Financial Engineering in Interest Rates & FX

Program Overview

This online course in Financial Engineering in Interest Rates & FX provides a comprehensive understanding of financial engineering concepts related to interest rates and foreign exchange markets. Through interactive virtual classroom sessions and coding exercises in C++, participants develop their programming skills and gain practical knowledge for careers in quantitative finance, market risk management, and related fields. The course is taught by an experienced industry professional and is suitable for individuals with prior knowledge of financial engineering and strong mathematical abilities.

Program Outline

Outline:

• Topics:
This course covers a wide range of financial engineering topics related to interest rates and foreign exchange (FX) markets.
• Structure:
The course is delivered online and consists of weekly 2-hour sessions held on Wednesday evenings for a total of 10 weeks.
• Modules:
• Binomial Pricing Model: This module introduces the Cox-Ross-Rubinstein procedure for binomial model pricing, functions, pointers, function pointers, classes, inheritance, and virtual functions.
• American Options: This module covers multiple inheritance, virtual inheritance, class templates, Monte-Carlo methods for path-dependent options, pricing errors, Greek parameters, variance reduction techniques, path-dependent basket options, non-linear solvers, implied volatility, and American options.
• Yield Curve Construction: This module explores interest rate concepts, bootstrapping, and interpolation techniques, zero-coupon bonds, coupon-bearing bonds, swaps, stochastic weighted sums of forward rates, and different types of yield curve construction methodologies.
• Short Rate Modeling: This module covers Merton, Vasicek, and Hull-White (HW) models, bond pricing/calibration, caplet pricing, multi-factor HW, and coding for European option pricing.
• Forward Rate Modeling: This module introduces the Heath-Jarrow-Merton (HJM) model, Libor volatility, repricing of caplets, separability of volatility, and the Cheyette model.
• Libor Market Model: This module covers numeraire, spot, terminal measures, drift equations, lognormal, CEV, and displaced diffusion dynamics of Libors, evolution of Libors, PCA, and stochastic volatility.
• Options Pricing: This module dives into the details of Monte-Carlo routines, option pricing, early exercise, inflation, and stochastic spread yield curves.
• SABR Model and Option Hedging: This module covers the SABR model and option hedging in discrete and continuous time.
• C++ Coding: Throughout the course, you will be developing your C++ programming skills through coding exercises and projects related to the covered topics.

Teaching:

• Lectures: The course is taught by Dr Emiliano Papa, a Director at Deutsche Bank with extensive experience in quantitative finance.
• Virtual Classroom: The course is delivered online through interactive virtual classroom sessions.
• Exercises: Each week, students will complete exercises based on the covered material, including some coding projects in C++.

Careers:

• Target Audience: This course is ideal for individuals with prior knowledge of financial engineering and strong mathematical skills who are interested in a career as a quantitative analyst, market risk manager, or market risk model methodology manager.
• Outcomes: Successful completion of this course will equip you with the knowledge and skills to succeed in roles related to interest rate and FX markets, particularly in the quantitative finance domain.

Other

• Prerequisites: Strong mathematical skills and some knowledge of financial engineering are required for this course.
• English Requirements: Fluent spoken and written English is required to enroll in this course.