Pricing Interest Rate Derivatives, New York

The fourth edition of our pricing interest rate derivatives course is returning to New York. Join us for this intensive two day training event which will provide an in-depth look into how to model and price interest rate derivatives.

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Pricing Interest Rate Derivatives

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The fourth edition of our pricing interest rate derivatives course is returning to New York.

Join us for this intensive two day training event which will provide an in-depth look into how to model and price interest rate derivatives.

This interactive course will focus on some of the key challenges quant professionals face. The sessions will offer a balance between quantitative methods and calculations and practical, real life examples. You will also receive numerous alternative solutions for you to consider implementing within your organisation.

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What will you learn?
  • An introduction to the credit support annex and the connection between collateralisation, funding and discounting
  • Convexity and the cheapest to deliver collateral option
  • In-depth guidance on the concepts of yield curve construction and curve interpolation techniques 
  • Understand non-linear IR derivatives and volatility modelling
  • SABR alternatives and expert analysis of ZABR and Bermudan swaptions