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
  

Course tutor

Patrick S. Hagan is the Head of Quantitative Analytics for JP Morgan's Chief Investment Office and a world renowned figure in the quantitative finance community.

Pat received his BS and Ph.D. in Applied Mathematics from the California Institute of Technology. Before joining JP Morgan he worked for several banks and third party software providers designing trading systems, as well as developing the component models, calibration methods and numerical algorithms for pricing, structuring and managing derivatives.

Before entering finance, Pat helped design chemical reactors for Exxon, was a scientist for Los Alamos's Theory and Computer Research & Applications groups and was the Deputy Director for the Los Alamos Center for Nonlinear Science. He is a former Director of the US Industrial Study Group, has taught at Stanford University, the California Institute of Technology and the Courant Institute (NYU) and is an Adjunct Professor at several other institutions.