Modern Multi-Curve Derivatives Pricing

  • Description:

    This a technically demanding course on the new paradigm for pricing interest-rate derivatives post-2008, with OIS discount curves and decoupled forward LIBOR curves with tenor-dependent liquidity premiums.

  • Objectives:

    NA

  • Audience:

    Traders, structurers, quants, risk-management.

  • Prior Knowledge:

    A sound familiarity with swaps and their valuation.



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