Early Birds Save Up To 30%. Download Brochure to Learn More

Financial Modelling with Excel & VBA for Traders, Risk Managers & Quants Training Course

This comprehensive and practical training course gives you: grounding in Excel spreadsheet development, writing VBA pricing functions, implementing an options pricing toolkit, Monte Carlo method for pricing derivatives, building discount factor curves and volatility analysis.

Dates, Locations & Fees | Instructor | Download brochure | Book your seat

Course Objectives

The objective of this workshop is to cover a range of derivatives pricing algorithms along with practical application and modelling techniques.

Not only will you gain a deeper understanding of the principles of financial theory but also their analysis and risk management as well other important implementation issues within the industry.

Delegates are assumed to have a working knowledge of basic finance theory as well as some introductory statistics and mathematics knowledge.

The workshop will be very hands-on building on the basics through to some intermediate modelling, simulation methods and analysis techniques.

Hence, it should be useful for the bright analyst, risk manager or quantitative newcomer to the financial markets who need to gain a rapid knowledge of model building and implementation in Excel and VBA.

Have a question? Email us at:

or call us at: (+852) 2273-4393

Course Agenda

Day One

Session 1
IMPLEMENTING EXCEL AND VBA FUNCTIONS

Useful Excel functions
Introduction to VBA
Building VBA functions

WORKSHOP:
SOLVING PROBLEMS WITH SPREADSHEETS AND USING VBA FUNCTIONS

Session 2
BLACK-SCHOLES ANALYSIS

The standard Black-Scholes model
Extensions to the model
Put-Call parity
The 'Greeks'

WORKSHOP:
IMPLEMENTING AN OPTIONS PRICING TOOLKIT

Day Two

Session 3
BINOMIAL TREE OPTION PRICING

Binomial option pricing
American options
Cox, Ross and Rubinstein method
The 'Greeks' in binomial trees

WORKSHOP:
BUILDING A BINOMIAL TREE TO PRICE AN AMERICAN OPTION

Session 4
MONTE CARLO SIMULATION

Simulating stock prices
The Monte Carlo method
Generating random numbers
Improving the numerical algorithm

WORKSHOP:
PRICING A EUROPEAN OPTION UNSING A MONTE CARLO ROUTINE

Day Three

Session 5
INTEREST RATE MODELLING

Building discount curves
Calculating forward rates
Pricing STIR futures
Implementing FRA structures

WORKSHOP:
BUILDING A DISCOUNT FACTOR CURVE

Session 6
VOLATILITY ANALYSIS

Historic volatility
Implied volatility
Newton-Raphson procedure
Bisection method

WORKSHOP:
IMPLEMENTING VOLATILITY MODELS

Who Should Attend?

Derivatives traders
Risk managers
Quantitative analysts
Derivatives research
Product development
Model valuation
IT managers

Pre-Requisites

The workshop sessions will use Excel and VBA but no prior knowledge of programming is necessary although a working knowledge of building spreadsheets would be ideal.

At the end of the course, you will have a variety of useful modelling tools that can be applied immediately to their working environment and developed further into more robust implementations.

Have a question? Email us at:

or call us at: (+852) 2273-4393

Why Ethan Hathaway training courses?

Practical. Learn from experienced and active industry practitioners and what's being practiced by your peers.
Applicable. Apply what you learn in your job and your career
Specially designed courses by industry active experts for industry practitioners
Quality Control. Each expert instructor is interviewed and vetted through our senior management and our 5-point instructor criteria.
Valuable. Earn more revenue or save your organisation from monetary loss. You and your organisation will quickly earn back your investment on the course fee and more
Enjoyable. Speakers who have a passion for their topic
Clear. Turning complex concepts into easy to understand concepts
Limited seats - each session is limited to between 18-25 seats

What do you receive from an Ethan Hathaway training course?

You gain knowledge and skills that make you valuable to your company and your career
Instruction by industry experts
Course notes and reference package
Daily lunch, snacks and refreshments
Certificate of completion
Meeting your industry peers
Ask questions relevant to your job

Download the course brochure to learn more

Your course instructor

Paul Darbyshire: Paul began his career in the City working on the implementation of market models, stress testing and shock analysis for interest rate risk management. He then moved into quantitative trading in currency exotic options and structured finance.

He has designed, developed and implemented a variety of derivatives pricing engines, trading analysis and risk management systems across a broad range of asset classes.

Paul has provided major banks and financial institutions with consultancy on many aspects of quantitative finance, including new product innovations, risk management and financial engineering.

Dates & Locations & Fees

Date	Location	Venue	Course Fee	Early Bird Fee	Register
15 Sep - 17 Sep, 2010	HK, Hong Kong	Marco Polo Prince Hotel	US$4598	See Brochure
6 Oct - 8 Oct, 2010	Amsterdam, Netherlands	TBA	£2797	See Brochure

Early Bird Savings Early Birds Save Up To 30% Off the Regular Fee, download the brochure to learn more

Limited seats - Email us: for availability.

* Venue, dates, course fees, promotions, course content, course instructor are all subject to change

Can't find a session in a city near you?

If there's no session scheduled in a city near you, you have the following options:

In-house training: If you have a group of 8 or more, consider having us run this course in-house for you
Co-sponsored training: Between 5-7 people, consider a co-sponsored course - you agree to send this set number of people to the course if we run it in a city near you and Ethan Hathaway sells the remaining seats to other companies
Distance learning: Less than 5 people, consider distance training format: live trainer presents over phone lines/web at pre-scheduled times (available only for select courses)
Just tell us where you want the course: Let us know which city you'd like us to run this course in - we'll plan it if there's enough demand

Email us at: for more information regarding the above options.

Register for the course

You may book your place on the course by any of these methods:

Online booking - simply click on the "Register Me" button next to the course date you wish to register and it will take you through our quick online registration procedure.
Email us at: - please include your full contact details.
Fax us the booking form (included in the brochure) to: +852 3014-0721
Or call: +852 2273-4393 during normal office hours

Related Courses

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