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Course details

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Introduction to Derivatives

An overview of the major derivatives classes
  • This course forms Module one of the School of Derivatives  (5 Day course)

    Fundamentals of Derivatives (Module 1)

    Course overview

    This five day School of Derivatives provides you with a thorough understanding of the derivatives market for both OTC and exchange-traded instruments. It focuses on how banks use derivatives to manage their own exposures and to provide practical solutions to their customers.

    You can attend both modules of this School of Derivatives to enjoy most benefit or pick from the following modules.

    Module 1: Fundamentals of Derivatives (Day 1-Day 3), is a comprehensive overview of the major classes of derivatives, distinguishing between linear and non-linear derivatives.

    Module 2: Bank Applications of Derivatives (Day 4-Day 5) explains, by way of specific examples, how banks use derivatives for their own and their customer benefit. The first part looks at specific solutions for customers and focuses on the role of swaps in the primary issuance business, and managing customer FX exposures; whilst the second looks at financial engineering, and more specifically, at how derivatives can be used to reduce funding costs and/or as a means of the bank earning fees without taking a proprietary position, whilst at the same time providing investors with instruments that meet their risk/reward requirements.

    Summary of course content

    • How and why are derivatives used in practice?
    • The difference between exchange-traded and OTC derivatives?
    • Clearing procedures for exchange-traded derivatives
    • Understanding the principal money market derivatives and how they are used to manage interest rate risk
    • Swaps and how banks and other institutions use them
    • Prima on options and their application in the management of FX risk
    • How derivatives are embedded in common structures to provide investors with attractive risk/reward profiles


    The School uses interactive lectures, worked examples and real-world case studies showing in detail how the products are used and why. It shows the products in a highly practical way, without over-complication, with clear illustrations of each so that you may readily understand them and the role the bank plays.

  • DAY 1

    Introduction to Derivatives & Derivative Types

    Session 1 Introduction to Derivatives
    • What is a derivative?
    • The equity CFD market explained
    • Why is there a market for derivatives?
    • Attributes of derivatives
    • Practical uses of derivatives
    • Leveraged trading
    • Risk management applications
    • Creating synthetic positions
    • Advantages of derivative instruments over cash instruments

    Session 2 Market Structure for Derivatives
    • Exchange traded v over-the-counter (OTC) derivative instruments
    • Identifying derivatives risks and how they can be managed
    • The role of Master Agreements in OTC transactions
    • What is payment netting and when does it apply
    • Termination of contracts in the event of insolvency: close-out netting
    • Credit Support Annex (CSA) and collateralisation
    • From bilateral to multilateral netting: advantages and reasons for caution
    • CCPs and the management of counterpart risk
    • Variation margin v collateralisation
    • Initial margin v maintenance margin

    Session 3 The Regulatory Framework
    • Regulation pre the financial crisis
    • Regulation post the financial crisis
    • Underlying policy objectives
    • The provisions of the European Markets Infrastructure Directive (EMIR) and the Markets in Financial Instruments Regulation (MiFIR)
    • Reporting transactions

    DAY 2

    Swap Instruments 

    Session 1 Swaps
    • Interest rate swap (IRS) mechanics
    • Market conventions explained
    • IMM and MAC swaps
    • Relationship between swaps, forward rates and forward based instruments
    • The IRS as a collection of forward rate agreements (FRAs)
    • Creating a synthetic IRS using short-term interest rate (STIR) futures
    • Current issues for IRS
    • What should the “floating leg” reference to?
    • Libor following the financial crisis
    • Overnight rates v term rates
    • Recent developments in interbank reference rates and their implications on the swaps market
    • The rise of the overnight index swap (OIS)
    • Currency swaps
    • Understanding he role of the cross currency basis swap
    • Impact of regulatory changes on swap market infrastructure
    • Multi-lateral trading platforms
    • Central clearing
    • Prospects for exchange traded swaps

    Session 2 A Framework for Marking-to-Market OTC Derivative Positions

    • Building the discount function
    • The concept of discounting and zero rates
    • Which curve should be used?
    • “Bootstrapping” the swaps curve

    Case Study: Using the bootstrapping approach, delegates will derive the inter-bank discount function

    Session 3 Marking-to-Market Interest Rate & Currency Swaps

    • Identifying the cash flows
    • Representing the floating cash flows as notional cash flows
    • Pricing and market-to-market a vanilla IRS
    • Assumptions and limitations
    • OIS discounting and forwarding curves

    Case Study: Using the discount function derived earlier, delegates will mark-to-market a number of swap positions

    DAY 3


    Session 1 An Options Primer

    • What is an option?
    • Option terminology
    • Exercise types
    • Option “moneyness”
    • Intrinsic v time value
    • Understanding the payoff profiles

    Session 2 Trading & Hedging Strategies with Equity Options

    • Understanding how to construct payoff profiles for combinations of options and the underlying
    • Understanding the relationship between puts and call
    • Identifying common directional and volatility trading strategies
    • Hedging with options

    Case Study: Delegates will draw the payoff profiles of a number of trading strategies

    Session 3
    Introduction to Option Pricing & Risk Measures
    • The importance of correct valuation
    • What drives the price of the option: Understanding the model inputs
    • Approaches to option valuation: hedge approach v probabilistic approach
    • Breaking-down the Black Scholes option pricing model
    • Option risk measures: defining the “Greek” sensitivities

    Case Study: Delegates will use the option Greeks to estimate the new price following a change in market variables
  • 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


  • Paul Kitching


    The Course Director was the Strategic Development Manager at the London International Financial Futures Exchange (LIFFE), where he was responsible for the research and definition of new specialist swap and risk transfer contracts. Prior to this, he was Head of Interest Rate Product Development with responsibility for the maintenance of the existing product range and the development of new products.He began his career with Ernst & Young and Grant Thornton as a tax specialist, before moving into corporate treasury management at Royal Mail where he was project leader for a treasury and risk management group. In this role he developed risk management protocols and procedures for the use of derivative products. He was responsible for recommending the optimal combination of product types and features for a wide range of situations. Following the completion of a quantitative finance masters degree, he became senior lecturer in Corporate Finance and Taxation at the University of Greenwich. He is a visiting lecturer to Cass Business School on their Executive MBA programme. He is a panel member for the Securities Institute, a member of the Association of Corporate Treasurers and an associate of the Institute of Taxation.