Financial Markets & Quant Training
Welcome to the Financial Markets Training page. This page offers a sample of my training materials, designed to help professionals and aspiring quants deepen their understanding of financial markets, quant analytics, pricing, and risk management. Whether you’re seeking bespoke training, practical insights, or advanced quantitative techniques, you’ll find valuable links to resources here.
Financial Markets & Quant Training
I provide financial markets training based on extensive experience working on algorithmic trading desks within leading investment banks and hedge funds. Having served as a Quant Analyst across many of the world’s major financial centers, I bring deep expertise in financial engineering and quantitative analytics.
My extensive experience has been gained across a broad range of asset classes, including interest rates, fixed income, credit derivatives, FX, commodities, inflation products, XVA, and exotic credit. This comprehensive background enables the delivery of high-quality financial markets training tailored to diverse product areas. My training materials leverage cutting-edge financial industry insights and quantitative academic research, addressing real-world challenges faced by trading floor professionals.
You can find my financial markets research publications on my SSRN author page or follow my posts on Linked-In or explore my YouTube channel for live current content.
My AlgoQuantHub newsletter, AQH Weekly Deep Dive for algo trading and quant research includes the latest hands-on quant tutorials, videos and research, helping you bridge the gap between theory and real-world quant practice.
Alternatively, if you’re interested in tailored training sessions or have specific learning needs, see the AlgoQuantHub digital download store or feel free to get in touch.
Sample Training Materials
Below I present some training material samples, all are based on finance industry and Quant academic research.
- A Complete Guide to Interest Rate Markets
- Bond Total Return Swaps Explained
- Understanding Synthetic Forward FX Replication
- Modelling of Quanto Credit Default Swaps
- NYU Yield Curve Seminar – An Overview of Yield Curve Calibration
For more training resources visit my SSRN author page, for paid support, training materials and Excel examples see AlgoQuantHub or explore my YouTube channel for a growing library of financial markets video content.
1. A Complete Guide to Interest Rate Markets
This training deck is based on my book Low Latency IR makets. It systematically examines the structure and dynamics of electronic interest rate markets, covering key instruments such as swaps, futures, FRAs, and credit derivatives. It explains the pricing frameworks and risk management techniques used in these markets. The book details advanced methods for yield curve modeling, fast curve calibration, and real-time risk analytics, supported by practical examples and code resources. Throughout, it emphasizes the low latency techniques for modern interest rate trading and market making.
2. Bond Total Return Swaps Explained
These training slides provide an introduction to bond total return swaps (TRS), explaining the motivations for trading these instruments, such as capital efficiency compared to direct bond ownership. It details the contract specifications and distinguishes between the two main types of TRS-those based on constant bond units and those based on constant cash notional. The articel also outlines the pricing methodology for bond TRS and includes a brief case study to illustrate practical application, accompanied by a demo Excel workbook for hands-on exploration.
3. Understanding Synthetic Forward FX Replication
The materials here serve as an instructional guide on Synthetic Forward FX and Collateralized Discount Factors. They explore how synthetic forward contracts can be constructed using combinations of options to replicate traditional FX forward exposures, providing flexibility in managing currency risk and financing costs. The content explains the mechanics of building synthetic forwards, compares them to physical forwards, and discusses practical considerations such as cost efficiency and risk management. In addition, the materials cover the impact of collateralization on discounting, detailing how the choice of collateral-such as cash or securities-determines the appropriate discount curve for valuing derivatives, and how this affects the present value calculations in collateralized markets. Real-world examples and case studies illustrate both the theoretical concepts and their practical application in modern FX and derivatives trading.
4. Modelling of Quanto Credit Default Swaps
A guide on Quanto Credit Default Swaps (CDS) that introduces the structure and function of quanto CDS, which enable investors to transfer credit risk across currencies while managing additional foreign exchange (FX) exposure. The content covers the theoretical foundations of quanto CDS, including standard CDS pricing, the impact of FX risk, and the challenges of sourcing and interpreting market data for these products. Practical sections address how to model and price quanto CDS, discuss the concept of quanto hazard rates, and examine real-world case studies to illustrate key points. These resources are designed to help learners grasp both the complexities and practical considerations involved in trading and risk-managing quanto CDS in global credit markets.
5. NYU Yield Curve Seminar – An Overview of Yield Curve Calibration
These materials here from a NYU Yield Curve Seminar provide an overview of yield curve calibration, focusing on the practical steps and methodologies used to construct and calibrate yield curves for financial markets. They explain how to derive forward rates and discount factors from market data, and detail the processes of interpolation, optimization, and solving to ensure that the calibrated curves capture the necessary risk metrics and market dynamics for analytical risk management and ultra-fast curve rebuilding. The seminar also addresses the impact of LIBOR reform, outlining the transition to risk-free rate (RFR) benchmarks, such as SOFR and the new features and challenges this brings to yield curve construction. This step-by-step tutorial is supported by an Excel workbook and demonstrates how to calibrate a yield curve, price swaps, and compute real-time bucketed risk, making the content practical for both learning and application.
Nicholas Burgess 