School of Derivatives

IFF Training

How long?

  • 5 days
  • in person

IFF Training


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About the course

Why Take This Course

Expert TS Ho will teach you that the key to understanding derivatives is that all products, no matter how complex, are portfolios of just two fundamental building blocks: a swap (forward) and an option. You’ll study the principles, methods and mathematical tools for understanding the analytics of derivatives structuring, plus the use, valuation and risk management. You’ll discuss the economic intuition behind each important aspect of derivatives, in order to show how they can be understood in a more sophisticated way. The concepts and mathematics are illustrated by detailed examples from the market place and you’ll participate in extensive modelling and computations using Excel spreadsheets.

What You Will Learn

  • Valuation and modelling of fixed income and equity-linked derivatives
  • The practicalities behind options; their trading, structuring and risk mechanics
  • Recent developments behind integrated stochastic yield curve models
  • Securitisation and hybrid corporate credit-risky securities
  • Credit derivatives and an introduction to credit risk models

Agenda Summary

Yield Curves, Swaps & Interest Rate Derivatives

  • Yield Curve Derivatives: Hedging/Arbitraging Taxonomy, Markets Linkage & Overview
  • Forward Rate Agreements (FRAs)
  • Swap fixed leg cash flows
  • Stochastic Floating Cash Flow Valuation (Some Key Results)
  • Swap Yield Curves & Zero-Coupon Valuation
  • Off-Market Swap Points
  • Interest Rate Futures
  • Principal Component Analysis (PCA) & Swap Pricing
  • FX Currency Swaps
  • Non-Standard & Off-Market Swaps

Optionalities: Equity, F & Interest Rate Options

  • Derivatives Contracts: Fundamental Building Blocks, Arbitrage Boundaries, Synthetics & Strategies
  • Derivatives Valuation: Concepts & Insights
  • Understanding Options Risk: Stock Exposure (Delta)
  • Volatility (Convexity) Risk Mechanics
  • FX Currency Options
  • Interest Rate, Yield Curve Volatilities & Options: Portfolio of Options on FRAs
  • Option on Portfolio of FRAs (Swaps)
  • Volatility Surface Asymptotics
  • Yield Curve Models: Motivation
  • Derivatives Pricing Tools: Fundamental Theorem
  • Yield Curves Models
  • Implementing & Calibrating Yield Curve Models: One-Factor Models
  • Black-Derman-Toy (BDT) Model: Implementation
  • Black-Derman-Toy (BDT) Model: Applications

Credit Risk Derivatives Models

  • Credit Default Swaps (CDS): Structure, Pricing & Hedging
  • Mertonian/KMV Structural Model (Firm Assets) Approach
  • Jarrow–Turnbull (JT) Reduced-Form (Intensity-Based) Model: Applying Term Structure Models

Computer Workshops

  • FRAs Cash Flows
  • Fundamentals of Yield Curve Construction, Interest Rate Swaps & Micro-Structure
  • Constructing Semi-Annual Swap
  • Constructing Annual Swap
  • Exponential Interpolation
  • Bootstrapping Futures Strip Zeros
  • Incorporating Futures Strip Prices
  • Valuing FX Currency Swaps
  • Valuing Existing Off-Market Swaps
  • Structured Product Solutions, Embedding & Embedded Options
  • Binomial Option Pricing Model
  • Black–Scholes Option Pricing Model
  • Delta-Neutral Exit Strategy Cost
  • Long Volatility (Gamma) Trading
  • Pricing FX Options Pricing Interest Rate Caps and Floors
  • Yield Curve Model & Convexity Adjustment
  • Constructing Black-Derman–Toy (BDT) yield curve model
  • Valuing interest rate caps, bond options, swaptions, futures
  • Valuing Bermudan options, interest rate swaps
  • Comparison of BDT & Black (market) models – Convexity adjustment
  • Pricing Single-Named CDSs Main Uses of Credit Derivatives
  • Mertonian/KMV Binomial Models
  • Jarrow–Turnbull Reduced-Form Model

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School of Derivatives at IFF Training

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