Pricing Interest Rates Derivatives

Incisive Training
Course summary
Length: 2 days
Price: 1,999 GBP excl. VAT
Location: London
Next available date: Enquire for details - London
Course type: Open / Scheduled

Course Description

Pricing Interest Rates Derivatives Training

Pricing Interest Rates Derivatives - Financial Training by Incisive Training in London

Join us on this two day training course which will provide an in-depth look into how to model and price Interest Rate Derivatives. The seminar will deliver intensive teaching on some of the key challenges Quant professionals face, focusing on a fine balance between quantitative methods and calculations and practical, real life solutions. Attendees will also receive numerous alternatives solutions for them to consider when they return to their institution.


  • General concepts and principles and relevance of the Credit Support Annex
  • Yield Curve Construction
  • Convexity and the Cheapest To Deliver Collateral Option
  • Introduction to non-linear IR Derivatives and Volatility Modelling
  • SABR Extensions and Alternatives; Introduction to CMS-based products
  • Bermudan Swaptions
  • Inflation Derivatives
  • Introduction to XVA

Suitability - Who should attend?

This seminar is intended to provide training to professionals in financial institutions, as well as regulatory bodies and advisory firms. Quants could find this course particularly useful. However, Risk welcomes any individual with an interest in the course material.

Outcome / Qualification etc.

  • An introduction to the Credit Support Annex and the connection between collateralization and funding/discounting.
  • General concepts of Yield Curve Construction and guidance on curve interpolation techniques.
  • New convexity effects in linear products generated by the volatility of funding spreads.
  • Introduction to non-linear IR Derivatives and Volatility Modelling.
  • SABR alternatives, in-depth analysis of ZABR and Bermudan Swaptions.
  • Introduction, derivation and application of xVA.

Provider: Incisive Training

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Incisive Media is a leading global provider of finance and energy training, with a reputation for delivering timely, relevant courses that benefit from over 15 years of activity in the market. Their topical professional development programmes are based on the...

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