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BGM Market Models: Advances, Calibration, Smile, Pricing£ 3,1503 daysLondon  8th   

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Course Information for 'BGM Market Models: Advances, Calibration, Smile, Pricing'




Overview

The BGM Libor and Swap Market Models are the last generation of financial models for interest rate derivatives and have growing importance in pricing and hedging modern financial products. Discover new developments and cutting edge techniques in Libor and Swap Market Models. This in-depth course reviews foundations and illustrates the latest advances. This will give participants the opportunity to apply new methodologies in a practical context for the current needs of the market. The course analyses present techniques and structures for crucial points such as volatility and correlation modelling. It further investigates calibration techniques on market data, presents problematic scenarios and identifies appropriate solutions. The various pricing problems with real-world payoffs are examined and practical solutions are described. Volatility smile and skew are explored and captured with tractable dynamics and the introduction of stochastic volatility, analysing in practice the most recent stochastic volatility term structure models.

Who is it for?

* Exotic Products Managers (pricing strategy development) * Quantitative Analysts * QA Managers * Fixed Income Managers * Interest Rate Derivatives Managers & Teams * Managers of Financial Engineering * Portfolio Managers * Traders * Risk Managers or Directors

How will i be assessed?

This program is eligible for 24 Continuing Education credit hours from the CFA Institute. If you are a CFA Institute member, CE credit for your participation in this program will be automatically recorded in your CE Diary.

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