2009 ACADEMIC TRAINING
LECTURE SERIES
28, 29, 30 October 2009
11:00 -12:00 – Main Auditorium, bldg. 500-1
Mathematics, Pricing, Market Risk Management and Trading Strategies for Financial Derivatives
B. Lynn / CERN Theory Department, ex-Merrill Lynch MD, B. Coffey / VTB Bank, London
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:
- $ Government Bonds, Interest Rate (IR) Curves, Continuous IR
- Domestic ($) 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.
by HR Department