Wim Schoutens Course - 25-26 September - London
Advanced Equity Models: Pricing, Calibration and
Monte Carlo Simulation
Day One: Advanced Equity Models
Workshop: Introduction to Matlab for Financial Applications
Shortfalls of the Black-Scholes Model
Jump Models (Variance Gamma and other Levy models)
Stochastic Volatility Models (Heston, Heston with jumps, Levy with stochastic Volatility)
Pricing European Options using Characteristic Functions and FFT techniques
Workshop: Matlab implementation of FFT pricing
Day Two: Calibration
Workshop: Matlab implementation of calibration algorithm
Monte Carlo Simulations Theory
Pricing European options using Monte Carlo simulation A perfect Calibration! Now What?
Workshop: PC-based implementation of Monte Carlo Simulations and Exotic
Option pricing (Matlab): Pricing of Barriers, Cliquets, reverse Cliquets, CPPIs, Asians, ...
At the end of the course delegates should have running on their machines
FFT pricer for vanillas for VG and/or Heston
Calibration algorithm for VG and/or Heston
Monte Carlo Pricers for VG and/or Heston for a range of exotic options
Cost: £1,495+VAT. (This course is free for CQF Alumni.) Contact James Dixon if interested in attending, email@example.com.
Location: 7city training centre, 4 Chiswell Street, London
About Wim: Wim Schoutens has a degree in Computer Science and a PhD in Science, Mathematics. He is a research professor in the Department of Mathematics at the Catholic University of Leuven, Belgium.
He is a regular independent consultant and trainer to the banking industry on equity modeling, s tructured products, credit derivatives, and other financial engineering problems.
His research interest cover all areas of financial Mathematics, in particular Lévy jump models. Wim is author of the Wiley book “Lévy Processes in Finance: Pricing Financial Derivatives” and editor (together with A.E. Kyprianou and Paul Wilmott) of the Wiley-book “Exotic Option Pricing and Advanced Lévy Models”.
He recently has published in leading journals on advanced equity models, model risk, hedging of variance swaps, jump-driven credit models, multivariate financial engineering, pricing and hedging of credit derivatives (CDSs, CDOs, CMS, CPPIs, CPDOs, ABSs , etc.)
He currently teaches several courses related to financial engineering in different Masters programs. He is a regular lecturer for the financial industry of in-house courses and public courses.