Build It in a Day: Derivative Pricing Programming: Part 2

Workshop Info

Derivative Pricing Programming: Part 2
The workshop continues the derivative pricing programming with exotic options, first with barrier options and introduces an important discretization correction for continuous single and double barriers. Furthermore, auto-callable structures and target accrual redemption notes (TARNs) are implemented. Finally, basket options are covered, ranging from options on the minimum or maximum to Napoleon and Himalaya 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.