Available dates

Nov 25—29, 2019
5 days
London, United Kingdom
GBP 5999 ≈USD 7710
GBP 1199 per day
Jun 15—19, 2020
5 days
London, United Kingdom
GBP 5999 ≈USD 7710
GBP 1199 per day


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About the course

Turbulent decades of economic crises and increased volatilities across all asset classes have brought about innovative derivatives solutions to manage risk. These developments and the recent dramatic failure in appraising derivatives models, place a heavy emphasis on institutions’ ability to assess the risks of derivatives, which have been blamed for exacerbating the present crisis in financial markets.

Despite the debate, derivatives are still the strategic instruments of choice to manage financial risks and create value. Their failure has typically been due to a lack of understanding of how to use and price derivatives. Understanding their dynamics, risks, valuations and uses has become more important than ever. The recent credit market turmoil, for example, has witnessed a wide variety of approaches that seem to have little in common.

However, the key to understanding derivatives is that all products, no matter how complex, are portfolios of just two fundamental building blocks: a swap (forward) and an option. This course provides this understanding in a rigorous, consistent and coherent framework.


This intensive course provides detailed insights into the principles, methods and mathematical tools for understanding the analytics of derivatives structuring, use, valuation and risk management.

It discusses the economic intuition behind each important aspect of derivatives in order to show how they can be understood in a more sophisticated way, bridging the gap between theory and practice. The concepts and mathematics are set and illustrated by detailed worked examples from the marketplace. The course involves extensive modelling and computations using Excel spreadsheets.


By the end of the course, participants will have acquired a detailed practical and theoretical knowledge of:

  • Valuation and modelling of fixed income and equity-linked derivatives
  • The practicalities behind options; their trading, structuring and risk mechanics
  • Recent developments behind integrated stochastic yield curve models
  • Securitisation and hybrid corporate credit-risky securities
  • Credit derivatives and an introduction to credit risk models

As well as key technical skills and an understanding of the two core derivatives valuation tools: Model-free swaps (forwards) and Model-dependent options.


Owing to its intensive format, this course will prove invaluable in giving participants the opportunity to concentrate exclusively on the subject without any distractions. Here are some of the unique factors that make this course an essential learning experience:

  • Strictly limited numbers mean that you will receive maximum personal tuition and coaching throughout the entire programme
  • The intensive format of the course ensures that you can focus completely on learning and improving your skills without the distractions of the office
  • IFF’s reputation as the global leader in financial training means you are guaranteed to benefit from a course that is unique and without equal

The programme is a series of connected modules that focus on applicable techniques, whilst remaining analytically and mathematically rigorous and in an accessible manner. The three core modules (Yield Curves, Swaps & Interest Rate Derivatives; Optionalities: Equity, FX & Interest Rate Options; and Credit Risk Derivatives Models) will:

  • Emphasise the economic intuition behind the key theoretical concepts, apparatus and vocabulary of derivatives
  • Distil the subtleties and essence of derivatives use and valuation tools, bridging the gap between theory and practice
  • Use numerous worked examples set in a real-life context using actual historical market prices
  • Demystify difficult concepts illustrated throughout with concrete examples and worked through by extensive modelling using Excel spreadsheet applications

How You Will Learn

The trainer uses numerous worked examples incorporating actual historical market prices. Difficult concepts are illustrated throughout with concrete examples and worked through by extensive modelling using Excel spreadsheet applications.

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