Quant Finance Bootcamp 25: Derivative, Risk Management & Quant Modeling

Foundational Knowledge: Gain a solid understanding of derivative markets, including forwards, futures, and options, and the roles of different traders like hedgers, arbitrageurs, and speculators.
Future Markets: Learn the intricacies of futures contracts, margin account operations, and the distinctions between forward and future contracts through case studies.
Options Mechanics: Master the types of options, positions, and payoff diagrams, and differentiate between European and American options.
Option Pricing: Explore the binomial tree method for pricing American options and the concept of risk-neutral valuation.
Stochastic Processes: Delve into continuous and discrete stochastic processes, Brownian motion, and apply Ito's Lemma to quantitative finance models.
Black-Scholes Model: Understand the assumptions, application, and interpretation of the Black-Scholes Merton model for option pricing.
Risk Management with Greeks: Learn how to calculate and use Delta, Gamma, Rho, Theta, and Vega for hedging and risk management.
Value at Risk (VaR): Analyze risk using VaR and Expected Shortfall, with backtesting and stress testing to validate models.
Exotic Options: Explore the unique characteristics and applications of exotic options such as Asian, binary, and barrier options.
Interest Rate Modeling: Study stochastic interest rate models like Vasicek and CIR, focusing on their calibration, implementation, and differences.

Course Content

Introduction to Derivatives

Introduction to Derivative (Forwards & Futures)

01:44:27
Introduction to Derivative (Practical Example)

01:54:24
Introduction to Derivative (Call & Put Option) – Part A

01:05:28
Introduction to Derivative (Call & Put Option) – Part B

56:22
Introduction to Derivative (Operation of Margin Account)

01:16:24
Introduction to Derivative (Practical Example on Options)

19:34

Risk Management in Derivatives

Greeks for Options (Part A)

01:02:28
Greeks for Options (Part B)

58:43
Greeks for Options (Part C)

54:49
Greeks for Options (Part D)

46:38
Greeks for Options (Part E)

34:54
Delta Hedging

51:44
Gamma Hedging

51:21
Delta Gamma Hedging

21:24
Vega Hedging

20:57
Theta Hedging

20:31
Rho Hedging

19:10

Quant Modeling & Stochastic Processes

One Step Binomial Tree & No Arbitrage Argument (Theory)

59:48
Two Step Binomial Tree & Mathematical Calculation

25:02
Quant Modeling: Pricing European Option Using Binomial Tree

37:42
Brownian Motion (Stochastic Process)

01:20:13
Generalized Weiner Process & Ito’s Lemma

57:21
Model Stock Using Geometric Brownian Motion (GBM) (Excel)

56:56
Cholesky Decomposition for Geometric Brownian Motion (GBM)

58:15
Black Scholes Model (Theory)

01:08:16
Black Scholes Model (Excel Implementation)

32:14
Monte Carlo Method for Quant Finance

01:17:41
Pricing European Option Using Monte Carlo Method (Excel)

39:30
Pricing Asian Option Using Monte Carlo Method (Excel)

31:51
Pricing Barrier Option Using Monte Carlo Method (Excel)

57:24

Stochastic Interest Rate Modeling

Value at Risk Modeling

Value at Risk – Introduction (Theory)

29:07
Value at Risk – Historical Method (Theory)

01:16:48
Value at Risk – Historical Method (Excel Implementation)

35:40
Value at Risk – Variance Covariance Method (Theory)

43:29
Value at Risk – Variance Covariance Method (Excel Implementation)

26:48
Value at Risk – Monte Carlo Simulation Method (Theory)

57:10
Value at Risk – Monte Carlo Simulation Method (Excel Implementation)

41:35
Backtest VaR Using Traffic Light Approach (Theory & Excel Implementation)

57:37
Backtest VaR Using Kupiec Test (Theory & Excel Implementation)

45:58
Expected Shortfall (Theory)

38:33
Expected Shortfall (Excel Implementation)

23:32

What Will You Learn?

Course Content

Introduction to Derivatives

Introduction to Derivative (Forwards & Futures)

Introduction to Derivative (Practical Example)

Introduction to Derivative (Call & Put Option) – Part A

Introduction to Derivative (Call & Put Option) – Part B

Introduction to Derivative (Operation of Margin Account)

Introduction to Derivative (Practical Example on Options)

Risk Management in Derivatives

Greeks for Options (Part A)

Greeks for Options (Part B)

Greeks for Options (Part C)

Greeks for Options (Part D)

Greeks for Options (Part E)

Delta Hedging

Gamma Hedging

Delta Gamma Hedging

Vega Hedging

Theta Hedging

Rho Hedging

Quant Modeling & Stochastic Processes

One Step Binomial Tree & No Arbitrage Argument (Theory)

Two Step Binomial Tree & Mathematical Calculation

Quant Modeling: Pricing European Option Using Binomial Tree

Brownian Motion (Stochastic Process)

Generalized Weiner Process & Ito’s Lemma

Model Stock Using Geometric Brownian Motion (GBM) (Excel)

Cholesky Decomposition for Geometric Brownian Motion (GBM)

Black Scholes Model (Theory)

Black Scholes Model (Excel Implementation)

Monte Carlo Method for Quant Finance

Pricing European Option Using Monte Carlo Method (Excel)

Pricing Asian Option Using Monte Carlo Method (Excel)

Pricing Barrier Option Using Monte Carlo Method (Excel)

Stochastic Interest Rate Modeling

Vasicek Interest Rate Model (Theory)

Vasicek Interst Rate Model (Excel Implementation with Market Calibration)

Cox–Ingersoll–Ross (CIR) Model (Theory)

Cox–Ingersoll–Ross (CIR) Model (Excel Implementation)

Value at Risk Modeling

Value at Risk – Introduction (Theory)

Value at Risk – Historical Method (Theory)

Value at Risk – Historical Method (Excel Implementation)

Value at Risk – Variance Covariance Method (Theory)

Value at Risk – Variance Covariance Method (Excel Implementation)

Value at Risk – Monte Carlo Simulation Method (Theory)

Value at Risk – Monte Carlo Simulation Method (Excel Implementation)

Backtest VaR Using Traffic Light Approach (Theory & Excel Implementation)

Backtest VaR Using Kupiec Test (Theory & Excel Implementation)

Expected Shortfall (Theory)

Expected Shortfall (Excel Implementation)

Swaps

Interest Rate Swap – Part 1 (Excel)

Interest Rate Swap – Part 2 (Excel)

Spot Rate & Forward Rate (Introduction & Derivation)

Valuation of Interest Rate Swap (IRS) (Excel)

Currency Swap (Introduction & Valuation) (Excel)

SR 11-7 Framework for Model Risk Management

SR 11-7 Framework on Model Risk Managament (Overview)

SR 11-7 Framework (Model Development, Implementation and Use)

SR 11-7 Framework (Model Validation)

SR 11-7 Framework (Model Governance)

Quant Investing & Portfolio Management

Quant Investment (Simple Return, Log Return, Volatility, Downside Volatility, Correlation)

Quant Investment (Alpha, Beta, R square, Correlation)

Quant Investment (Sharpe Ratio, Sortino Ratio, Treynor Ratio)

Project Scripts for Resume

Project Scripts for Resume

Certification for Quant Finance Bootcamp For certification, please email us to "qficertification@gmail.com"

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Certification for Quant Finance Bootcamp
For certification, please email us to "qficertification@gmail.com"