Pricing Interest Rate Derivatives Toronto

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
Toronto, 27-28 June 2018

View the Agenda

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
  • Ang Wei, Quantitative Analyst, TD Securities
Event 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
@RiskDotNet

Chestnut Residence and Conference Center

University of Toronto,
89 Chestnut Street,
Toronto,
Ontario,
MG5 1R1

Venue information

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