This course provides an in-depth introduction to the numerical methods that are used to price options and other derivative securities. The course is designed to enhance the modeling skills of finance professionals and to introduce options modeling technology to IT professionals. The course material can also be used to prepare for Part 1 of the PRM Exam. Further, attendees will gain insights into the mathematics underlying derivatives securities pricing models.
The course covers several key numerical methods, including:
the Black-Scholes model
binomial trees
trinomial trees
finite difference methods
Monte Carlo simulation
All attendees will receive detailed materials on the features of Excel/VBA and option pricing theory prior to the start of the class in order to assess their specific needs. The materials will be customized to ensure that each attendee receives the maximum benefit from the course. The textbook for the course is 'Implementing Derivatives Models', by Les Clewlow and Chris Strickland.
Attendees will receive Powerpoint slides, written notes and copies of all programs developed during the course. Attendees will also receive e-mail support from the instructor, as well as a Certificate of Completion. Attendees should bring a laptop with any Windows version of Microsoft Excel or Office 2004 for the Mac; note that Office 2008 for the Mac does not include the VBA language.
COST: $895. PRMIA Sustaining Members receive a $50 discount and pay $845.
