Investment Research Report

 

	Brochure
	New York

 

	Dates
	2006 TBA New York
	Program Director:   Jonathan Kinlay Adjunct Professor Fund Manager

Yield Curve & Interest Rate Modeling

A 3 day course providing a comprehensive and practical review of quantitative techniques in yield curve & interest rate modeling.

Yield curve and interest rate modeling provides the basis for structuring, pricing, trading and hedging every class of interest rate contingent securities from bonds to fixed income derivatives. It is consequently of fundamental importance in every aspect of fixed income research, trading and investment. This course is designed to provide practitioners with a comprehensive understanding of the latest theoretical concepts and analytical methods and their applications in fixed income investment.

The emphasis of the course is practical rather than purely theory-based. Delegates will make extensive use of computer-based labs and modeling exercises using actual market data to ensure a thorough understanding of the various methodologies and how they are applied. As a result, delegates will find that the techniques covered in the course are immediately useful to them in the work environment.

The coverage of the course includes applications in emerging markets, as well as fixed income derivatives. A complementary course on Bond Trading and Portfolio Management (for which this course is a pre-requisite) will run later in the year.

This comprehensive course will enable you to:

• Construct advanced yield curve models to give accurate valuations of fixed income products.
• Identify profitable trading opportunities in securities trading rich or cheap relative to the curve.
• Apply numerical techniques to ensure the construction of smooth, continuous forward rate curves for consistent swaps & derivatives 
• Identify tax-efficient bonds and construct tax-specific yield curves & investment strategies.
• Learn the latest multi-factor interest rate modeling techniques for valuing interest rate derivative securities.

 

	Course Coverage
	Fixed Income Instruments & Analysis Yield Curve Construction with Futures & Swaps Constructing the Curve with Bond Data Interpolation Techniques Tax-Specific Yield Curves Single and multifactor Interest Rate Models Derivative pricing with interest rate models

 

	Who Should Attend
	Quantitative Analysts Economists Fixed Income Traders Portfolio Managers Derivative Strategists Risk Analysts