Financial Engineering I

2 DAY WORKSHOP
(Workshop is not being offered at this time)

Introduction

This intensive and interactive training course is designed for risk managers, traders, cash/money managers, fund managers, investment bankers, corporate treasurers, quantitative analysts, financial analysts and advisors.

Content

Session 1: Introduction

• Essentials of Structured Product Engineering
• Basics of manipulating Cash Flows
• Some vanilla instruments and their cash flows
• Contractual equations
• The swap logic
•  Why all swaps are the same?
• Swap Example 1: Equity swap
• Swap example 2: Cross currency swap
• Swap Example 3: commodity swap
• Swap Example 4: Credit Default Swap
• An addendum to Swaps: Repo strategies in Financial Engineering
• Structured Fixed income products
• Structured equity products

Session 2: Convexity

• Define options: Vanilla options vs. Exotic options
• Examples
• What are options? Volatility trading.
• Smile and the option hedging.
• Dynamic hedging and the smile.
• Theorem: Option value equals a weighted average of future expected variance. What are these weights?
• How would you model an option price with a volatility smile?
• Delta Hedging: Which volatility?
• Implied volatility, hedging volatility, realized volatility

Principal Protection Techniques