A Masterclass in Derivatives

IFF - International Faculty of Finance
Course summary
Professional Training
5 days
4,499 GBP excl. VAT
London, Online courses

Course description

School of Derivatives - A 5-day residential financial training course in Surrey

This intensive School of Derivatives offers delegates a comprehensive and detailed review of the concepts, methodologies and mathematical tools which underly the analytics of derivatives structuring, use, valuation, control and risk management.

This residential training course places an emphasis on the logic and intuition behind derivatives analytics, rather than the complex mathematics themselves. Special attention is placed on the two core products of the derivatives market, model-free and model-dependent options.

Suitability - Who should attend?

This training course is aimed at professionals seeking a complete and holistic understanding of derivatives and their associated uses, products and processes. 

Training Course Content

The School of Derivatives is designed to cover the following modules and units:

Module 1 - Yield Curves, Swaps & Interest Rate Derivatives

  • 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 - Optionalities: Equity, FX & Interest Rate Options

  • 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 Models
  • Black-Derman-Toy (BDT) Model: Implementation
  • Black-Derman-Toy (BDT) Model: Applications

Module 3 - Credit Risk Derivatives Models

  • Credit Default Swaps (CDS): Structure, Pricing & Hedging
  • Main Uses of Credit Derivatives
  • Mertonian/KMV Structural Model (Firm Assets) Approach
  • Jarrow–Turnbull (JT) Reduced-Form (Intensity- Based) Model: Applying Term Structure Models


Ther cost of this School of Derivatives  training course is £4,499.

In-House Training

IFF is the global leader in the provision of tailored in-company courses that are designed to bring about significant increases in personal and organisational performance. By creating training programmes that are aligned to the specific needs of your business, we are able to provide results and ROI’s that are way above what can be achieved via conventional training programmes.

About provider

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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Contact info

IFF - International Faculty of Finance

Maple House 149, Tottenham Court Road
W1T 7AD London

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Average rating 5

Based on 3 reviews.

I found all the sessions most valuable. Very well structured course that met my objectives entirely. Manuel Ortigao Ramos, Analyst, Banca Itau Europe SA
All sessions were valuable…..the course was comprehensive and a complete presentation of derivatives" Murat Tuncel, Treasury Operations, Garanti Bank
Thorough, well delivered and very useful case studies……Clear, informative and knowledgeable…The most enjoyable and the most interesting. Angela Brayshaw, Market Risk Manager, NBAD
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