A 4-day course covering the structuring, pricing and hedging of OTC interest rate swaps, options and embedded instruments.
Delegates will learn how to:
Derive discount factors off cash, FRA, interest futures, and swap markets.
Derive implied volatility surfaces from market data.
Price, value and hedge advanced interest rate swap and option Structures
This programme explains 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. The course will discuss a range of modeling approaches and how these may be modified to fit the current market conditions, and how simulations may be calibrated.