|
Session |
Concepts |
Time |
Week |
|---|---|---|---|
|
Session 1 |
Introduction to term structure and Concepts of Bootstrapping |
2 – 2.5 Hours |
Week 1 |
|
Session 2 |
Bootstrapping of EURIBOR 6M and 3M |
2 – 2.5 Hours |
Week 1 |
|
Session 3 |
Bootstrapping of Dual Currency Curve USD-EUR, USD-CAD OIS curves |
2 – 2.5 Hours |
Week 2 |
|
Session 4 |
Bootstrapping of Cheapest to Deliver Curves |
2 – 2.5 Hours |
Week 2 |
|
Session 5 |
Pricing of Equity based derivatives such as Equity Options, Equity Forwards using Black 76 model |
2 -2.5 Hours |
Week 3 |
|
Session 6 |
Pricing of Equity based derivatives such as Equity Options, Equity Forwards using Geometric Brownian Motions (GBM) |
2 -2.5 Hours |
Week 3 |
|
Session 7 |
Valuation of American Options using Monte Carlo and Binomial Tree |
2 – 2.5 Hours |
Week 4 |
|
Session 8 |
Valuation of Equity Total Return Swaps, Equity Digital Options, and Look back options |
2 – 2.5 Hours |
Week 4 |
|
Session 9 |
Valuation of Interest Rate Caps and Floor (SOFR) |
2 – 2.5 Hours |
Week 5 |
|
Session 10 |
Valuation of Swaptions (SOFR) |
2 – 2.5 Hours |
Week 5 |
|
Session 11 |
Valuation of FX Options using Garman Kohlhagen model (Delta Conversion) and Valuation of FX Forwards |
2 – 2.5 Hours |
Week 6 |
|
Session 12 |
Valuation of Interest Rate Swaps (IRS) and Cross Currency Swaps |
2 – 2.5 Hours |
Week 6 |
|
Session 13 |
Valuation of Credit Default Swaps using JP morgan model |
2 – 2.5 Hours |
Week 7 |
|
Session 14 |
Bootstrapping of Inflation Index |
2 – 2.5 Hours |
Week 7 |
|
Session 15 |
Continuation of Bootstrapping of Inflation Index |
2 – 2.5 Hours |
Week 8 |
|
Session 16 |
Introduction to Value at Risk and different methods to calculate VaR |
2 – 2.5 Hours |
Week 8 |
|
Session 17 |
Implementation of Historical Simulation Approach for calculating VaR using for an equity option |
2 – 2.5 Hours |
Week 9 |
|
Session 18 |
Introduction to CVA, DVA and their respective computation |
2 – 2.5 Hours |
Week 9 |
|
Session 19 |
Computation of Interest sensitivities and computation of Option Greeks |
2 – 2.5 Hours |
Week 10 |
|
Session 20 |
Introduction to the Model Validation Aspects on VaR models |
2 – 2.5 Hours |
Week 10 |
|
Session 21 |
Introduction to IR VOL models and Rates models such as SABR, Vasicek, and Hull White |
2 – 2.5 Hours |
Week 11 |
|
Session 22 |
Introduction to Quantitative Mathematics |
2 – 2.5 Hours |
Week 11 |