Non-option Derivatives Products

Description

This course forms Module 1 (Days 1 - 3) of the 5 day School of Derivatives

Module 1: Non-option Derivatives Products (Days 1-3)
Module 2: Options & Structured Products (Days 4-5)

Course overview

This 3 day course looks into non-option derivatives products in equity, FX and interest rates although the majority of the discussion will focus on the last two asset classes.

The module starts with the short term derivatives markets and details how the basic building block of all derivatives – a forward contract – is derived for different asset classes. Participants will then move on to the longer term markets and gain a practical understanding of how interest rate and cross currency swaps are used, priced and traded. A focus of this module will be the link between interest rate derivatives and the fixed income markets. Risk management methodologies used by investment banks will also be explored. Discussions will be had as to how the classical approach to pricing has been challenged following the crisis. The new approach adopted by banks and clearing houses will be covered. Participants will use an Excel based swap pricer for pricing and risk management exercises.

Counterparty credit risk has in recent years become a hot topic in derivatives. Certain significant changes in regulations and pricing methodologies in the derivatives market are the direct consequence of dealing with counterparty credit risk. A session will be devoted to provide an overview of this topic.