Patrick Hagan on Interest rate modelling for the new era

London
7 June 2010

New York
21 June 2010

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Key learning outcomes:

• Ensure an effective approach to interest rate modelling, calibration and evaluation
• Assess the use of the SABR model to manage volatility smiles and hedging stability
• Develop your understanding of the practical pricing exotics
• Explore the strengths, weaknesses and uses of HJM models, BGM models, LMM models, short-rate models and Markovian models
• Investigate mis-hedging, mis-pricing and the need for risk migrators

Course dates & venues

Course tutor

LONDON & NEW YORK

Patrick Hagan