Combo 1 : Basic Module, Module 3 plus all three of the Groups in Module 2
Combo 2 : Basic Module, Module 3 plus any Two of the Groups in Module 2
Combo 3 : Basic Module, Module 3 plus any one of the Group in Module 2

1. All study material via email and through special virtual training rooms on our web site www.risklatte.com;
2. One face to face visit of maximum 10 hours by one of the instructors at the place of the trainee (only Asia and Europe) for combo 1 and combo 2 programmes.

Module 1 (Quantitative Model Building):

• Monte Carlo simulation in Excel/VBA for single asset and multiple assets;
• Plain vanilla calls and puts using Monte Carlo simulation;
• Monte Carlo simulation for multiple asset payoff introduction (options, hybrids & structured products);
• Binomial tree in Excel/VBA;
• Basics of Black-Derman-Toy (BDT) Tree building;
• Variations of Black-Scholes-Merton and Greeks.

Module 2 (Pricing & Trading of Products):

Notes:

1. For Group A - all pricing will be done using Monte Carlo simulation and/or BDT Tree methodology for Group A products; for Group B & C ¡V all pricing will be done using MC Simulation, Binomial (CRR tree), BSM-type models and Numerical Integration;
2. All pricing will be on Excel/VBA spreadsheet;
3. All options and optionality discussed in this module will be of European type.

Group A (IR and Fixed Income Structured Products)

• Normal, Lognormal and BDT trees for valuing fixed income options;
• Interest rate caps, floors, digital caps & floors;
• Quanto caps & floors and LIBOR FRN class of notes;
• Range accrual notes, ratchet notes, LIBOR Corridor notes, snowballs and snowblades, power notes;
• Sticky FRNs, hybrids, correlation notes (multi-index baskets, multi-index barrier, best of, worst of notes, etc.);
• Synthetic Bonds and credit-default products (CDS, CLNs, Basket CLNs, etc.);
• Complex swaps (volatility & variance swap pricing), CMT swap and note, asset packaging etc;
• IR Capital guaranteed notes.

Group B (Vanilla & Exotic FX options)

• Vanilla FX options pricing using Garman-Kohlhagen model;
• Vanilla, Digital and Barrier FX options (Knock-out, Knock-in, Reverse KO and KI);
• Lookback, Asian, Rainbow, Chooser and Basket FX options;
• Correlation, non-linear payoff options and hybrid FX options (Ladder, capped calls, etc.);
• Calculation of Greeks (in MC simulation method and closed form);
• Numerical Integration method to price options and hybrids;
• Managing delta, gamma and vega of an FX options book;
• Special cases of trading volatility and dynamic hedging of bet and barrier options;
• Market making in FX options ¡V quantitative case.

Group C (Equity Derivatives)

• Calculating the Participation rate of an equity structured (indexed) note;
• Bull & Bear notes, principal protected notes and average notes;
• Hybrid notes (best of, worst of, etc.) and Lookback notes, knock-out and knock-in notes;
• Digital and coupon bearing notes;
• Path dependent Money-Backs, Pay later, Forward start and Installment optionality in notes;
• Raising the participation level and transaction costs of the notes;
• Floating Caps, Rainbows and Asian tail;
• Equity Linked savings;
• Managing the delta, gamma and vega of equity options.

Module 3:

• American option pricing using Binomial method;
• Volatility and correlation estimation;
• Case studies on the above modules and selected real life cases;
• Formal introduction to VBA programming as applied to quantitative finance.