Professional Training
5.0 (3 Reviews)

A Masterclass in Derivatives

IFF - International Faculty of Finance, In London (+1 locations)
5 days
2,999 - 4,499 GBP excl. VAT
Next course start
Enquire for more information (+2 start dates)
Course delivery
Classroom, Self-Paced Online
5 days
2,999 - 4,499 GBP excl. VAT
Next course start
Enquire for more information (+2 start dates)
Course delivery
Classroom, Self-Paced Online
Leave your details so the provider can get in touch

Course description

A Masterclass in Derivatives

  • Value and model of fixed income and equity-linked derivatives
  • Trade and structure options and manage the risks
  • Use integrated stochastic yield curve models
  • Use securitisation and hybrid corporate credit-risky securities
  • Use credit derivatives and credit risk models

Upcoming start dates

Choose between 2 start dates

Enquire for more information

  • Classroom
  • London

Start anytime

  • Self-Paced Online
  • Online

Training Course Content

Module 1

  • Yield Curve Derivatives: Hedging/Arbitraging Taxonomy, Markets Linkage & Overview
  • Forward Rate Agreements (FRAs)
  • Fundamentals of Yield Curve Construction, Interest Rate Swaps & Micro-Structure
  • Stochastic Floating Cash Flow Valuation (Some Key Results)
  • Swap Yield Curves & Zero-Coupon Valuation
  • Off-Market Swap Points
  • Interest Rate Futures
  • Principal Component Analysis (PCA) & Swap Pricing
  • FX Currency Swaps
  • Non-Standard & Off-Market Swaps

Module 2

  • Derivatives Contracts: Fundamental Building Blocks, Arbitrage Boundaries, Synthetics & Strategies
  • Computational Workshop Exercises: Structured Product Solutions, Embedding & Embedded Options
  • Derivatives Valuation: Concepts & Insights
  • Understanding Options Risk: Stock Exposure (Delta)
  • Volatility (Convexity) Risk Mechanics
  • FX Currency Options
  • Interest Rate, Yield Curve Volatilities & Options: Portfolio of Options on FRAs
  • Option on Portfolio of FRAs (Swaps)
  • Volatility Surface Asymptotics
  • Yield Curve Models: Motivation
  • Derivatives Pricing Tools: Fundamental Theorem
  • Yield Curves Models
  • Implementing & Calibrating Yield Curve Models: One-Factor ModelsBlack-Derman-Toy (BDT) Model: ImplementationBlack-Derman-Toy (BDT) Model: Applications
  • Computer Workshops

Module 3

  • Credit Default Swaps (CDS): Structure, Pricing & Hedging
  • Mertonian/KMV Structural Model (Firm Assets) Approach
  • Computer Workshop: Mertonian/KMV Binomial Models
  • Jarrow–Turnbull (JT) Reduced-Form (IntensityBased) Model: Applying Term Structure Models


Average rating 5

Based on 3 reviews.
Write a review!
02 Jul 2013

I found all the sessions most valuable. Very well structured course that met my objectives entirely. Manuel Ortigao Ramos, Analyst, Banca Itau Europe SA

02 Jul 2013

All sessions were valuable…..the course was comprehensive and a complete presentation of derivatives" Murat Tuncel, Treasury Operations, Garanti Bank

02 Jul 2013

Thorough, well delivered and very useful case studies……Clear, informative and knowledgeable…The most enjoyable and the most interesting. Angela Brayshaw, Market Risk Manager,...

Show more


  • Online course fee: £2999 + VAT if applicable
  • London course fee: £4999 + VAT @ 20% = £5998.80

Request info

Contact course provider

Fill out your details to find out more about A Masterclass in Derivatives.

  Contact the provider

  Get more information

  Register your interest

Country *

reCAPTCHA logo This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.
IFF - International Faculty of Finance
Maple House 149, Tottenham Court Road
W1T 7AD London

International Faculty of Finance - IFF Finance & IFE Energy - Specialist Training Courses

As one of the world's leading specialist financial training organisations, The International Faculty of Finance, provides participants in the global financial markets with intensive technical training programmes designed to help them succeed on the global stage.  Established in 1991 we...

Read more and show all courses with this provider