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Insight Series: Interest Rate Options

This half-day workshop will help you gain an understanding of the special pricing considerations of interest rate options.

If you already have an understanding of standard put and call options this workshop will extend your knowledge in learning more about caps/floors, swaptions and the pricing complications for interest rate options.

TITLE: Interest Rate Options
CE: 3hrs
FEE: Member - $632.50 including GST
Non Member - $792.00 including GST
Sydney Oct 24, 2019
9:00am - 12:00pm

About the Speaker

Alex Palfi, Principal, Tykoh Group Pty Ltd

Alex Palfi is a Principal of Tykoh Group Pty Ltd – an Australian based training provider specialising in tailored one and two day workshops on technical finance and business topics.  Prior to setting up Tykoh Alex was a Division Director at Macquarie Group in Sydney. In that role he developed a range of finance workshops and presented those in Australia and at other international locations. Those workshops focused on financial modelling, valuation, derivatives, credit risk and Visual Basic programming.

Who is it for?

This intermediate-level course will be of particular value and relevance if you are a front or middle office market practitioner seeking practical, applied continuing education directly relevant to your role. It may also be of use to senior technical/managerial market participants who would like to build a better understanding of pricing interest rate options. 

What will you learn?

By the end of this workshop, you will have gained an understanding of:

  • differences and links between caps/floors and swaptions
  • pricing of caps/floors and swaptions
  • difficulties in pricing interest rate options using a Black-Scholes model
  • volatility curves
  • one-factor yield curve models.


Perfect morning session - thanks!

Good practical examples of options that people could relate to.

I enjoyed the course.