Recruitment of participants Advanced Tools for Derivatives Valuation

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Advanced Tools for Derivatives Valuation​

Module 1: Exotic Options and Path Dependency

• Strong vs. weak path dependency
• Asian Options
• Barrier Options
• Exchange options
• Lookback options

Module 2: Overview of Numerical Methods

• Valuation techniques for path dependent options
• Monte Carlo basics
• Finite difference methods
• Numerical Integration

Module 3: Monte Carlo Methods for Derivatives Valuation

• Monte Carlo methods applied to discrete models
• Monte Carlo methods applied to continuous models
• Getting to the Greeks
• Techniques for accelerating convergence
• Pros and Cons of Monte Carlo techniques

Module 1: Finite Difference Methods: One Factor Models

• The fundamental PDE and boundary conditions
• Explicit finite difference methods
• Implicit finite difference methods
• Crank-Nicolson method

Module 2: Finite Difference Methods: Two Factor Models

• Explicit finite difference methods
• Alternating direction implicit method
• Hopscotch method

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