Syllabus

Introduction

The definition of PnL

Market based valuation

  • Fixed income valuation
  • Clean and dirty price of a bond
  • Various types of yields
  • Impact of credit risk
  • Bond futures and options

Interest rate valuation

  • Yield curve construction
  • Simple linear interest rate derivatives
  • Non standard swaps (in arrear, zero coupon, asset swaps, CMS swaps)
  • Futures
  • Volatility surface building
  • Option valuation (Black-Scholes, local and stochastic volatility)
  • Exotics

FX

  • FX market data (pips and outright forward quotes, fx volatility, correlation)
  • Spot and forwards
  • FX options

Credit derivatives

  • Market data for credit
  • CDS and CDO

Equity

  • Overview of the market data (index compositions, dividend curves, etc)
  • Futures and options

Commodity

  • Curve building for the energy markets
  • Futures

What is risk management

  • Market risk
  • VaR
  • Model risk

Hot topics

  • Central clearing
  • Collateralization, rehypotication, close-out rules, etc.
  • XVA
  • Introduction
  • Fixed income valuation
  • IR and FX valuation
  • Credit, equity and commodity
  • Risk management
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