Excel Implementation

Equity based complex derivatives using Monte Carlo Simulations:

• Double Knock In, Double Knock Out
• One touch, No touch, Double one touch, Double No touch options
• Look back options

Multivariate Stochastic Calculus

• Modeling multiple GBMs,
• Eigen Decomposition,
• Singular Value Decomposition,
• Cholesky Decomposition,
• Decomposition of correlation matrix and simulating correlated GBMs

Excel implementation

• Implementation of Basket Options using Monte Carlo
• Best of Call
• Forward Starting Options/Cliquet Options

Excel Implementation

• Pricing of Quanto Options (Theory and Implementation)
• Snowbear/Snowball

Excel Implementation

• Pheonix Autocallable
• Pheonix Memory coupon Autocallable

Model Validation of a Pricing Model

• Conversion of non-PSD matrix to PSD matrix for the construction of Choleskey Decomposition
• Other aspects of model validation such as assumptions, limitations, sensitivities, stress testing etc.

Excel Implementation

• Pricing of a CDS/CDX option
• Detailed validation of a credit derivative

Excel Implementation

• Zero Coupon Swap
• Convexity Adjusted IRS
• IR Digital options

Excel Implementation

• Constant Maturity Swap
• CMS Options/Spread

Theory and Implementation

• Validation of Curve Construction Model
• Validation of IR Pricing Model

Excel Implementation

• Valuation of a Thunderball

Theory and Implementationz

• Theory and background of Volatility and Variance Swap
• Implementation of Variance Swap
• Implementation of Volatility Swap
• Implementation of Gamma Swap
• Implementation of Corridor Variance Swap
• Implementation of Cross Corridor Variance Swap

Excel Implementation

• Pricing of FX option using Vanna-Volga
• Target Redemption Forward (TARF) Knock in, Knock Out
• PIVOT TARF
• PIVOT EKI TARF
• Model Validation Aspects of FX models

Excel Implementation

• Implementation of Zero-coupon Inflation
• Caps/Floor
• Year on Year Caps/Floor

Excel Implementation

• Commodity Options
• Commodity Basket Options
• Commodity Swaps

Excel Implementation

• Introduction and valuation of Collateralized CVA/DVA
• Validation Aspects such as (PFE Backtesting, Risk Factor Backtesting etc.)

Theory and Excel Implementation

• Implementation of SABR Calibration
• Validation of SABR Vol for Cap/Floor, and Swaption

Excel Implementation

• Local Volatility Implementation (Dupier model)

Theory and Excel Implementation

• Implementation of Historical Simulation Approach using Full Revaluation and Sensitivity Based Approach
• Validation Aspects such as Data backfilling, Backtesting, Normality and Independence, Risk Factor backtesting etc.

Theory and Implementation

• Hull White 1F Calibration
• Model Validation Aspects of Hull White 1F based models

Theory and Implementation

• Heston Model Implementation

Python Training

Interview Preparation