Derivatives Pricing
Course
Inhouse
Description
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Type
Course
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Methodology
Inhouse
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Class hours
12h
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Duration
2 Days
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Start date
Different dates available
Would you like to learn how to navigate the capital markets?
Bond Markets and Swaps are playing an ever greater role in capital markets. Questions about how to weather the current turmoil, correctly price a new bond issue and then properly value the positions over time has become an essential requirement.
Financial Derivates have also played an increasingly important role since their introduction. In some markets, they actually have become the driving force behind the movements in cash markets. Obviously a foundation in this area is mandatory.
The aim of this course is to provide market participants with the necessary building blocks to understand the different products in financial markets.
The speaker shares with great clarity and charisma the concepts that have lead market participants from tears to success. Participants will understand the spirit of trading and investment Banking and will be given an excellent foundation and a comprehensive overview. At the end of the programme, participants will have an advanced view on financial markets that can only be achieved by attending this programme.
This course has been available as a public training programme in many countries around the world in particular in London, Frankfurt and Singapore. It has also been available as an in-house programme in emerging markets.
This course is also available as an in-house course and can be delivered to a team of people.
For further information about the course, trainer or for an in-house quote, please contact the center.
Facilities
Location
Start date
Start date
Reviews
Subjects
- Derivatives pricing
- Finance
- Cash Flow
- Risk and Return
- Capital Adequacy Requirement
- Interest Rate Futures
- Swaps
- Forward Rates
- Futures
- Options
- Risk Management
Teachers and trainers (1)
Former Practitioner
Contact us for details enquiries@redcliffetraining.co.uk
Course programme
Course Content:
Day 1
Introduction:
Ø Overview over Financial Markets
Ø Cash Flows: the Underlying of any Financial Instrument
Ø Risk and Return Characteristics
Ø Current developments
Financial Markets:
Ø Money Markets
Ø Capital Markets
Banking Regulations:
Ø Capital Adequacy Requirement
Ø Basel I
Ø Basel II
Ø The need for derivatives
Pricing Forward Markets:
Ø Developing a Forward Market from Deposits
Ø Forward Rate Agreements (FRA’s)
Ø Interest Rate Futures
Interest Rate and Currency Swaps:
Ø The Swaps Mechanism
Ø Types of Swaps
The Principle of Swap Pricing:
Ø The Need for Forward Rates
Ø The Need for Zero-coupon Rates
Generic Swap Pricing:
Ø Finding the Forward Amounts
Ø Discounting the Floating Leg
Ø Equalise the Floating Leg with the Fixed Leg
Ø Discounting the Fixed Leg
Ø Finding the Swap Rate
Ø Creating a Swap Curve
Swap Valuation:
Ø Swap Rates
Ø Zero-coupon Rates
Ø Forward Rates
Ø Discount Factors
Ø PV of fixed and floating Leg
Ø Net Present Value
Short-term Swap Pricing:
Ø Pricing and Valuation of EONIA Swaps
Day 2
Introduction to Futures and Options:
Ø The History and Development of the Market
Ø Definitions
Ø Over-the Counter (OTC) versus Exchange Traded Products
Ø The Role of The Clearing House
Pricing and Valuing Futures:
Ø Basic Futures Mechanism
Ø Pricing Futures through Cash and Carry Arbitrage
Ø The Value Basis
Ø The Carry Basis
Ø The Importance of Credit
Specialities with Futures Contracts:
Ø Cash Settlement
Ø Physical Delivery
Introduction to Options:
Ø Definitions
Ø Calls and Puts
A Simple Approach to Option Pricing:
Ø Volatility
Ø The Binomial Model
Ø The Black & Scholes Model
Ø The Greeks (Risk measures)
Case Study: Managing the Risks
Ø Delta-hedging your Option Positions
Exotic Options:
Ø Barrier Options
Ø Knock-in and Knock out Options
Ø Lookback Options
Ø Best of two (Digital)
The Principal of Structured Products:
Ø Participation and Tracking
Ø Guaranteed Return Products
Ø Yield enhancement
Course Summary:
Ø Putting Financial Instruments Into Context
Ø Risk Management
Derivatives Pricing