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Financial Engineering in Interest Rates and FX (C++ applications in Quantitative Finance)

City University London
Course summary
10 weeks
890 GBP
English
Part time
London
Next available date: 29/04/2020 - London
Open / Scheduled
Financial Engineering in Interest Rates and FX (C++ applications in Quantitative Finance)

Course description

Financial Engineering in Interest Rates and FX (C++ applications in Quantitative Finance)

In this Financial Engineering in Interest Rates and FX (C++ applications in Quantitative Finance) evening course you will learn the most widely used models in the banking industry on the Interest Rates and FX markets.

The short course will start with Libor Market Model for single and Multi-Currency models, then move to Markov Functional Models, the Short Rate Models and then volatility models like SABR models, inflation, etc.

Suitability - Who should attend?

Prerequisite knowledge

  • ability to implement object-oriented concepts in C++ at a 'schoolbook' level (professional experience in C++ not required);
  • strong mathematical skills;
  • knowledge of financial engineering is expected.

English requirements

You must be proficient in written and spoken English.

Training Course Content

What will I learn?


  1. Binomial Price
  2. American Options
  3. Monte-Carlo Methods
  4. Non-linear solvers
  5. Introduction to interest rate concepts and Yield Curve Construction: Bootstrapping and interpolation
  6. Short Rate Modelling
  7. Forward Rate modelling Heath-Jarrow-Merton model (HJM)
  8. Libor Market Model
  9. Markov Functional Models
  10. Option Pricing in Monte-Carlo Routine
  11. SABR model / Option Hedging in Discrete and continuous time

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About provider

City University London

City University London

City, University of London is a special place. With skill and dedication, we have been using education, research and enterprise to transform the lives of our students, our community and the world for a hundred years. We are proud of...


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Contact info

City University London

Northampton Square
EC1V 0HB London

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