Financial Engineering in Interest Rates and FX (C++ applications in Quantitative Finance)

In this hands-on quantitative finance short evening course students learn the most widely used models in the banking industry on the Interest Rates and FX markets.

The course will start with Libor Market Model for single and Multi-Currency models, then move to Markov Functional Models, the ShortRate Models, and then volatility models like SABR models, inflation, etc.

Course Description

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