The basics of derivatives markets

Futures, Swaps and Options

Course objectives

  • Master mechanisms of firm and conditional derivatives

  • Understand the use of derivatives

  • Understand the settings and price risks associated with the use of derivatives

Introduction to derivatives:

Which product can be classified as “derivative”?

Derivatives markets organisation

  • Over the counter trade / Exchange trade
  • Derivatives markets classification

“Cash forward” derivatives :

  • Definitions - “how to use” :
    • Forwards and Futures
    • Risks
    • Hedging/trading
    • Leverage
    • The Clearing House

Case Study: How to make money on a Future Stock market

  • Swaps markets :
    • IRS : Examples, how to use it ?

Case Study: How to hedge a fixed rate mortgage

  • Currency swaps : Examples, how to use it ?
  • Forex swaps : Examples, how to use it ?
    • Credit derivatives :
  • CDS : The most active product of this family - global comprehension
  • iTraxx versus CDX

Case Study: Back to the crisis : How were CDS involved in such a cataclysm ?

“Conditional derivatives”: Options

  • Calls and Puts : global comprehension
    • Options are insurances
    • The pay-off profiles : Buyers and sellers of options
  • Options Parameters : Underlying, time, strikes, interest rates, volatility
  • Greeks

Case Study: Let's play with a simple pricer

  • How to use Options?
  • Optional strategies: risk reversals, Straddle, Strangles

Case Study: How to hedge a cocoa harvest with options

  • Interest rate options : Caps, Floors, Collars - vocabulary
  • Introduction to swaptions
  • FOREX options
  • Exotic options : Looking for cheap insurance ?
  • Introduction to risk management of options
  • Options : Basics for structured products

Case Study: Gambling on the CAC40 !

Alain Bouijoux

Alain Bouijoux

Head of sales in London and Paris on a desk for foreign exchange and interest rate derivatives, Alain has evolved for over 10 years in the markets. He faced the needs of his clients as well as the requirements of traders and management obligations of back and middle offices. Today he puts that experience at your disposal to answer all your questions about markets and their actors.

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