Derivative ( Advanced ) Course

Overview

ADVANCED Derivative Certificate

Increase a profound comprehension of derivative instruments. Become familiar with the basic fundamental mathematics in an instinctive, available style. Create ability in the hypothesis and routine with regards to derivatives valuation including the utilization of limited distinction systems. Get instability and change items and unpredictability trading methodologies.

 

Required Knowledge

  • Knowledge of derivative instruments
  • Basic math, including Partial separation and Integration
  • Intermediate to cutting edge MS Excel abilities
  • Intermediate likelihood and measurements

You'd be in good company. 

Hundreds of employers - including 90% of the Indian banks recognize this course as one of the Important Modules to Cover.

 

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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

Recommended For

PROGRAMS

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