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.

COURSE OUTLINE

PART I : 2 Hours

• Basics of Monte Carlo Simulation - Mathematical Technique;
• Monte Carlo simulation on Excel/VBA spreadsheet;
• Basics of Binomial Trees ¡V Mathematical Technique;
• Binomial Trees on Excel/VBA spreadsheet.

PART II : 10 Hours

• Vasicek's model and CIR model (as discrete binomial trees) for interest rate modelling;
• Lognormal and Black-Derman-Toy (BDT) model (as discrete binomial trees) for interest rate modelling;
• Pricing callable bonds, call & put options on bonds using the above models;
• Monte Carlo Simulation to model the interest rate & price call and put options on equity and bonds;
• MC Simulation to price vanilla and exotic equity notes.

PART III : 10 Hours

• Pricing Range Accrual Notes & Callable Range Accrual notes using Monte Carlo simulation & BDT trees;
• Pricing Snowball, Snowblade and Callable Snowball/Snowblade using Monte Carlo simulation & BDT Trees;
• Pricing exotic Floaters & FRN using MC simulation & BDT Trees;
• Pricing caps, floors and Swaptions using MC Simulation & BDT Trees;
• Pricing CMT notes & swaps using MC Simulation & BDT trees.

All Candidates will be awarded a Certificate of Participation by Risk Latte Company.

For Registration and Enquiries please
fill out our Web-based form or Call the Risk Latte Team on +852 2584 6127