Investment Operations

Derivatives Advanced

Categories Advanced, Derivatives

Course Instructor

Course Level

Expert

Certification

Certificate

Delivery

Via Zoom

Hours (EST)

9:00 am - 1:00 pm​

Description

*This course can be offered upon request and can be customized to fit your team’s needs.

Welcome to our three-module virtual course on Advanced Derivatives!

This course is designed to deepen your understanding of the world of derivatives, focusing on interest rate swaps, equity swaps, currency swaps, commodity swaps, futures, forward pricing, valuation, and options trading strategies. Through an exploration of no-arbitrage pricing, swap valuation, hedging strategies, option pricing models, and option Greeks, you will expand your skillset and become proficient in the advanced concepts and applications of derivatives.

Ideal for individuals seeking to enhance their knowledge in this complex financial instrument, this class will equip you with the tools needed to excel in trading, portfolio management, and risk management strategies. Join us to unlock the full potential of derivatives and elevate your expertise to new heights.

Prerequisite: Derivatives Fundamentals course or equivalent job experience.

Day 1

Options Pricing and Valuation

  1. Factors impacting option prices (pricing model inputs)
  2. Black-Scholes and binomial pricing models
  3. Put/call parity

Options Trading Strategies

  1. Arbitrage trading and synthetic positions
  2. Option Greeks – quantifying option sensitivities
  3. Delta, gamma, theta, vega and rho
  4. Delta hedging and delta neutral hedge ratios
  5. Implied volatility and volatility trading
  6. Market neutral and directional strategies (e.g., straddles, spreads, ratio writes, etc.)

Day 2

Futures and Forward Pricing and Valuation

  1. No-arbitrage pricing and implications for initial value of contracts
  2. Forward (and futures) pricing – cost of carry arbitrage pricing
  3. Valuation of forwards versus futures and the convexity of futures contracts
  4. Arbitrage pricing conditions and implications for forward price curves
  5. Pricing non-financial futures and forwards – contango and backwardation
  6. Pricing financial futures and implication of positive and negative carry
  7. Futures pricing relative to basket delivery and cheapest to deliver

Futures and Forward Hedging Strategies

  1. Hedging and risk management
  2. Long and short hedges and cross hedging
  3. Cash/futures basis and convergence
  4. Risks of fully hedged positions – basis risk, spread risk and financing risk
  5. Weighting hedges: duration (fixed-income), beta (equities)
  6. Portfolio hedging and risk management strategies

Day 3

Interest Rate Swaps

  1. No-arbitrage pricing and implications for initial value of contracts
  2. Fixed-for-floating swap payment date cash flows
  3. Cash flow hedging – fixed to floating or floating to fixed
  4. Swap pricing
  5. Swap valuation
  6. Value hedging
  7. Pricing/valuation of basis swaps
  8. Basis swap hedging strategies

Equity Swaps

  1. Pricing equity-return-for-fixed-interest-rate swaps
  2. Pricing equity-for-floating-rate swaps
  3. Creating/hedging equity exposure with swaps
  4. Portfolio management/tactical asset allocation with swaps
  5. Comparison of synthetic exposure created by swaps versus underlying equities

(Cross) Currency Swaps

  1. Pricing currency swaps as interest rate swaps in two currencies
  2. Implications for currency swap variations of fixed and/or floating interest rates
  3. Currency swap hedging applications

Commodity Swaps

  1. Common structures
  2. Pricing commodity swap
  3. Hedging and risk management applications

Summary & Questions

$1,495.00

In-House Training

Custom Training can help you achieve your corporate training goals while staying on budget and focusing the content on the needs of your group. Email your questions regarding corporate training to training@investmentoperations.net.

2023 Training Calendar

Training Catalogue

Course Instructor

Course Level

Expert

Certification

Certificate

Delivery

Via Zoom

Hours (EST)

9:00 am - 1:00 pm​

$1,495.00

Description

*This course can be offered upon request and can be customized to fit your team’s needs.

Welcome to our three-module virtual course on Advanced Derivatives!

This course is designed to deepen your understanding of the world of derivatives, focusing on interest rate swaps, equity swaps, currency swaps, commodity swaps, futures, forward pricing, valuation, and options trading strategies. Through an exploration of no-arbitrage pricing, swap valuation, hedging strategies, option pricing models, and option Greeks, you will expand your skillset and become proficient in the advanced concepts and applications of derivatives.

Ideal for individuals seeking to enhance their knowledge in this complex financial instrument, this class will equip you with the tools needed to excel in trading, portfolio management, and risk management strategies. Join us to unlock the full potential of derivatives and elevate your expertise to new heights.

Prerequisite: Derivatives Fundamentals course or equivalent job experience.

Day 1

Options Pricing and Valuation

  1. Factors impacting option prices (pricing model inputs)
  2. Black-Scholes and binomial pricing models
  3. Put/call parity

Options Trading Strategies

  1. Arbitrage trading and synthetic positions
  2. Option Greeks – quantifying option sensitivities
  3. Delta, gamma, theta, vega and rho
  4. Delta hedging and delta neutral hedge ratios
  5. Implied volatility and volatility trading
  6. Market neutral and directional strategies (e.g., straddles, spreads, ratio writes, etc.)

Day 2

Futures and Forward Pricing and Valuation

  1. No-arbitrage pricing and implications for initial value of contracts
  2. Forward (and futures) pricing – cost of carry arbitrage pricing
  3. Valuation of forwards versus futures and the convexity of futures contracts
  4. Arbitrage pricing conditions and implications for forward price curves
  5. Pricing non-financial futures and forwards – contango and backwardation
  6. Pricing financial futures and implication of positive and negative carry
  7. Futures pricing relative to basket delivery and cheapest to deliver

Futures and Forward Hedging Strategies

  1. Hedging and risk management
  2. Long and short hedges and cross hedging
  3. Cash/futures basis and convergence
  4. Risks of fully hedged positions – basis risk, spread risk and financing risk
  5. Weighting hedges: duration (fixed-income), beta (equities)
  6. Portfolio hedging and risk management strategies

Day 3

Interest Rate Swaps

  1. No-arbitrage pricing and implications for initial value of contracts
  2. Fixed-for-floating swap payment date cash flows
  3. Cash flow hedging – fixed to floating or floating to fixed
  4. Swap pricing
  5. Swap valuation
  6. Value hedging
  7. Pricing/valuation of basis swaps
  8. Basis swap hedging strategies

Equity Swaps

  1. Pricing equity-return-for-fixed-interest-rate swaps
  2. Pricing equity-for-floating-rate swaps
  3. Creating/hedging equity exposure with swaps
  4. Portfolio management/tactical asset allocation with swaps
  5. Comparison of synthetic exposure created by swaps versus underlying equities

(Cross) Currency Swaps

  1. Pricing currency swaps as interest rate swaps in two currencies
  2. Implications for currency swap variations of fixed and/or floating interest rates
  3. Currency swap hedging applications

Commodity Swaps

  1. Common structures
  2. Pricing commodity swap
  3. Hedging and risk management applications

Summary & Questions

In-House Training

Custom Training can help you achieve your corporate training goals while staying on budget and focusing the content on the needs of your group. Email your questions regarding corporate training to training@investmentoperations.net.

2023 Training Calendar

Training Catalogue

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