Dates

10 March 2009
15 September 2009

 Course Overview

With new accounting standards now requiring accountants to show financial instruments at their current market value, skills in understanding pricing models and techniques are likely to grow in demand.
This course will equip you with the knowledge necessary not only to price structured products but also to validate those prices and to use external market data to determine prices.
It is primarily designed to help accountants and auditors in the implementation of IFRS 2. IAS 39 issues will also be covered.
Unlike other courses of this nature, emphasis is placed on practical applications rather than elaborate formulae and theories and, in particular, on the practical use of such financial instruments.

Participants will be required to bring a calculator

 Course Content

 Basic Algebra
Simple v Compound Interest Rates
Frequency of Compounding
Exponentials and Natural logarithms
Manipulation of Exponential functions
Interest Conventions
Application to Money Market Instruments
Constructing a simple yield curve using discount prices

 Application to Practical Situations
Geometric Progressions
Annuities
Mortgage Calculations
Leasing Calculations
Basic Differentiation
Application of Differentiation Principles
Taylors Expansion
Application of Duration and Convexity

 Option Pricing Models
Deriving Black Scholes
Deriving and using formulas for Delta, Gamma and Theta
Risk Arbitrage
Normal Distribution Curve

 Monte Carlo Simulation
Option Pricing with Monte Carlo
Pricing of interest rate products using Monte Carlo
Participants in the Swap Market
Swap Pricing Basics
Forward Rates
Interest Rate Risks

 IAS 39 Introduction to Swaps on Spreadsheets
Overview Fixed Rate Agreements
Valuing Fixed Rate Agreements
Yield Curve and Forward Interest Rates
Constructing Swap Interest Rates
Application of Discount Factors
Generic Interest Rate Swaps in one currency

 Other Issues
Calculation and Interpretation of Duration and Convexity
Application of Bond valuation to Interest Rate Derivative
Treasury Bill Futures
Forward and Future Prices