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Risk Management
Total risk management is the combination of all the elements of risk management into a consistent strategy...
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Training - Equity Market & Investment
Companies
Derivatives: Strategies, Trading and
Valuation:
In this course, participants develop their expertise in one of
the most rapidly growing areas in international finance.
Derivative instruments describes the basics of swaps, caps,
floors, collars, forward rate agreements, captions and
swaptions. This course explores hedging from both a micro and
macro perspective, sophisticated off- balance sheet activities
and their effect on back capital standards, and mastering
pricing and direct versus synthetic pricing.
Course Outline
Day 1 - Futures and Forwards
Futures and Forwards
* Define futures and forwards
* What are th mechanics of futures
* Examine the pricing of both contracts
* What are the differences between the two contracts
Forward Rate Agreements
* Define a FRA
* How they are priced
* Applications of FRA
* Review the beginnings of the forward curve
Eurodollar Futures
* Show applications of Eurodollar futures
* What is the basis of a futures contract
Bond and Note Futures
* Explain the settlement differences between these contracts
and the Eurodollar future
* What is meant by cheapest to deliver
* Examine pricing
Stock Index Futures
* Look at the settlement procedures
* Evaluate the pricing of stock index futures
* Show some applications
* What is meant by program trading
Day 2 - Options Markets I
Options: Definitions and Terminology
* Calls
* Puts
* Underlying security
* Exercise price (strike price)
* Expiration date
The Call Option
* Buying Calls
* Selling (writing) calls
The Put Option
* Buying puts
* Selling (writing) puts
* Hedging with puts
Options Strategies
* Bullish strategies
* Bearish strategies
Options on Exchange Traded Funds (ETF's)
* Small cap indexes
Options on indexes
* Sector indexex
Options Pricing
* Variables affecting an Options Value
* The price of the underlying
* Time to expiration
* Exercise prices
* Market psychology
Day 3 - Options Markets II
Trading Strategies
* Reviewing the Building Blocks of Options: Puts and Calls
* Spreads
* Volatile Plays
* How to increase yields
* Portfolio strategies
* Develop costless strategies to protect profits
Options Pricing
* Introduction to probability
* Option Valuation using the binomial model
* Examine volatility and the different types of volatilities
* Introduce normal distributions
* Black Scholes Model
The Greeks
* Delta Neutral
* Software Application
* The Greeks are defined and applied in options trading
Day 4 - Swaps I
Interest Rate Swaps
* Definition of an interest swap
* Plain vanilla swaps
* Characteristics and features of interest rate swaps
* Why enter into a swap?
* Interest rate swap pricing
Risks Specific to Swaps
* Identify the different risks associated with swaps
Other types of swaps
* Other types of interest swaps
* Asset and amoritizing swaps
Credit Exposure in Swaps
* How exposure is measure counterparties
* What type of limits are used to manage this risk
FAS 133
* Explore the implications of 133 for swaps
Currency Swaps
* Define a currency swaps
* Terminology
* Applications of currency
* Pricing and valuation
Interest Rate options: Caps and Collars
* Definition of interest rate
* Pricing and application of floors and collars
Day 5 - Swaps II
Yield Curves and Swap Valuations
* Yield curves
* What is the par swap curve
* How is the spot curve derived
* Where does the forward curve fit into the pricing of swaps
Eurodollar Futures
* The eurodollar strip
Duration and Convexity
* Duration and its applications
* Define convexity
* Present Value of a basis point (DV01)
Running a USD Interest Rate Swap Book
* Mapping cash flows to appropriate buckets
* Measuring cash flows by DV01
* Hedging cash flows
Swaptions
* Define swaptions
* Pricing swaptions
* Application of swaptions
Asset Swaps
* Par-Par Swaps
Other Types of Swaps
Currency Swaps
* Pricing and Valuation
* Evaluating conversion factors
Course Fees
VAT to be included at the local rate, if applicable. Costs
shown are per delegate inclusive of refreshments, lunches and
seminar materials. Cost of accommodation is not included.
GBP 4500
Certificates of Participation
Certificates of participation are remitted to course
participants upon request. |
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