Pricing Interest Rate Derivatives London

This course will provide an in-depth look into how to model and price interest rate derivatives.

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Pricing Interest Rate Derivatives
London, 22-23 May 2019

View the 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
  • Paolo Lo Presti, Director, Deutsche Bank
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Event Highlights:
  • General Concepts and Principles – Pricing Framework and Relevance of the Credit Support Annex (CSA) 
  • 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 
  • SABR Extensions and Alternatives: Introduction to CMS based products Continued 
  • Bermudan Swaptions 
  • Inflation Derivatives 
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Learning Outcomes:
  • An introduction to the credit support annex and the connection between collateralisation 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
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Who Should Attend?

Relevant departments may include but are not limited to:

  • Quantitative Analysis
  • Risk Management
  • Portfolio Management
  • Trading
  • Derivatives

Amba Hotel

Strand,
Charing Cross,
London, 
WC2N 5HX

Venue information

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