Computational finance for quants

Friday 09 de july 2010
Distrito Federal - Hotel Crowne Plaza
Tuesday 22 de november 2011
Distrito Federal - Club Piso 51 Torre Mayor,
Monday 14 de may 2012
14, 16, 19, 21, 23, 26, 28, 30 y 2, 18, 19, 20, 21, 23 de Junio de Junio
Distrito Federal - Conference Center Torre Mayor
Temario

Módulo I:

  1. INTRODUCCIÓN A MATLAB®
  2. TEORÍA DE NÚMEROS ALEATORIOS
  3. VOLATILIDAD Y CORRELACIÓN EN MATLAB
  4. MÉTODOS NUMÉRICOS PARA LA VALUACIÓN DE OPCIONES
  5. FIXED INCOME
  6. INTEREST RATE OPTIONS
  7. ANÁLISIS DE PORTAFOLIOS

Módulo II:

  1. Binomial Trees
  2. Montecarlo simulations
  3. Pricing a basket of non-path dependent options, Pricing asian options, Pricing path dependent options using lattice methods
  4. Implied Trees using market prices.
  5. Implementation of a variance swap using market prices and calculating the VIX index
  6. Time series analysis and dealing with real high frequency data and market microstructure
  7. Lee and Ready algorithm, Model for price changes, Duration models
  8. Vwap & Twap strategies