Fundamentals of Derivatives - EveningThis 8-evening course is a comprehensive introduction to derivative products and the application of derivative tools in financial engineering and risk management. |
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| Traders, sales professionals, back office professionals, financial analysts, cash/money managers, auditors and compliance professionals. |
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| No advance preparation required. |
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Students will be able to:- Identify the derivatives markets participants, how they use the products and why
- Demonstrate ability to price futures, swaps and options
- Explain how option models work, what information they give us, and how to use them in practice.
- Track how these products can be combined to create other products, such as structured notes, range accrual notes, etc.
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| Derivatives I or equivalent knowledge. 2-3 years financial market experience, working for a back-office or brokerage firm who is currently in the derivatives business.
You will need a financial calculator with the following specific functions:
1. The e(x) (the Exponent e) function
2. The LN (the Natural Logarithm functions) |
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Introduction and OverviewWhat is a derivative?What is a derivative?Use of DerivativesUse of DerivativesBasic Types of DerivativesBasic Types of DerivativesTime Value of MoneyTime Value of Money | Forwards and FuturesWhat is a future?What is a future?Market Dynamics- Products that underlie Futures
- Role of the clearinghouse
- Margin
- Accounting
Market DynamicsCalculatin the value of futures on different productsCalculatin the value of futures on different productsArbitrageArbitrageFutures Prices and future spot pricesFutures Prices and future spot pricesHedgingHedging |  | nterest Rate MarketsTheories of the Term StructureTheories of the Term StructureBond PricingBond PricingBootstrapping- Calculating zero rates
- Calculating forward rates
- Forward Rate Agreements (FRAs)
BootstrappingEurodollars and LIBOREurodollars and LIBOR | Swaps - Part IWhat are SwapsWhat are SwapsInterest Rate SwapsInterest Rate SwapsSwap ValuationSwap ValuationMotivations for Swap useMotivations for Swap use | | Swaps - Part IISwaps Valuation & PricingSwaps Valuation & PricingOther Types of Swaps- Currency Swaps
- Equity Swaps
- Commodity Swaps
Other Types of Swaps | Swaps - Part IIIOther Types of Swaps- Commodity Swaps
- Credit Default Swaps
- Total Return Swaps
Other Types of SwapsMarket Risk - Value at RiskMarket Risk - Value at RiskCredit RiskCredit RiskOther Risk Involved in SwapsOther Risk Involved in Swaps | | Options IWhat is an Option?- Terminology
- Types of Options
- Trading Locations
What is an Option?Different Forms of OptionsDifferent Forms of OptionsOption PayoffsOption PayoffsFactors affecting Option PriceFactors affecting Option PricePut-Call ParityPut-Call Parity | Options StrategiesTypes of Option StrategiesTypes of Option StrategiesStrategies Involving an option plus the underlyingStrategies Involving an option plus the underlyingStrategies Involving multiple options- Bull/Bear spreads
- Straddles
- Strangles
- Butterflies
- Strips and Straps
Strategies Involving multiple options | | Options ValuationOption Valuation ExerciseOption Valuation ExerciseBinomial Valuation Model- Steps
- Advantages and Disadvantages
Binomial Valuation ModelBlack-Scholes option pricing model- Underlying Concepts
- Volatility
- Equations
- Strengths and Weaknesses of B-S model
Black-Scholes option pricing model | Options SensitivitiesReview impact on options price of changes in different components of priceReview impact on options price of changes in different components of priceValue of options prior to expiryValue of options prior to expiryThe GreeksThe GreeksDelta Neutral hedging & Volatility TradingDelta Neutral hedging & Volatility Trading |
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| Clients who register for this course will receive a complimentary 6 month subscription to the Financial Times and FT.com. The Financial Times is the world's most respected financial newspaper providing a broad assessment on finance, business and the industrial sector. Subscriptions will start within 6-8 weeks of the application process, and are limited to one per client. For questions about your subscriptions call 800-628-8088 or email uscirculation@ft.com. US and Canada enrollees only. |
Lunch included for all students taking day classes. |
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