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

This is an intensive three-day program focusing on the application of practical techniques for the implementation and use of BGM Libor and Swap Market Models. Presented by Massimo Morini.

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 characterized 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.

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  • Manhattan - New York
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This course is also available in London

Who The Course is For

  • Exotic Products Managers (pricing strategy development)
  • Quantitative Analysts
  • QA Managers
  • Fixed Income Managers
  • Interest Rate Derivatives Managers & Teams
  • Managers of Financial Engineering
  • Portfolio Managers
  • Traders
  • Risk Managers or Directors

Prior Knowledge

The Black-Scholes Model and Formula and the foundations of derivatives pricing. Basic statistics and numerical methods (Monte Carlo). Matlab will be used but prior knowledge is not essential.

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