Option Pricing using Binomial Trees – Course Outline
The benefit of this methodology over the conventional approach is that it allows for the extension of a simple 3 step tree to a 50 – 100 step option pricing tree in a few minutes. This is not only a more efficient approach to binomial trees but the increased number of time-steps ensures greater accuracy in most cases of option pricing. The course begins with the pricing of plain vanilla European calls and put options; then is followed with the pricing of American options and finally with the pricing of Knock out and Knock in (Sudden Death) exotic options.
Course Prerequisites
Familiarity with derivative products and comfortable with basic mathematics, numbers and EXCEL.
Course Audience
The course is targeted at intermediate and advance users and is aimed at professionals who deal with pricing, valuation and risk issues related to structured fixed income and foreign exchange transactions.
Course Guide
Here is the structure of the course.
Title
|
Duration
|
||
Session 1 – Theoretical Overview of Derivatives and their Payoffs | 32:20 mins | ||
Session 2 – Option Pricing using the Conventional Binomial Tree Approach | 28:14 mins | ||
Session 3 – Option Pricing using the Efficient Tree Approach | 16:04 mins | ||
Session 4 – Pricing American Options & Exotics using the Efficient Binomial Tree Approach | 14:56 mins | ||
Session 5 – Increasing time steps and improving result accuracy using the Efficient Binomial Trees Approach | 10:16 mins | ||
Search the site
Random Testimonial
- ~ Corporate Training Testimonials
"A most amazing training - hands down the best, most useful, and most relevant I had during my tenure. Simply put, I loved it and will continue to build on the models.
Financial Modeling Course Participant
FGB Training Academy,
First Gulf Bank, Abu Dhabi, UAEI have attended a number of training courses conducted by Alchemy technologies. Broadly, the areas covered have been Financial Risk Management aspects, Basel II implementation in Pakistan, as well as product knowledge for relatively new products in the our market for instance Financial Derivatives. As trainers, Mr. Jawwad Farid and his team bring in a wealth of conceptual knowledge entwined with their own professional experiences, adapting and honing it to our local market needs. The training courses are very informative and are delivered in a witty and energetic manner. The learning needs of the participants are kept in focus, and they are kept involved by interactive discussions and queries. Personally, I have always left these sessions with a much better understanding and grasp over the subjects delivered, which has helped me professionally.”
Senior Manager & Team Leader
Treasury Middle Office
Habib Bank Limited“Jawwad Farid has admirably led the training piece on the Treasury side covering Treasury risk, Treausury products, Derivatives (basic & Advanced), Fixed income securities (Basic & Advanced) and ALM training modules. Jawwad in our opinion is an “Outstanding Senior Trainer” who has deep subject matter knowledge and an uncanny ability to keep the participants engaged in the training process. So far our clients have expressed maximum level of satisfaction in Jawwad’s capability to deliver high value training programs, that have tangibly enhanced their staff’s skill sets.
Based on our direct more than satisfactory experience, Jawwad’s otherwise exceptional track record on the training side with over 90 technical skill building courses in South Asia, Middle Eastern and Far Easterm markets, we have no hesitation in strongly recommending Jawwad Farid for the training that for participants based out of Malaysia or the adjoining Far Eastern Markets.”
Mohammad Nasr Ullah
Principal Consultant
Consultnomics, FZEI have loved each and every workshop from Alchemy. The workshops are extremely helpful in removing queries about Derivatives Pricing, Basel & Regulatory issues. I feel attending the workshops have added value to my knowledge and expertise. Moreover, the instructor is extremely knowledgeable on the subject area and ensures that each candidate returns with similar knowledge and expertise.
Senior Vice President
Compliance
Allied Bank" - Read more testimonials »