Risk Latte - Financial Education

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

  • Objective:
    • 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.

  • Methodology:
    • 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;

  • Timings:
    • Evening Classes from 6:45 pm.

  • Premises:
    • 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)

  • Methodology:
    • 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.

  • Timings:
    • Flexi-time (course to be covered over three months).

  • Premises:
    • 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

Module 1
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;

Module 2

  • 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;

Module 3
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;

Module 4
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;

Module 5
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

Module 6
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 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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