Volumes in the derivatives market are huge.
Volumes in the derivatives market are huge. According to BIS (Bank for International Settlements) the total notional amounts outstanding stood at about $650 trillion at the end of December 2011. At the end of October 2011, the yield on the one year German Bund turned negative. The once well understood “interest rate parity” is no longer obeyed. In addition, regulators are working around the clock implementing new regulations that will create mandates to form SEF (Swap Execution Facilities).
During this 5-day workshop, you will roll up your sleeves and comprehensively evaluate the building blocks of structured products – options, vanilla, exotic and complex derivatives. You will also assess operational mechanics, pricing, valuation and practical issues in relation to hedging and replication.
DAY ONE
Simple Option Strategies
Pricing Methods under the Black Scholes Assumptions
Volatility
DAY TWO
Digital / Binary Options
Barrier Options
Asian Options
Cliquet / Ratchet Options
Equity Linked Forex Options (Quanto)
DAY THREE
Advanced Greeks for Exotic Options
Value-at-Risk
Scenario Analysis & Stress Testing
Trading Volatility – The New Products
DAY FOUR
From Concept to CUSIP (How a structured note is created)
Capital Guaranteed Products
Challenges Posed by Low Interest Rates
CPPI (Constant Proportion Portfolio Insurance)
Snowball Structures
Target Level Forwards
Correlation, Property & Inflation Derivatives
DAY FIVE
Structured Products Market
Where Credit and Equity Derivatives Meet
Structured Notes and Reverse Engineering Workshop
Highly practical course containing many hands on workshops.
Delegates are encouraged to bring along Excel enabled PCs.
Key Learning Objectives
• Option strategies for various market conditions
• When to buy and when to sell each option type
• Best practice techniques to pricing and hedging options illustrated with practical case studies and simulations
• Get to grips with all the major risk management components
• Master the complexities of a wide range of exotics, including Barrier, Asian, equity-linked, Digital and Ratchet options
• Unlock new ideas for complex structured products
• Best practice techniques for creating and analysing structured products
• New derivatives on volatility
• Seminar includes hundreds of pages of written materials as well as many spreadsheets which are completely unlocked and available for you to use
• Highly practical seminar which includes data from Thomson Reuters Eikon
Who will be attending:
• Traders / Dealers
• Sales Professionals
• Quantitative Analysts
• Risk Managers
• Treasurers
• Financial Engineers
• Structurers
• Investment Advisors
• Regulators
• Hedge Fund Managers
• Researchers
• System Developers / Software Engineers
• Plus anyone who deal with derivatives and structured products
Teaching Methodology
This highly practical course will enable you to learn from a true expert in his field. Through presentation, case studies and group discussions, you will enjoy an intermediate to advanced level description of a wide variety of current topics. Key concepts will be retained through the use of many illustrative examples. In particular, we use many spreadsheet examples as well as “stories from the field” to illustrate the relevant points and help you make the transition from theory to practice with outstanding results. The focus of the course is always on the practical rather than the theoretical.
What Others Say…
“Fantastic delivery – really enjoyed the practical world explanations and examples used, rather than purely focussing on the theoretical.”
Past participant, Westpac
“Very practical and intuitive (not much of formulas and complex models).”
Past participant, Kookmin Bank
“He is an excellent presenter with the right approach to sharing information. He not only gives you the concept, he illustrates this and enforces it with a spreadsheet which shows you how to implement the theory in your daily routine. Too many ‘trainer’ present the theory and leave you to figure out how to implement the concept and trade it. This is a waste of time and money. Izzy gave us a ‘One-stop Shop’.”
Past participant, Westpac
