Academic Training Lecture Regular Programme
Mathematics, Pricing, Market Risk Management and Trading Strategies for Financial Derivatives (1/3)
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Europe/Zurich
500/1-001 - Main Auditorium (CERN)
Description
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
Organised by
Maureen Prola-Tessaur