Financial Engineering II Workshop

CORE COMPETENCIES: Financial Engineering Track

Excel Focused Technical Skill Development

2 DAY COURSE

Qualifies for CPD and 14 CPE Credits

INTRODUCTION

One of the major consequences of globalization in financial markets is increasing interconnectivity and correlation among different financial markets, which has reshaped the risk exposures of investors and corporations worldwide. Today, players in financial markets need more sophisticated and complex new instruments to deal with these new challenges. This situation requires customized solutions for each type of investor. Financial engineering is one of the fastest growing fields of finance and provides creative solutions and tools for risk management and new product development through quantitative analysis and statistics. Financial engineering methods enable users to understand and manage their risks more effectively while enhancing their returns. This course builds on the material covered in Financial Engineering I, and will help participants to gain a deep understanding and expertise in this field.

Who should attend?

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.

What will you get out of this course?

• Gain a detailed understanding of interest rate models and derivatives

• Learn the design of volatility engineering

• Understand the engineering of equity products and equity derivatives

• Build and manage the volatility exposure in risk management

• Understand volatility strategies and their uses

• Develop hedging tools with different financial instruments

• Learn structuring and using of credit derivatives

COURSE OVERVIEW AND OUTLINE

For this highly interactive course, all delegates are strongly recommended to attend the workshop with a laptop computer loaded with Microsoft Excel with Visual Basic and Excel Solver Add-ins. There will be several interactive group sessions to work on real-life cases.

Interest rate models and interest rate derivatives

• Forward loans, forward rates and term structure, forward rate agreements, futures

• The risk premium effect on the yield curve, pricing and hedging of a zero-coupon bond

• Interest rate modeling and the valuation of fixed-income securities, term structure dynamics and modeling, various interest rate models

• Duration and convexity, engineering convexity positions

• Hedging techniques, and multi-factor models

Volatility engineering

• Volatility positions

  Volatility swaps and their uses

• Volatility smiles, smile dynamics, pricing with smile

• Stochastic volatility model, Heston's model

• Volatility trading

FX derivatives

• Continuous-time models for foreign exchange rates

• Dynamics and valuation of FX derivatives

• FX derivative hedging

Engineering of equity instruments

• The basic equity model

• Equity valuation and pricing

• Engineering of equity products

Credit derivatives and structured finance

• Credit default swaps, pricing of a CDS

• Total return swaps

• Uses of credit derivatives

• Asset-backed securities, types of ABSs, the mechanics of structuring ABSs

• Correlation products

  Collateralized debt obligations (CDOs)