Curso de Derivatives: Special Topics (3 seminarios)
6 days: Module 1 Volatility. Basic definition of volatility and its common measures, i.e. historical volatility. The standard measures will then be compared to estimates obtained from derivatives, i.e. implied volatility. The forecasting power of historical versus implied volatility estimates will be discussed.Alternative statistical techniques to estimate and forecast. ARCH, GARCH and EGARCH models which radically alter the existing techniques for addressing the problem of changing volatility. Module 2 Derivatives Pricing with Numerical Methods The goal of this course is to cover the three most popular techniques for pricing and hedging complex derivatives: (1) lattices, (2) Monte Carlo simulation and (3) finite difference methods. Module 3 Credit Risk and Credit Derivatives . The goal of this two-day seminar is firstly to discuss the various ways in which credit risk can be modeled and how these models can be used to price various financial instruments subject to credit risk.
0031 20 5200160 Curso en tres seminarios independiente