Volume I - Equity Derivatives Markets, Valuation and Risk Management.

Coverage includes:

• The fundamentals of stochastic processes used in finance including the change of measure with Girsanov transformation and the fundamentals of probability throry.
• Discrete time models, such as various binomial models and numerical solutions to Partial Differential Equations (PDEs)
• Monte-Carlosimulations and Value-at-Risk (VaR)
• Continuous time models, such as Black-Scholes-Merton and similar with extensions
Arbitrage theory in discrete and continuous time models

Volume II - Interest Rate Derivative Markets, Valuation and Risk Management

Coverage includes:

• Interest Rates including negative interest rates
• Valuation and model most kinds of IR instruments and their definitions.
• Bootstrapping; how to create an interest curve from prices of traded instruments.
• The multi curve framework and collateral discounting
• Difference of bootstrapping for trading and IR Risk
• Models and risk with positive and negative interest rates.
• Risk measures of IR instruments
• Option Adjusted Spread and embedded optionality.
• Pricing theory, calibration and stochastic processes of interest rates
• Numerical methods; Binomial and trinomial trees, PDEs (Crank-Nicholson), Newton-Raphson in 2 dimension.
• Black models, Normal models and Market models
• Pricing before and after the credit crises and the multiple curve framework.
• Valuation with collateral agreements, CVA, DVA and FVA