Pricing Financial Instruments London: 11 March, 9 September Course Overview: With new accounting standards now requiring accountants to show financial instruments at their current market value, skills in understanding pricing models and techniques are likely to grow in demand. This course will equip you with the knowledge necessary not only to price structured products but also to validate those prices and to use external market data to determine prices. It is primarily designed to help accountants and auditors in the implementation of IFRS 2. IAS 39 issues will also be covered. Unlike other courses of this nature, emphasis is placed on practical applications rather than elaborate formulae and theories and, in particular, on the practical use of such financial instruments. Participants will be required to bring a calculator to the course. Course Content: Basic Algebra Simple v Compound Interest Rates Frequency of Compounding Exponentials and Natural logarithms Manipulation of Exponential functions Interest Conventions Application to Money Market Instruments Constructing a simple yield curve using discount prices Application to Practical Situations Geometric Progressions Annuities Mortgage Calculations Leasing Calculations Basic Differentiation Application of Differentiation Principles Taylors Expansion Application of Duration and Convexity Option Pricing Models Deriving Black Scholes Deriving and using formulas for Delta, Gamma and Theta Risk Arbitrage Normal Distribution Curve Monte Carlo Simulation Option Pricing with Monte Carlo Pricing of interest rate products using Monte Carlo Participants in the Swap Market Swap Pricing Basics Forward Rates Interest Rate Risks IAS 39 Introduction to Swaps on Spreadsheets Overview Fixed Rate Agreements Valuing Fixed Rate Agreements Yield Curve and Forward Interest Rates Constructing Swap Interest Rates Application of Discount Factors Generic Interest Rate Swaps in one currency Other Issues Calculation and Interpretation of Duration and Convexity Application of Bond valuation to Interest Rate Derivative Treasury Bill Futures Forward and Future Prices Times Cost Solicitors Regulation Authority (SRA) CPD Hours 09.30-17.00 £575 + VAT (£675.63) 6 Delivering this course in-house for you to a number of participants could be very cost effective. Please call us on 020 7387 4484 to discuss this further.
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