The purpose of this highly practical workshop is to
give you hands-on experience with the use of financial derivatives
for trading and risk management. We assume that you have already gained a good
understanding of the mechanics of financial derivatives, e.g. by participating
in our seminar "Financial Derivatives – Instruments and Mechanics". The workshop is divided into a number of sessions with a mix of theory
We first present, discuss and try out a number of trading strategies with futures and options. These include
"open position" strategies, "spread" strategies, "bull" and "bear" strategies,
and different volatility strategies with options. We also explain how to use
"VIX" futures and other volatility contracts to trade volatility. These
strategies will be illustrated in depth using real-life data and
Next, we explain how futures and options can be
effectively used to hedge interest rate, FX, equity, commodity and
energy risk. We give examples of simple hedges of single positions, but we
shall also look into some complex portfolio hedging and
ratio hedging strategies . We then proceed to working with FRAs,
forwards, swaps and interest rate options. You will learn how to use these
instruments to manage interest rate risk, foreign exchange risk, prepayment
risk, contingent cash flow risk and other types of risk.
In the following sessions, we explain, demonstrate and
practice how to use derivatives to create "synthetic cash flows"
and how derivatives are used in "financial engineering"
to create structured products. Finally, you will learn how to use credit
default swaps and other types of credit derivatives to hedge against – or take
positions in – credit risk. Applications will include the hedging of
single-name credits as well as more complex hedging strategies such
as delta-hedging of single-tranche CDO's.