This world class training course was delivered in London in February 2012 and gained excellent feedback, hardly unexpected for a Marcello Minenna training course:

"The training course was well presented and offered quite some food for thought"
Financial Engineer, Consultancy

"Excellent"
Risk Analyst, Financial Regulator

"Comprehensive, insightful and worth every penny"
Quantitative Analyst, Investment Bank

Three seperately bookable one day training sessions in four different locations

Risk has developed this newly reserached world-wide training programme designed to cover all the main aspects related to derivative pricing, starting from the very beginning and exploring advanced solutions developed in literature to overcome problems in the real world, up to the frontier of the financial research.

Beginner Day:

This one day crash training course will introduce the absolute beginner to the technicalities needed to dominate the paradigm presently used in the financial world, from the standard derivative models of Black-Scholes-Merton and Cox-Ross-Rubinstein to the local volatility class of models in the Dupire form

Intermediate Day:

This module is addressed to intermediate users with an extensive focus on models implementation and calibration; the hypothesis of stochastic volatility will be investigated and other possible extensions that try to model observed price discontinuities (i.e jumps).

Advanced Day:

This advanced training course will investigate the cutting edge approaches to derivative pricing and hedging like Pure Jump Models and the Stochastic Time hypothesis, stochastic interest rate extensions and useful implementations of uncommon models like the Constant Elasticity of Variance and Displaced Diffusion Models, in a standard unified framework.

Tutors

Marcello Minenna, Head of Quantitative Analysis, CONSOB

Paolo Verzalla, Senior Analyst, CONSOB

Course dates & venues