Communication and presentation skills will be emphasized in the development and delivery of all products. Develop and calibrate a pricing model for Canadian bond options. Assess the speed of Quasi Montecarlo methods for CMOs. Estimate the VAR covariance matrix for Mexican equity and interest rates.
Stress test a portfolio with respect to volatility fluctuations.
Forecast foreign exchange rates by means of ARCH models. Hedge a portfolio of oil options and futures over a one month time period. Design algorithms for portfolio choice.