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Seminar Program

1. Introduction to derivatives
   • Product Catalogue
   • Relevance of price sensitivities (Greeks)
2. Analytical valuation procedures
   • Option valuation in the Black-Scholes model
   • The Black-Scholes formula in Mathematica
   • Higher dimensional problems
   • Efficient Computation of Greeks
   • Implementing a spread option in C/C++
3. Trees
   • Binomial trees
   • Implementing American options in Excel/Visual Basic
   • Trinomial Trees
   • Implementing a Double barrier option
4. Finite Difference Methods
   • The basic method and their applications
   • Explicit, Implicit and Crank-Nicholson: Theta notation, convergence and stability issues
   • Relationship between Trinomial Trees and explicit finite differece methods
   • Alternating Differences Implicit (ADI) for higher dimensional problems
   • Implementing Heston's stochastic volatility model
   • Hopscotch Method
5. Monte Carlo Simulations
   • The basic setup
   • Variance reduction methods
   • Computing Greeks in Monte Carlo
   • American Options
   • Brownian Bridges
   • Randon number generators
   • Quasi randon number generation
6. When to use which method
7. Implementation examples in Excel/Visual Basic, C/C++, Mathematica, Fortran, Java, Javascript