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Our two-day Financial Derivatives In-Depth course aims to explain the purpose, complexities and pricing behind the financial derivative contracts. The training will start with simple futures and forward products and then proceed to options theory, interest rate swap valuation and discussion of more exotic derivatives and structured products.
A basic understanding of financial markets and some knowledge of main asset classes is a prerequisite for this training.
- Understand why there is a term structure of futures prices and what these prices imply.
- Discover how to exploit the arbitrage relationship between an asset’s price and its futures contract.
- Develop an intuitive and mathematical understanding about the Black-Scholes option pricing framework and apply it to price European option contacts.
- Learn how to calculate implied and realized volatilities.
- Become familiar with various exotic features of derivative contracts.
- Recognize various exposures of an option contract and how to quantitatively measure them.
- Gain insight into structured products such as Autocallables, Reverse Convertibles, Protected Participations and others.
- Study how Credit Default Swaps can be used to protect against bond defaults.
- Understand the interest rate swap markets and be able to apply various methods in their pricing.
- Become confident dealing with financial derivative products.
- Private traders and investors, looking to learn about financial derivatives.
- Professionals within the financial industry or those providing services to the financial sector.
- Professionals performing financial functions in non-financial industries, such as corporate treasury, accounting, and investor relations.
- Students, preparing for an upcoming internship or starting their careers in finance.
- Anyone working in or looking to understand financial derivatives and how they work.
- Active trader specializing in Equity Derivatives and Volatility trading.
- Former Goldman Sachs Quantitative Analyst.
- Working in finance since 2008.
- Professional career includes Nomura, Bloomberg and Goldman Sachs.
- Cross asset-class experience covering Equities, Fixed Income, FX and Commodities.
- Teaching financial courses since 2013.
- Holds Masters of Engineering from Imperial College London.
- Holds Masters of Science in Mathematical Finance from University of Oxford.
Overview of Financial Derivatives:
- Types of derivative products.
- Open interest and volume.
- Listed and OTC trading.
- Derivatives settlement procedures.
- Derivative users.
Futures and Forwards:
- Mechanics of a forward contract.
- Differences between a future and a forward.
- Cost of carry and fair value.
- Contango and backwardation.
- Using futures for hedging, speculating and asset allocation.
- Calls and puts.
- Selling and buying of options.
- In-the-money (ITM), At-the-money (ATM) and Out-of-the-money (OTM) options.
- Motivation behind using options.
- Put-call parity and option arbitrage.
- Realized volatility.
- Intrinsic and time value.
- Black-Scholes framework.
- Delta hedging.
- Pricing European and American options.
- Implied volatility and volatility surface.
Option Risks and Greeks:
- Hedging of the risks.
- Straddles and strangles.
- Call and put spreads.
- Collar and risk-reversal.
- Calendar spread.
- Iron Condor.
Light Exotic Options:
- Barrier options.
- Knock-in/out options.
- Digital and binary options.
- Quanto options.
- Asian contracts.
Exotic Options and Structured Products:
- Options as a note contract.
- Reverse convertibles.
- Protected participation.
- Bonus certificate.
- Mechanics of interest rate swaps.
- Motivation behind using interest rate swaps.
- Pricing Interest Rate Swaps.
- Role of the clearinghouse.
- Cross-currency swaps.
- Dividend and equity swaps.
Credit default swaps (CDS).
- Mechanics of a CDS contract.
- Protection buyers and sellers.
- Credit events.
- Standardized premiums.
- Credit indices.
Class size:20 students
- Formal completion certificate.
- Course notes and materials.
- Follow-up support – ability to ask questions and seek further clarification, if needed.
- 20% OFF any future courses you wish to attend.
At the moment, we are planning for all of our training courses starting with September 2020 to go ahead in a physical location in Central London.
In case if circumstances change and we won’t be able to deliver the course in a classroom setting, we will deliver it virtually online via Zoom.
If this happens, we will get in touch and ask if you would like to go-ahead and attend the course virtually or if you prefer to cancel for a full refund.
We accept all major credit and debit cards, and PayPal.
You will receive this by email after completion of any of our classes.
You can cancel your booking and receive a full refund up to one month in advance of the course start date.
If you made a booking for a seminar that starts in less than one month, you can cancel for a full refund within the 14 days of making the booking.
In case if we are unable to deliver a course in a physical classroom and had to move it online due to COVID-19, you can also cancel and request a full refund if you don’t want to attend the course virtually.
There are no prerequisites for this course – even though some basic understanding of financial markets would be helpful, it is not required!