FINANCIAL MATHEMATICS

 

Course Outline

Day 1: Marriage of Math and Finance

Quadratic Equations
IRR paradox

Geometric Series
Value of annuity
Dividend Model of Firm
Price of Perpetual Bond

Recursion, Iteration and Feedback
Rate of Return of Stock
Chaos and Mean Reversion in Finance

Concept of e
Present and future Value
Discrete vs Continuous time Finance
Continuous Compounding

Binomial Theorem
Role in options
Financial Sensitivity Analysis
Binomial proof of Continuous Compounding
Financial probability from a deterministic framework

Logarithms
Asset Growth Rates


Day 2: Calculus Made Easy

Search For Relative Growth
Simple Differentiation: Binomials Revisited
Geometric Interpretation
Illustration: Duration of a Bond & Beginnings of convexity
Derivative of EXP (x) and LN(x)
Chain Rule: Duration Revisited
Differential Equations
Forward Contract and Black & Scholes PDE
The Delta and Gamma of Things

Day 3: More Calculus and Elements of Statistics

The Taylor Series
Series Expansion
Role in Numerical Techniques
Approximating Price Change in Bonds
Hedging a Bond Portfolio
Binomial Expansion Validation
Role in Black and Scholes Formulation

Statistics: Fundamentals
Discrete and Continuous Distributions
Expected Value
Variance
Correlation
Central Limit theorem and The Normal Distribution
Moment Generating Function
Rate of Return of Asset in Uncertain World
Elements of Portfolio Theory
Minimum Variance Portfolio


Day 4:
Multivariate Functions
Lagrange Multiplier
Optimization With Constraints

ABCs of Option Pricing

Binomial Approximation: Algebraic Details
Option Valuation: The Neutral Hedge
The Risk Neutral World


Day 5: Black & Scholes Made Easy

Stock Dynamics
Sensitivity Analysis
The Greeks
Risk of Options VS Risk of Underlying Asset


BENEFITS FOR PARTICIPANTS:


THIS COURSE WILL COVER ALL THE MATH SKILLS NEEDED IN FINANCE.
PARTICIAPNTS WILL LEARN HOW TO VALUE BASIC FINANCIAL
INSTRUMENTS AND HOW TO FIND COMMON RISK MEASURES.
OPTIMIZATION AND PORTFOLIO CONSTRUCTION WILL BE ILLUSTRATED
WITH AND WITHOUT CONSTRAINTS. BASIC STATISTICS WILL BE
EXPLORED. OPTION PRICING MODELS WILL BE FEATURED AND APPLIED.

TYPE OF ATTENDEES:
THIS COURSE IS MOST BENEFICIAL TO FINANCIAL ANALYSTS, RESEARCH
ANALYSTS, AND ALL THOSE WHO WOULD LIKE TO UNDERSTAND THE
BASICS OF FINANCE WITH MATHEMATICAL ILLUSTRATIONS. THIS IS A
MUST COURSE FOR ALL WHO WOULD LIKE TO ATTEND ADVANCED
SEMINARS.
 

Other Seminars: