Risk Latte Company is holding a 24 day course (80 man hours) spread over 3 months beginning from May 5, 2008. Excel Spreadsheet & VBA Modelling for Quantitative Finance in Hong Kong.
Excel Spreadsheet & VBA Modelling for Quantitative Finance
EQF Certificate Course
Onsite Course in Hong Kong
- A 20 day course (60 man hours) spread over 3 months beginning from May 5, 2008 both onsite in Hong Kong and over the internet.
- The course will be carried out in a Computer Lab, each participant will be provided a PC, and all instructions will be lab work using Excel/VBA spreadsheets;
- Evening Classes from 6:45 pm.
- Risk Latte Office Premises
- Course Fee:
- US$4,500 (USD Four thousand and five hundred) per person
- Special Fee:The following special fee will hold for the following:
- All full time University students, who are not full time or part time employee of any bank or financial institution, shall be eligible for 50% discount on the fee;
- There will be 15% discount for group registrations of 3 or more persons;
- All persons from Risk Latte's client organizations shall be eligible for 30% discount;
Over the Internet via Risk Latte website (www.risklatte.com)
- The course will be carried out via a secure space on the site www.risklatte.com and access will be through User ID and password. All training files, including Excel/VBA spreadsheets, notes, etc. shall be uploaded on the private space allotted for each trainee (user). Curriculum remains exactly the same as in onsite course. Q & A, queries, exercises shall be answered by instructor via internet over delayed time.
- Flexi-time (course to be covered over three months).
- Risk Latte Office Premises
- Course Fee:
- US$3,000 (USD Three thousand) per person.
Curriculum:The following curriculum shall be followed for the course by making extensive use of Excel spreadsheets and VBA
Excel Advanced User Defined Functions and Problem Solving
- Overview and use of Mathematical & Statistical Functions
- Factorial functions and Probability Distribution functions;
- Financial, logical and date functions;
- Handling arrays in Excel and array manipulation;
- Matrix operations and solution of linear equations;
- Data Analysis and advanced tools - Regressions, analysis of variance, random number generations, goal seek and using solver;
- Logical and mathematical operations and control structures in Excel;
- Writing code in Excel;
- Visual Basic Editor and VBE window;
- Using Project Explorer window and setting VBE options;
- Entering code, running procedures and organizing procedures in Modules;
- Simple Code writing and debugging code, debugging VBA code and errors;
- Assignment, logical and mathematical operators;
- Working with Text, message box and input box functions;
- Working with arrays and array manipulation;
- Variables and Data types and Data manipulation;
- Branching, control structures, Subroutines and the structure of Sub procedures;
- Functions and structure of Function procedures
- VBA debugging tools;
Quantitative Modelling Foundations
- Matrix Power, Arrays and Matrix Operations - VCV Matrix, Correlation Matrix and Dollar VCV Matrix;
- Cholesky Factorization and Principal Components Analysis - estimation of eigensystem matrix;
- Closed form vanilla option valuation functions, Implied Volatility function and numerical integrals;
- Bond payoff functions and bond pricing using Transitions matrices;
- Single asset Monte Carlo simulation in Excel and VBA;
- Multi-asset Monte Carlo simulation in Excel and VBA;
- Cox-Ross-Rubenstein (CRR) tree for equities and FX in Excel and VBA;
Quant Modelling for Derivatives using Excel + VBA
- Generating Short rate trees with optimization parameters - Black-Derman-Toy (BDT) tree, Hull-White tree, CIR tree and other lognormal trees;
- Asset path Simulation using Poisson and Gamma distributions;
- Vanilla option pricing using Binomial Distribution, Monte Carlo simulation and Closed form models;
- Exotic option pricing (asian, barrier, digital, lookback, range and chooser) using numerical techniques;
- Exotic multi-asset option pricing (rainbow, basket, correlation, best of and worst of, etc.) using numerical techniques;
- Pricing of vanilla and exotic caps and floors using numerical techniques;
Product and Term Sheet Pricing using Excel + VBA
Around 50 to 60 live term sheets will be priced in Excel + VBA
- Pricing FRNs and inverse FRNs and Accumulators;
- Vanilla and exotic range accrual notes and swaps, CMS spread notes and swaps, and other structured swaps;
- Snowball, snowblade, ratchet and other exotic interest rate notes;
- Variance and volatility swaps, asset swaps and Libor in arrears swap;
- Index linked bull-bear, barrier, digital, Asian, lookback and chooser equity notes;
- Power reverse dual currency note, cliquet notes, KIKO notes
Excel Models for Portfolio Optimization
- Solution of a system of linear equations using Matrix algebra;
- Generating efficient frontier for portfolios using constrained optimization and Lagrangian multiplier;
- Sharpe's algorithm to estimate the efficient frontier and mean-variance analysis;
- Portfolio allocation models using Solver and user defined optimization function;
- Algorithmic Trading models and optimization of marginal contribution of risk;
- Optimization of VaR and risk capital allocation for trading and investment.
Batch Size: The batch size will not be more than 20 persons for onsite course, & 30 persons for online course.
To apply for the above course please write to firstname.lastname@example.org . 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.
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