Derivative securities are complex financial instruments. Without proper knowledge, derivatives can be confusing and may produce unexpected results. Montgomery Investment Technology, Inc. offers onsite training programs, which integrate quantitative financial theory with practical application. The coursework starts with fundamental concepts of financial instruments, and then explores the complexities of the pricing models. Seminar topics can be customized for your organization, and are offered online as a live webinar.
The seminars are approved for PICPA Continuing Professional Education credit, and may be eligible for AICPA CPE and CFA Institute CE credits.
The modules covered in the MITI training seminar program range from basic valuation of option contracts to an in depth quantitative analysis of derivatives. Descriptions of the standard workshops are:
Options and Futures Basics
- Types of options and exercise-style
- Key determinants of valuation
- Standard pricing models: Black-Scholes, Whaley and CRR Binomial
- Sensitivities (delta, gamma, theta, vega, rho)
- Hedging and controlling risk using options
- Historical and implied volatility calculations
- Futures basis and implied repo rates
- Risk neutral concepts
Advanced Options
- Theoretical and mathematical analysis of standard pricing models
- Stochastic and Weiner process (statistical)
- Analysis of advanced option models: Flexible Binomial, Constant Elasticity of Variance, Jump Diffusion, Method of Lines and Monte Carlo Simulation
- Gram-Charlier (skewness and kurtosis applied)
- Discussion of exotic and path-dependent options
ASC 718 (FAS 123R)
(Employee Stock Options)
- What is fair value accounting?
- How to comply with ASC 718?
- Expected volatility calculations
- Expected term analysis
- Black-Scholes-Merton model illustrated
- Option exercise behavior factors
- Trinomial Lattice demystified
- Cost attribution methods
Integrating Excel and MITI FinTools®
- How to take full advantage of FinTools® library of financial functions: OPTIONS XL, UTILITY XL, BONDS XL, EXOTICS XL and RISK XL
- Excel Tips and Tricks: using “wizards”, automating with VBA, charting, built-in spreadsheet functions, customized reports
- Using real-time and historical data in Excel through dynamic links and macros
Alternative Awards
- Market Condition Awards
- TSRs based on total shareholder returns
- Performance price targets (up & in)
- Price caps (up & out)
- Spread (out-performance vs. index)
- Derived service period
- Monte Carlo Simulation
- Alternative Awards
- Stepped strike structures
- SARs and ESPP valuation
- Blackout periods
- Performance and market conditions
Volatility and Normality
- Historical Volatility Matrix
- Close, High-Low, High-Low-Close
- Time vs. interval return
- EWMA and EGARCH
- Rolling volatility
- Peer group volatility
- Implied Volatility
- Cycle Options, LEAPS, Warrants
- Term structure of volatility
- Volatility smile
- Normality Testing
- Skewness, kurtosis, autocorrelation
Our options training seminars can be tailored to meet your specific needs. Seminars are typically offered in four-hour to eight-hour increments. Multi-day seminars may also be arranged.