A Trader’s guide to Derivatives
To provide a practical introduction to equity
derivative products, including pricing, hedging and structuring equity
derivatives. This courses covers both exchange traded and over the counter
equity derivatives in addition to equity derivative securities such as
warrants and convertible bonds. It covers structuring and hedging
considerations from both buyer and seller perspectives.
Will learn:
·
Special features of equity underlying
·
Equity derivative structures designed to optimise risk /
return profiles for both issuer and purchaser
·
Structuring, pricing and hedging of equity derivatives
·
Over the counter and structured securities
Audience:
market professionals with at least 1-year experience (some basic
understanding of markets/products helpful)
·
Traders, sales, support, Internal Audit
·
Fund managers
·
Risk management
1.
Funding and PV:
review of the foundation of all trading : funding and present value, and spot
and forward curves.
2.
Forwards and
Futures:
thorough treatment of forward and futures contracts illustrating
all important considerations such as fair value methods, outright,
difference, margining etc.
3.
Swaps:
provides a strong foundation of generic and specific swaps for all
important structures and asset classes.
4.
Options:
introduction to traditional and vanilla options pay-out profiles, as well
consideration of common (vanilla) options structures and uses/abuses, and
coverage of contract issues and implications for different asset classes.
5.
Valuation Basics: pricing under uncertainty (uncertain)
processes and the applications to finance expressed in clear down-to-earth
terms and including a review of statistical and probabilistic concepts,
culminating with a clear understanding of the fundamentals of pricing
models and worked examples with Monte Carlo and Tree techniques.
6.
Market
Convention Methods for Pricing:
Black-Scholes Option Pricing case explained in detail (where it comes from
and what it means, Risk neutral process, how Black-Scholes can FAIL for
risk management.
7.
Market
Convention Methods for Hedging: Sensitivity
and the "Greeks", Black-Scholes Greeks, Sample “Bucket”
Report, Dynamic vs. Static Hedges and Sensitivity vs. Profile Hedges
(Delta hedging, Pyramid Hedging, Static Profile Matching, Dynamic Profile
Matching, Rules of Thumb for Dynamic/Static vs. Sensitivity/Profile)
8.
Volatility
Basics: Characterising
Volatility, Implieds/Skews/Term structure of volatility, advanced
volatility concepts (forecasting volatility, cheap/dear analyses, implied
distributions), real world effects, Correlation and Covariance.
9.
Complex
Products: qualitative review of
each of the "usual suspects": Asian, Digital, Barrier,
Lookback, Chooser, Compound, Spread, Quanto, etc as well examination
of embedded (e.g. callable bond) and structured (convertible bond)
products as well as a section introducing Credit Derivatives.
10.
Advanced
Valuation and Risk Management:
introduction to simulation techniques for assessing trading strategies of
a position/portfolio over a holding period, case study of a vanilla call
option position hedging strategy analyses including both back-testing and
forward-testing. Also
included are considerations of operational issues touching on capital,
credit, and regulatory maters.
730
Pages of
comprehensive and extensively illustrated Handout Notes (see samples
here)
Plus copies of relevant TG2 Books/e-Books
Note:
Seminars can be tailored to your trading, risk, client, and systems needs.
Submit your needs, and/or "cut/paste" from other Seminars (see entire "standard"
list HERE)
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