Risk Latte Company is holding a 24 day course (80 man hours) spread over 3 months beginning from May 5, 2008. Excel Spreadsheet & VBA Modelling for Quantitative Finance in Hong Kong.

Excel Spreadsheet & VBA Modelling for Quantitative Finance
EQF Certificate Course

Onsite Course in Hong Kong

• Objective:
  • A 20 day course (60 man hours) spread over 3 months beginning from May 5, 2008 both onsite in Hong Kong and over the internet.
• Methodology:
• The course will be carried out in a Computer Lab, each participant will be provided a PC, and all instructions will be lab work using Excel/VBA spreadsheets;
• Timings:
• Evening Classes from 6:45 pm.
• Premises:
• Risk Latte Office Premises
• Course Fee:
• US$4,500 (USD Four thousand and five hundred) per person
• Special Fee: The following special fee will hold for the following:
• All full time University students, who are not full time or part time employee of any bank or financial institution, shall be eligible for 50% discount on the fee;
• There will be 15% discount for group registrations of 3 or more persons;
• All persons from Risk Latte's client organizations shall be eligible for 30% discount;

Over the Internet via Risk Latte website (www.risklatte.com)

• Methodology:
• The course will be carried out via a secure space on the site www.risklatte.com and access will be through User ID and password. All training files, including Excel/VBA spreadsheets, notes, etc. shall be uploaded on the private space allotted for each trainee (user). Curriculum remains exactly the same as in onsite course. Q & A, queries, exercises shall be answered by instructor via internet over delayed time.
• Timings:
• Flexi-time (course to be covered over three months).
• Premises:
• Risk Latte Office Premises
• Course Fee:
• US$3,000 (USD Three thousand) per person.

Curriculum: The following curriculum shall be followed for the course by making extensive use of Excel spreadsheets and VBA

Module 1

Excel Advanced User Defined Functions and Problem Solving

• Overview and use of Mathematical & Statistical Functions
• Factorial functions and Probability Distribution functions;
• Financial, logical and date functions;
• Handling arrays in Excel and array manipulation;
• Matrix operations and solution of linear equations;
• Data Analysis and advanced tools - Regressions, analysis of variance, random number generations, goal seek and using solver;
• Logical and mathematical operations and control structures in Excel;
• Writing code in Excel;

Module 2

VBA Essentials and Code Writing

• Visual Basic Editor and VBE window;
• Using Project Explorer window and setting VBE options;
• Entering code, running procedures and organizing procedures in Modules;
• Simple Code writing and debugging code, debugging VBA code and errors;
• Assignment, logical and mathematical operators;
• Working with Text, message box and input box functions;
• Working with arrays and array manipulation;
• Variables and Data types and Data manipulation;
• Branching, control structures, Subroutines and the structure of Sub procedures;
• Functions and structure of Function procedures
• VBA debugging tools;

Module 3

Quantitative Modelling Foundations

• Matrix Power, Arrays and Matrix Operations - VCV Matrix, Correlation Matrix and Dollar VCV Matrix;
• Cholesky Factorization and Principal Components Analysis - estimation of eigensystem matrix;
• Closed form vanilla option valuation functions, Implied Volatility function and numerical integrals;
• Bond payoff functions and bond pricing using Transitions matrices;
• Single asset Monte Carlo simulation in Excel and VBA;
• Multi-asset Monte Carlo simulation in Excel and VBA;
• Cox-Ross-Rubenstein (CRR) tree for equities and FX in Excel and VBA;

Module 4

Quant Modelling for Derivatives using Excel + VBA

• Generating Short rate trees with optimization parameters - Black-Derman-Toy (BDT) tree, Hull-White tree, CIR tree and other lognormal trees;
• Asset path Simulation using Poisson and Gamma distributions;
• Vanilla option pricing using Binomial Distribution, Monte Carlo simulation and Closed form models;
• Exotic option pricing (asian, barrier, digital, lookback, range and chooser) using numerical techniques;
• Exotic multi-asset option pricing (rainbow, basket, correlation, best of and worst of, etc.) using numerical techniques;
• Pricing of vanilla and exotic caps and floors using numerical techniques;

Module 5

Product and Term Sheet Pricing using Excel + VBA
Around 50 to 60 live term sheets will be priced in Excel + VBA

• Pricing FRNs and inverse FRNs and Accumulators;
• Vanilla and exotic range accrual notes and swaps, CMS spread notes and swaps, and other structured swaps;
• Snowball, snowblade, ratchet and other exotic interest rate notes;
• Variance and volatility swaps, asset swaps and Libor in arrears swap;
• Index linked bull-bear, barrier, digital, Asian, lookback and chooser equity notes;
• Power reverse dual currency note, cliquet notes, KIKO notes

Module 6

Excel Models for Portfolio Optimization

• Solution of a system of linear equations using Matrix algebra;
• Generating efficient frontier for portfolios using constrained optimization and Lagrangian multiplier;
• Sharpe's algorithm to estimate the efficient frontier and mean-variance analysis;
• Portfolio allocation models using Solver and user defined optimization function;
• Algorithmic Trading models and optimization of marginal contribution of risk;
• Optimization of VaR and risk capital allocation for trading and investment.

Batch Size: The batch size will not be more than 20 persons for onsite course, & 30 persons for online course.

                 9/F Somptueux Central | 52 - 54 Wellington Street | Central | Hong Kong
                 Phone:+852 3752 0619             Fax: +852 3752 0662
                 Email: team@risklatte.com         Web: www.risklatte.com

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 3752 0619