Interest Rate Derivatives - Option Pricing, Hedging & Managing Risk

Description

Overview

Interest Rate Options are an essential part of the derivatives marketplace. This 3-Day programme will equip you to use, price, manage and evaluate interest rate options and related instruments.

The course starts with a detailed review of option theory, from a practitioner’s viewpoint. Then we cover the key products in the rates world (caps/floors, swaptions, Bermudans) and their applications, plus the related products (such as CMS) that contain significant ’hidden’ optionality. We finish with a detailed look at the volatility surface in rates, and how we model vol dynamics (including a detailed examination of SABR).

The programme includes extensive practical exercises using Excel spreadsheets for valuation and risk-management, which participants can take away for immediate implementation

Who the course is for

This course is designed for anyone who wishes to be able to price, use, market, manage or evaluate interest rate derivatives.

Course Content