Modern Modeling and
Pricing of Interest Rates Derivatives

New York 22 & 23 March, 2016

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 delievered by Vladimir Sankovich, former Managing Director, Global Head of FIC Rates and Credit Quant at RBC Capital Markets and Qinghua Zhu, Vice President, Quant at 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
  • Modeling Volatility alongside a summary of SABR before looking at the alternatives to SABR
  • Bond Derivatives Products and how to model them

About the Course:

  • Join us on this two day training course which will provide 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.

On the Agenda:

  • Pricing Framework and relevance of the Credit Support Annex
  • Yield Curve Construction
  • A brief guide to curve interpolation techniques
  • Convexity
  • Cheapest to Deliver Collateral Option
  • Volatility Modeling
  • Alternatives to the classical SABR
  • Bond Derivatives

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Learning Outcomes

By the end of the two days, delegates will have an improved knowledge of the following:

  • Modern valuation framework for linear interest rate derivatives
  • Relationship between collateral, funding and discounting of derivatives' cash flows
  • 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 collaterization, practical aspects of volatility modeling
  • 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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