School of Derivatives

Agenda Summary Yield Curves, Swaps & Interest Rate Derivatives Yield Curve Derivatives: Hedging/Arbitraging Taxonomy, Markets Linkage & Overview Forward Rate Agreements (FRAs) Swap fixed leg cash flows Stochastic Floating Cash Flow Valuation (Some Key Results) Swap Yield Curves & Zero-Coupon Valuation Off-Market Swap Points Interest Rate Futures Principal Component Analysis (PCA) & Swap Pricing FX Currency Swaps Non-Standard & Off-Market Swaps Optionalities: Equity, F & Interest Rate Options Derivatives Contracts: Fundamental Building Blocks, Arbitrage Boundaries, Synthetics & Strategies Derivatives Valuation: Concepts & Insights Understanding Options Risk: Stock Exposure (Delta) Volatility (Convexity) Risk Mechanics FX Currency Options Interest Rate, Yield Curve Volatilities & Options: Portfolio of Options on FRAs Option on Portfolio of FRAs (Swaps) Volatility Surface Asymptotics Yield Curve Models: Motivation Derivatives Pricing Tools: Fundamental Theorem Yield Curves Models Implementing & Calibrating Yield Curve Models: One-Factor Models Black-Derman-Toy (BDT) Model: Implementation Black-Derman-Toy (BDT) Model: Applications Credit Risk Derivatives Models Credit Default Swaps (CDS): Structure, Pricing & Hedging Mertonian/KMV Structural Model (Firm Assets) Approach JarrowñTurnbull (JT) Reduced-Form (Intensity-Based) Model: Applying Term Structure Models Computer Workshops FRAs Cash Flows Fundamentals of Yield Curve Construction, Interest Rate Swaps & Micro-Structure Constructing Semi-Annual Swap Constructing Annual Swap Exponential Interpolation Bootstrapping Futures Strip Zeros Incorporating Futures Strip Prices Valuing FX Currency Swaps Valuing Existing Off-Market Swaps Structured Product Solutions, Embedding & Embedded Options Binomial Option Pricing Model BlackñScholes Option Pricing Model Delta-Neutral Exit Strategy Cost Long Volatility (Gamma) Trading Pricing FX Options Pricing Interest Rate Caps and Floors Yield Curve Model & Convexity Adjustment Constructing Black-DermanñToy (BDT) yield curve model Valuing interest rate caps, bond options, swaptions, futures Valuing Bermudan options, interest rate swaps Comparison of BDT & Black (market) models ñ Convexity adjustment Pricing Single-Named CDSs Main Uses of Credit Derivatives Mertonian/KMV Binomial Models JarrowñTurnbull Reduced-Form Model