Pricing Interest Rate Derivatives London
This course will provide an in-depth look into how to model and price interest rate derivatives.
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.
- Vladimir Sankovich, Global Head of Analytics, DRW
- Paolo Lo Presti, Director, Deutsche Bank
- 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
- 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
Who Should Attend?
Relevant departments may include but are not limited to:
- Quantitative Analysis
- Risk Management
- Portfolio Management