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Course details

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School of Derivatives

A guide to derivatives instruments & markets management
  • School of Derivatives

    This course is made up of two separately bookable modules:

    Module 1: Non-option Derivatives Products (Days 1-3)

    Module 2: Options & Structured Products (Days 4-5)

    Course overview

    This 5-day School of Derivatives provides a thorough understanding of the derivatives market and the major instruments. It focuses on how banks use derivatives to manage their own exposures and to provide practical solutions to their customers.

    Non-option Derivatives: This module looks into non-option derivatives products in equity, FX and interest rates although the majority of the discussion will focus on the last two asset classes.

    The module starts with the short term derivatives markets and details how the basic building block of all derivatives – a forward contract – is derived for different asset classes. Participants will then move on to the longer term markets and gain a practical understanding of how interest rate and cross currency swaps are used, priced and traded. A focus of this module will be the link between interest rate derivatives and the fixed income markets. Risk management methodologies used by investment banks will also be explored. Discussions will be had as to how the classical approach to pricing has been challenged following the crisis. The new approach adopted by banks and clearing houses will be covered. Participants will use an Excel based swap pricer for pricing and risk management exercises.

    Counterparty credit risk has in recent years become a hot topic in derivatives. Certain significant changes in regulations and pricing methodologies in the derivatives market are the direct consequence of dealing with counterparty credit risk. A session will be devoted to provide an overview of this topic.

    Options & Structured Products: This module will provide detailed analysis of the financial risks and trading strategies of options as well as some commonly traded structured products. The asset classes covered will be FX and equity.

    Excel spreadsheets with a built-in Black Scholes model will be used extensively to illustrate the key risk management concepts. The emphasis will be on using the models to gain a practical understanding of option pricing and risk management but not on the mathematics behind the models. No advanced level mathematics is required for this module.

    As well as outlining how to use options for hedging purposes, this course will present common option trading strategies adopted by professional players.

    Some commonly traded structured products in both retail and financial institutional sectors will also be explored. Participants will examine, from first principles, how to construct, price and risk manage some common structures. In the case of more complex structures, the focus will be to develop an intuitive understanding of the product and the inherent risks, including those that are not hedgeable, to which the investors and the structuring banks are exposed.

    Methodology

    The School uses interactive lectures, worked examples and real-world case studies showing how the products are used and the underlying rationale. Participants will be expected to work on a large number of case studies to enhance the learning process.

    Additional requirements

     

    Laptops (with Excel installed) are required to allow participants to complete case studies and exercises.


    FTS Eligible

    This programme is approved for listing on the Financial Training Scheme (FTS) Programme Directory and is eligible for FTS claims subject to all eligibility criteria being met.

    Please note that in no way does this represent an endorsement of the quality of the training provider and programme. Participants are advised to assess the suitability of the programme and its relevance to participants' business activities or job roles.

    The FTS is available to eligible entities, at a 50% funding level of programme fees, subject to a cap of $2,000/participant/programme and all eligibility criteria being met. FTS claims may only be made for programmes listed on the FTS Programme Directory with specified validity period. Please refer to www.ibf.org.sg for more information.

    Please note that this course is only eligible for FTS Funding when registering for all module
  • This course is made up of two separately bookable modules:

    Module 1: Non-option Derivatives Products (Days 1-3)Module 2: Options & Structured Products (Days 4-5)


    Module 1: Non-option Derivatives Products

    Day 1

     Overview of derivatives markets
    - defining derivatives and the common formats
    - categorising the risks of trading derivatives
    - trading venues: OTC vs exchange trading
    - the rise of central clearing parties

     Pricing forwards: the building blocks of all derivatives
    - calculating FX and equity forwards
    - decomposing the market risk elements of a forward trade
    - Non-deliverable FX forwards (NDF)

     Short term interest rate derivatives
    - forward rate agreements and futures
    - managing short term interest rate risk

     Interest rate swaps
    - mechanism and cash flow structures
    - intuitive understanding of marking-to-market a swap
    - applications in bond issuance
    - asset swaps

    Case studies for Day 1

    • Estimating the price of a long term FX forward and understanding the components that affect its value
    • Hedging a bond issuance using an interest rate swap

    Day 2

     Swaps pricing and curves construction: building a swap pricer
    - traditional boot-strapping
    - incorporating tenor basis for different Libor tenors
    - post-crisis market practice: OIS discounting and the rationale behind it
    - market instruments required to build a valuation curve
    - overview of a new benchmark: Secured Overnight Financing Rate (SOFR)

     Swaps risk management
    - PV01 and swap portfolio management
    - risk profiles of different structures
    - new risk reporting under OIS discounting

     Swaps trading strategies utilising the PV01 concept
    - directional trading
    - yield curve trading
    - basis trading

    Case studies for Day 2

    • Building a swap pricer in Excel
    • Pricing various swap structures both by using the pricer and by some intuitive estimation

    Day 3

     Cross currency swaps (CCS) and currency basis
    - CCS and foreign bond issuance
    - drivers of currency basis
    - pricing long term FX forwards by incorporating the currency basis
    - risk profiles of different structures
    - overview of curve construction incorporating the currency basis

     Counterparty credit risk of derivatives
    - basic mitigation strategies: credit limit, netting, margining, etc
    - collateral management and the Credit Support Annex (CSA)
    - overview of current regulatory requirements

    Case studies for Day 3

    • Pricing a foreign bond issuance using a cross currency swap
    • Managing collateral under a CSA

    Module 2: Options & Structured Products

    Day 4


     Overview of options terminology
    - intuitive understanding of option pricing
    - overview of types of option pricing models

     Major inputs to an option pricing model
    - understanding implied volatility
    - volatility smile and its implications

     Applications
    - hedging strategies for clients using FX options

     Option sensitivities: the Greeks
    - understanding each Greek and its practical usage in risk management
    - option portfolio risk management

     The concept of gamma trading

    Case studies for Day 4

    • Pricing and setting up a zero cost hedging solution, taking into account the volatility skew
    • Computing and managing the Greeks of an option portfolio
    • Working out gamma trading P&L from a straddle through simulated price changes over a trading horizon

    Day 5

     Option trading strategies from retail players to professional traders
    - directional and non-directional views on the underlying asset
    - spread trades as a cheaper trading strategy
    - taking views on volatility
    - trading volatility skew/smile

     Overview of structured product market
    - various risk vs return profiles
    - market trend after the financial crisis

     Common exotic options
    - digitals options and its detailed construction
    - barriers options
    - Asian options and others
    - ease of marketing vs difficulty in risk management to the structuring banks

     Relatively simple structures
    - dual currency deposits
    - equity-linked notes (ELN)
    - principal protected notes (PPN) with different variations to fit clients’ views

     More complicated structures
    - range accruals and their decomposition into basic building blocks
    - accumulators
    - target redemption structures

    Case studies for Day 5

    • Termsheets of recent structured transactions
    • Setting up a PPN

  • 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.

  • 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 – we have delivered training solutions for 95% of worlds’ top 100 banks and have trained over 250,000 professionals.
    • Knowledge – our 150 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 20,000 events both in person and online, using simultaneous translation to delegates from over 180 countries.
    • Recognition – we are accredited by the British Accreditation Council and the CPD Certification Service. In an independent review by Feefo we scored 96% on service and 95% on product
This course can be run as an In-house or Tailored Learning programme

Instructor

  • Goliath Lau

    Biography

    Goliath Lau has over 13 years of trading experience in the financial derivatives industry. After a brief period as an officer in the back office, he became a HKD and USD interest rate derivatives and government bond trader at HSBC Hong Kong in 1995. As a market maker of HKD interest rate derivatives in one of the largest players in the local market, he also facilitated the corporate and financial institutional client business. Goliath joined JPMorgan Chase in 2000, making derivative prices to various clients including hedge funds and bond issuance related parties. In 2003, he moved to the exotic derivatives desk in JPMorgan Chase, began trading and structuring exotic products in Asian local currencies. In 2007, Goliath joined Bear Stearns Asia to set up the exotic business in Asian currencies for the bank. Goliath’s expertise is in interest rate and currency derivatives. Sitting through the 1997 Asian financial crisis and the 2007 global financial crisis, he has first person experience both as a trader and a structurer. During his career, he has plenty of experience in educating clients and internal salespersons in Asia, conveying product and trade ideas in exotic products.Goliath has now been delivering training for almost 10 years. He has designed and delivered a wide range of financial markets and risk management training courses. Participamts on his courses include personnel from investment banks (both supporting and front office staff), corporates, financial institutions, investment funds and financial market regulators.Goliath holds a first class honors degree in Business Administration from the University of Bath in the UK and a Master of Science degree in Finance from the City University of Hong Kong.