Advanced Financial Derivatives

  • Global derivatives markets have permanently changed the world of finance. In addition to basic financial derivatives, some institutions routinely use more complex derivative instruments. Their advantage is seen in improved adaptability to the needs and desires of specific users. Similar to the instruments themselves however, the risks involved are also more subtle and complex.

Course objectives

The purpose of this intensive workshop is to provide participants a sound and practical understanding of the mechanics, pricing and applications of more advanced derivative instruments. The advanced-level programme assumes that participants will be familiar with the basic concepts of derivatives. We will start with currency derivatives, where option combinations, different strategies, volatilities and delta hedging will be discussed in more detail. We will proceed with a discussion about interest rate derivatives, with futures and swaps. We will explain the mechanics of plain vanilla interest rate swaps and give examples of swap cash flows and valuation. A range of advanced swaps will also be discussed. Finally, options and exotic options, structured products and basics of credit derivatives will be explained. The course will increase skills and various applications of derivative instruments, and teach participants how to tailor effective hedging strategies.

Who should attend

  • derivatives traders
  • risk managers
  • asset and liability managers
  • treasurers and corporate treasurers
  • middle office and back office personnel
  • accountants and risk management
  • finance professionals at corporations
  • portfolio managers

Teaching methodology

    The workshop comprises discussions, short problems and exercises, and short cases. Practical examples will be even more in -depth, and suitable for those who often trade or use derivatives to hedge their positions. Overall, the programme aims to impart a detailed and practical understanding of a range of complex FX and interest rate derivative instruments in such a manner that the knowledge gained can be immediately applied in the context of trading, structuring and pricing, and risk management. We will explore and apply the different strategies, techniques and methods commonly employed by the industry. Participants will gain working knowledge of the use of different derivative instruments for hedging and trading. Sophisticated mathematics is not a prerequisite. However, participants should be familiar with financial products and basic financial mathematics. Due to the use of practical examples and exercises, participants require a financial calculator (HP 17B or similar).

  • Course description

    Date: 28-29 October 2019

    Venue: Budapest, Danubius Grand Hotel Margitsziget

    The workshop is held in the English language.

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  • Course contents

    • Currency derivatives
      • currency futures
      • currency option and option combinations - Range forward and Forward plus strategies
      • volatility and volatility trading
      • option sensitivities (Greeks) and their use
      • delta hedging
    • Interest rate derivatives
      • interest rate futures
      • interest rate swaps: valuation, cases of trading and hedging
      • advanced swaps
      • cancelable swap
      • participating swap
      • performance swap
      • step-up swap
      • delayed swap
      • quanto swap
      • basis swap
    • Cross currency swap
    • Equity index futures strategies
    • Hedging strategies with index futures
    • Interest rate options
      • zero cost collar
      • barrier cap
      • participating collar
      • swaption
    • Exotic options
      • barrier option
      • lookback option
      • Asian option
      • binary option
      • chooser option
    • Structured products
    • Basics of credit derivatives