MoneyScience Financial Training
Course Length: 3 Days | Cost: £3000
This three-day course shows how to use the Finite Difference Method (FDM) to price a range of one-factor and many-factor option pricing models for equity and interest rate problems that we specify as partial differential equations (PDEs). We introduce and elaborate modern and robust finite difference methods that solve pricing problems and that remain stable and accurate for various combinations of input parameters, payoff functions and boundary conditions.
This course discusses all aspects of option pricing, starting from the PDE specification of the model through to defining robust and appropriate FD schemes which we then use to price multi-factor PDE to ensure good accuracy and stability. The contents of the course have been updated and revised to reflect new results and developments in the field.
Course Highlights
In general, you learn how to analyse, design and assemble finite difference schemes in computational finance applications. Some of the specific skills that you learn are:
- Define an unambiguous, water-tight PDE for an option model
- Get a real understanding of finite differences, from A to Z
- Know which schemes work and when
- Apply FDM to a wide range of option pricing models
- Learn robust and accurate algorithms
- Guidelines on implementation in C++, C#, parallel and GPUs
In short, you will learn the latest developments in this field and be able to use them immediately in your own work. Source code for the models is provided.
Prerequisites
Candidates should have a good background in mathematics and knowledge of financial derivatives.
What do you receive?
Full set of slides, CD with software and a copy of Daniel Duffy's book "Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach". You are invited to ask questions on your own specific applications as well.
The price includes coffee, tea, lunch and refreshments.
Who should attend?
This course has been developed so that you can use the theory to solve existing problems as well as applying the knowledge to the pricing of new financial instruments. In particular, the course is for professionals with a strong mathematical background:
- Financial engineers who design new pricing models
- Analysts and quants
- Other professionals who wish to understand and apply advanced numerical methods to derivatives pricing
Course Tutor
Daniel J. Duffy has BA (Mod), MSc and PhD degrees, all of which in mathematics and numerical analysis. He has been working with numerical methods on finance, industry and engineering since 1979. He has written four books on numerical methods and C++ for quantitative finance and he has developed a number of new schemes for this field as well as more than 20 years of training experience.
What have previous delegates said?
- "My expectations were topped; can go now and implement 3d models using splitting"
- "Really liked it. Very informative"
- "I would enthusiastically recommend this course to colleagues"
- "Excellent course"
