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Interest Rate Options - Practical Essentials

Price: £192.00

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Teacher: Dr David Cox
Length: 1 hour 36 minutes
Course access period: 6 months

This course on Interest Rate Options covers

  • Option Payoffs
  • Relationship between Options and Forwards
  • Time Value and its Causes
  • Valuing Vanilla Options
  • Volatility Basics
  • Assumptions about Asset Price Movements
  • Trees, Distributions and Pricing
  • Hedging and Risk Neutrality
  • Americans and Bermudans
  • Sensitivities – “The Greeks” and How They Work
  • What Drives Option Book P&L
  • Hedging Costs vs Time Decay
  • Volatility Skew and Smile

Who this course is for

  • Interest-rate sales, traders, structurers and quants
  • Bank Treasury and other Asset Liability Management executives
  • Central Bank and Government Treasury Funding managers
  • Fixed Income portfolio managers
  • Company finance executives and investment bankers

Prior knowledge

General understanding of fixed-income markets is assumed. Some of the important basic topics in bond maths are covered briefly at the beginning of the course.