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TRAINING COURSES
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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

 
 
   
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