Financial Engineering in Interest Rates and FX (C++ Applications)City University London
En Islington (Inglaterra)
- Short course
- Islington (Inglaterra)
¿Qué aprendes en este curso?
What will I learn?
- Introduction to interest rate concepts
- Simply compounded interest rates
- Continuously compounded interest rates
- Relationship between yield and instantaneous forward rates
- Money Market Account
- Zero-Coupon Bonds, Coupon Bearing Bonds, Swaps
- Swaps as stochastic weighted sums of forward rates
- Yield Curve Construction: Bootstrapping and interpolation:
- Linear in “yield*T)” (= R(0,T)*T)
- Linear in “yield” ( = R(0,T) )
- Linear in “log Rate” ( = log R(0,T) )
- Linear in “Discount Factors”
- C++ coding for Yield Curve Construction
- Short Rate Modeling
- Merton, Vasicek, Hull-White (HW) one-factor
- Bond pricing/calibration
- Caplet pricing as Option on Bond
- Swaption Pricing – Jamshidian’s trick
- Multi-factor HW
- Shape of the yield curve
- C++ coding of European option pricing on one and multi-factor HW.
- Forward Rate modeling Heath-Jarrow-Merton model (HJM)
- Libor volatility in terms of forward rate volatilities - Repricing of Caplets through Libor volatility and agreement with HW short-rate models.
- Separability of volatility and Markovian representation of state variables.
- Cheyette model
- C++ pricing of Options
- Libor Market Model
- Numeraire – Spot, Terminal measures
- Drift equations
- Lognormal, CEV, and Displaced Diffusion Dynamics of Libors
- Libor evolution
- C++ Coding of Evolution of Libors. Calculation of Libors at reset times
- PCA – Principal Component analysis and rank reduction of the model
- Stochastic Volatility
- Markov Functional Models
- Explanation of the model details
- Calculation of convexity adjustment at reset times
- C++ code for convexity calculation
- SABR model / Option Hedging in Discrete and continuous time
- Option Pricing in Monte-Carlo Routine.
- Extraction of the Implied Volatility Skew/Smile from SABR, CEV, and Normal models.
- Option pricing C++ code for early exercise
- Inflation, Stochastic spread yield curves, Local Volatility modeling etc if time allows.