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A Masterclass in Derivatives

Five days of intensive training

16 - 20 November 2020

Central London

Agenda Summary (access the full agenda to Masterclass in Derivatives here)

  • Yield Curves, Swaps & Interest Rate Derivatives
    • Yield Curve Derivatives: Hedging/Arbitraging Taxonomy, Markets Linkage & Overview
    • Forward Rate Agreements (FRAs)
    • Swap fixed leg cash flows
    • 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
  • Optionalities: Equity, F & Interest Rate Options
    • Derivatives Contracts: Fundamental Building Blocks, Arbitrage Boundaries, Synthetics & Strategies
    • 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
  • Credit Risk Derivatives Models
    • Credit Default Swaps (CDS): Structure, Pricing & Hedging
    • Mertonian/KMV Structural Model (Firm Assets) Approach
    • Jarrow–Turnbull (JT) Reduced-Form (Intensity-Based) Model: Applying Term Structure Models


Computer Workshops

  • FRAs Cash Flows
  • Fundamentals of Yield Curve Construction, Interest Rate Swaps & Micro-Structure
  • Constructing Semi-Annual Swap
  • Constructing Annual Swap
  • Exponential Interpolation
  • Bootstrapping Futures Strip Zeros
  • Incorporating Futures Strip Prices
  • Valuing FX Currency Swaps
  • Valuing Existing Off-Market Swaps
  • Structured Product Solutions, Embedding & Embedded Options
  • Binomial Option Pricing Model
  • Black–Scholes Option Pricing Model
  • Delta-Neutral Exit Strategy Cost
  • Long Volatility (Gamma) Trading
  • Pricing FX Options Pricing Interest Rate Caps and Floors
  • Yield Curve Model & Convexity Adjustment
  • Constructing Black-Derman–Toy (BDT) yield curve model
  • Valuing interest rate caps, bond options, swaptions, futures
  • Valuing Bermudan options, interest rate swaps
  • Comparison of BDT & Black (market) models – Convexity adjustment
  • Pricing Single-Named CDSs Main Uses of Credit Derivatives
  • Mertonian/KMV Binomial Models
  • Jarrow–Turnbull Reduced-Form Model