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Monetising Convexity

A free webinar on RV Trading at the Long-End of the Curve with
Richard Fedrick on March 12th 2024 at 11.00 AM GMT

Richard, an expert in interest rates and FX, derivatives, exotic options, structured products and risk management, will talk you through the following topics:


Key topics

  • What do we mean by convexity?
  • Quantifying bond and swap convexity
  • Extracting value through flies
  • Why this looks like an option problem
  • Arbitrage bounds for the shape of the long-end of the curve
  • Q&A