Background: Pricing of derivatives and credit risk, require computationally expensive techniques. But today’s low cost and high speed computing coupled with the development of numerical methods are making these techniques, a method of choice. Monte Carlo is a technique that has tremendous potential for application in finance.
Objectives: The main objective of this two day programme is to expose to the participants, the use of monte carlo methods in pricing of derivatives and credit risk.
Target audience: Managers working in treasury department of banks, financial products design, traders in derivatives, researchers and other IT professionals working in banking & finance domain. Knowledge of quantitative techniques is a prerequisite for attending this programme.
Date:
OCT*, 2007
Venue: IFMR Chennai
Fee: Rs. 15000/-(Non-residential)
Course Co-ordinator: Prof. L. Ramaprasath
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