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Training
Financial Engineering Course - Detailed Outline
Module-1 : Introduction to Quantitative Finance
Probability Functions
Basics of Statistics & Volatility
Basic Financial Mathematics
Estimating Parameters of Distribution
Statistical Inference and Hypothesis Testing
Estimating Correlation and Volatility: EWMA and GARCH Models
Maximum Likelihood Methods
Volatility Term Structures, Simulation Methods
Module-2 : Introduction to Financial Markets & Products
Introduction
Introduction to Financial Transactions – Types, Stages, Cash flows
Cash Market Products – Equity, Money, Debt, Forex
Introduction to Financial Markets – Underlying, Derivatives, Structured Products
Fundamentals of Derivatives – Forwards, FRA, Futures, Swaps, Options
Basics of Pricing & Valuation of Traded Instruments
Derivatives on interest rates, foreign exchange, equities and commodities
Measuring portfolio exposures
Trading strategies with derivatives
Module-3 : Introduction to Quantitative Techniques in Derivatives
Random Behaviour of Assets
Elementary Stochastic Calculus
Black-Scholes Model
Greeks
Partial Differential Equations
Probability Density Functions
Multi Asset Options
Binomial Model
Module-4 : Introduction to Equity Markets – Pricing, Valuation & Risk
Fundamentals of Equity Market
Equity Forwards and Equity Futures
Warrants & Convertible Bonds, CFD, Exchange Traded Funds
Equity Options – Types, Basic Structures, Option Pricing Model
Put Call Parity, Trading Structures
Volatility Smiles, Exotic Options
Equity Swaps, Volatility Swaps
Variance Swaps, Dispersion Swaps
Module-5 : Introduction to Forex Markets – Pricing, Valuation & Risk
Fundamentals of Forex Market – Spot, Forward, Outright
Forex (FX) Swap
Currency Futures
FX Options – Garman Kohl Hagen Pricing Model, Volatility Estimation
Correlation, Binomial Tree, Dynamic Hedging
Spreads, Volatility Smiles & Skews
Exotic Options – Forward Start, Compound, Chooser, Barrier,
Digital or Binary Options, Look-back, Shout, Asian, Basket Options
Module-6 : Introduction to Interest Rate Markets – Pricing, Valuation & Risk
Fundamentals of Interest Rate Market – Cash Flow Pattern & Collaterals
Term Structure, Yield Curve Fitting
Money & Bond Market Instruments – Treasury Bills, Commercial Papers, Certificate of Deposits, Inter Corporate Deposits, Government Securities, Bonds, Repo, Reverse Repo, Floaters, Inverse Floaters, Convertible Bonds
Interest Rate Futures, Forward Rate Agreement
Short Term Interest Rate Swaps, Generic Interest Rate Swaps
Non Generic Interest Rate Swaps, Complex Swaps, Quantos, Currency Swaps
Interest Rate Options – Black Option Pricing Model, Interest Rate Volatility, Caps, Floors & Collars
Digital Options, Embedded Structures, Complex Structures, Swaptions
Module-7 : Introduction to Credit Markets – Pricing, Valuation & Risk
Credit Default Swaps – Single Name, Indices, Tranche, Basket
Securitization
Mortgage Backed Securities
Asset Backed Securities
Collateralized Debt Obligation
Credit Linked Notes
Asset Swaps
Total Return Swaps, Bespoke Financial Instruments, CXOs
Module-8 : Advanced Option Modelling
Volatility Smiles and Surfaces
Stochastic Volatility
Jump Diffusion
Crash Modelling
Static Hedging
Utility Theory
Mean Variance Analysis
Advanced Dividend Modelling
Module-9 : Interest Rate Modelling
One Factor Interest Rate Modelling
Vasicek; Cox, Ingersoll & Ross; Ho & Lee; Hull & White
Multi Factor Interest Rate Modelling
Empirical Behavior of Spot Interest Rate
Heath, Jarrow and Morton
Modelling Without Probabilities
Pricing and Optimal Hedging
Crash Modelling
Module-10 : Risk Modelling
Value at Risk
Simulation
Credit Risk Modelling
Risk Metrics
Credit Metrics
Crash Metrics
Real Options
Energy Derivatives
Module-11 : Portfolio Management
Kelly Criterion
Portfolio Concepts and Diversification
Modern Portfolio Theory
Capital Asset Pricing Model
Co-integration
Performance Measurement
Long Term Growth Maximization
Transaction Costs
Module-12 : Numerical Methods
Finite Difference Methods for One Factor Models
Approximating , ,
Crank Nicolson Method
Richardson Extrapolation
Finite Difference Methods for Two Factor Models
Monte Carlo Simulation
Cholesky Factorization
Finite Difference Programs
Duraion of Classroom Training: 200 Hrs