Financial Derivatives - Instruments, Mechanics and Markets

Day One

09.00 - 09.15 Welcome and Introduction

09.15 - 12.00 Introduction and Overview

• Key Characteristics of Derivative Instruments
• Types and Markets
• Market Developments after the Crisis

Futures and Options

• Review of the Mechanics of Futures and Options
• Valuation and Risk Assessment of Futures
  • Fair Futures Price and Implied Repo Rate
  • The Delivery Option and the CTD Bond
  • Sensitivity and Risk Analysis
• Valuation and Risk Assessment of Options
  • Option Pricing Models
  • Option Price Sensitivities (“Greeks”)
  • Computer Simulations

12.00 - 13.00 Lunch

13.00 - 16.30 Futures and Options (Continued)

• Examples of Applications of Futures and Options
  • Trading Strategies
  • Hedging Interest Rate Risk, FX Risk and Equity Risk
• Small Exercises

Swaps

• Quick Review of Swaps Basics
• Pricing and Risk Assessment of Interest Rate Swaps
• Pricing and Risk Assessment of Currency Swaps
• Examples of Non-Generic Swaps
  • Accreting and Amortizing Swaps
  • Forward Starting and Arrears Reset Swaps
  • Constant Maturity Swaps
  • Overnight Index Swaps
• Examples of Applications of Interest Rate and Currency Swaps
• Small Exercises

Day Two

09.00 - 09.15 Recap

09.15 - 12.00 Interest Rate Options

• Interest Rate Guarantees, Caps, Floors and Collars
• Swaptions
• Cancellation and Extendable Swaps
• Examples of Applications of Interest Rate Options
• Exercises

Credit Derivatives

• Credit Default Swaps
• Total Return Swaps
• Credit Spread Options
• Applications of Credit Derivatives
  • Buying and Selling Credit Risk
  • Hedging Against Spread Changes
• Small Exercises

12.00 - 13.00 Lunch

13.00 - 16.00 Exotic Options

• Asian (Average Rate) Options
• Lookback and Touch Option
• Digital Options and Barrier Options
• Basket Options and Compound Options
• Rainbow Options
• Examples of Applications

Risk Management, Reporting and Regulation

• Risks of Using Derivatives
• Regulatory Requirements for Using Derivatives in Banks, Investment Funds, Pension Funds etc.
• Measuring and Managing Market and Counterparty Risk of Derivatives
• Internal and External Reporting
• Discussion: Regulatory Developments in Derivative Markets

Evaluation and Termination of the Seminar