Derivatives Program: Strategies, Trading & Valuation

This five day comprehensive program provides the complete toolbox for the derivatives practitioner. Whether derivatives are a new topic or the participant is looking to continue their derivatives education, this course is organized to serve both ends. This program introduces three instructors whose combined experience approaches 100 years in the derivatives markets. Each brings their unique practitioner viewpoint as well as strong academic skill sets to create a highly interactive week. The three instructors have been working together for close to a decade making each day follow the next in a seamless uninterrupted fashion.

The program is setup as a five day program with each successive day covering a different product line. Futures & Forwards: Monday opens the week with Futures and Forward Contracts. Options 1: Tuesday introduces the options markets with key terminology, risk profiles and market participants. Options 2: Wednesday covers option strategies and pricing in depth including a look at normal versus real distributions and the ''Greeks''. Swaps 1: Thursday introduces the Swaps contracts, including IRS, CDS and Currency Swaps with respect to contract terms and conditions and market participants. Swaps 2: Friday covers pricing of interest rate swaps, cross currency swaps and CDS.

Each day can be taken as a separate program tailored to your skill set and comfort level. Alternatively the 5 day program can be taken in total.

10-Jun-2013 -- 14-Jun-2013New YorkUSD$4875
NY Institute of Finance - Midtown9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ Various Instructors; ] Mon Tue Wed Thu Fri Level: Intermediate

02-Dec-2013 -- 06-Dec-2013New YorkUSD$4875
NY Institute of Finance - Midtown9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ Various Instructors; ] Mon Tue Wed Thu Fri Level: Intermediate

CPE CREDITS
36.0
Asset Managers, Mutual Fund Managers, Pension Fund Managers, Hedge Fund Managers, Bank Portfolio Managers, Insurance Companies Investment Personnel, Equity Traders, Interest Rate Traders, Commodity Traders, Capital Markets Salespeople, Traders assistants, Middle Office, IT-programming, IT-trading support.
No advance preparation required.
Students will be able to:
  • Classify futures contracts and identify contract specifications
  • Describe the three ways a clearinghouse mitigates counterparty credit risk
  • Price Forwards & Futures Contracts
  • Design strategies for a given market participants using Futures, Forward, Swaps or Options
  • Price & Reprice Interest Rate Swaps using LIBOR & OIS Discounting
  • Define and apply the option risk management numbers ''The Greeks'' to changing option prices
  • Cite the purpose of creating pricing curve for Interest Rate and Cross Currency Swaps
  • Cite the reasons cross currency basis swaps trade with a spread and Identify key elements that will effect changes in these spreads
Attendees should have more than 2 years financial markets experience and be versed in the fixed income & equity markets.
  • Options Volatility Trading
  • Volatility and Variance Swaps
  • Volatility and Credit: Cross-Asset Class Correlation
  • Derivative Mathematics - Day
    • Day 1 - Futures and Forwards
    Futures and Forwards
    • Define futures and forwards
    • What are th mechanics of futures
    • Examine the pricing of both contracts
    • What are the differences between the two contracts

    Forward Rate Agreements

    • Define a FRA
    • How they are priced
    • Applications of FRA
    • Review the beginnings of the forward curve

    Eurodollar Futures

    • Show applications of Eurodollar futures
    • What is the basis of a futures contract

    Bond and Note Futures

    • Explain the settlement differences between these contracts and the Eurodollar future
    • What is meant by cheapest to deliver
    • Examine pricing

    Stock Index Futures

    • Look at the settlement procedures
    • Evaluate the pricing of stock index futures
    • Show some applications
    • What is meant by program trading

    Day 2 - Options Markets I
    Options: Definitions and Terminology
    • Calls
    • Puts
    • Underlying security
    • Exercise price (strike price)
    • Expiration date

    The Call Option

    • Buying Calls
    • Selling (writing) calls

    The Put Option

    • Buying puts
    • Selling (writing) puts
    • Hedging with puts

    Options Strategies

    • Bullish strategies
    • Bearish strategies

    Options on Exchange Traded Funds (ETF's)

    • Small cap indexes

    Options on indexes

    • Sector indexex

    Options Pricing

    • Variables affecting an Options Value
    • The price of the underlying
    • Time to expiration
    • Exercise prices
    • Market psychology

    Day 3 - Options Markets II
    Trading Strategies
    • Reviewing the Building Blocks of Options: Puts and Calls
    • Spreads
    • Volatile Plays
    • How to increase yields
    • Portfolio strategies
    • Develop costless strategies to protect profits

    Options Pricing

    • Introduction to probability
    • Option Valuation using the binomial model
    • Examine volatility and the different types of volatilities
    • Introduce normal distributions
    • Black Scholes Model

    The Greeks

    • Delta Neutral
    • Software Application
    • The Greeks are defined and applied in options trading

    Day 4 - Swaps I
    Interest Rate Swaps
    • Definition of an interest swap
    • Plain vanilla swaps
    • Characteristics and features of interest rate swaps
    • Why enter into a swap?
    • Interest rate swap pricing

    Risks Specific to Swaps

    • Identify the different risks associated with swaps

    Other types of swaps

    • Other types of interest swaps
    • Asset and amoritizing swaps

    Credit Exposure in Swaps

    • How exposure is measure counterparties
    • What type of limits are used to manage this risk

    FAS 133

    • Explore the implications of 133 for swaps

    Currency Swaps

    • Define a currency swaps
    • Terminology
    • Applications of currency
    • Pricing and valuation

    Interest Rate options: Caps and Collars

    • Definition of interest rate
    • Pricing and application of floors and collars

    Day 5 - Swaps II
    Yield Curves and Swap Valuations
    • Yield curves
    • What is the par swap curve
    • How is the spot curve derived
    • Where does the forward curve fit into the pricing of swaps

    Eurodollar Futures

    • The eurodollar strip

    Duration and Convexity

    • Duration and its applications
    • Define convexity
    • Present Value of a basis point (DV01)

    Running a USD Interest Rate Swap Book

    • Mapping cash flows to appropriate buckets
    • Measuring cash flows by DV01
    • Hedging cash flows

    Swaptions

    • Define swaptions
    • Pricing swaptions
    • Application of swaptions

    Asset Swaps

    • Par-Par Swaps

    Other Types of Swaps

      Currency Swaps

      • Pricing and Valuation
      • Evaluating conversion factors

    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.