Derivatives Products in a Dodd-Frank World
Understand current regulatory trends in the derivatives space as a result of the credit crisis, providing a framework for discussion regarding the many issues facing the derivatives business today.
Prerequisite knowledge:
- Working knowledge of the financial industry
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Module 1: Overview and Futures
- Overview of Course
- History and Impact of the Credit Crisis
- Cause(s) and effect
- Securitization
- Post-mortem: lessons learned and roadmap for the future
Module 2: Futures Contracts
- Mechanism for trading
- Mechanism for clearing: functions of a clearinghouse; margin
- Commodity futures - energy, metals and grains: contract specifications
- Commodity futures market participants: users; producers; commodity funds and speculators; arbitrageurs
- Commodity futures - uses and applications: hedging; commodities as an investment asset; speculation; arbitrage
Module 1: Financial Futures
- Eurodollars and FRAs
- T-note and t-bond futures
- Foreign currency futures
Module 2:Equity Index Futures
- Futures and ETFs: compare and contrast
Module 3: Financial and Equity Futures Market Participants
- Financial and Equity Futures: Uses and Applications
- Hedging
- Speculation
- Arbitrage
Module 1:Interest Rate Swaps
- History and Evolution of the Swaps Market
- Interest Rate Swaps Contract Terms and Conditions
- Ways to Diagram Swaps
- Market Trading Conventions
- Market Participants
- Corporations
- Unleveraged buyers of assets
- Speculators and other leveraged players
- Arbitrageurs
- Uses and Applications
Module 1: Pricing Interest Rate Swaps
- Bootstrapping and calculating spot rates
- DV01 (dollar value of 1 BP)
- Re-pricing swaps
Module 2:Total Return Swaps
- Terms and conditions
- Compare and contrast to vanilla swaps
- Uses and applications
Module 1: Credit Default Swaps
- Terms and conditions
- Market trading conventions
- Pricing
Module 2: Market Participants
- Corporations
- Unleveraged buyers of assets
- Speculators and other leveraged players
- Arbitrageurs
Module 3: Uses and Applications
- Hedging: hedging a long portfolio; creating synthetic assets
- Speculation
- Arbitrage: negative basis; positive basis
Module 1: Option Contract Terms and Conditions
- Terminology
- Factors Affecting Option Prices
- Equity Options
- Mechanism for trading
- Payoff profiles
Module 2: Equity Option Market Participants
- Corporations
- Unleveraged buyers of assets
- Speculators and other leveraged players
- Arbitrageurs and market makers
Module 1: Interest Rate Options
- Terms and conditions
- Terminology
- Payoff profiles
Module 2: Interest Rate Options Market Participants
- Corporations
- Unleveraged buyers of assets
- Speculators and other leveraged players
- Arbitrageurs and market makers
Module 3: Option Strategies
- Yield enhancement
- Insurance
- Vertical spreads
- Volatility spreads
- Collars
Module 1: Option Pricing
- Overview of Black-Scholes
- Overview of binomial modeling
Module 2: Volatility
- Probability and normal distribution
Module 3: Options Risk Management: The Greeks
- Delta
- Gamma
- Theta
- Vega
- Rho