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Courses Derivatives Modelling

Course 6Coming soon

Derivatives Modelling

Forwards, swaps, options and structured products as a trading desk sees them, each priced, hedged and risk-managed in code.

  • 17 modules
  • Before you start: Foundations Levels 2, 4, 5 and 6; Stochastic Calculus; Financial Econometrics; Computing Part 2

Coming soon

Explore the syllabus below, and start with the courses it builds on.

How each module works

  1. 1The market problemWhy practitioners need the model
  2. 2Model and codeThe model, then its implementation
  3. 3Practice setQuick questions with instant feedback
  4. 4Case studyAn industry problem, solved in code
  5. 5Limits and risksWhen the model fails, and what to do

Modules

1.1Markets and instrumentsComing soon
You will learn:
Forwards, Futures, Swaps, Options, Exchanges vs OTC, Margining, Day counts.
Case study:
Hedge a commodity exposure with futures; basis risk
1.2Forwards, futures and carryComing soon
You will learn:
Cost of carry, Convenience yield, FX forwards, Covered interest parity.
Case study:
FX forward curve from spot and swap points
1.3Interest rates and curvesComing soon
You will learn:
Discount factors, OIS and SOFR, Bootstrapping, Swap pricing, DV01.
Case study:
Bootstrap a SOFR curve; value and hedge a swap
1.4Options and no-arbitrageComing soon
You will learn:
Payoffs, Put-call parity, Bounds, Spreads, Straddles, Risk reversals.
Case study:
Payoff and P&L explorer
1.5Binomial pricingComing soon
You will learn:
Replication, Risk-neutral probabilities, American exercise.
Case study:
American put and its exercise boundary
1.6Black–Scholes–Merton in practiceComing soon
You will learn:
Inputs and their sources, Dividends, Black-76, Garman–Kohlhagen.
Case study:
Check the formula against tree and Monte Carlo
1.7Greeks and hedgingComing soon
You will learn:
Delta, Gamma, Vega, Theta, Rho, Delta hedging, Gamma scalping, P&L attribution.
Case study:
Simulate delta hedging; explain the hedging error
1.8VolatilityComing soon
You will learn:
Historical vs implied, Smile, Skew, Term structure, Building a surface, Volatility trading.
Case study:
Implied volatility surface from option quotes
1.9Choosing a numerical methodComing soon
You will learn:
When to use a tree, A PDE or Monte Carlo, And what each costs.
Case study:
One product three ways with the learner's own FC library
1.10Exotic optionsComing soon
You will learn:
Digitals, Barriers, Asians, Lookbacks, Compounds, Quantos, Static replication.
Case study:
Price and hedge a barrier near the barrier
1.11Local and stochastic volatilityComing soon
You will learn:
Dupire, Heston, SABR, Calibration.
Case study:
Calibrate SABR and Heston to a smile
1.12FX derivativesComing soon
You will learn:
Delta quoting, ATM conventions, Risk reversals and butterflies, Vanna–volga, FX barriers and TARFs.
Case study:
FX volatility smile from broker quotes
1.13Rates derivativesComing soon
You will learn:
Caps, Floors, Swaptions, Black and Bachelier volatility, Vasicek, Hull–White, LMM overview.
Case study:
Price caps and swaptions; calibrate Hull–White
1.14Credit derivativesComing soon
You will learn:
Hazard rates, CDS pricing and bootstrapping, CVA overview.
Case study:
Hazard curve from CDS spreads
1.15Structured productsComing soon
You will learn:
Capital-protected notes, Reverse convertibles, Autocallables, Decomposition, The issuer's hedge.
Case study:
Decompose and price an autocallable by Monte Carlo
1.16Risk management of derivativesComing soon
You will learn:
VaR and ES of option books, Stress tests, Greek limits, Model risk, XVA overview.
Case study:
Daily risk report for a mixed option book
1.17Capstone: run a small options bookComing soon
You will learn:
Quote, Hedge, Report P&L attribution and risk over a simulated month.
Case study:
Graded with a checklist