Financial Engineering I
2 Day Seminar: October 27-28, 2008
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Location: London
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GARP Individual, Student & Fellow Member Pricing
| Book before October 9 |
Book after October 9 |
| £1,350 |
£1,425 |
Affiliate & Non-Member Pricing
| Book before October 9 |
Book after October 9 |
| £1,425 |
£1,500 |
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
About the Instructor
Salih N. Neftci
Professor Neftci completed his PhD at the University of Minnesota. Currently he teaches at the New School, New York. During the year Professor Neftci splits his time between ICMA Centre, U.K., University of Science and Technology in Hong Kong and at the University of Lausanne, Switzerland as well. He is also a Risk Management advisor for the IMF.
Professor Neftci manages the Global finance Masters Program in New School and the CFAME program in Switzerland. These programs, directed towards market professionals and talented recent graduates, are unique in the world both in terms of approach and in the infrastructure used.
Professor Neftci is known for his books and articles. His books “An Introduction to the Mathematics of Pricing Financial Derivatives” and “Principles of Financial Engineering” are standard texts in most university derivatives courses. His recent book, “Principles of Financial Engineering” was selected as the runner up for The Book of the Year award by Risk magazine during 2004. His current research deals with pricing of contingent credit lines, the relationship between yield curve curvature and volatility. He is also working on using the Credit Default Swap prices to predict financial crises.
Overall, Prof Neftci’s research and teaching is in the areas of financial engineering, risk management of extreme events and in emerging market asset trading strategies. His latest papers deal with risk measurement using extreme value theory and volatility dynamics.
Professor Neftci is a consultant to various financial institutions and among his regular classes professor Neftci holds highly visible workshops for market professionals on Financial Engineering of Structured Products, Mathematics for Financial Derivatives and Calibration Methods.
Professor Neftci, been a regular columnist for CBN daily, a financial daily in Shanghai. His columns dealing with current financial market activity are regularly quoted on sina.com and on sohu.com. His edited book on China’s Financial Markets appeared in 2007. His new book on Calibration Methods in Finance will appear during the year 2008.
By becoming a GARP member you become part of a global community of financial risk professionals. 
