To ensure we meet your expectations and maximise your return on training investment, we favour a classroom/workshop set up for the delivery of our courses. Please note we have therefore limited number of spaces available and these will be assigned on a first come, first accepted basis. We recommend early booking to avoid disappointment.

“Obtain a comprehensive understanding of Monte Carlo applications to derivatives pricing…”

How will you benefit?

Monte Carlo simulation represents the most effective method at present for the valuation of options and risk management of complex derivatives portfolios, but in order to fully grasp the implications of pricing the instruments, a practical workshop is mandatory. This PC-based two-day course will progress from extensions to the basic Monte Carlo Method, through the valuation of American and Bermudan options, to advanced Monte Carlo implementations.

The course is set at an advanced level. Applications will be mainly aimed at derivatives pricing with applications in VBA or C++. Lecture sessions will be supported by practical PC-exercises in which you will gain experience on the characteristics of alternative methods. Code used throughout the course will be made available for you to take back when returning to your organisation.

Full implementations are supplied for the key Monte Carlo methods in VBA or C++. You will be able to make comparisons between different implementation techniques including trade-offs between cost and speed, performance and maintenance. Advanced topics that will also be discussed include serialization and implications for object instantiation and extendibility to new option contracts.

• Understand Monte Carlo simulation and speed-up methods such as control variates and importance sampling

• Learn how to sample from standard processes like GBM and OU processes, difficult processes such as CIR, and multifactor models such as Heston

• Evaluate the effectiveness of speed-ups for different option types

• Grip and comprehend how to extend the simple Monte Carlo method by looking at: Stochastic volatility and multi-factor models; correlation amongst other elements

• Optimise extended applications of Monte Carlo simulation

• Compare methods in the valuation of American and Bermudan options

• Explore advanced Monte Carlo applications

• Apply Monte Carlo to value multiple options simultaneously, with individual tailored speed-ups

About your expert trainer:

Dr. Nick Webber is the Reader in Finance at the University of Warwick. Before taking up this position, he was Professor of Computational Finance at City University. Prior to taking a PhD in Theoretical Physics at The Imperial College, and working in academia, he worked for a number of years in industry.

His chief research interest is in interest rate modelling and computational finance. He has developed fast computational methods for Monte Carlo and lattice implementations. Dr. Webber is a frequent speaker at academic and industry conferences and the author of various publications on aspects of modelling and computational finance. He is the author of two upcoming books on computational finance in VBA and C++.

Pre-course questionnaire:

A detailed questionnaire will be sent to all course participants to establish exactly where the group training needs lie. The completed forms will be analysed by the course leader/trainer and followed by telephone if further clarification is required. As a result we can guarantee that the course is pitched at exactly the right level and that the issues that you regard as relevant are addressed. The course material will reflect these issues and will enable you to digest the subject matter after the event in your own time.

Who should attend?

From Financial Institutions, Investment Banks, Hedge Funds and Pension

Funds, Consultancy Groups and Solution Providers

• Quantitative Analysis, Research & Development

• Interest Rate Derivatives & Equity Derivatives

• Derivatives Products

• Financial Engineering

• Derivatives Structuring, Valuation & Trading

• Exotic Products Pricing

• Market Risk Analysis

• Borrowing & Derivatives Middle Office

• Proprietary Trading

• Model Development & Validation

• IT Derivatives Support