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Course List
Introduction to the Securities Industry
Introduction to the Securities Industry
Introduction to U.S. Securities Processing
Securities Lending and Borrowing : An Operations Perspective
Foundations of Investment Management and Buyside Operations
Dealing with Change in the Financial Markets
Collateral Management: An Operations Perspective
International Issues
International Securities Operations
International Portfolio Accounting
Foreign Currency: Markets, Clearance, Settlement & Accounting
Foreign Exchange: Lifecycle of a Trade
Corporate Actions
U.S. Domestic Corporate Actions
Global Corporate Actions
Capital Markets
Capital Markets Overview
Capital Market Economics - Investigating the Linkages Between the Real Economy and the Financial Markets
Portfolio Management
Portfolio Management
Securities Analysis
Managing Risk
Risk in a Global Market - Management and Operational Challenges Looking Forward
Financial Management
Financial Accounting and Financial Mathematics
Financial Statement Analysis
Fixed Income Securities
Bond Math: Mathematics of the Fixed Income Market
Structured Securities: MBS, ABS, CDOs
Introduction to Fixed Income Products
Accounting for Fixed Income Securities and Derivatives
Mortgage-Backed Securities
Collateralized Debt Obligations and Credit Default Swaps (CDOs and CDS)
Fixed Income Analytics
Interest Rate Swaps and Credit Default Swaps
Fixed Income Securities Trade Processing and Operations
Accounting, Regulatory & Management
Stock Brokerage Accounting & Securities Regulations
Introduction to Private Equity Markets
Trading After the Volcker Rule
Dodd-Frank for Non-US Derivatives Users
Complying with the MiFID II/MAR Rules
Introduction to Derivative Products
Derivatives: Markets, Operations, Accounting & Control
Derivative Products: Risk Management and Valuation
Option Valuation and Trading
Equity Derivatives: Futures and Swaps
Interest Rate Futures and Swaps
Introduction to Options: Products, Trading & Processing
Swaps Processing and Operations
Commodity Futures: Energy, Metals and Agricultural
Equity Options: Strategies, Accounting and Operations
Mutual Funds
Introduction to Mutual Funds
Mutual Fund Operations

Course Description
Derivative Products: Risk Management and Valuation
Available Dates:
October 4, 2018, New York
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 one-day 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, trade-offs between alternative strategies and, where appropriate, how hedges would be rebalanced over time.

Topics for Discussion Include:


  •  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


  • Pricing/Valuation of Options
    • Factors impacting option prices (pricing model inputs)
    • Black-Scholes 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