Financial Modelling Agency

19 First Avenue East, Parktown North, 2193, South Africa

Phone & Fax: +27-11-447-2901

E-mail: lydia at finmod dot co dot za

We have over eighteen years experience in teaching (eleven of these in the finance industry). From 2001 to 2005 Graeme West taught in the Mathematics of Finance Honours program at Wits and from 2001 to 2008 has taught in the Mathematics of Finance MSc program at UCT and from 2009 to 2011 in the Mathematics of Finance MPhil at UCT.

 

We give commercial courses in South Africa and internationally, and provide in-house training to several clients.

 

A list of disclosable teaching material follows. You are welcome to use any of this material; but you must acknowledge the source. Not to do so is plagiarism, which is a fancy word for theft. I assure you I regard plagiarism in a very serious light, and am willing to go to some lengths to embarrass offenders.

 

· South African Financial Markets: the peculiarities of the SA market (university course). This course was given 2001-2005 at Wits and 2001-2008 at UCT. Course notes are here. An xla providing some basic functionality is here. (DON'T JUST SAVE THIS FILE. MICROSOFT WANTS TO SAVE THIS AS fmalite.xls: THIS IS INCORRECT. YOU MUST CHANGE THE FILE NAME FROM fmalite.xls to fmalite.xla WHEN YOU SAVE.)

 

  A spreadsheet demonstrating the use of those functions is here. Tutorial is here. Bond info and a test pack for bond pricing is here.

 

· Discrete time arbitrage: This course was given in 2008, 2010 and 2011 at UCT. Notes here.

 

· Introduction to continuous time stochastic calculus, given in 2011 at UCT: Notes here (first taught version, still very rough).

 

· Exotic equity options: A university course has been given 2003-2005 at Wits and 2005, 2008 at UCT. Notes here. A mélange course consisting of  the equity components of  SAFM and the exotic equity options course.  This course was given at UCT in 2009, 2010.  Notes here.

 

· Modern Portfolio Theory: Markowitz, CAP-M, APT and Black-Litterman (university course). This course was given 2001, 2003-2005 at Wits. Notes here.

 

· Risk Measurement: A university course was given 2001, 2003-2005 at Wits and in 2003 at UCT. Notes here. Quantitative VaR for effective market and credit risk analysis (basic commercial course), given in 2001. Table of contents here. Advanced issues with VaR, Stress Testing, and Extreme Value Theory (advanced commercial course), given in 2003. Table of contents here.  PRMIA training for Exams II and III of the PRM designation.

 

· Interest Rate Derivatives: A university course was given in 2004 at Wits. Notes here. Local currency bonds (commercial course): several variations / short versions given 2007—2010.  A university course on the introduction to Black’s model was given in 2010 at UCT.  Notes here.

 

We are always available to teach these or similar tailor made course to an in house audience.  Please contact us to discuss.

Financial Modelling Agency