Course Highlights:

• Fundamentals of interest rates and interest rate derivatives
• Dynamics of the nominal interest rate term structure; real and nominal interest rates
• Insight into foreign exchange and FX derivatives
• Discrete-time interest rate models
• Calibration of the Libor market model
• FX hybrids and multi-currency interest rate models
• Stochastic volatility in interest rates modelling
• MBS and CMO pricing

Course tutors include:

• Roberto Baviera, ABAXBANK
• Dorje Brody, IMPERIAL COLLEGE
• Marc Henrard, BANK FOR INTERNATIONAL SETTLEMENTS
• Lane P. Hughston & Andrea Macrina, KING’S COLLEGE LONDON
• Dherminder Kainth & Nagulan Saravanamuttu, THE ROYAL BANK OF SCOTLAND GROUP
• Andrew Lesniewski, ELLINGTON MANAGEMENT GROUP
• Marcel Rindisbacher, UNIVERSITY OF TORONTO
• Harvey Stein, BLOOMBERG LP
• Manlio Trovato, MERRILL LYNCH

Please note: This site will be updated regularly, please visit again soon for more information.