Pricing Interest Rate Derivatives New York

This 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.

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


Event Agenda  Pricing and Registration

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 Tutors:

Vladimir Sankovich, Global Head of Analytics, DRW

Qinghua Zhu, Quantitative Researcher, DRW

Event Highlights:
  • General concepts and principles and relevance of the Credit Support Annex
  • Yield Curve Construction
  • Introduction to non-linear IR Derivatives and Volatility Modelling
  • SABR Extensions and Alternatives; Introduction to CMS-based products
  • Bermudan Swaptions
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
  • Introduction to non-linear IR Derivatives and Volatility Modelling
  • SABR alternatives, in-depth analysis of ZABR and Bermudan Swaptions
@RiskDotNet

Downtown Conference Center

157 William Street
New York
NY 10038
T: 1-212-618-6990  
Toll free- 877-DCC-MEET (322-6338)

Venue information

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