What You Will Learn :
- What has changed in the market with the crisis. Libor, OIS, the basis. Collateral agreements. The new relations among market quotes
- The interest rate market and the foundations of modelling
- Understanding Market Models: from market Black formulas to the Libor Market Model
Description
The BGM Libor and Swap Market Models are the last generation of financial models for interest rate derivatives, and those that cope more easily with the new market characterised by large basis spreads and CSA discounting or funding and CVA adjustments.
Discover new developments and cutting edge techniques in Libor and Swap Market Models. This in-depth course reviews foundations and illustrates the latest advances, including lessons learnt from the financial crisis. This will give participants the opportunity to apply new methodologies in a practical context for the current needs of the market.
The BGM Modelling course analyses techniques and structures for crucial points such as volatility and correlation modelling, with stochastic volatility, accurate SABR smile and a multicurve structure. It further investigates calibration techniques on market data, presents problematic scenarios and identifies appropriate solutions. The various pricing problems with real-world payoffs are examined and practical solutions are described. Finally, how to deal with credit and liquidity risk in this framework is explained.
Can’t travel? Don’t want to travel? LFS Live brings the class to you!
- Live interactive training from world renowned practitioners in the comfort of your own home
- Real classroom experience without the inconvenience of travel
- World class teaching from the comfort of your preferred location
Who is this course for?
Exotic Products Managers (pricing strategy development)
Quantitative Analysts
QA Managers
Fixed Income Managers
Interest Rate Derivatives Managers & Teams
Managers of Financial Engineering
Portfolio Managers
Traders
Risk Managers or Directors