Financial Derivatives

One Week £ 1,900 | Two Week £3,500 | One Week ₦120,000

 

This course presents and analyses derivatives, such as forwards, futures, swaps, and options. These instruments have become extremely popular investment tools over the past 30 years, as they allow banks to tailor the amount and kind of risk they takes, be it risk associated with changes in interest rates, exchange rates, stock prices, commodity prices, inflation, etc.

The course defines the main kind of derivatives, shows how they are used to achieve various hedging and speculating objectives, introduces a framework for pricing derivatives, and studies several applications of derivative-pricing techniques outside derivative markets.

  • Introduction
    • What are derivatives?
    • The main types of derivatives
    • Derivatives markets
    • Reasons for trading derivatives
    • Derivative pricing
  • Forwards and Futures
    • The market for forward and futures
    • Marking to market and margins
    • Valuing forward contracts and the forward price
  • Swaps
    • The market for swaps
    • Valuation of swaps contracts
  • Options
    • The market for options
    • Option payoffs
    • Factors affecting option prices
    • No-arbitrage restrictions; the put-call parity
  • Binomial Trees
    • The binomial model
    • Valuation of European options
    • Valuation of American options
    • Valuation of general derivatives
    • Dividends and other generalizations
  • The Black-Scholes Formula
    • The Black-Scholes model
    • Derivations of the Black-Scholes formula
    • Volatility estimation and implied volatility
    • Empirical evidence: volatility smirk and smile
  • Beyond Black-Scholes
    • The holes in Black-Scholes
    • Non-constant volatility models
    • Stochastic jumps
  • Hedging and the “Greeks”
    • The basic principle: delta-hedging
    • Delta-hedging with forwards
    • Delta-hedging with futures: tailing the hedge
    • Delta-Gamma hedging using options

  • Have a good understanding of the Foreign Exchange and Interest Rate markets, including Derivative instruments.
  • Acquire a clear understanding of Financial Derivatives through focusing on the essential Management Concepts that form the building blocks of these instruments
  • Master the dynamics of Financial Derivatives as part of an extended toolbox of Financial Risk Management, which will in turn increase optimality in hedging strategies