Pricing Interest Rate Derivatives
New York, 19-20 September 2018

Join us on this two day training event which will provide an in-depth look into how to model and price Interest Rate Derivatives. The seminar will deliver intensive teaching on some of the key challenges Quant professionals face, focusing on a fine balance between quantitative methods and calculations and practical, real life solutions. Attendees will also receive numerous alternatives solutions for them to consider when they return to their institution.

Course Highlights:

  • General concepts & principles: pricing framework and relevance of the Credit Support Annex
  • Yield Curve Construction
  • Convexity & the Cheapest To Deliver Collateral Option
  • Introduction to non-linear IR Derivatives & Volatility Modelling
  • SABR Extensions & Alternatives: Introduction to CMS-based products
  • Bermudan Swaptions
  • Inflation Derivatives

Learning Outcomes:

  • An introduction to the Credit Support Annex and the connection between collateralization and funding/discounting
  • General concepts of Yield Curve Construction and guidance on curve interpolation techniques
  • New convexity effects in linear products generated by the volatility of funding spreads
  • Introduction to non-linear IR Derivatives and Volatility Modelling
  • SABR alternatives, in-depth analysis of ZABR and Bermudan Swaptions


Event Tutors:

  • Vladimir Sankovich, Managing Director, Head of Quantitative Modeling and Analytics, TD Securities
  • Qinghua Zhu, Director, Quantitative Modeling and Analytics, TD Securities

Pricing IRDs Training Testimonials:

"I found the training to be very good. I thought the depth of coverage (the level of the mathematics used) was appropriate." - US Securities and Exchange Commission

"I really enjoyed the course. The instructors are superb and the material current and well presented." - ICAP

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