Training

• 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
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  • Crank Nicolson Method
  • Richardson Extrapolation
  • Finite Difference Methods for Two Factor Models
  • Monte Carlo Simulation
  • Cholesky Factorization
  • Finite Difference Programs