Financial Instruments Valuation - Advanced

Course Objective:

The purpose of the seminar is to provide the participants with knowledge about pricing models for options, instruments with embedded options, and OTC derivatives in SimCorp Dimension.

The aim of the course is ultimately to provide the participant with the necessary skills to understand and describe a range of pricing models and the required market data.

The standard platform for instrument valuation will be covered to the relevant extent.

In exercises during the course, participants will replicate prices and key ratios using Microsoft Excel.

There is no certification test to this course.

Main Learning Topics:

  • Volatility smiles
  • Caps, Floors and Swaptions
  • User Defined Key Ratios and Aggregation of Key Ratios
  • XpressInstruments – an Introduction
  • Diffusion-based models
  • Credit Default Swaps
  • Yield Curve Construction for Post-Crisis Valuation of OTC contracts


We recommend that you have prior experience working with SimCorp dimension, and have taken either the 'SimCorp Dimension Academy' or the 'SimCorp Professional User' course.
It is also recommended that you have knowledge about pricing of bonds, futures and forwards (cost-of-carry and interest rate parity relations), and simple options (the Black-Scholes model), corresponding to the Financial Instruments Valuation – Basic course.
The recommended mathematical prerequisites are a basic command of exponentiation and roots, the exponential and logarithm functions, and normally distributed random variables. Moreover, we recommend that you have a basic knowledge of how to apply these concepts in Microsoft Excel.

Course Duration:

Days: 2 days
Daily training hours: 9:00-17:00

How to register for this course

Click your preferred date below and register by filling out the form.

If no date is found for your preferred course please contact [email protected] to request the course.