Using Standard and Exotic Derivatives

LEVEL: INTRODUCTORY LEVEL

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▪	Exhaustive study of all aspects of derivatives in order to discuss easily with market experts
▪	Essential knowledge for back, middle and front office staff
▪	Illustration with up-to-date market data
▪	No prerequisite financial or mathematical knowledge
▪	In-class trading simulation via FIRST TRADING ROOM©
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▪	Know the characteristics, market conventions and uses of derivative products (equity, forex, interest rate, commmodity and credit)
▪	Master the fundamentals of zero-coupon valuation
▪	Understand the fundamentals of option pricing
▪	Know the sensitivities of derivatives
▪	Link the behaviour of financial instruments with their risk factors
▪	Know the main hedging strategies
▪	Understand the market and credit risks attached to financial instruments

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▪	Salespeople
▪	Fund managers
▪	Debt origination managers
▪	Financial intermediaries
▪	Internal controls, audit
▪	Economists and market sollicitors
▪	Institutional investors
▪	Corporate treasurers

Differences Between Cash and Derivative Products
The Concept of Forwards
Distinction between Options and other Derivatives
▪	Practical workshop . Calculate of forward rates in EXCEL™ . Calculate the pay-off of a FRA
Characteristics and Cash-Flow Schedules of Standard Derivatives
▪	FRAs, futures and CFD
▪	FX swaps, IRS, equity swaps
▪	Practical workshop . Construct the cash-flow schedule of an IRS . Market dynamics and forward curve boot strapping
Use of Derivatives in Interest Rate, Forex, Equity and Credit Markets
▪	Hedging
▪	Speculation and relative-value trading
▪	Over-performance strategy
▪	Optimisation of given positions
▪	Practical workshop . Hedge interest rate and FX positions
Pricing Fundamentals
▪	Risk factors
▪	Discounting and risk-free hedging principles
▪	Zero-coupon valuation
▪	Mark-to-Market calculation (fair value)
▪	Specific option characteristics
▪	Practical workshop . Build a simplified zero-coupon pricing spreadsheet in EXCEL™ . Build a Black and Scholes pricing spreadsheet in EXCEL™ . Compare various options and choose relevant strategies
Sensitivities to Risk Factors
▪	Mark-to-Market fluctuations
▪	Greeks
▪	Management principles
▪	Practical workshop . Simulation of option book-keeping
Overview of the Main Exotic Derivatives
▪	Non-vanilla swaps: quanto, CMS
▪	Variance swaps
▪	Digital options
▪	Path-dependent options
▪	Practical workshop . Plot the pay-offs of digital option strategies used to cover import/export positions
Examples of Structured Products
Regulatory framework and Basel II reform
Trading Simulation
▪	Trade STIR futures vs the computer and other participants in hectic market conditions. Maximise your profits while maintaining sound risk management.