Risk Latte - The Financial Engineering Resource

Quant Finance Courses

Excel Spreadsheet & VBA Modelling for Quantitative Finance
EQF Certificate Course
  • Objective:
    • A 24 day course (80 man hours) spread over 3 months beginning from May 2, 2007.
  • 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;
Pricing & Hedging Structured & Exotic Swaps using Excel/VBA
  • Objective:
    • A two (2) day weekend course designed for fixed income and interest rate quants and structurers, traders and risk managers covering in depth pricing and hedging of structured and exotic swaps and their hedging.
  • Methodology:
    • The course will be carried out totally using Excel/VBA thus giving the trainees hands-on feel for pricing of the products.
Credit Derivatives Pricing Course Pricing CDS, Basket Default Swaps and CDOs in Excel/VBA
  • Objective:
    • A two (2) day training programme for credit derivatives traders and credit structuring and sales professionals to provide a detailed analysis of pricing issues in Credit Default Swaps, Basket CDS (multi-name CDS) and CDOs
  • Methodology:
    • The training will be carried out using problem solving methodology and make use of case studies and Excel spreadsheets and making use of user defined macros and VBA functions.
FX Options Pricing Using Local and Stochastic Volatility
  • Objective:
    • A two (2) day training programme for FX options traders/structurers/sales professionals to provide an overview of volatility modeling techniques, with special reference to local volatility and volatility surface and its use in pricing exotic FX options.
  • Methodology:
    • The training will be carried out in a focus group environment with discussions and problem solving methodology and shall be entirely focused on model building in Excel/VBA spreadsheet environment.
Interest Rate Modelling & Pricing Fixed Income Derivatives

- Online and offline (on site) Course;
- Hands on Excel/VBA spreadsheet models;
- Pricing using actual term sheets and case studies;

Quantitative Techniques
All QT implemented on Excel/VBA spreadsheet

  • Variance-Covariance matrix of short rate returns;
  • Principal Components Analysis of VCV matrix (eigenvalues and eigenvectors of the VCV matrix);
  • Cholesky decomposition of a VCV matrix;
  • Monte Carlo simulation using multiple assets;
Power Workshop on Equity Derivatives Modelling

The workshop shall contain the following discussion threads/model building, and many more:

  • Monte Carlo simulation of single asset random walk;
  • Monte Carlo simulation of multiple assets using Cholesky decomposition;
  • Engineering Equity structured notes for buy side customers-2 case studies;
  • Pricing of vanilla equity notes (call, put optionality and bull and bear notes);
  • etc.
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.

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.

Convertible Bonds Pricing and Trading

This course will outline the basic mechanics of a convertible bond and its synthesis from equity; the need to issue convertible bonds from an issuer's point of view and the need to buy a convertible bond from an investor's point of view. The course will try to bring out the nuances of convertible bonds and their impact on equity markets, the different types of such bonds and the strategies that should be employed to trade them and invest in them.

Quantitive & Risk Modelling for Fund Managers

This programme aims to equip the trainees with a broadest possible, and yet the deepest possible, understanding of the derivatives products, the asset models, market and credit risk models and the latest structured products in the market. This course is a basic quant modeling course and all work is done with the objective of model building in Excel/VBA environment. The course deliverables are Excel/VBA spreadsheet modules, Q & A and solved quizzes, cases, reading lists and condensed text. The course is aimed at the hedge fund managers, the proprietary traders in banks, asset managers and middle office risk professionals.

Equity Derivatives Products and Pricing

This is a detailed programme on modeling, structuring and pricing vanilla and exotic equity derivatives products and managing the risks in equity derivatives portfolios. This programme goes into great detail of option pricing and modeling embedded optionality in products as well as mathematical modeling of exotic equity derivatives structures. This programme is aimed at equity derivatives traders and structurers in banks and hedge funds.

Vanilla and Exotic Options Pricing & Trading

This is a detailed programme for (mainly) equity and FX Option traders and aims to give a detailed understanding not only of the pricing techniques (binomial, trinomial, implied trees, numerical integrals, Monte Carlo simulation, etc.) of vanilla and exotic equity and FX options but also how to trade this options, dynamically manage an options books and manage the market risk of an options portfolio.