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This unique course is specially designed to equip quantitative risk managers and specialist traders with a thorough understanding of stochastic calculus in derivatives and interest rate models. With a clear and concise systematic approach, this intensive two-day course will train delegates in the application of continuous time financial mathematics, which underpin advanced finance.

The expert course leader, Professor Steven E. Shreve, has received strong commendations from past delegates for his methodology and style which allow delegates to learn at a comfortable pace and pose questions to clarify difficult areas as and when necessary.

All fundamental concepts from the theory of stochastic calculus will be illustrated by worked examples so that as well as understanding highly technical articles, delegates will learn how to manipulate theory and apply their knowledge in their own organisations.
Course Highlights: 

• Systematic treatment of Brownian motion and It’s formula
• Discussion of the assumptions behind risk-neutral pricing
• Development of the connection between
stochastic calculus and partial differential
equations
• Exposition of foreign exchange models
• Derivation of the Heath-Jarrow-Morton noarbitrage condition
• Presentation of the fundamental idea behind
LIBOR market models
• Treatment of jump-diffusion models in option
pricing and hedging
Key Learning points

• A sound knowledge of mathematical terminology
• An in-depth understanding of foreign exchange modelling
• A thorough knowledge of the role of volatility in stochastic calculus
• A rigorous analysis of Brownian motion
• An examination of Heath-Jarrow-Morton model
• An enhanced ability to read finance literature
• Familiarity with forward measures
• Comprehension of Girsanov’s theorem and riskneutral measure
• Insights into stochastic integrals and Itτ’s formula for multiple processes

Working Knowledge:
Delegates should have a basic preparation in differential and integral calculus and some knowledge of probability

Incisive Media’s leading lights course series is a unique selection of advanced training courses, led by world-renowned academics. Each course provides delegates with the chance to learn at first-hand from some of the leading minds in finance.
 
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