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
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
Reviews
Average rating 5
Based on 3 reviews.
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02 Jul 2013
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,...
Expenses
- Online course fee: £2999 + VAT if applicable
- London course fee: £4999 + VAT @ 20% = £5998.80
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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...
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I found all the sessions most valuable. Very well structured course that met my objectives entirely. Manuel Ortigao Ramos, Analyst, Banca Itau Europe SA