Learning outcomes:

• Assess the use and application of the SABR model

• Manage volatility smiles and hedging stability   
  
• Develop your understanding of the practical pricing of exotics

• Explore the strengths, weaknesses and uses of HJM models, BGM models, LMN models, short-rate models and Markovian models
• Investigate mis-hedging, mis-pricing and the need for risk migrators

Course highlights:

• Using the SABR model to manage volatility smiles, hedging stability
• Market technicals: money vs. scrip, leverage, cost of funds and the credit crisis
• Managing exotic risks: choosing a model and the five main interest rate risks
• Practical pricing of exotics: calibration strategies and instruments
  
• Adjusters and risk mitigation
  
• Pricing and hedging callable range notes and accrual swaps