Interest Rate Derivatives, Fall 2019

Department of Statistics and Quantitative Methods, UniversitĂ  di Milano-Bicocca

Course page: https://elearning.unimib.it/course/info.php?id=25312

Please subscribe the course mailing list sending an e-mail to [email protected]; you are also invited to join the 201910-bicocca channel in the Slack IRD workspace.

Learning objectives

The course has a practitioner approach, presenting the current market best practices, often not yet documented in textbooks. Lecturers from the street are invited: traders, risk-managers, quants, consultants. The course aims to provide the students with the background usually tested when applying for investment banks in the interest rate derivatives area.

Contents

Interest Rate and Credit models and derivative products (linear products, plain vanillas, and exotics), with special emphasis on rate/credit curve construction and collateralization issues.

  • Interest Rate FRA, Futures, and Swaps
  • Rate curve bootstrapping in multi-curve regimes
  • Black Model
  • Interest rate volatility: par, forward, no-arbitrage, and SABR
  • Term structure models: equilibrium, no-arbitrage, short rate, and market models
  • Caps and Floors, Swaptions, and Bermudan Swaptions
  • Credit Default Swaps
  • Credit curve bootstrap
  • Counterparty risk: clearing, collateralization, and valuation adjustments
  • Market risk management: greeks and static replica of products

Prerequisites

Derivatives, stochastic processes, risk measures

Teaching method

Assessment method

Oral examination based on the lessons’ material and the included references.

Textbooks and Reading Materials

  • John Hull, Options, Futures and Other Derivatives, 10th edition
  • Paul Wilmott, on Quantitative Finance

Teaching language

Usually Italian, English if foreign students are present.

Lessons’ calendar and material

Workshops are with Paolo Mazzocchi, assistant lecturer (material).

  1. Friday 2019-10-18 12:30-14:30 edificio U6 aula 22
    Interest Rate Basics (slides)
    Workshop on Interest Rate Basics
  2. Tuesday 2019-10-22 14:30-16:30 edificio U6 aula 20
    Interest Rate Basics (slides)
    Workshop on Interest Rate Basics
  3. Friday 2019-10-25 12:30-14:30 edificio U6 aula 22
    Rate Curves Calibration (slides)
  4. Tuesday 2019-10-29 14:30-16:30 edificio U6 aula 20
    Rate Curves Calibration (slides)
  5. Tuesday 2019-11-05 14:30-16:30 edificio U6 aula 20
    Black Model (slides)
  6. Friday 2019-11-08 12:30-14:30 edificio U6 aula 22
    Volatility with Nicola Moreni (slides)
  7. Tuesday 2019-11-12 14:30-16:30 edificio U6 aula 20
    Workshop on Rate Curve Bootstrapping
  8. Friday 2019-11-15 12:30-14:30 edificio U6 aula 22
    Caps and Floors with Carlo Clerici (slides)
  9. Tuesday 2019-11-26 14:30-16:30 edificio U6 aula 20
    Swaptions (slides)
  10. Friday 2019-11-29 12:30-14:30 edificio U6 aula 22
    Workshop on Caps/Floors and Swaptions
    Workshop on Greeks and Hedging
  11. Tuesday 2019-12-03 14:30-16:30 edificio U6 aula 20
    Interest Rate Models (slides)
    Workshop on Bermudan Swaptions
  12. Friday 2019-12-06 12:30-14:30 edificio U6 aula 22
    Credit Derivatives (slides)
    Workshop on Credit Curve Bootstrapping and Credit Default Swaps
  13. Tuesday 2019-12-10 14:30-16:30 edificio U6 aula 20
    XVAs with Andrea Prampolini (slides)
  14. Friday 2019-12-13 12:30-14:30 edificio U6 aula 22
    Quantitative Finance / Risk Management: guest lecturer to be announced
    Anonymous course evaluation forms will be collected
  15. Tuesday 2019-12-17 14:30-16:30 edificio U6 aula 20
    Catch-up lesson slot to be used only in case of previous cancelled lessons
  16. Friday 2019-12-20 12:30-14:30 edificio U6 aula 22
    Catch-up lesson slot to be used only in case of previous cancelled lessons