
Modules
Module 1 : Derivatives & Quantitative Fundamentals – A Backgrounder
- Derivative Types
- Beta
- R-Square
- Continuous Compounding
- Option Valuation
- Historical Volatility (σ)
- Normal Distribution
- Share Prices – Lognormal Distribution
- Volatility (σ)
- ARCH(m) Model
- Exponentially Weighted Moving Average (EWMA)
- GARCH Model
- Implied Volatility
Module 2 :Fundamentals of Equity Futures
- Contracts
- Selection Criteria
Stock Selection Criteria
Criteria for Continued Eligibility of Stock
Criteria for Re-inclusion of Excluded Stocks
Index Selection Criteria - Price Steps and Price Bands for Contracts
- Quantity Freeze for Futures Contracts
- Novation
- Margins
- Daily Mark-to-Market Settlement
- Final Settlement
- Cost of carrying J. Determining Stock Futures Price (without Dividend)
- Determining Stock Futures Price (with Dividend)
- Determining Index Futures Price (without Dividend)
- Determining Index Futures Price (with Dividend)
- Cash & Carry Arbitrage
- Reverse Cash & Carry Arbitrage
- Convergence of Spot & Futures
- Contango & Backwardation
- Cost of carrying - Commodities
Module 3 :Interest Rate Futures
- Interest Risk Management through Futures
- Contracts & Eligible Securities
- Conversion Factor
- Cheapest to Deliver (CTD)
- Contract Structure & Mechanics of FUTIRD
- Contract Structure & Mechanics of FUTIRT
Module 4 : Investment with Equity Futures
- Relation between Futures and Spot Price
- Payoff Matrix from Futures
Long Futures
Short Futures - Hedging with Futures
- Basis Risk
- Modifying the Portfolio Beta with Futures
- Rolling Hedges
- Investment Strategies Using Futures
Module 5 : Black-Scholes Option Pricing Model
- European Call Option
- European Put Option
- Dividends
Module 6 : Option Greeks
- Delta
European Call on non-dividend paying stock
European Put on non-dividend paying stock
European Call on asset paying a yield of q
European Put on asset paying a yield of q - Gamma
European Call / Put on non-dividend paying stock
European Call / Put on asset paying a yield of q - Theta
European Call on non-dividend paying stock
European Put on non-dividend paying stock
European Call on asset paying yield of q
European Put on asset paying yield of q - Vega
European Call / Put on non-dividend paying stock
European Call / Put on asset paying yield of q - RHO
European Call on non-dividend paying stock
European Put on non-dividend paying stock
Module 7 :Currency Futures & Options
- Currency Futures Contracts
- Calculation of Daily Settlement Price of Currency Futures
- Transactions in Currency Futures
- Currency Futures or Forward Rate Agreement
- Currency Options Contracts
- Valuation of Currency Options European Call Option
European Put Option - Transactions in Currency Options
Swaps - OTC Products
- Interest Rate Swap
- Valuing Interest Rate Swaps
Valuation based on Bonds
Valuation based on Forward Rate - Agreements (FRAs)
- Currency Swap
- Valuing Currency Swaps
- Swaption
Module 8 :Currency Futures & Options
- Credit Risk & Rating
- Default History & Recovery Rates
- Calculation of Default Risk
Simple Approach
Present Value Approach - Mitigating Credit Risk
- Credit Default Swaps
- Collateralized Debt Obligation (CDO)
Module 9 : Embedded Options in Debt Instruments
A. Warrants
B. Convertible Bonds
C. Call Option in a Debt Security
D. Put Option in a Debt Security
E. Put & Call Option in a Debt Security
F. Caps
G. Floors
H. Collars
Course Duration
Time: 1 Month
FEES: Only Upgrade
Batches Available
Weekdays and Weekends Both