Theoretical Background

• Introduction to Interest Rate, Bond Pricing using DCF
• Term structure, and Concepts of Bootstrapping

Excel Implementation

• Application of Bootstrapping of LIBOR 3M and EURIBOR 6M
• Discussion on Euro Dollar Future, Future Vs Forward
• Application of Bootstrapping of SOFR Curve
• Discussion on LIBOR Cessation, Term SOFR Vs Compounding SOFR

Excel Implementation

• Concept of CSA, and Application of Bootstrapping of CSA and CTD Curve

Theoretical Background

• Introduction to Limits, Continuity, Differentiability, Integration Theory
• Introduction to Sequences and Series, Convergence, Divergence

Excel Implementation

• Introduction to Interest Rate Swap, SOFR Swaps with daily compounding

Theoretical Background

• Law of One price
• No Arbitrage Principal
• Put-Call Parity
• Fair value, Replicating Portfolio, and synthetic forwards
• Bull Spread, Bear Spread, Butterfly Spread

Excel Implementation

• Understanding of CIP, Application of Bootstrapping of Dual Currency Curve
• Application of Bootstrapping of Tenor Basis Curve"

Excel Implementation

• Introduction to the pricing of a Cross Currency Swap
• Pricing of an MTM Cross Currency Swap

Theoretical Background

• Probability Spaces,
• Random Variables, Expectations,
• Lebesgue Integration, CDF, PDF,
• Central Limit Theorem,
• Strong and Weak Law of Large Numbers"

Theoretical Background

• Change of Measure, Conditional Expectation, Independence, Martingale, Markov property
• Binomial Tree and pricing of an options (Discrete time model)"

Theoretical Background

• Random Walk,
• Brownian Motion,
• Log normal as the limit of Binomial model,
• Quadratic variation,
• Properties of GBM,
• Reflection Principle"

Theoretical Background

• Ito Lemma,
• Stochastic Integrals,
• SDE,
• Deriving BSM PDE, Solving SDE by Ito calculus

Theoretical Background and Excel Implementation

• Girsanov Theorem,
• Feynman-Kac theorem (connection between SDE and PDE),
• Risk Neutral Pricing,
• Deriving BS Pricing Formula,
• Pricing Options with underlying paying dividends"

Theoretical Background and Excel Implementation

• Sampling from uniform,
• Probability Integral Transformation
• Importance Sampling
• Marsaglia-Bray Algorithm,
• Antithetic and Control variate sampling,
• Implied Vol Surface

Excel Implementation

• Pricing of Equity based derivatives such as Equity Options, Equity Forwards using Black 76 model in excel
• Stopping times, Pricing of European Option using Monte Carlo Simulations in excel
• Calculation of Equity Option sensitivies

Excel Implementation

• Equity Digital Options,
• Barrier Options - knock In, Knock Out,
• Asian Option,
• Equity Option using American Monte Carlo Simulations

Theoretical Background and Excel Implementation

• Foreign, Domestic risk-neutral measures
• Forward measures

Theoretical Background and Excel Implementation

• Garman Kolhagen formula - Delta Conversion strategy for pricing FX options
• Calculation of FX sensitivites
• FX Digital Options
• FX Barrier Options

Theoretical Background and Excel Implementation

• Pricing of SOFR Swaptions,
• Cancellable Swaps, and
• Bermudan Cancellable Swaps
• Caps & Floor

Theoretical Background and Excel Implementation

• Introduction to CDS and its pricing using ISDA Fair value model
• Introduction to CDX and its pricing using JP morgan methodology
• Introduction to Credit Linked Note (CLN)

Theoretical Background and Excel Implementation

• Introduction to CVA and DVA and its pricing

Theoretical Background and Excel Implementation

• Introduction to Inflation derivatives
• Bootstrapping on an Inflation Index (Seasonality adjusted)