Pricing Interest Rates Derivatives
London, 16th - 17th March 2016

The two day training seminar providing an in-depth look into how to model and price Interest Rate Derivatives in the 21st century.

The seminar will deliver intensive teaching on some of the key challenges Quant professionals face as well as numerous alternatives for them to consider when they return to their company. The training course will be delivered by Vladimir Sankovich, former Managing Director, Global Head of FIC Rates and Credit Quant at RBC Capital Markets and Paoloplacido Lo Presti, Quantitative Analyst, RBC Capital Markets.

Course Highlights:

  • The fundamental Risk-Neutral Pricing Framework and an introduction to Credit Support Annex 
  • General concepts of Yield Curve Construction including a guide to curve interpolation techniques and methods
  • Understanding the concept of Convexity
  • The cheapest way to deliver Collateral Options with specific consideration for the NY Law
  • Modelling Volatility alongside a summary of SABR before looking at the alternatives to SABR
  • Bond Derivatives Products and how to model them

Who Should Attend:

  • Quantitative Analysts
  • Quantitative Managers
  • Traders
  • Derivatives Trader
  • Clearing Houses
  • Rates Trade Support
  • Derivatives Middle Office
  • Derivatives Back Office
  • Derivatives Finance/Funding
  • Heads/Director of Quantitative Analysis/Research
  • Heads of Fixed Income
  • Heads of Equity Derivatives
  • Heads of Credit Derivatives
  • Heads of Hybrids/Commodity Derivatives/FX Derivatives
  • Heads of Portfolio Management
  • Treasury
  • Derivatives Legal
  • Derivatives Technology
  • Compliance
  • Internal Audit
  • Market Risk Manager
  • Credit/Counter-party Risk Manager


Learning outcomes

  • Modern Valuation framework for linear interest rates derivatives
  • Relationship between collateral, funding and discounting of derivatives' cash flow
  • How to incorporate physical (non-cash) collateral in the derivatives' pricing framework
  • Rationale for the construction of multi-curves and yield curve interpolation methods
  • New convexity effects in linear products generated by the volatility of funding spreads
  • Impact of collateral options on derivatives and efficient methods for valuing these options
  • Techniques for pricing non-linear IRD, impact of collaterlization, practical aspects of volatility modelling
  • Comprehensive review of the strengths and shortcomings of SABR
  • SABR alternatives, in -depth analysis of ZABR
  • Modeling of CMS-based single and multi-index derivatives
  • Derivatives on bonds and their modeling techniques



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