Description
This is a three day programme, covering all the essential principles with which someone working in the area of interest-rate derivatives should be familiar.
Day 1 Interest rate derivatives, swaps and cross-currency swaps, modern yield curve construction
Day 2 Interest rate options and exotics, CMS and applications, structured products
Day 3 CMS, modelling interest-rate vol, the impact of stochastic volatility, SABR
The emphasis is on a healthy mix of theory and client applications, and is illustrated throughout with real-life examples and case-studies.
+ 44 (0)20 7779 8543
Email
