Overview
This course explains the fundamentals of different derivative instruments. Tools used in hedging and speculating strategies are reviewed, as well as ways in which these tools are used by both individual and institutional investors. The course covers futures pricing, the Greeks and the various options positions and how corporations use swaps to manage their risk.
Who should attend
Front-office, middle and back office staff, sales people, internal and external auditors.
Course objectives
Provide basic knowledge about vanilla exchange traded and OTC derivatives.
Course content
Market Players
>Uses: trading, hedging, market-making, arbitrage, brokerage and fund management
Futures/Forward Markets
>OTC and exchange-traded instruments: comparative analysis
>FOREX instruments: currency forwards and futures
>Interest rates futures: Bond futures, STIRs, and FRAs
The Swap Market
>Interest rate swaps (IRS)
>Currency swaps
>Basis swaps
Options
>Currency options
>Interest rate options
>Caps, floors and Collars
Option Pricing
>Pricing inputs
>Standard pricing formula
>The Black Chr(35) Scholes model
>The Cox, Ross, Rubinstein model
>Greeks: D ,G, n, q and r
Derivative Instruments and Risks
>Assessing and quantifying risks for derivatives:
- interest rate risk
- price risk
- currency risk
- credit risk
