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.
PART I : 2 Hours
- Basics of Monte Carlo Simulation - Mathematical
- Monte Carlo simulation on Excel/VBA
- Basics of Binomial Trees íV Mathematical
- 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
- 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
- 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
- Pricing Snowball, Snowblade and
Callable Snowball/Snowblade using Monte Carlo simulation & BDT
- 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 email@example.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
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