Modern Modeling and
Pricing of Interest Rates Derivatives

New York, 15-16 March 2017

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 this current, historically low interest rate environment. 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 and principles and relevance of the Credit Support Annex
  • Yield Curve Construction
  • Convexity and the Cheapest To Deliver Collateral Option
  • Introduction to non-linear IR Derivatives and Volatility Modelling
  • SABR Extensions and Alternatives; Introduction to CMS-based products
  • Bermudan Swaptions
  • Inflation Derivatives
  • Introduction to xVA

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
  • Introduction, derivation and application of xVA


Course Tutors:

Vladimir Sankovich, Senior Consultant, Quantitative Modelling and Analytics, TD Securities

Ali Najmaie, Director, Financial Resource Management, TD Securities

Qinghua Zhu, Vice President, Quantitative Modelling 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

IRDs Event Brochure
2017 Q1 Training Calendar
CPE Accredited
Request A Call Back