Futures, Options and Structured Products

Course Overview

This course has been available as a public training programme in many countries around the world in particular in London, Frankfurt and Singapore.  It has also been available as an in-house programme in emerging markets.

Financial Derivates have played an increasingly important role since their introduction.  In some markets, they actually have become the driving force behind the movements in cash markets.  Obviously a foundation in this area is mandatory.

Course Content

Day 1

The Arbitrage Triangle:

• Cash
• Futures and Forwards
• Options

Cash-based Structured Products:

• FRN’s
• Zero-coupon Bonds and Swaps
• Step-up Coupon Bonds and Swaps
• Amortising Bonds and Swaps
• Roller-coaster Bonds and Swaps
• Forward Starting Bonds and Swaps

Introduction to Futures and Options:

• The History and Development of the Market
• Definitions
• Over-the Counter (OTC) versus Exchange Traded Products
• The Role of The Clearing House

Margining:

• Trading
• Novation of Contract
• Initial Margin
• Variation Margin
• Intra-day Margin Call
• Gearing

Pricing and Valuing Futures:

• Basic Futures Mechanism
• Pricing Futures through Cash and Carry Arbitrage
• The Value Basis
• The Carry Basis
• The Importance of Credit

Specialities with Futures Contracts:

• Cash Settlement
• Physical Delivery

Bond Futures:

• Exchange Delivery Settlement Price
• Price Conversion Factors
• Cheapest-to-deliver

Day 2:  Options and Structured Products

Introduction to Options:

• Definitions
• Calls and Puts

Using Options to:

• Gear up
• Speculate
• Hedge
• Arbitrage

Option Trading Strategies:

• Straddles
• Strangles
• Bear Spreads
• Bull Spreads
• Butterflies
• Risk Reversal
• Cylinders
• Put – Call Parity

A Simple Approach to Option Pricing:

• Volatility
• The Binomial Model
• The Black & Scholes Model
• The Greeks (Risk measures)

Case Study: Managing the Risks

• Delta-hedging your Option Positions

Description of Exotic Options:

• Barrier Options
• Knock-in and Knock out Options
• Lookback Options
• Best of two (Digital)

Option-based Structured Products:

• Participation and Tracking
• Guaranteed Return Products
• Yield enhancement

Interest Rate Risk Management:

• Arbitrage boundaries
• Caps, Floors and Collars
• Put-Call Parity for Interest Rates

Course Summary:

• Putting Financial Instruments into Context

Delivering this course in-house for you to a number of participants could be very cost effective. Please call us on 020 7387 4484 to discuss this further.

If you have any questions about this seminar please write to us at post@redcliffetraining.co.uk.