SPECIAL COURSE
  FIXED INCOME AND INTEREST RATE OPTION PRICING

 PURPOSE

To provide modern techniques for assessing the just price for main securities and interest rate options traded in the Brazilian market. Presentation and practical discussion of the theory of assessment and price calculation for fixed income instruments and options.

 MAIN TOPICS

. Arbitrage of preset securities
. Preset SWAP x Interbank Deposits (DI) and future contracts for DI
. Assessment of liquidity impact
. Interest rate volatility
. Plain vanilla derivatives: futures for Interbank Deposits (DI), SWAP, FRA and interest options
. Design of preset and foreign exchange term structure
. Several types of interest rates
. Duration, convexity, and teta
. Term structure of different indexes
. Bootstrapping and fitting of term structure
. Extrapolation of the interest curve
. Sources of information in Brazil
. Hedge for several factors
. Interpolation: linear, flat forward and C-spline
. Market-to-market versus paper curve
. Vasicek model x CIR x HJM
. Term structure models: arbitrage-free and equilibrium models
. Pricing models for securities and derivatives
. Brazilian term structure moves with application of PCA
. What is term structure of the interest rate?
. IDI option and calculation of its price
. Interest options and risk
. Price of preset security and de indexed security options
. Price of interest rate options
. Main fixed income instruments
. Special derivatives products: caps, floors, collars and swaptions
. Value at risk (VaR) for preset and for indexed securities
. VaR by Monte Carlo for portfolios with fixed income derivatives

 
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