Valuation of Interest Rate Derivatives

New York Institute of Finance

ITEM FIPR0507

15 Aug 2024 - 16 Aug 2024

09:00 AM - 04:30 PM

$2,695.00

group

In-person (NY Campus)

update

2

language

English

school

Advanced

15 Aug 2024 - 16 Aug 2024

09:00 AM - 04:30 PM

$2,695.00

videocam

Virtual (Full-time)

update

2

language

English

school

Advanced


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17

Valuation of Interest Rate Derivatives

Develop expertise in the theory and application of numerical methods to price interest rate instruments including the use of finite difference and Monte Carlo techniques. The Bloomberg Professional terminal is used extensively.

CPE Credits: 14

This course is a component of the Advanced Fixed Income Professional Certificate.

Prerequisite knowledge:

  • Intermediate to advanced MS Excel skills
  • Some knowledge of differential and integral calculus
  • Intermediate probability and statistics
  • Basic linear algebra
  • Familiarity with fixed income instruments, term structures, etc.

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Module 1: Pricing American Options

  • Callable bonds
  • American swaptions
  • Prepayment options

Module 2: Overview of Numerical Methods

  • Valuation techniques for path dependent options
  • Monte Carlo basics
  • Finite difference methods
  • Numerical Integration

Module 3: Monte Carlo Simulation: Discrete Models

  • Exotics: Path dependency
  • Monte Carlo simulation for Asian interest rate options
  • Spot rate duration by Monte Carlo simulation

Module 1: Monte Carlo Simulation: Continuous Models

  • Simulating continuous interest rate processes
  • Pricing a range floater
  • Hedging with Monte Carlo simulation
  • Convexity by Monte Carlo simulation
  • Techniques for accelerating convergence
  • Pros and Cons of Monte Carlo techniques

Module 2: Finite Difference Methods: One Factor Models

  • The fundamental PDE and boundary conditions
  • Explicit finite difference methods
  • Implicit finite difference methods
  • Crank-Nicolson method
  • Pricing bond options by Crank_Nicolson

Module 3: Finite Difference Methods: Two Factor Models

  • Explicit finite difference methods
  • Alternating direction implicit method
  • Hopscotch method
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Valuation of Interest Rate Derivatives

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