Core 1. Financial Engineering

- Financial Derivatives - Computational Methods This session introduces the application of stochastic models for pricing derivative securities across various asset classes, including equities, fixed income, and credit. Participants will explore numerical techniques and Monte Carlo simulation methods for solving practical problems in derivative pricing. The session also covers portfolio optimization and advanced topics in financial engineering, such as algorithmic trading strategies and real options valuation.

Spec 1. Fixed Income & Foreign Currency

- Term-Structure Models - Volatility Derivatives Learn the basic structure and the pricing of interest rates and related contracts such as LIBOR, bonds, interest rate swap (IRS), forward rate agreement (FRA), cap/floor, overnight index swap (OIS), and swaptions. Cross-currency interest rate swap (CCS) and FX swap will be covered in detail. We will learn to apply the basic tools duration and convexity for managing the interest rate risk of interest-rate derivatives trading.

Spec 2. Asset Pricing

- Factor Models - Mean-Variance Analysis Learn the overview of asset pricing. We will start from the classic factor pricing model and then expand to further concepts, including the consumption-based model, GMM, and the application of regression-based tests of linear factor models. Estimating the risk and return and optimizing the portfolio will be covered. We will also use machine learning techniques to design more robust and dynamic asset pricing models.