מודלים כמותיים למדידה וניהול סיכונים

Quantitative Analysis

בימי ראשון

בין השעות 14:00-19:00

02/09/2001-09/09/2001-16/09/2001

מלון שרתון תל אביב

מרצה עיקרי: צבי וינר.

Major topics:

Introduction, deterministic methods. Stochastic methods. Monte Carlo. Advanced methods for derivatives.

Specific topics:
Linear algebra: vectors, matrices, operators, quadratic forms, scalar product, determinants, eigenvectors. Calculus: Taylor series, gradient, Hessian, duration, convexity, delta and delta-gamma dynamic hedging, bisection method, implied volatility, smile, interpolation, fitting, measuring term structure of interest rates, splines, numerical, differentiation. Random variables: mean, variance, correlation, basic distributions, Markov process, credit migration, Brownian motion, basic assumptions of Black-Scholes model, Ito's lemma, mean reverting behavior of interest rates. Value-at-Risk (VaR) and coherent risk measures. Black-Scholes formula, Black-Scholes equation, numerical methods. Numeraire approach, binomial trees for pricing contingent claims, Monte Carlo approach, variance reduction, examples of simple and exotic options.  

Downloads of Key presentations

• 02/09/2001
• 09/09/2001
• 16/09/2001