Mathematics, Pricing, Market Risk Management and Trading Strategies for Financial Derivatives (1/3)

by Brian Coffey (VTB Bank, London), Bryan Lynn (CERN Theory Department, ex-Merrill Lynch MD)

Wednesday 28 Oct 2009, 11:00 → 12:00 Europe/Zurich

500/1-001 - Main Auditorium (CERN)

Abstract: An introduction to the mathematics and practicalities of market trading and risk management for financial derivatives, the course will focus on examples from the short-term and long term Foreign Exchange (FX) and Interest Rate (IR) derivatives markets. Topics: - Government Bonds and IR Curves - Stochastic FX, Black-Scholes Vanilla FX Options and Martingales - Risk Management and Market Trading for Vanilla FX Options, Market Implied Volatility, Valuation and Risk Management, Market Trading Strategies - Stochastic IR Curves and Implied Volatility, IR Derivatives - Long Term FX Options: Interaction of Stochastic FX and Stochastic IR Vanilla Foreign Exchange (FX) Options - Dollar Government Bonds, Interest Rate (IR) Curves, Continuous IR - Domestic (dollar) and Foreign (Yen) Government Bonds, IR curves - Stochastic Spot FX, Forward FX: Ito processes for $ and Yen Investors - Black-Scholes Vanilla FX Options, Connection to Heat/Diffusion Equation - Stochastic Differential Equations with Martingales

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Slides FinancialDerivatives_CERNAcademicTraining_28Oct09.pdf FinancialDerivatives_CERNAcademicTraining_28Oct09.ppt

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