SYLLABUS
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Financial modeling: option, swaps
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1 INTRODUCTION
Contents
1 INTRODUCTION
1.1 How to study this course at 3 levels: the meaning of
1.2 Capital and markets
1.3 The risk and return from conventional assets
1.4 Modern portfolio theory and basic risk management strategies
1.5 Historical data and modeling
1.6 Computer quiz
1.7 Exercises
1.8 Further reading and links
1.9 Quick intermediate evaluation form
2 A VARIETY OF SECURITIES
2.1 The stock market and its derivatives
2.2 The credit market and its derivatives
2.3 Convertible bonds
2.4 Hedging parameters, portfolio sensitivity
2.5 Computer quiz
2.6 Exercises
2.7 Further reading and links
2.8 Quick intermediate evaluation form
3 FORECASTING WITH UNCERTAINTY
3.1 Option pricing for dummies
3.2 Simple valuation model using binomial trees
3.3 Improved model using stochastic calculus
3.4 Hedging an option with the underlying (Black-Scholes)
3.5 Hedging a bond with another bond (Vasicek)
3.6 Computer quiz
3.7 Exercises
3.8 Further reading and links
3.9 Quick intermediate evaluation form
4 EUROPEAN OPTION PAYOFF DYNAMICS
4.1 Plain vanilla stock options
4.2 Exotic stock options
4.3 Methods for European options: analytic formulation
4.4 Methods for European options: finite differences (FD)
4.5 Methods for European options: Monte-Carlo sampling (MCS)
4.6 Computer quiz
4.7 Exercises
4.8 Further reading and links
4.9 Quick intermediate evaluation form
5 BONDS, SWAPS AND DERIVATIVES
5.1 Discound bonds
5.2 Credit derivatives
5.3 Methods for bonds and derivatives: finite elements (FEM)
5.4 Computer quiz
5.5 Exercises
5.6 Further reading and links
5.7 Quick intermediate evaluation form
6 AMERICAN OPTION PAYOFF DYNAMICS
6.1 American stock options
6.2 Methods for American options: finite elements (FEM)
6.3 Computer quiz
6.4 Exercises
6.5 Further reading and links
6.6 Quick intermediate evaluation form
7 EXTREMAL EVENTS
7.1 Basel accord on banking
7.2 Value at risk (VaR)
7.3 Copulas for risk management
8 MULTI-FACTOR MODELS
8.1 Principal components analysis
8.2 Martingales and measures
8.3 Two factor models
9 LEARNING LABORATORY ENVIRONEMENT
9.1 Typesetting with TEX
9.2 Programming in JAVA
9.3 VMarket parameters and preset in HTML
9.4 Quick intermediate evaluation form
10 APPENDIX
10.1 Glossary of keywords
10.2 Notation and symbols
10.3 Final interactive evaluation form