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Course Outline
Day 1: Marriage of Math and Finance
Quadratic Equations
IRR paradox
Geometric Series
Value of annuity
Dividend Model of Firm
Price of Perpetual Bond
Recursion, Iteration and Feedback
Rate of Return of Stock
Chaos and Mean Reversion in Finance
Concept of e
Present and future Value
Discrete vs Continuous time Finance
Continuous Compounding
Binomial Theorem
Role in options
Financial Sensitivity Analysis
Binomial proof of Continuous Compounding
Financial probability from a deterministic framework
Logarithms
Asset Growth Rates
Day 2: Calculus Made Easy
Search For Relative Growth
Simple Differentiation: Binomials Revisited
Geometric Interpretation
Illustration: Duration of a Bond & Beginnings of convexity
Derivative of EXP (x) and LN(x)
Chain Rule: Duration Revisited
Differential Equations
Forward Contract and Black & Scholes PDE
The Delta and Gamma of Things
Day 3: More Calculus and Elements of Statistics
The Taylor Series
Series Expansion
Role in Numerical Techniques
Approximating Price Change in Bonds
Hedging a Bond Portfolio
Binomial Expansion Validation
Role in Black and Scholes Formulation
Statistics: Fundamentals
Discrete and Continuous Distributions
Expected Value
Variance
Correlation
Central Limit theorem and The Normal Distribution
Moment Generating Function
Rate of Return of Asset in Uncertain World
Elements of Portfolio Theory
Minimum Variance Portfolio
Day 4:
Multivariate Functions
Lagrange Multiplier
Optimization With Constraints
ABCs of Option Pricing
Binomial Approximation: Algebraic Details
Option Valuation: The Neutral Hedge
The Risk Neutral World
Day 5: Black & Scholes Made Easy
Stock Dynamics
Sensitivity Analysis
The Greeks
Risk of Options VS Risk of Underlying Asset
BENEFITS FOR PARTICIPANTS:
THIS COURSE WILL COVER ALL THE MATH SKILLS NEEDED IN FINANCE.
PARTICIAPNTS WILL LEARN HOW TO VALUE BASIC FINANCIAL
INSTRUMENTS AND HOW TO FIND COMMON RISK MEASURES.
OPTIMIZATION AND PORTFOLIO CONSTRUCTION WILL BE ILLUSTRATED
WITH AND WITHOUT CONSTRAINTS. BASIC STATISTICS WILL BE
EXPLORED. OPTION PRICING MODELS WILL BE FEATURED AND APPLIED.
TYPE OF ATTENDEES:
THIS COURSE IS MOST BENEFICIAL TO FINANCIAL ANALYSTS, RESEARCH
ANALYSTS, AND ALL THOSE WHO WOULD LIKE TO UNDERSTAND THE
BASICS OF FINANCE WITH MATHEMATICAL ILLUSTRATIONS. THIS IS A
MUST COURSE FOR ALL WHO WOULD LIKE TO ATTEND ADVANCED
SEMINARS.
Other Seminars:
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