Pricing, valuation of derivative products (S1223)

Duration

4,00 hours(s)

Language(s) of service

Next session

Who is organizing this training?

Le Luxembourg Lifelong Learning Centre (LLLC) est le centre de formation continue de la Chambre des salariés. Il dispose aujourd’hui d'une large gamme de formations continues qui s’adresse à un large public. Son offre de formation continue a pour but de: permettre aux professionnels d’optimiser leurs chances de promotion et d’évolution en entreprise, etc.

Who is the training for?

This program is dedicated to professionals of the financial markets : traders, back/middle office and risk managers.

Prerequisites

The participants have a basic knowledge in maths (simple equations, log and eexp functions) and statistics (mean, standard deviation, "normal", or Gauss distributions), as well as a basic knowledge of derivative products (forwards, futures, swaps, options, CDS).

Goals

This program aims evidencing in a clear way, without focusing on pure mathematical developments, the fundamentals of derivatives prices, hypotheses and limits of usual methodologies, with real market examples.

Fundamental principles and tools for valuing derivative products:
- the major role of the yield curve and corresponding forward prices.
Pricing/valuation of unconditional derivatives (forwards, futures, swaps):
- on stocksand stock indexes;
- bonds & interest rates;
- currencies;
- commodities.
Pricing/valuation of conditional derivatives (options):
- in a contingent environment ("random walk", volatility);
- on stocksand stock indexes;
- bonds & interest rates;
- currencies.
Pricing/valuation of credit derivatives.