Implementing Fundamental Quantitative Techniques

In a complicated financial world a detailed understanding of the application of quantitative techniques is essential. This course provides an in-depth coverage of practical quantitative methods important in today's financial markets.

Course Objectives

To provide practitioners with a practical understanding of how a range of tools can be used to manage, analyse and price financial instruments. Participants will study:

• Principal components
• Duration and the impact of convexity
• Methods of interpolation, their uses and limitations
• Regression techniques
• Implementing Monte Carlo simulations
• Binomial and trinomial tree building
• How to model assets and price derivatives in continuous time

Dr Simon Acomb has over 20 years experience in quantitative finance. He started his career in finance at Barclays deZoete Wedd in 1992 in the Equities Derivatives Group and progressed to run the quantitative research team. This was followed by five years at Commerzbank where he established a derivatives proprietary trading team and then became head of the equity quantitative research group. Most recently Simon has been a managing director at Morgan Stanley as global head of the Equities Analytic Modelling Group. He now works as a consultant and trainer in mathematical finance.