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Academic Year 2016/2017 Learning outcomes The course covers in detail the interest rate market and its evolution across the financial crisis. The modern interest rate modelling approach is developed to include funding and collateral, and applied to the most important interest rate derivatives. Market quotations for plain vanilla linear derivatives and options are used to bootstrap multiple-yield curves and volatility cubes. Interest rate models are introduced step by step with increasing complexity, including extensions to multiple-curves, negative rates, convexity adjustments and correlations. At the end of the course the students will know how the most important interest rates are fixed on the market, and how the modern interest modelling approach is extended to include funding and collateral.

They will also understand the most important interest rate derivatives and their market quotations, and how to build the corresponding interest rate yield curves and volatility cubes. They will be able to model the term structure of interest rates using several approaches with increasing complexity, from the simplest Black model and its extension to stochastic volatility (SABR), to factor models for short rates (Heath-Jarrow-Morton, Vasicek, Hull-White) and forward rates (Libor Market Model), dealing with multiple-curves, negative rates and convexity adjustments. Practical examples and case studies will be illustrated using spreadsheet and codes.

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This article has been rated as C-Class on the project's. This article has been rated as High-importance on the project's. (Rated C-class, Low-importance) Business Wikipedia:WikiProject Business Template:WikiProject Business WikiProject Business articles. Contents • • • • • • • • • • PROJECT FINANCE [ ] This article is part of project finance and has recently been part of a wide review of interest rate derivative amendments. Some very old comments on this talk page have now been removed as either now obsolete or addressed. Below talk comments have been left temporarily for further consideration ahead of deletion.

Users with new comments about this article please submit below within section new comments. () 08:31, 3 July 2017 (UTC) New Comments [ ] Old Comments pending deletion on 1st July 2018 [ ]. Extended content Adding an external link to this article [ ] I would like to add an external link to however this could be violating point 11 of the 'links to normally be avoided' in the external links guidelines. This isn't a blog much as it is a growing list of articles we are creating sharing 15 years inside investment banking. This one I felt complemented the article however contains multimedia so I cannot add it straight in.