Advanced Financial Computing using EXCEL

Theme

Key Topics

Introduction

 

GARCH (1,1)

Model, Excel Implementation

Finite Difference Methods

Difference Equations, Excel Implementation, Crank–Nicholson Scheme

Mean Variance Optimization

Portfolio Selection, Excel Implementation

Newton Raphson Method

Newton–Raphson Method for Systems of Equations

Yield Curve Construction

Cubic Spline Interpolation, Excel Plus VBA Implementation

Binomial Option Pricing Model

Risk-Neutral Option Pricing, Binomial Tree

Black Derman Toy

Term Structure Model, Black–Derman–Toy Tree

Monte Carlo Option Pricing

Monte Carlo Method, Risk-Neutral Valuation, Exotic Options, American Options

Portfolio Value at Risk

Portfolio Risk Simulation, Multiple-Asset Portfolios, Historical Simulation, Drill Down of Portfolio Risk

Hull White Model

Trinomial Tree, General Hull–White Model, Implementation

Credit Metrics

Model, Asset Valuation Framework, Monte Carlo Simulation

KMV Merton

Model of Credit Risk

Note - Course content and topics to be covered in the training can be customized as per requirement for Corporates.

Faculty profile

FEES for Corporates

Based on the syllabus, contents and other requirements for the corporate training, scope with detailed inclusions and exclusions along with the fee will be shared.