Derivatives Training

Valuation of Equity Indexed Annuities containing reset and high water mark features using a regime switching model;

A long-run scenario engine incorporating stochastic yield curves, inflation and equity prices for assessing long-term investment strategies;

A convertible debenture pricing engine, including default events, floating and state dependent coupons;

A pricing engine for European and American options, using a regime switching jump model;

An employee stock option calculator, incorporating earlier departure and barrier hitting exercise;

A distributed value-at-risk calculator, utilizing database access, web-services, and the .NET framework with an Excel front-end;

A valuation/hedging engine for interest rate swaptions using the SABR model;