Risk Latte Company is holding a one day Interest Rate Modelling & Pricing Fixed Income Derivatives in Hong Kong.
Interest Rate Modelling & Pricing Fixed Income Derivatives
- Online and offline (on site) Course;
- Hands on Excel/VBA spreadsheet models;
- Pricing using actual term sheets and case studies;
All QT implemented on Excel/VBA spreadsheet
- Variance-Covariance matrix of short rate returns;
- Principal Components Analysis of VCV matrix (eigenvalues and eigenvectors of the VCV matrix);
- Cholesky decomposition of a VCV matrix;
- Monte Carlo simulation using multiple assets;
All model building on Excel/VBA spreadsheet
- Ho-Lee’s model of short rate;
- Vasicek’s model and Cox-Ingersoll-Ross model of mean reverting short rate;
- LIBOR Market Model and Hull-White innovation;
- Lognormal models and Black-Derman-Toy (BDT) tree;
- Heath-Jarrow-Morton (Two Factor) Model;
Pricing of Products
All product pricing done on Excel/VBA spreadsheet
- Vanilla Caps and Floors;
- Sticky and ratchet caps;
- Range Accrual notes and swaps;
- Callable Range Accrual Notes & swaps;
- Snowballs, Snowblades, and other exotic structured notes;
- Exotic Floating Rate notes;
The workshop shall be held for 6 hours from 9 am-12 pm and 2pm-5 pm at our office at 9/F Somptueux Central | 52 - 54 Wellington Street | Central | Hong Kong.
To apply for the above course please write to email@example.com . You can also write to us at Risk Latte Company , Level 2, Neich Tower, No.128, Gloucester Road, Wan Chi, Hong Kong or you can call us on +852 3987 8552 or +852 6395 8032.
All Candidates will be awarded a Certificate of Participation by Risk Latte Company.
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