School of Derivatives

In London (Grossbritannien)
1 Meinung

£ 4.499 - (5.139 )

Wichtige informationen

  • Kurs
  • London (Grossbritannien)
  • Wann:

This intensive course provides detailed insights into the principles, methods and mathematical tools for understanding the analytics of derivatives structuring, use, valuation and risk management.

Wichtige informationen

Wo und wann

Beginn Lage
15 Mai 2017
6th Floor, 29 Bressenden Place, SW1E 5DR, London, Grossbritannien
Plan ansehen



Das Beste It was very well verbalized by Petros and easy to understand

Zu verbessern Nothing negative.

Kurs abgeschlossen: Juli 2013 | Recomendarías este centro? Sí.

Was lernen Sie in diesem Kurs?

Risk Management
Cash Flow
Currency Swaps
IT risk
Credit Derivatives
Options Derivatives
Risk Derivatives


Agenda Summary Yield Curves, Swaps & Interest Rate Derivatives Yield Curve Derivatives: Hedging/Arbitraging Taxonomy, Markets Linkage & Overview Forward Rate Agreements (FRAs) Swap fixed leg cash flows 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 Optionalities: Equity, F & Interest Rate Options Derivatives Contracts: Fundamental Building Blocks, Arbitrage Boundaries, Synthetics & Strategies 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 Models Black-Derman-Toy (BDT) Model: Implementation Black-Derman-Toy (BDT) Model: Applications Credit Risk Derivatives Models Credit Default Swaps (CDS): Structure, Pricing & Hedging Mertonian/KMV Structural Model (Firm Assets) Approach JarrowñTurnbull (JT) Reduced-Form (Intensity-Based) Model: Applying Term Structure Models Computer Workshops FRAs Cash Flows Fundamentals of Yield Curve Construction, Interest Rate Swaps & Micro-Structure Constructing Semi-Annual Swap Constructing Annual Swap Exponential Interpolation Bootstrapping Futures Strip Zeros Incorporating Futures Strip Prices Valuing FX Currency Swaps Valuing Existing Off-Market Swaps Structured Product Solutions, Embedding & Embedded Options Binomial Option Pricing Model BlackñScholes Option Pricing Model Delta-Neutral Exit Strategy Cost Long Volatility (Gamma) Trading Pricing FX Options Pricing Interest Rate Caps and Floors Yield Curve Model & Convexity Adjustment Constructing Black-DermanñToy (BDT) yield curve model Valuing interest rate caps, bond options, swaptions, futures Valuing Bermudan options, interest rate swaps Comparison of BDT & Black (market) models ñ Convexity adjustment Pricing Single-Named CDSs Main Uses of Credit Derivatives Mertonian/KMV Binomial Models JarrowñTurnbull Reduced-Form Model

Zusätzliche Informationen

Practical course