the interest rate & price call and put options on equity and bonds;
  • MC Simulation to price vanilla and exotic equity notes.

PART III : 10 Hours

  • Pricing Range Accrual Notes & Callable Range Accrual notes using Monte Carlo simulation & BDT trees;
  • Pricing Snowball, Snowblade and Callable Snowball/Snowblade using Monte Carlo simulation & BDT Trees;
  • Pricing exotic Floaters & FRN using MC simulation & BDT Trees;
  • Pricing caps, floors and Swaptions using MC Simulation & BDT Trees;
  • Pricing CMT notes & swaps using MC Simulation & BDT trees.

To apply for the above course please write to info@risklatte.com . You can also write to us at Risk Latte Company , Level 2, Neich Tower, No.128, Gloucester Road, Wan Chi, Hong Kong or you can call us on +852 3987 8552 or +852 6395 8032.

All Candidates will be awarded a Certificate of Participation by Risk Latte Company.

Any comments and queries can be sent through our web-based form.

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