Pricing Interest Rate Swaps and Their Derivatives
X51.9250
/ $795
FALL 2008
Continuing Education:
Finance
This course is a mathematical introduction to the valuation methods for pricing interest rate swaps and their derivatives. At the end of the course, you are able to price and hedge interest rate swaps, caps, floors, digitals, swaptions, and constant-maturity-swap products. Key ideas of replication (static and dynamic), risk-neutral valuation, and Monte Carlo simulation are introduced. These lead to a series of models for pricing simple swap derivatives--Black's formula, Black-Derman-Toy, and the LIBOR model. These are taught at a non-rigorous mathematical level, and students use these models in spreadsheets to value Bermudan callable structures and other exotics.
2.0 CEU (24 50-minute hours)
Solid background in bond mathematics; mathematical proficiency in calculus and probability; produce knowledge of forwards and options; and an understanding of the Black-Scholes will help, but is not necessary.
This course is applicable toward:
Related Subject Areas: Financial Risk Management
