BGM Models and Advances: Basis, CSA, Credit & Funding

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BGM Models and Advances: Basis, CSA, Credit & Funding

London Financial Studies
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Description

The BGM Libor and Swap Market Models are the last generation of financial models for interest rate derivatives, and those that cope more easily with the new market characterised by large basis spreads and CSA discounting or funding and CVA adjustments.

Discover new developments and cutting edge techniques in Libor and Swap Market Models. This in-depth course reviews foundations and illustrates the latest advances, including lessons learnt from the financial crisis. This will give participants the opportunity to apply new methodologies in a practical context for the current needs of the market.

The course analyses techniques and structures for crucial points such as volatility and correlati…

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The BGM Libor and Swap Market Models are the last generation of financial models for interest rate derivatives, and those that cope more easily with the new market characterised by large basis spreads and CSA discounting or funding and CVA adjustments.

Discover new developments and cutting edge techniques in Libor and Swap Market Models. This in-depth course reviews foundations and illustrates the latest advances, including lessons learnt from the financial crisis. This will give participants the opportunity to apply new methodologies in a practical context for the current needs of the market.

The course analyses techniques and structures for crucial points such as volatility and correlation modelling, with stochastic volatility, accurate SABR smile and a multicurve structure. 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. Finally, how to deal with credit and liquidity risk in this framework is explained.

Workshops make use of Excel based spreadsheets and MatLab.

Special rates are available for multiple bookings. Please enquire if you would like to take advantage of these

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    There are no frequently asked questions yet. If you have any more questions or need help, contact our customer service.