Applications of Quantitative Finance – Intermediate

Take a look at what our course modules include in a little more detail:

Module 1: Fixed Income and Yield Curves
Essential ‘bond math’; Quotation conventions, clean and dirty price, accrued interest; Bond pricing, yield defined, price/yield relationship; Duration, DV01 and convexity; Repo, carry and forward prices; Relative value trading – curve trades, butterflies; Corporate bonds and credit spreads; Spread duration, CS0

Module Two: Interest Rate Derivatives I
FRAs and interest-rate futures; Short rates – from LIBOR to SOFR; Interest rate swaps, mechanics and quotation; Intuitive pricing swaps pricing, PV01; Clearing and settlement, the Central Clearing model; Quantifying and managing swaps risk, DV01, bucket deltas; Swaps trading – outright positions and curve trades

Module Three: Interest Rate Derivatives II
Swaps pricing done properly, the multi-curve approach; Choosing the discount curve – why OIS?; Simple introduction to ‘bootstrapping’ and curve construction; Basis swaps and the market price of liquidity risk; Asset swaps; Cross-currency swaps, mechanics and structure; Drivers of the cross-currency basis

Module Four: Credit Derivatives
Review of single-name CDS; Standard contracts; The cash-CDS basis, drivers of the basis, basis trading; CDS indices and sub-indices; Mechanics of an index-CDS trade; STCDOs and tranche trading; Tranches, correlation and delta; RV trading strategies

Module Five: Foreign Exchange
Review of FX spot market quotation and conventions; FX forwards – forward points versus the outright; Where is the forward price? The cash-and-carry argument; FX swaps, mechanics and applications; Hedging foreign-currency assets into domestic currency; FX carry trades; FX options and barriers

Module Six: Equity and Commodities Delta-1
Commodities overview; Index and commodity futures; Mechanics margining and settlement; Understanding the futures price – the no-arb forward; Basis trading in equities, ‘fair value’ future vs. the traded price; Understanding commodity forward curves – the ‘convenience yield’; Total return swaps in equities and commodities

Module Seven: Option Pricing and Risk Management
Option pricing – review of alternative approaches; Binomial trees; Analytical pricing (the Black-Scholes approach); Monte-Carlo simulation; Delta-hedging and gamma; Gamma vs. theta; Vega as a measure of vol risk; Hedging risk at the portfolio (aggregate) level; P&L Attribution

Module Eight: The Volatility Surface
What implied vol is all about; Lognormal vol vs. absolute (bp) vol; The vol surface for equities, commodities and FX; Understanding the drivers of the smile and skew, the role of stochastic vol; Volgamma and vanna, how they relate to smile and skew; Trading the surface with Risk Reversals and flys; Modelling vol dynamics

Module Nine: Interest Rate Options
Caps and floors; European swaptions, payoff and price; Quoting rates vol – Normal vs. Lognormal; Bermudan swaptions; The IRD vol surface; The callable bond market, the role of swaptions; Constant Maturity Swaps

Module Ten: FX Barrier Options and Other Exotics
Barrier options, conventions and terminology; Barrier options and technical views; Risk-management of barriers; Digital options and range accruals; Vol and variance swaps