Advanced Workshop on Practical Problem Solving in the Financial Derivatives
Over the years, we have met many talented, well trained financial analysts or potential financial analysts either on their jobs or looking for a job. One thing we found commonly missing is their lack of proper programming skills. This is like watching a tradesman walk into basement tasked to fix the plumbing problem without carrying the right toolbox.
That was the motivation for us to offer this program.
About the Program
We want to demystify computer programming and make it an effective tool for problem solving. We do it by solving real problems.
We shall progressively solve the following problems:
Grade one: How do we, or derivative traders, price an IR swap given an ISDA term sheet using Excel and an observable market yield curve?
At this stage, we will explore and highlight the key considerations of problem solving involving computer programs. The dos and donts, the fun and pains. We shall strive for the fun part as well as the philosophical depths of the problem solving. It will not be about programming a computer per se. Rather, it will be about how to formulate our problems so that the programming tools are best at solving them. We limit the programming tools employed to Excel and VBA, but we will need Calculus and Linear Algebra, with basic ideas of investment.
Grade Two: Carrying on, given a portfolio of IR swaps, maybe also Swaptions, how do we analyze its profits and losses, and how do we structure hedges to mitigate certain risks?
Essentially a continuation of the problem explored in Grade One to the next level, we introduce a higher level of programming skills with C++ and/or C#.
Grade Three: Continue solving the problem, how do we construct a robust, extensible or scalable and yet highly maintainable computer system that doesn't cost a fortune?
A serious modern system is invariably composed of the following components: a screen, a valuation engine, a database, and a work flow coordinator. At first two levels we dealt with screen and engine, at this level, we introduce a database. Work flow is essentially out of the business domain, so out of an analyst’s concern.
Format of the Workshop
This is not a teaching course; rather, it is a series of workshop. Everyone will benefit by participating this program with enhanced problem solving skills. As such, it will be like a co-op, all participants will need to contribute, money and time, to make it as fun and smooth as possible. The program will have 5 sessions and will last 5 weeks, starting from July 17th.
Who Can Benefit from This Workshop?
Apparently all participants have to be strongly interested in improving their problem solving skills required in the financial derivative area using a computer. In addition, we expect the following form the potential participants:
1. Commitment. We expect each participant to spend at least five hours to each hour in-class discussion. In other words, all participants need to find time to independently create codes to solve the problem we discussed in one session and be prepared to have the solutions evaluated in the next.
2. Fundamental quantitative analytical skills, particularly Calculus and Linear Algebra. A PhD or Master degree in relevant fields such as math, electrical engineering, mathematical finance, would be highly desirable.
3. Basic understanding of common financial derivative instruments, such as futures, swaps, and bonds.
4. An altitude of taking fun out of solving complex problems. A willingness of digging into complex problems with a philosophical view point. A personality that enjoys being challenged and enjoy searching for beauty in the solutions.
We are only looking for 10 to 15 likeminded people to start on a fun journey. If you are interested in it, please send your resume to the admission committee: baystreetbbs.training@gmail.com
About the Workshop Facilitator
Michael Wang holds a PhD degree in Operations Research from Rotman. He has 20 years' experience working in the financial derivatives industry mostly related to providing system solutions from security valuation to risk management. He started his career in 1994 at BMO, building and supporting a derivative trading and reporting platform. He then went on to audit CIBC's then state of the art risk management system as well as the trading systems feeding it, after which he joined CIBC Treasury where he built an analytics library in C++ and a system to manage the bank's risks embedded in mortgage commitments. In 2011 he left CIBC to head the Solutions & Integration team at Manulife's Global Variable Annuity Hedging Program, where his team is responsible for creating solutions to support the dynamic hedging program.