Basic
Markets/Finance/Economics (237)
Description of market participants (lenders, borrowers, investors,
...) with emphasis on their needs, risk/return preferences, where they
make their money, etc (63)
Overview of market instruments and their basic properties including
loans, FX, Equities, Commodities, listed and OTC derivatives ... (98)
Overview of basic tools and concepts including supply/demand,
risk/return profiles, liquidity, arbitrage vs. fair value vs.
"real value", credit - with worked
examples (76)
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Securities
(586)
Interest Rate: short term loans/deposits, corporate notes/bonds,
Government notes/bonds - all including many graphical aids for structure
of cash flows, as well as pricing and basic sensitivity
calculations. Description of market idiosyncrasies and
conventions in terms of indices, curves, attributes, many worked
examples. (278)
Foreign Exchange: spot FX trading including implications of Interest
rate parity, basic pricing and sensitive methods, idiosyncrasies of
majors vs. minors vs. crosses, and worked
examples (112)
Equities: spot individual and index products with detailed description
of instruments, conventions and including valuation and sensitivity
tools and worked examples (128)
Commodities: description of spot commodity contracts in softs, metals,
energy with special attention to individual market considerations and
conventions and conditions worked examples
(68)
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Derivatives
(1,422)
Additional special considerations for the basic valuation concepts
with special attention to the concept of arbitrage/fair value as
applied to derivatives in theory vs. the "real world", as
well as various important notions (e.g. the "whys and wherefores"
of EFP vs. difference contracts and many more) worked
examples (61)
Non-Contingent Derivatives: Forwards, futures, swaps including all
important contract in all asset classes, such as FRAs, depo futures,
bond futures, IR swaps, Currency swaps, FX swaps, equity swaps,
commodity swaps, as well as a variety of complex product such as fixed
arrears, diff swaps, and many more). Each detailed description
includes emphasis on "reality impact" as well as valuation
and sensitivity calculations with worked examples
(377)
Contingent Derivatives (options):
Exotic Options: comprehensive coverage of all "usual
suspects" (all Asian types, lookback, chooser, compound, barrier,
digital, spread, exchange of asset, quanto's, multi-index, etc) in
each providing "economic need" and "where is the
greed", do and donts, valuation and model issues worked
examples and cases (236)
Credit Derivatives: comprehensive =coverage of not only the
"usual suspects" (CDs, TotRS, Credit Spread Options,
Knock-in Credit options, CDOs, CLO's etc), but also illustrating what
the "world did" prior to CDx's, and providing linkages to
ratings and default measures with a considerable amount of theory vs.
reality worked
examples and cases (278)
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Structured
Product and Financial Engineering
(436)
Considerations for FE: basic issues of supply/demand and operational
preparation (the cost of marketing a special structure in a
"fad" etc), demand driven structures vs. market condition
structure
Cases
of Structured Products: Fair-way bonds, Structured CBs, amortising
knock-out coupon quanto option, structuring to exploit IR curve dynamics,
FX spread options, FX-cross vol structure.
Arbitrage vs. Structuring: consideration of various so-called arbs -
Index-Futures arb, CB vs. forward equity arb and CB vs. vol arb.
Real worlds requirements for successful arbs, examples of "failed
arbs" such as swaption arb and various CB vol arbs
...
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Trading
(644)
Trading vs. valuation: investing vs. market making overview with
emphasis on trade idea generation vs. structuring, trading discipline,
and more (30)
Trading positions case
studies: examination of
holding period strategies for a variety of "positions" of
increasing complexity bond position, bond future position (2
cases: direct match vs. rotation/spread
strategies), swap position, vanilla option position (3
cases: equity delta, FX
delta/gamma, pyramid), digital option profile replication position (3
cases: sensitivity, static,
dynamic), spread option position, multi-index correlated position
cases
- CBs (323)
Portfolio optimisation: examination and illustration of three
techniques for "optimal" portfolio allocation and holding
period strategies including the "best bang" method,
mean-variance method, and holding period methods. In each case
illustrating the pros/cons of each approach including back-tested
risk/return performance results worked examples
(291)
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Quantitative
Methods - 1 (1,048)
Basic Stats and Maths: review of all relevant maths appropriate to
trading and risk management with each section using many graphical and
industry relevant examples including statistics& probability,
derivatives&integrals, matrices with many many examples such as
position sensitivity, "factors" in factor allocation and
term-structure models, options probabilities, VaR probabilities worked
examples (227)
Basic Valuation Methods: Curve and surface methods such
as bootstrapping, splines, and fitting market IR/FX/Vol data, as well
examples of cheap/dear analysis in equity vol, swaption term
structure, and bond curve histories; Root finding for bond
pricing, implied vol, bond portfolio immunisation; worked
examples and cases (239)
Valuation and Risk Under Uncertainty -1: starts with a very lucid and
understandable grounding in the basic tools (and their real world
implications) for the valuation of stochastic prices/yields, includes
many worked examples for forwards, and options worked
examples (121)
Valuation and Risk Under Uncertainty -2: detailed illustration of
important numerical methods for valuation and risk including Monte
Carlo Methods - with detailed examples for vanilla options, exotic
options, structured products, and risk management; Tree Methods-
detailed illustration of the using trees for valuation and risk of
vanilla, complex, and term-structure problems; The Finite
Difference Method - heavily illustrated and understandable
explanation and worked examples for options pricing. Reality
Impact considerations for pros/cons of each method, worked
examples and cases (461)
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Quantitative
Methods - 2 (412)
Stochastic Calculus ... that even trader's can understand: a
lucid (well as lucid as stoch calc gets) description of the basics,
terminology, real world interpretation and connection. worked
examples and cases (151)
Term-structure models: including the "usual suspects" (Vasicek,
CIR, CRR, HW, HJM, BDT, BK, SS, etc) covering one factor, and
multi-factor models, including explanation of model, real world
interpretation, comparison of models, calibration, and "reality
impact" on P&L and risk worked
examples and cases (261)
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Risk
Management (439)
Risk management basics: types of risk, measures of risk, reality
impact vs. theory (38)
Position Keeping vs. Risk Management: illustrates the differences and
implications between the risk management requirements for positions
keeping (sensitivities, profile matching, multi-index, etc) and
draw-down/probabilistic (VaR etc) based approaches. Many formulas
with reality impact interpretation worked
examples and cases (115)
VaR: illustrated explanation and worked examples of CVaR, HVaR, MCVaR
illustrating pros/cons of each approach as well back tested
performance of the methods plus consideration of alternate approaches worked
examples and cases (286)
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