Risk Latte Combo Training Programme
Risk Latte Combo Training allows you to choose from your area of expertise and your needs and interests and create a custom made training programme. It gives the basic quantitative skills required to develop binomial trees and multi-asset Monte Carlo simulation and then simply apply them to pricing and modelling different types and classes of products.
Combo 1 : Basic Module, Module 3 plus all three of the Groups in Module 2
Combo 2 : Basic Module, Module 3 plus any Two of the Groups in Module 2
Combo 3 : Basic Module, Module 3 plus any one of the Group in Module 2
- All study material via email and through special
virtual training rooms on our web site www.risklatte.com;
- One face to face visit of maximum 10 hours by one
of the instructors at the place of the trainee (only
Asia and Europe) for combo 1 and combo 2 programmes.
Module 1 (Quantitative Model Building):
- Monte Carlo simulation in Excel/VBA for single asset
and multiple assets;
- Plain vanilla calls and puts using Monte Carlo simulation;
- Monte Carlo simulation for multiple asset payoff
introduction (options, hybrids & structured products);
- Binomial tree in Excel/VBA;
- Basics of Black-Derman-Toy (BDT) Tree building;
- Variations of Black-Scholes-Merton and Greeks.
Module 2 (Pricing & Trading of
- For Group A - all pricing will be done using Monte
Carlo simulation and/or BDT Tree methodology for Group
A products; for Group B & C íV all pricing will be done
using MC Simulation, Binomial (CRR tree), BSM-type
models and Numerical Integration;
- All pricing will be on Excel/VBA spreadsheet;
- All options and optionality discussed in this module
will be of European type.
Group A (IR and Fixed Income
- Normal, Lognormal and BDT trees for valuing fixed
- Interest rate caps, floors, digital caps & floors;
- Quanto caps & floors and LIBOR FRN class of notes;
- Range accrual notes, ratchet notes, LIBOR Corridor
notes, snowballs and snowblades, power notes;
- Sticky FRNs, hybrids, correlation notes (multi-index
baskets, multi-index barrier, best of, worst of notes,
- Synthetic Bonds and credit-default products (CDS,
CLNs, Basket CLNs, etc.);
- Complex swaps (volatility & variance swap pricing),
CMT swap and note, asset packaging etc;
- IR Capital guaranteed notes.
Group B (Vanilla & Exotic
- Vanilla FX options pricing using Garman-Kohlhagen
- Vanilla, Digital and Barrier FX options (Knock-out,
Knock-in, Reverse KO and KI);
- Lookback, Asian, Rainbow, Chooser and Basket FX options;
- Correlation, non-linear payoff options and hybrid
FX options (Ladder, capped calls, etc.);
- Calculation of Greeks (in MC simulation method and
- Numerical Integration method to price options and
- Managing delta, gamma and vega of an FX options book;
- Special cases of trading volatility and dynamic hedging
of bet and barrier options;
- Market making in FX options íV quantitative case.
Group C (Equity Derivatives)
- Calculating the Participation rate of an equity structured
- Bull & Bear notes, principal protected notes and
- Hybrid notes (best of, worst of, etc.) and Lookback
notes, knock-out and knock-in notes;
- Digital and coupon bearing notes;
- Path dependent Money-Backs, Pay later, Forward start
and Installment optionality in notes;
- Raising the participation level and transaction costs
of the notes;
- Floating Caps, Rainbows and Asian tail;
- Equity Linked savings;
- Managing the delta, gamma and vega of equity options.
- American option pricing using Binomial method;
- Volatility and correlation estimation;
- Case studies on the above modules and selected real
- Formal introduction to VBA programming as applied
to quantitative finance.
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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