The derivative market started in the 1970s, predominantly to provide bank customers with mechanisms to hedge their interest rate and FX risks. Despite a slight reduction in latter part of 2008, by June 2009, the size of OTC interest rate market was in excess of USD430 trillion (measured in terms of notional amount outstanding). It had nearly regained its level in the first half of 2008, and had grown by over 20% pa. Despite the economic downturn, organisations were still concerned about their exposures to interest rates. In response, the interest rate derivative markets were still evolving to provide a wide range of innovative structures designed to meet the precise requirements of end-users. This advanced derivatives course is designed to provide the latest practical and theoretical developments in the structuring, pricing and hedging of OTC interest rate derivatives such as swaps and options plus a variety of embedded combinations.