Essentials of Derivative Products in a Post-Crisis Market - Evening (formerly Fundamentals of Derivatives)

This highly interactive course covers the full spectrum of derivatives: futures, options, interest rate swaps, and credit default swaps. The course examines pricing and uses case studies to cover uses and applications for each product. Real-time, market-sensitive situations provide a hands-on approach to strategy development, monitoring and follow-up.

The course pays special attention to current regulatory trends in the derivatives space as a result of the credit crisis, providing a framework for discussion regarding the many issues facing the derivatives business today.

06-Sep-2012 -- 25-Oct-2012New YorkUSD$2275
NY Institute of Finance - Midtown5:45pm - 8:15pm Instructional Method:
Group-Live
Instructor(s): [ McCabe Hurley; ] Thu Level: Basic

CPE CREDITS
20.0
Traders' assistants, salespeople, sales-traders, documentation and legal personnel, middle office, back office, internal audit, compliance, and computer programmers with a derivatives mandate.
No advance preparation required.
Students will be able to:
  • Demonstrate a practical understanding of the core products which make up the derivative product universe
  • Identify key market participants for all product areas
  • Differentiate among market participants and how they might use each product
  • Price an interest rate swap and a credit default swap
  • Analyze a corporate bond's relationship to the same corporation's credit default swap
  • Develop strategies for various market participants given a set of goals and objectives
  • Analyze option strategies by their risk/reward profile
  • Identify the price evolution of an options contract
  • Determine the option strategy that best fits a participant's goals and objectives
Working knowledge of the financial industry.
"Instructor depth and passion for subjects. Also tied it to various current events/job functions. Class was exciting!"
"Instructor was excellent; incredibly knowledgeable and engaging."
"Pricing model examples correlated with real life application examples."
"Ms. Hurley's motivation and methodology of teaching the subject matter made it easier to understand."
"Excellent teacher!"
Scheduling Note
Please note that there will be no class on Thursday, September 29, 2011 in observance of the Rosh Hashanah holiday.
Session 1: Overview and Futures (Part 1)
Overview of Course

    History and Impact of the Credit Crisis

    • Cause(s) and effect
    • Securitization
    • Post-mortem: lessons learned and roadmap for the future

    Futures Contracts

    • Mechanism for trading
    • Mechanism for clearing: functions of a clearinghouse; margin
    • Commodity futures - energy, metals and grains: contract specifications
    • Commodity futures market participants: users; producers; commodity funds and speculators; arbitrageurs
    • Commodity futures - uses and applications: hedging; commodities as an investment asset; speculation; arbitrage

Session 2: Futures (Part 2)
Financial Futures
  • Eurodollars and FRAs
  • T-note and t-bond futures
  • Foreign currency futures

Equity Index Futures

  • Futures and ETFs: compare and contrast

Financial and Equity Futures Market Participants

    Financial and Equity Futures: Uses and Applications

    • Hedging
    • Speculation
    • Arbitrage

Session 3: Interest Rate Swaps (Part 1)
History and Evolution of the Swaps Market

    Interest Rate Swaps Contract Terms and Conditions

      Ways to Diagram Swaps

        Market Trading Conventions

          Market Participants

          • Corporations
          • Unleveraged buyers of assets
          • Speculators and other leveraged players
          • Arbitrageurs

          Uses and Applications

Session 4: Interest Rate Swaps (Part 2)
Pricing Interest Rate Swaps
  • Bootstrapping and calculating spot rates
  • DV01 (dollar value of 1 BP)
  • Re-pricing swaps

Total Return Swaps

  • Terms and conditions
  • Compare and contrast to vanilla swaps
  • Uses and applications

Session 5: Credit Default Swaps and Other Types of Swaps
Credit Default Swaps
  • Terms and conditions
  • Market trading conventions
  • Pricing

Market Participants

  • Corporations
  • Unleveraged buyers of assets
  • Speculators and other leveraged players
  • Arbitrageurs

Uses and Applications

  • Hedging: hedging a long portfolio; creating synthetic assets
  • Speculation
  • Arbitrage: negative basis; positive basis

Session 6: Options (Part 1)
Option Contract Terms and Conditions

    Terminology

      Factors Affecting Option Prices

        Equity Options

        • Mechanism for trading
        • Payoff profiles

        Equity Option Market Participants

        • Corporations
        • Unleveraged buyers of assets
        • Speculators and other leveraged players
        • Arbitrageurs and market makers

Session 7: Options (Part 2)
Interest Rate Options
  • Terms and conditions
  • Terminology
  • Payoff profiles

Interest Rate Options Market Participants

  • Corporations
  • Unleveraged buyers of assets
  • Speculators and other leveraged players
  • Arbitrageurs and market makers

Option Strategies

  • Yield enhancement
  • Insurance
  • Vertical spreads
  • Volatility spreads
  • Collars

Session 8: Options (Part 3)
Option Pricing
  • Overview of Black-Scholes
  • Overview of binomial modeling

Volatility

  • Probability and normal distribution

Options Risk Management: The Greeks

  • Delta
  • Gamma
  • Theta
  • Vega
  • Rho

Clients who register for this course will receive a complimentary 4-month subscription to FT.com. The Financial Times is the world's most respected financial newspaper, providing a broad assessment on finance, business and the industrial sector. The move to the electronic version follows an ongoing review of our environmental responsibilities as a global business and as part of the Pearson group. FT.com also has features that are not available in hard copy, such as: Special Reports, Alphaville, editor blogs, education sections and much more! Subscriptions will start within 6-8 weeks of the start of class and are limited to one subscription per client. (Please note: as of May 1, 2011, the electronic subscription replaces the hard-copy 3-month Financial Times subscription.)

Lunch is included for all students taking day classes.