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From Pricing to Practice: Teaching Interest Rate Hedging with the IR Hedging Workbook

Most derivatives courses stop at FRA pricing. Learn how to move beyond formulas to teach interest rate risk, dealer positions, and real hedging decisions.

  • Higher Education
  • On-demand
  • Event
  • Finance
  • Derivatives Futures & Options
  • Investments
  • 40 Minutes
  • On-Demand Video

Description

See how the IR Hedging Excel Workbook, developed for Brown/Miller Introduction to Derivative Markets, is used in the classroom to deepen student understanding of interest rate products and hedging strategies. Because pricing and risk calculations are handled within the spreadsheet, students can focus on interpretation and decision-making rather than mechanics alone.

Daniel Brown models a typical classroom discussion using the workbook, showing how to:

  • Analyze FRA pricing alongside bid–ask spreads

  • Understand interest rate risk from a dealer’s perspective

  • Design and evaluate hedges using FRAs and related instruments

  • Move from theoretical pricing to practical hedging decisions

You will learn concrete ideas for integrating Excel-based tools into their derivatives course to make interest rate hedging more intuitive, applied, and engaging for students.

About Your Speaker

  • Daniel Brown -

    Daniel Brown

    Daniel Brown is a teaching professor in the Finance department of the Leeds School of Business. Prior to joining the school, Daniel spent 18 years working on Wall Street and in the City of London. He spent 14 years at Credit Suisse primarily as a derivatives "quant" but also spending time in risk management and exotics derivatives trading. Following that he spent two years at CQS, a credit and convertible bond hedge fund, and two years at Morgan Stanley again as a derivatives quant.