Course Details

Pricing Interest Rate Swaps and Their Derivatives

 

FINA1-CE9250 / $750
SPRING 2012
Continuing Education: Finance

Gain a practical introduction to the valuation methods for pricing interest-rate swaps and their derivatives. Confidently price and hedge interest-rate swaps, caps, floors, swaptions, and constant-maturity-swap products upon completion. The key ideas of replication (static and dynamic), and risk-neutral valuation are introduced, leading to the industry-standard Black's formula and its variants for pricing Swaptions, Cap/Floors, and Digitals. A one-factor BDT/BK model is extensively covered to illustrate the valuation of Bermudan callable structures and other exotics.

2.0 CEU (24 50-minute hours)

Students must have a basic background in bond mathematics and some mathematical proficiency.

This course is also scheduled for:

SUMMER 2012

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Related Subject Areas: Financial Risk Management

 

 

 

Section 1

 

Wednesday 6:30pm-9:00pm
March 21 - May 9

no holiday

8 Sessions

Instructor: Amir Sadr  
Location: Woolworth Bldg, 15 Barclay St.