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Advanced Derivatives (Modular Course)
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This virtual course can be attended as a whole, or you can select to attend each day individually.
Start time 9am BST (British Summer Time)
This is a comprehensive five day programme, covering the essential pillars of the modern derivatives world.. The content is modular, with each day a standalone session on the key pillars of the modern derivatives world. Each day is divided into 3 x 2hr modules for the convenience of delegates attending remotely
Day 1 Interest rate derivatives, swaps and cross-currency swaps
Day 2 Equity and FX options, exotics, trading the volatility surface
Day 3 Interest rate options and structured products
Day 4 Credit derivatives and structured credit
Day 5 Counterparty risk, funding and XVA adjustments
The emphasis is on a healthy mix of theory and client applications, and is illustrated throughout with real-life examples and case-studies.
Each individual module is priced at £1095 + VAT
The whole course at £4295 + VAT
Click "Book Now" to select the relevant option -
All times BST (British Summer Time)
Each day can be individually attended, or you can attend the full five days.
Day 1 - Interest Rate Derivatives, 22nd June, 9am
1.1 Forwards and Futures, 9am - 11am FRAs
Interest rate futures
SOFR futures
Applications in hedging
1.2 Interest Rate and Cross-Currency Swaps, Midday - 2pm
Quotation and terminology
Understanding yield curve shape and level
Intuitive pricing and risk
The choice of the discount curve – why OIS?
Cross-currency swaps
Understanding the CRX basis
1.3 Applications of Swaps, 3pm - 5pm
Using swaps to hedge debt issuance
Asset swaps
Curve trades and other proprietary positionsDay 2 Options, 23rd June, 9am
2.1 Option fundamentals, 9am - 11am
The basic payoff diagrams
Cash versus physical settlement
Popular option combinations and strategies
Volatility - what it is and why it matters
2.2 Option Pricing and Risk-Management, Midday - 2pm
Option pricing overview
Intuitive drivers of the premium
Option risk-management and the Greeks
The delta hedge
The fundamental role of gamma
2.3 Trading Volatility, 3pm - 5pm
Quantifying volatility risk - vega
Defining the vol surface, smile and skews
Hedging smile and skew risk, risk-reversals and butterflies
Quantifying the risk - vanna and volgamma
Vol and variance swapsDay 3 IR Options and Structured Products, 24th June, 9am
3.1 Interest Rate Options, 9am - 11am
Caps, floors and collars
European-style Swaptions
Bermudans
Constant maturity swaps
3.2 IR Structured Products, Midday - 2pm
Callable bonds
Capped and collared FRNs
Digital caps and range accruals
CMS spread-linked structures
Applications in liability-management
3.3 Pricing, Modelling and Managing IR Options, 3pm - 5pm
Understanding the delta-hedge of an interest rate option
Implied volatility – Normal vs Lognormal
The IRD vol surface and its drivers
Brief introduction to SABRDay 4 Credit Derivatives, 25th June, 9am
4.1 Single-name CDS, 9am - 11am
Mechanics and settlement of a CDS contract
Pricing and risk, CS01
Standard contracts, fixed spreads, computing the upfront
CDS indices
4.2 CDS Indices and Hedging, Midday - 2pm
The key indices and sub-indices
Trading iTraxx series – roll or hold?
Hedging the spread risk on cash bond portfolios
Trading the CDS-Cash basis
4.3 Tranched CDS and Correlation Trading, 3pm - 5pm
Tranching and correlation
Synthetic single-tranche CDOs
Credit correlation and why it matters
Understanding the tranche deltaDay 5 Counterparty Risk, Funding and XVAs, 26th June, 9am
5.1 Counterparty Risk and Motigation, 9am - 11am
Defining and quantifying counterparty exposure
Mitigating exposure – central clearing
Mitigating OTC exposure – the role of the CSA
Other risk mitigation techniques
5.2 Pricing for Default Risk - CVA, Midday - 2pm
Calculating CVA
The inputs to a CVA calculation – EE and PD
CVA computed for IRS, FX forward
DVA adjustments and why they are still controversial
Wrong-way risk
5.3 Pricing for Uncollateralised Funding - FVA, 3pm - 5pm
Why OIS/CSA-discounting is appropriate for margined positions
Pricing for uncollateralised funding
Computing the FVA adjustment
Avoiding the FVA/DVA double-counting trap
Other funding-related adjustments: IVA, MVA
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Our Tailored Learning Offering
Do you have five or more people interested in attending this course? Do you want to tailor it to meet your company’s exact requirements? If you’d like to do either of these, we can bring this course to your company’s office. You could even save up to 50% on the cost of sending delegates to a public course and dramatically increase your ROI.
If you want to run this course at a location convenient to you or if you want a completely customised learning solution, we can help.
We produce learning solutions that are completely unique to your business. We’ll guide you through the whole process, from the initial consultancy to evaluating the success of the full learning experience. Our learning specialists ensure you get the maximum return on your training investment.
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We have a combined experience of over 60 years providing learning solutions to the world’s major organisations and are privileged to have contributed to their success. We view our clients as partners and focus on understanding the needs of each organisation we work with to tailor learning solutions to specific requirements.
We are proud of our record of customer satisfaction. Here is why you should choose us to help you achieve your goals and accelerate your career:
- Quality – our clients consistently rate our performance ‘excellent’ or ‘outstanding’. Our average overall score awarded to us by our clients is nine out of ten.
- Track record – 10/10 of the world’s largest banks have chosen us as there training provider and we have delivered training across the largest banks and have trained over 25,000 professionals.
- Knowledge – our 100+ strong team of industry specialist trainers are world leading financial leaders and commentators, ensuring our knowledge base is second to none.
- Reliability – if we promise it, we deliver it. We have delivered over 25,000 events both in person and online, using simultaneous translation to delegates from over 99 countries.
- Recognition – we are accredited by the British Accreditation Council and the CPD Certification Service. In an independent review by Feefo we scored 4.2/5 on service and 4.7/5 on Coursecheck
Instructor
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Richard Fedrick
"I moved into the world of training in 2004, delivering since then courses in all areas of finance, with particular emphasis on interest rates, derivatives and risk management."Biography
Richard is a highly accomplished trainer in global markets and risk management who has delivered trainings for Deutsche Bank, Morgan Stanley, ING, Barclays and Citi amongst many others. He is a 1st Class Degree in Physics from Oxford University and delivers training in all areas of finance, with particular emphasis on interest rates, derivatives and risk management.
