Hands-on training course on pricing financial derivatives

Course description
Agenda
Who should attend
Prerequisites
Course fee
Date & venue
How to apply

 Download info (English)

Download info (Chinese)

Course description

Fluctuations in market prices and risk factors affect the value of a portfolio in a dramatic and complicated manner. To measure and to hedge against market risk requires a fundamental understanding of financial derivatives.

The hands-on training course on pricing financial derivatives aims to explain the mechanics of common derivatives, including bonds, swaps, forwards, futures, and options. The valuation of these instruments is technically demanding. The training course introduces the necessary mathematics and concepts in an intuitive and simple way. The application of financial derivatives in risk management will also be demonstrated in a practical manner.

Agenda

Day 1

    Session 1 (morning)

  1. Overview
    • What are financial derivatives?
    • Types of financial derivatives

  2. Preparatory mathematics
    • Exponentiation and logarithm
    • Concepts in calculus
      1. Differentiation
      2. Partial derivatives
      3. Taylor’s theorem
    • Selected topics in statistics
      1. Normal distribution
      2. Expectation and variance

  3. Bonds and swaps
    • Bootstrapping an interest rate term structure
    • The basics of bond and swap valuation
    • Forward rates and pricing of forward rate agreements

  4. Forwards and futures
    • Margins and marking-to-market
    • The ‘no arbitrage’ principle for derivative pricing
    • Pricing of forwards and futures

  5. Plain vanilla options
    • Properties of European and American options
    • Spreads and combinations (butterfly and strangle)
    • Put-call parity
    • General price processes
      1. Geometric Brownian motion
      2. Mean reversion
      3. Jump diffusion
    • Ito’s lemma
    • Lognormal property
    • Black-Scholes pricing formula
      1. Options on stocks with and without dividends
      2. Currency options
      3. Options on futures
    • Implied volatility and volatility surface

    Session 2 (afternoon)

  6. Case study: pricing of bonds and European options
    • Calculation of bond price, yield and duration
    • Black-Scholes pricing of European options
    • Calculating Black-Scholes implied volatility from European options

Day 2

    Session 3 (morning)

  1. Numerical methods for derivative pricing
    • Binomial tree
    • Risk-neutral valuation
    • Monte Carlo simulations

  2. Other topics
    • The Greeks
    • Delta hedging
    • Exotic options
      1. Binary options
      2. Path-dependent options
      3. Basket options
    • Static option replication

    Session 4 (afternoon)

  3. Case study: Pricing of American and exotic options and a hedging exercise
    • Binomial tree pricing of an American put option
    • Interpolation of volatility surface
    • Monte Carlo pricing of an Asian option
    • Pricing of a barrier option
      1. Analytical method
      2. Static option replication
    • Dynamic hedging exercise
Who should attend

Market Risk Analysts, Portfolio Managers, Risk Managers, Traders and anyone who encounters financial derivatives in his or her work (for example, auditing, accounting, compliance, legal and I.T.) and who wants to develop his or her knowledge in this exciting area.

Prerequisites

Basic knowledge in MS Excel and a general interest in financial derivatives. No prior experience with financial derivatives is assumed. Some experience in VBA programming is beneficial.

Course fee

The course fee is USD 1,050 and includes the 2 day training course, lunch and course material (presentation and model implementations used for the case studies). Upon completion of the course each participant will receive a Certification of Attendance.

Group booking discounts:

  • 2 delegates – 10% discount
  • 3 or more delegates – 15% discount

Date & venue

The course can be conducted in-house or on our premises in Hong Kong, China. We will arrange a mutually convenient date.

How to apply

Please download the registration form (English) / registration form (Chinese), complete it, and fax it to +852 2544 9989.

Note: We can customise the course to your needs. You may be interested in our specialised one-day programme or having the course conducted in-house. Please contact us at info@d-fine.hk or call +852 3711 5800 for more information.

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