Our Core Focus

• Pricing basic and exotic derivatives across various asset classes such as Equity, FX, Interest Rates, Volatility, Inflation, and Commodities.
• Demonstrating a comprehensive understanding of Value-at-Risk (VaR) and the intricate quantitative principles inherent in VaR models.
• Comprehending the S.A.B.R volatility models and Interest Rate (IR) models including their practical applications.
• Possessing knowledge of counterparty risk and the application of Credit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA).
• Introducing advanced quantitative concepts which are used across financial industry
• Exploring additional facets pertaining to the validation and development of models for Market Risk.

Program Highlights

• Execution of the option pricing using the black 76 model and the binomial tree model based on the practical market approach.
• Execution of Geometric Brownian Motion (GBM) process using Monte Carlo Simulations to derive Stock price and FX rates.
• SABR and Hull-White One Factor/Two Factor (HW1F/HW2F) calibration and simulations.
• Application of VaR using full revaluation and sensitivity-based approaches.
• Implementation of CVA/DVA and collateralized CVA/DVA along with the Simulation of Collateral Values using the concept of Brownian Bridge.
• Implementation of Cholesky Decomposition/Eigen Vector and Eigenvalues decomposition to correlate random numbers for pricing exotic options.
• Application of the Delta Conversion strategy and Vanna Volga method to value FX options.
• Mastery of the Local Volatility model to capture skew.