Yield Curves
Module 1: Deriving Zero-Coupon Rate Curves
Module 2: Interpolation
Module 3: Modeling Yield Curve Dynamics
FX Market
Module 1: Volatility Surface
Module 2: FX Baskets
Module 3: Hest Model for FX Options
Equity Market
Module 1: Portfolio Selection
Module 2: Efficient Portfolios
Module 3: Index Tracking
Module 4: Multi Factor Models
Commodities
Module 1: Jumps in pricing commodities
Module 2: Mean Reversionand Seasonality
Module 3: State variable models
Derivatives
Module 1: Valuation of Swaps
Module 2: Valuation of Caps and Floors
Module 3: Valuation of Swaptions
Module 4: Bootstrapping Volatility Terms
Module 5: Convexity Adjustments
Statistical Methods
Module 1: Cholesky
Module 2: PCA
Module 3: Copula Function
Valuation Tools
Module 1: Analytical and Approximation Methods
Module 2: Monte Carlo Method (BGM and Poisson Processes)
Module 3: Quasi Monte Carlo Method (Halton, Sobol)
Module 4: Finite Difference and Trees
Advanced Mathematics
Module 1: Complex Calculus
Module 2: Numerical Integration
Module 3: Fourier Transform
Module 4: Inverse Laplace Transform
Volatility Modeling
Module 1: Local Volatility
Module 2: Stochastic Volatility
Module 3: Jump Processes
Module 4: General Levy Processes (VG, NIG, IG, Meixner)
Market Risk
Module 1: Modelling & Measuring Volatility
Module 2: Higher Moments & Extreme Risk
Module 3: Jump Models
Module 4: ARCH/GARCH
Credit Risk
Module 1: Bootstrapping Default Probabilities
Module 2: Modelling Credit Risk
Module 3: Recovery Rates
Module 4: Counterparty Exposure for CDS
Securitisation
Module 1: CDO Loss distribution
Module 2: Tranche Sensitivity
Module 3: Trading Correlation
Applications
Module 1: Finite Difference: One Factor Term Structures
Module 2: Monte Carlo: LMM with PCA
Module 3: Equity Modeling with PCA
Structured Products
Module 1: Best/Worst Rainbow
Module 2: Altiplano
Module 3: Auto callable
Module 4: Himalayan
Module 5: Variance Swaps
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