Principles of quantitative finance
Course details
- Duration: 5 Half days of Live Remote Sessions
- Time: 13.00 – 17.00 (GMT)
- Fees: TBC
22 February 2021 (parallel session)
During this parallel module, delegates will be taken through classic concepts that are used in the field of quantitative finance particularly with respect to stochastic treatment of key variables such as price and volatility. This in turn supports the recognition that financial models of mineral projects incorporate a range of outcomes that more realistically reflect the real world compared to a purely deterministic approach.
More information
Schedule - Day 1
Principles of Quantitative Finance (Parallel session)
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Time
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Session
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Contributors
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|---|---|---|
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12.30-13.00
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Introductions |
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13.00-14.00 |
1B. Financial Products.Forwards, futures and options. Interest rate swaps. Credit derivatives. Pricing methodologies. Black - Scholes formula and applications |
Sébastien Lleo |
| 14.00-15.00 |
2B. Use of Options. Survey of world metal markets and application of options in project finance. |
Sébastien Lleo |
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15.00-16.00
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3B. Workshop session. Computational methods in option valuation. Delegates will be provided with spreadsheet-based models which will allow them to generate their own output and see how this is applied to real world scenarios |
Sébastien Lleo
|
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16.00-17.00
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4B. Workshop session. Case study highlghting the role of the quantitative finance methods as discussed in earlier sessions. |
Sébastien Lleo
|
Presenters
Associate Professor, Finance Department, Head of the MSc in Risk and Financial Technologies, NEOMA Business School
Sébastien is Associate Professor of Finance and Head of the MSc in Risk and Financial Technologies at NEOMA Business School in France, and Tutor on the CQF program at FitchLearning in London. Sébastien worked in investment management, risk management and financial markets in Canada and the UK. He authored a monograph on risk management commissioned by the CFA Institute, co-authored books on risk-sensitive stochastic control and stock market crashes, and published more than twenty articles in academic and professional journals. Sébastien holds a PhD in Mathematics from Imperial College London, HDR in Social Science from Conservatoire national des arts et métiers (France), MBA from University of Ottawa (Canada), and MSc in Management from NEOMA Business School (France). He is also a CFA Charterholder, Certified Financial Risk Manager, Professional Risk Manager, and CQF alumnus.