Financial Derivatives - Applications Workshop

Day One

09.00 - 09.15 Welcome and Introduction

09.15 - 12.00 Brief Review of Financial Derivatives

• Instruments, Markets, Mechanics
• Pricing and Risk Assessment

Workshop Session 1: Trading with Futures and Options

• The Trading Process
• Bull strategies
  • Long future, long call, bull spread, long semi-future,…
• Bear strategies
  • Short future, long puts, short calls, bear-spreads,…
• Volatility Strategies
  • Straddles, Strangles, Butterflies, “Twin Peaks”
  • Trading with Volatility Futures
• Spread Strategies
  • Intermarket Spreads, Calendar Spreads, “TED-Spreads” etc.
• Practical Hands-On Exercises

12.00 - 13.00 Lunch

13.00 - 16.30 Workshop Session 2: Managing Interest Rate and FX Risk

• The Hedging Process
• Hedging with Futures and Options
  • Hedging Interest Rate Risk with ED Futures and Options
  • Hedging Interest Rate Risk with Bond Futures and Options
  • Hedging Currency Positions with futures and Options
  • Hedging Uncertain and/or Contingent Cash Flows
  • Dynamic Hedging
• Hedging with FRAs and Swaps
  • Hedging Repricing Risk with FRA (Strips)
  • Hedging Interest Rate Risk of Bonds with Swaps
  • Hedging FX Risk with Swaps
• Hedging with Interest Rate Options
  • Hedging with IRG’s, Caps, Floors and Collars
  • Hedging Call Risk with Swaptions
  • Hedging Two-Dimensional Interest Rate Risk with Swaptions
• Practical Hands-On Exercises

Day Two

09.00 - 09.15 Brief recap

09.15 - 12.00 Workshop Session 3: Using Derivatives for Synthetic Investments

• Synthetic Fixed Rate Investments
• Synthetic Floating Rate Investments
• Synthetic Equity Investments with Index Futures
• Synthetic Corporate Bond Investments
• Hands-On Exercises

Workshop Session 4: Using Derivatives for Financial Engineering

• Leveraged Investments
  • Reverse Floaters
  • Bear Notes
  • Superfloaters
  • CMS Floaters
• Guaranteed Investments
  • Principal Protected Equity Investments
• Practical Hands-On Exercises

12.00 - 13.00 Lunch

13.00 - 16.00 Workshop Session 5: Trading and Hedging Credit Risk with Credit Derivatives

• Long and short Positions in Credit Risk Using Credit Default Swaps (CDS)
• Hedging Stand-Alone Credit Risk Using CDS
• Hedging Counterparty Risk with Dynamic Credit Default Swaps
• Arbitrage between Asset Swaps and CDS
• Trading/Hedging Credit Spread Risk using Total Return Swaps and Credit Options
• Locking in Spreads on Planned Debt Issues
• Correlation Trades with Basket Default Swaps and Synthetic CDO Tranches
• Negative Basis Trades between ABS and CDS
• Practical Hands-On Exercises

Evaluation and Termination of the Seminar