• Option Pricing using Black 76, BSM 73, Binomial Tree, and Bachelier Models
• Vanilla Option Pricing using Geometric Brownian Motion
• Pricing equity based exotic options such as Barrier Options, Digital Options, Double Knock-In, Double Knock-Out Options, One Touch, No Touch, Double One-Touch, Double No-Touch Options, and Look back options

• Credit Default Swap (CDS)
• Credit Default Swap Index (CDX)

• Bootstrapping of the Interest Rate Curves such as LIBOR, OIS, and SOFR.
• Pricing of Vanilla IR products such as Interest Rate Swap (IRS), SOFR Swaps, Total Returns Swap (TRS), Caps & Floor, and Zero-Coupon Swaps.
• Pricing of Exotic IR products such as SOFR Swaptions, SOFR Cancellable Swaps, IR Digital Options, and Brazilian Swap

• FX options pricing using Delta Conversion and Vanna-Volga methods
• Pricing of FX Vanilla products and Exotic products such as FX digital, Barrier and Quanto options

• Computation of option sensitivities (Delta, Gamma, Vega, Rho, Nu)
• Volatility SWAP and Variance SWAP

• Introduction to inflation and Commodity derivatives

• Introduction to CVA/DVA and CVA/DVA Computation
• Introduction to collateralized CVA/DVA and Collateralized CVA/DVA Computation

• Introduction to Value-at-Risk using different approaches such as VAR-COVAR, Historical Simulations, Monte Carlo Simulations approach
• Expected Shortfall

• Introduction to SABR
• Introduction to Local Vol Models
• Introduction to Heston

• Introduction to Hull-White 1F Model and Hull-White 2F Model
• Introduction to Vasicek Model

• Fixed Income Products and Analysis: Yield. Duration, and Convexity
• Introduction to Probabilities theory and Probability Distributions
• Introduction to Matrix Algebra
• Calculus, Taylor Series, Differential Equations
• Partial Differential Equations (PDE)
• The Binomial Model
• Elementary Stochastic Calculus
• Black Scholes Fomulae and the “Greeks”

• Pricing of Exotic and Complex Equity based derivatives such as Shark Fin Option, Best of Call, Worst of Call, Best of Put, Worst of Put, Accumulators, Standard Phoenix Options, Phoenix Option Bond, Forward Starting Options, Asian basket options etc.
• Model Validation Aspects – A detailed Quant Based Testing Approach

• Pricing of Credit Default Swaptions (CDOs), and Credit Default Swap Index Option (CDXOs)
• Model Validation Aspects – A detailed Quant Based Testing Approach

• Bootstrapping of IR curves such as Cross-Currency curves, and Cheapest to Deliver Curves.
• Pricing of Exotic IR products such as Mark to Market Cross Currency Swap, Snowball, Snowbear, Thunderball, Constant Maturity Swaps based products.
• Model validation aspects – A detailed Quant Based Testing Approach

• Pricing of Exotic FX products such as Target Redemption Forward, and Power Reversal Dual Currency (PRDC) Swaps.

• Pricing of Exotic and Complex Volatility Products such as Corridor Variance SWAP, Cross Corridor Variance SWAP, Knock Out Corridor Variance SWAP, and Gamma SWAP

• Pricing of Exotic Inflation Products such as Zero-Coupon Inflation Caps and Floor, Year on Year Inflation Swap, Year on Year Inflation Caps and Floor and Limited Pricing Index (LPI) Swaps.
• Pricing of Vanilla Commodity derivatives such as Commodity Forwards, Swaps, and Options

Pricing of Vanilla Commodity derivatives such as Commodity Forwards, Swaps, and Options

• Assumptions & Limitations of PFE models
• PFE based Validation testing such as PFE benchmarking, PV benchmarking, Monte-Carlo Convergence Test, Martingale Test etc.
• PFE backtesting Analysis based on Overlapping and Non-Overlapping periods
• Risk Factor based backtesting
• Risk Factor based validation testing
• Risk Not in PFE (RNIP)

• VaR implementation using Historical Simulation and Full Revaluation approach
• VaR Implementation using Sensitivity Approach
• VaR backtesting analysis using traffic light approach
• Time Series Stationary Testing
• Risk Not In VaR (RNIV)

• Construction of Local Vol Surface from Implied Market Vols
• Estimation of SABR parameter for Caps and Swaption Vols
• Round Trip Test, Test of Arbitrage etc.
• Implementation of Cap Stripping mechanism

• HW1F and HW2F Calibration and Simulations Construction to HW2F Calibration
• Benchmarking of IR models, Boundary Condition test, Parameter Stability and Sensitivity test, Put Call Parity test etc.

• Market Risk Stress Testing
• MRWA – General Market Risk Capital Charge Computation for all Asset Classes.

• Overview of Numerical Methods
• Finite-differences Methods for One Factor models
• Monte Carlo Simulations
• Numerical Integration