Build It in a Day: Derivative Pricing Programming: Part 1

Workshop Info

Derivative Pricing Programming: Part 1
The workshop introduces a valuation concept that generalizes the pricing of derivatives to both Monte-Carlo and tree models. Students will learn the theoretical foundation of forward state propagation and backward induction, and the implementation of these concepts in Python code using a generic approach that can be used for any model. Applications cover pricing of equity options with European and American style as well as Asian options.

September 27 – November 22 , 2024
Time for all workshops: 1:00 pm – 4:00 pm ET

These workshops offer the opportunity to experience risk management processes by building them. Examples include counterparty credit risk estimation, FAMA-French factor models, bank default modeling, risk management infrastructure at a lending company, the Fundamental Review of the Trading Book (FRTB), Comprehensive Capital Assessment and Review (CCAR). These major concepts are as much about their implementation as they are about their theoretical description; and organizations gain competitive advantage by effectively implementing these concepts. As a professional, a first step to adding value to this work at an organization is knowing how to build a simple version in a day.

How To Join a Session

Click on the Join a Session button at 1:00 pm ET on the day of your desired workshop. Each workshop ends at 4:00 pm ET.