Available Dates:

Course Code: 804 
Duration: 1 day 
Level: Intermediate 
Fee: $795.00 
Instructor:
Douglas Carroll 
CPE Credits: 6 
Prerequisite: A basic familiarity with derivatives (contract features as well as related terms and definitions) and basic investment characteristics, gained through either formal training or 1+ years working in a derivative related trading/support capacity is recommended (but not required). 
This oneday program provides an extensive overview of methodologies to assess the risk and relative value of derivative contracts to better inform trading decisions or structuring risk management solutions.
The presentation is designed for participants possessing a general familiarity with derivative contract elements and terminology.
The session will begin with a general introduction to techniques used in valuing derivative contracts (arbitrage pricing relationships and pricing models) and a discussion of their use in assessing the relative attractiveness of alternate strategies as well as quantifying and managing risk. Each of the major segments of the derivative markets will be addressed in turn (futures/forwards, options and swaps), investigating the specific analytic approaches employed and how these are used to inform trading/risk management strategies.
Each segment will begin with a conceptual discussion of the particular measures of risk/relative value, etc. including the methodologies for deriving the specific measure. However, the bulk of each segment will be from a practitioner's perspective (dealers, floor traders, portfolio managers, hedge funds, arbitrageurs, etc.) illustrating how various measures of risk and relative value are used to structure hedging and trading strategies.
Pricing models and arbitrage pricing relationships will be assessed not only from the perspective of estimating the theoretically correct price, but as well from the viewpoint of a trader/portfolio manager employing them to recognize opportunities and assessing/quantifying risks. Discussion of various risk management/hedging strategies will focus on cost, risk/return implications, tradeoffs between alternative strategies and, where appropriate, how hedges would be rebalanced over time.
Topics for Discussion Include:
Introduction
 Use Derivatives to Initiate or Offset Exposures
 Arbitrage Pricing of Derivatives
 Derivative Pricing Models and Their Applications
Futures and Forward Contracts
 Pricing/Valuation of Futures and Forward Contracts
 The forward pricing curve
 The cash/futures basis, basis risk and convergence
 Cost of carry (arbitrage) pricing
 Contango and backwardation
 Futures/Forwards Trading Strategies
 Hedging and risk management
 Structuring hedging/risk management solutions
 Cross hedges and spread risk
 Weighting hedges
Options
 Pricing/Valuation of Options
 Factors impacting option prices (pricing model inputs)
 BlackScholes and binomial pricing models
 Put/call parity
 Arbitrage trading and synthetic positions
 Option Greeks  Quantifying Option Price Sensitivities
 Delta, gamma, theta, vega and rho
 Delta hedging and delta neutral hedge ratios
 Implied volatility and volatility trading
Swaps  Interest Rate, Equity, Currency and Commodity

Interest Rate Swaps

Cash flows at settlement dates

Swap pricing versus swap valuation

Capital market equivalent positions

Cash flow hedging  fixed to floating or floating to fixed

Value hedging
 Pricing/Valuation and Trading Strategies for Other Types of Swaps
 Equity  structures and portfolio management applications
 Currency  currency/interest rate exposure risk management
 Commodity swaps
 Complex swaps  tailored risk management tools
Credit Default Swaps (CDS)
 Pricing/Valuation of CDS
 Review of CDS contracts
 CDS pricing
 CDS basis
 Trading/Risk Management Applications of CDS
 Long credit risk (own risky asset), buy credit protection
 Capital market equivalent positions of buyer and seller
 CDS seller  long exposure, leverage and diversification
 Buying protection on assets not owned  synthetic short
