Pricing Interest Rate Hybrids

Venue: Prospero House

Location: London, United Kingdom

Event Date/Time: Sep 07, 2006 End Date/Time: Sep 08, 2006
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Covering the spectrum of interest rate hybrid investments this course will help both traders and quantitative researchers to overcome the challenges for correlations and risk management through our practitioner-led examples.

Day one examines the latest modelling and correlation techniques, while day two merges theory in practice by applying these techniques into practical worked examples that can be utilised into your work place. Whether you have substantial experience in the underlying asset classes, or are setting up a desk for trading interest rate hybrids, by attending this course you will learn to:

- Understand the mathematical foundations of interest rate hybrid modelling

- Model the stochastic skew for equity and foreign exchange options

- Optimise the risk management of interest rate hybrids by taking into account the smile and correlation risks

- Successfully price credit-, commodity-, equity- to FX linked interest rate hybrids

Led by experienced leaders in the field, this highly interactive course will expose you to the latetest techniques. Risk Training courses are informal, practical and highly interactive; therefore places are strictly limited to ensure individual attention and maximimum benefit to each participant.


241 Borough High Street
United Kingdom

Additional Information

For a full copy of the brochure please contact Adriana Lobo via