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New York Institute of Finance

Derivatives Products in a Dodd-Frank World

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Description

Understand current regulatory trends in the derivatives space as a result of the credit crisis, providing a framework for discussion regarding the many issues facing the derivatives business today.

Prerequisite knowledge:

  • Working knowledge of the financial industry

CURRICULUM

Evening 1

MODULE 1: OVERVIEW AND FUTURES

  • Overview of Course
  • History and Impact of the Credit Crisis
  • Cause(s) and effect
  • Securitization
  • Post-mortem: lessons learned and roadmap for the future

MODULE 2: FUTURES CONTRACTS

  • Mechanism for trading
  • Mechanism for clearing: functions of a clearinghouse; margin
  • Commodity futures - energy, metals and grains: contract specifications
  • Commodity futures market participants: users; producers; commodity funds and speculators; arbitrageurs
  • Commodity futures - uses and applications: hedging; commodities as an investment asset; speculation; arbitrage

Evening 2

MODULE 1: FINANCIAL FUTURES

  • Eurodollars and FRAs
  • T-note and t-bond futures
  • Foreign currency futures

MODULE 2:EQUITY INDEX FUTURES

  • Futures and ETFs: compare and contrast

MODULE 3: FINANCIAL AND EQUITY FUTURES MARKET PARTICIPANTS

  • Financial and Equity Futures: Uses and Applications
  • Hedging
  • Speculation
  • Arbitrage

Evening 3

MODULE 1:INTEREST RATE SWAPS

  • History and Evolution of the Swaps Market
  • Interest Rate Swaps Contract Terms and Conditions
  • Ways to Diagram Swaps
  • Market Trading Conventions
  • Market Participants
  • Corporations
  • Unleveraged buyers of assets
  • Speculators and other leveraged players
  • Arbitrageurs
  • Uses and Applications

Evening 4

MODULE 1: PRICING INTEREST RATE SWAPS

  • Bootstrapping and calculating spot rates
  • DV01 (dollar value of 1 BP)
  • Re-pricing swaps

MODULE 2:TOTAL RETURN SWAPS

  • Terms and conditions
  • Compare and contrast to vanilla swaps
  • Uses and applications

Evening 5

MODULE 1: CREDIT DEFAULT SWAPS

  • Terms and conditions
  • Market trading conventions
  • Pricing

MODULE 2: MARKET PARTICIPANTS

  • Corporations
  • Unleveraged buyers of assets
  • Speculators and other leveraged players
  • Arbitrageurs

MODULE 3: USES AND APPLICATIONS

  • Hedging: hedging a long portfolio; creating synthetic assets
  • Speculation
  • Arbitrage: negative basis; positive basis

Evening 6

MODULE 1: OPTION CONTRACT TERMS AND CONDITIONS

  • Terminology
  • Factors Affecting Option Prices
  • Equity Options
  • Mechanism for trading
  • Payoff profiles

MODULE 2: EQUITY OPTION MARKET PARTICIPANTS

  • Corporations
  • Unleveraged buyers of assets
  • Speculators and other leveraged players
  • Arbitrageurs and market makers

Evening 7

MODULE 1: INTEREST RATE OPTIONS

Terms and conditions Terminology Payoff profiles

MODULE 2: INTEREST RATE OPTIONS MARKET PARTICIPANTS

  • Corporations
  • Unleveraged buyers of assets
  • Speculators and other leveraged players
  • Arbitrageurs and market makers

MODULE 3: OPTION STRATEGIES

  • Yield enhancement
  • Insurance
  • Vertical spreads
  • Volatility spreads
  • Collars

Evening 8

MODULE 1: OPTION PRICING

  • Overview of Black-Scholes
  • Overview of binomial modeling

MODULE 2: VOLATILITY

  • Probability and normal distribution

MODULE 3: OPTIONS RISK MANAGEMENT: THE GREEKS

  • Delta
  • Gamma
  • Theta
  • Vega
  • Rho

WHAT YOU'LL LEARN

IDENTIFY PARTICIPANTS IN THE DERIVATIVES BUSINESS AND HOW EACH IS AFFECTED BY DODD FRANK

  • Demonstrate a practical understanding of the core products which make up the derivative product universe
  • Identify key market participants for all product areas
  • Differentiate among market participants and how they might use each product
  • Price an interest rate swap and a credit default swap
  • Analyze a corporate bond's relationship to the same corporation's credit default swap
  • Develop strategies for various market participants given a set of goals and objectives
  • Analyze option strategies by their risk/reward profile
  • Identify the price evolution of an options contract
  • Determine the option strategy that best fits a participant's goals and objectives

Who should attend

  • Traders' assistants
  • salespeople
  • sales-traders
  • legal personnel
  • middle/back office and compliance
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