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A Trader’s Guide to Quantitative Methods: Don’t Panic 


Objective: closely related to the TG2 Quant Methods book, a no more "black-box" philosophy is used to provide the correct quantitative methods to apply to real world P&L, position keeping, and risk management issues, and:

·      to provide a lucid explanation of those quantitative methods which are required for, or arise in the natural course of transacting and managing securities and derivatives

·     the principle focus is on understanding the uses and misuses of mathematical methods and “models” which are required in everyday business

·     to come to grips with the foundation of these methods and a consolidation of the techniques and ideas

·    to never have to worry about using a “black-box” again

Will learn

·      to keep focus on  P&L regardless of "theory"

·     what techniques mean and don’t mean, and when and when not  to use specific techniques

·    to understand and have working knowledge of specific techniques

Audience: market professionals with 2-years experience

·      Traders, sales, support,

·      Management, treasurers,

·      Risk Management

·     not intended for experienced quants (unless they want to know how trader’s think)

Table of Contents

1) Review of Basic Maths: a pedestrian approach to understanding the key concepts

2) (Almost) Everything Your Need to Know About Curves and Surfaces: splines, yield curves, volatility surfaces, cheap/dear analysis

3) The Answer is in the Root: “root finding” as in implied volatility, yield from price, compound options etc.

4) Stochastic Differential … What?: a lucid introduction to the methods (calculus) of uncertain (stochastic) processes as applied to securities pricing, so even traders will understand

5) Understanding (Options) Models: where they come from, what they mean: a down to earth explanation of the intuition behind, and the models used for securities and options pricing, and term structure representation

6) Solving the Problem: a practitioner’s guide to the techniques available for “solving” securities pricing models, options models, term structure models and related problems.

7) Portfolio Simulation and Hedging Efficiency: an introduction to the methods required real world hedging and portfolio risk management.


  1,114 Pages of comprehensive and extensively illustrated Handout Notes (see samples here)

    A copy of A Trader's Guide to Quantitative Methods: Basic Maths & Stats PI & PII

    Includes much software, resources, aids, and support.

  Plus copies of other relevant TG2 Books/e-Books

Note: Seminars can be tailored to your trading, risk, client, and systems needs.  Submit your needs, and/or "cut/paste" from other Seminars (see entire "standard" list HERE)


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Last modified: July 25, 2011