Venue
Raddison Blu Edwardian, Mercer Street
Raddison Blu Edwardian, Mercer Street, 20 Mercer Street, WC2h 9HD, London

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Event Date Wed Nov 28 GMT - Thu Nov 29 GMT (about 3 years ago)
In your timezone (EST): Wed Nov 28 12:00am - Thu Nov 29 12:00am
Location Raddison Blu Edwardian, Mercer Street
20 Mercer Street, WC2h 9HD, London
Region EMEA
Details

This course will give delegates knowledge of how to price fixed bonds, floating rate bonds, callable bonds and interest rate derivatives. It will look at how to price and manage conversions and model them. Furthermore, challenges surrounding bond curves such as, fitting, calibrating a yield curve and bootstrapping a curve will be covered. Teaching on factors affecting the pricing of Bermudian swaptions and modelling them whilst ending with modelling interest rate derivative volatility will close the course.

What will you learn?
• To fit a bond curve with Nelson- Siegel and Svensson approaches
• To price fixed, floating rate and callable bonds
• Pricing and modelling for Bermudian swaptions
• How bond optionality is modelled
• Calibration of interest rate derivatives to swaptions, cap and floors
• How the volatility smile modelling of interest rate derivatives effects the prices provided by each model

Speakers

2018 Speakers:

Emiliano Papa
Deutsche Bank

David Saab
Independent Consultant

Suman Datta
Head Portfolio Quantitative Research CB Markets, Lloyds Bank Commercial Banking

Dr Jan De Spiegeleer
Co - Founder, RiskConcile

Rutger Olthof
Principal Trader, NN Investment Partners

Valérian Branco
Co-Founder, Goldbaum

Carlos Martin, FRM MSc BBA
Risk Director, RBS Natwest Markets

Sponsors & Partners

2018 Sponsor:

• Risk.Net