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