Audience:

·      market maker, prop traders, sales, support, structurers

·      management, treasurers,

·      Risk Management

Table of Contents

1) Valuation and Market Dynamics: introduction to the tools and concepts of product valuation under uncertainty.  Clear and working illustration of both the basic underlying models and assumptions, the techniques used for valuation/risk management, as well as implications for real-world application. 

2) Simulation Methods: detailed coverage of important forward testing (Monte Carlo forecasting) and backward testing (historical data "forecasting"), providing sufficient knowledge not only to build simulators that process entire trading strategies with rebalance and real world effects (transaction costs, liquidity, credit, etc.), but also to know how to use them "sensibly" in a real world setting.

3) Position Keeping : Detailed coverage of key trading strategies for directional, arbitrage, and position keeping/hedging based strategies.  Techniques include static sensitivity based analysis/methods (e.g. V01/Duration), dynamic sensitivity (Delta, Gamma, Vega, etc), immunisation of cash flows, profile matching for complex pay-outs/exotic options using both static and dynamic variations,

4) Analyses of position holding strategies:  examination of position rebalancing, holding period rebalancing forward/backward testing for important cases, including:

·      Outright futures: Buy & Hold, Moving Average Cross

·      Bond hedged with Bond (or equivalently, a direction spread trade)

·      Bond hedged w future (or equivalently a directional "basis" spread trade)

·      Bond/Swap hedging (or equivalently a directional swap spread trade)

·    Vanilla equity option: naked, Delta, and Delta+Gamma Pyramid

·      FX and IR digital option using static and dynamic profile matching

Note: in-house versions of this seminar can be easily extended to include the simulations and analyses of specific structures/asset classes of interest to your portfolios, clients, etc.

Extras