Quantitative Techniques in Equity
& Financial Derivatives Market
August 6-8, 2009
Introduction:
Indian Institute of Capital Markets (IICM) has been conducting professional development programmes for over one and half decades. Participants, from Indian and overseas financial markets, have been regularly attending various programmes. The programme on “Quantitative Techniques for Financial Markets” is going to be offered for the first time at the Institute.
In-house as well as experts from practice and academic world will also teach in this proramme.
Those who are working in financial services industry such as mutual funds, investment banks, primary dealers, treasury department of banks, and other similar Institutes could attend the programme to benefit.
Objectives:
The programme is expected to review various quantitative techniques used in financial markets.
It aims at developing usage of quantitative skills in financial markets and attempts to make participants comfortable in usage of these techniques with the help of observed data and forecast.
It helps wherever possible to predict/forecast prices or returns and interest rates.
Content:
Valuation of companies and equity
Equity instruments: Testing, analysis and forecasting
- Efficient market hypothesis (EMH)
- Volatility testing:
ARCH
GARCH
Random walk
VaR
VaR for single and multiple assets
Derivative Instruments
- Itôs’ Lemma
- Risk neutral valuation
- Option pricing models
- Binomial / Multinomial pricing
- Black-Scholes pricing
- The ‘Greeks’
- Holes in Black-Scholes
- Bermudan structure
- Option trading strategies
Delta
Gamma
Vega-Theta
Rho
- Holes in Black-Scholes
- Bermudan structure
- Option trading strategies
Suitability :
Middle and senior level executives working in mutual funds, investment banks, commercial banks, primary dealers, broking houses, stock and derivative exchanges.
Note : For registration please send the details along with a Cheque /DD drawn in favour of “Indian Institute of Capital Markets” payable at Mumbai at the following address:
INDIAN INSTITUTE OF CAPITAL MARKETS
(Formerly UTI Institute of Capital Markets)
Plot No. 82, Sector 17, Vashi, Navi Mumbai – 400 705
Tel No.: 022-2788 3014/2788 3000 (Ms. Latha Borah)
Fax: 022-2789 2824/51
E-mail: uticaps@bom3.vsnl.net.in OR utiicm@vsnl.com
Website: www.utiicm.com
