Applications of Quantitative Finance - Intermediate - Course - ZISHI

Applications of Quantitative Finance – Intermediate



Applications of Quantitative Finance – Intermediate

For group bookings, to discuss tailored delivery or for any questions about this course, please get in touch:

Course Overview


This course is specifically designed to bridge theoretical concepts with practical applications in the financial industry. Spanning ten comprehensive modules, the course begins with an exploration of Fixed Income and Yield Curves, covering essential bond math, bond pricing, and relative value trading.


It delves into Interest Rate Derivatives, dissecting mechanics, pricing, and risk management of swaps and futures. Participants will gain insights into Credit Derivatives, understanding single-name CDS, CDS indices, and tranche trading.


The course also covers the dynamics of the Foreign Exchange market, Equity and Commodities Delta-1 trading, offering a deep dive into FX forwards, equity index futures, and commodities overview. Advanced topics include Option Pricing and Risk Management with analytical pricing methods, the Volatility Surface analysis, Interest Rate Options, and FX Barrier Options among other exotics.


This course is ideal for finance professionals seeking to enhance their expertise in quantitative finance tools and strategies, offering a blend of theoretical knowledge and practical insights to navigate complex financial instruments and markets effectively.


Learning Objectives


  • Understand Fixed Income Securities and Yield Curve Analysis: Participants will learn the foundational aspects of bond math, including pricing, yield relationships, duration, convexity, and how to engage in relative value trading using curve trades and butterflies.
  • Master Interest Rate Derivatives: Gain in-depth knowledge of interest rate derivatives, including FRAs, interest-rate futures, swaps, and the transition from LIBOR to SOFR, alongside an understanding of the central clearing model and swaps risk management.
  • Explore Credit Derivatives and Strategies: Learn the intricacies of single-name CDS, CDS indices, sub-indices, STCDOs, and tranche trading, including correlation, delta, and relative value trading strategies.
  • Navigate the Foreign Exchange and Commodities Markets: Acquire skills in analyzing and trading in the FX spot market, forwards, swaps, carry trades, and options, as well as understand commodities trading, including futures and total return swaps.
  • Option Pricing and Risk Management: Develop proficiency in option pricing using binomial trees, the Black-Scholes approach, Monte Carlo simulation, and understand delta-hedging, gamma, theta, and vega as measures of risk.
  • Analyse the Volatility Surface and Exotic Options: Understand the construction and implications of the volatility surface for equities, commodities, and FX, including trading strategies involving Risk Reversals and Flys. Additionally, learn about interest rate options, caps, floors, European and Bermudan swaptions, and manage the risk of FX barrier options and other exotics.
Applications of Quantitative Finance – Intermediate

Course Modules


  • Fixed Income and Yield Curves
  • Interest Rate
  • Interest Rate Derivatives II
  • Credit Derivatives
  • Foreign Exchange
  • Equity and Commodities Delta-1
  • Option Pricing and Risk Management
  • The Volatility Surface
  • Interest Rate Options
  • FX Barrier Options and Other Exotics

For group bookings, to discuss tailored delivery or for any questions about this course, please get in touch:

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Applications of Quantitative Finance – Intermediate

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