Quantitative Finance Master Classes
Moving towards a Deloitte Quantitative Center of Excellence
The Deloitte Quantitative Master Classes are designed for in-depth training dedicated to practitioners: the world of quantitative finance applied to the real day-to-day world. The classes are addressing practical cases of implementation of real life problems. Check out the list of our upcoming sessions and the topics we will discuss.
1. Quantitative Finance Master Classes - Liquidity Risk for Investment Funds
9 March 2018
2. Quantitative Finance Master Classes - PRIIPS Analytics (SRI, Performance Scenarios and RIY)
20 April 2018
3. Quantitative Finance Master Classes - IFRS 9
30 May 2018
4. Quantitative Finance Master Classes - Financial Modelling in Derivative Instruments Valuation
28 June 2018
The purpose of the “Financial Modelling in Derivative Instruments Valuation” Quantitative Master Class is to provide you with relevant information on the modelling techniques used in derivatives valuation.
During this seminar, we will review the fundamentals of derivative pricing, including the principles of risk-neutral valuation. We will discuss common valuation models and their widely used numerical resolution techniques. In particular, we will cover:
- The Discounted Cash Flows method, applicable to instruments such as Interest Rate Swaps and Floating-Rate Notes; and
- The Monte Carlo simulation method and the Black-Scholes model, applicable to options valuation.
During this very practical session you will:
- Understand the difference between valuation models and numerical methods;
- Understand the intuition behind risk-neutral principles;
- Learn the impacts of credit risk and interest rate curves on Discounted Cash Flows method;
- Discover the building blocks of Monte Carlo simulation, in application to vanilla options pricing; and
- Practice yourself in building your own valuation spreadsheets, applied to two classes of common derivative instruments.
The Quantitative Master Class is designed to be highly interactive. You will have direct access to Deloitte’s team of quantitative finance professionals. The small group discussions throughout each session will allow you to share experiences with your peers.
Agenda - Financial Modelling in Derivative Instruments Valuation:
|8:45 – 9:00||Welcome Coffee|
|9:00 – 9:30||Review of participants objectives|
|9:30 – 10:30||Fundamentals of derivatives valuation
- Risk-neutral world
- Models vs. Numerical method
- Market data and calibration
|10:30 – 10:45||Coffee Break|
|10:45 – 12:15||Building principles of valuation techniques
- Discounted Cash Flows methods
- Monte Carlo simulation
- Black-Scholes model
|12:15 – 13:45||Networking lunch|
|13:45 – 15:15||Excel Workshop 1
Discounted Cash Flows method applied to:
- Interest Rate Swap
- Floating Rate Note
|15:15 – 15:30||Coffee Break|
|15:30 – 17:00||Excel Workshop 2
Black-Scholes model and Monte Carlo simulation applied to Plain Vanilla Options pricing
|17:00 – 17:30||Master Class closure (Final Q&A, Evaluation by participants, Closing Remarks)|
Note: The agenda may be subject to change depending on specific requests we receive from participants.
The presentation will be held in English.
5. Quantitative Finance Master Classes - Value-at-Risk
20 September 2018
6. Quantitative Finance Master Classes - Valuation of Private Debts and Loans
15 November 2018