Intermediate financial derivatives
Exotic Options, Asset Swaps, CDS and structured products
Understand the motivations behind option trading strategies
Understand how market parameters affect the prices of options
Understand the risk management and pricing challenges behind complex derivatives
Get an overview of CDS and how they differ from other derivatives
See how options are embedded in structured products
Identify the optimal market conditions for structured products
Mathematical preview
- Normal distribution
- Poisson distribution and process
- Variance properties
- Assumptions behind Black Scholes
Vanilla options
- Option premium parameters
- Sensitivity of an option - greeks
- Volatility surface
- Building an option pricer with Black Scholes
- Option trading strategies
Introduction to exotic options
- Barrier options, digitals and asian options
- Replicating exotics with vanilla options
- When to use Monte Carlo simulations
Case Study: Digital options with Black Scholes
Asset Swaps
- Purpose
- How to build them
- Asset swap spread and Z spread
- Hedging an asset swap
Credit Default Swaps
- Definition and terms
- Upfront valuation
- Sensitivities
- Hedging against credit events
- Aribitraging the basis between CDS and cash bond
Structured products
- Introduction
- Construction principles
- Pricing
Case Study: Termsheet examples
Mathematical preview
- Normal distribution
- Poisson distribution and process
- Variance properties
- Assumptions behind Black Scholes
Vanilla options
- Option premium parameters
- Sensitivity of an option - greeks
- Volatility surface
- Building an option pricer with Black Scholes
- Option trading strategies
Introduction to exotic options
- Barrier options, digitals and asian options
- Replicating exotics with vanilla options
- When to use Monte Carlo simulations
Case Study: Digital options with Black Scholes
Asset Swaps
- Purpose
- How to build them
- Asset swap spread and Z spread
- Hedging an asset swap
Credit Default Swaps
- Definition and terms
- Upfront valuation
- Sensitivities
- Hedging against credit events
- Aribitraging the basis between CDS and cash bond
Structured products
- Introduction
- Construction principles
- Pricing
Case Study: Termsheet examples
Oscar Relier
Oscar has worked in corporate finance and trading room for SBC Warburg, UBS and Deutsche Bank. He masters the mechanism, use and pricing of derivatives. Also trained in behavioral techniques, he designs and conducts training on public presentation and on the issues of communication and management.
Oscar Relier also teaches :
- Analyse comportementale des marchés (Catalogue Marchés financiers)
- Associate PRM® (Catalogue Certifications)
- Comprendre les marchés financiers (Catalogue Marchés financiers)
- Dérivés de crédit 1 : mécanismes et utilisations (Catalogue Marchés financiers)
- Financement d’une start-up (Catalogue Marchés financiers)
- Fundamentals of financial markets (Catalogue English)
- Introduction aux FinTech : la finance disruptée (Catalogue Finance d'entreprise)
- Introduction to credit derivatives (Catalogue English)
- Investir dans les entreprises non cotées : un enjeu pour la gestion d’actifs (Catalogue Marchés financiers)
- L’essentiel des marchés financiers (Catalogue Marchés financiers)
- Les Cryptomonnaies et les ICO (Catalogue Marchés financiers)
- Les produits dérivés de taux (Catalogue Marchés financiers)
- Manager ses collaborateurs (Catalogue Marchés financiers)
- PRM® – Professional Risk Manager (Catalogue Certifications)
- Produits dérivés 2 : dérivés complexes (Catalogue Marchés financiers)
- Produits structurés et dérivés en gestion (Catalogue Marchés financiers)
- Public Speaking and Presentation Skills (Catalogue English)
- S’exprimer en public (Catalogue Marchés financiers)
- Sales techniques (Catalogue English)
- Structured products in Asset Management (Catalogue English)
- Techniques commerciales avancées (Catalogue Marchés financiers)
- Use of Derivatives in Asset Management (Catalogue English)
- Variance, swaps and volatility (Catalogue English)