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DERIVATIVE AND PRICING

 

Duration  : 3 days 

 

DERIVATIVE AND PRICING

 

 Register

 

CONTENT

 

COURSE OUTLINE

 

 

Prerequisites:

  • Simple and compound interest, discounting
  • Net Present Value
  • Descriptive statistics
  • Probabilities
  • Normal distribution
  • Correlation
  • Use of Microsoft Excel
Day 1
1. What is a derivative
• Definition
• Role
• Underlying instruments
• Uses
• Infrastructure
• Opportunities and pitfalls
• Operators
2. Instruments
• Forwards
• Futures
• Vanilla options
• Exchange-traded funds
• Exotic options
• Securitisations
• OTC derivatives
• Non-standard derivatives
3. Interest rates derivatives
• Structure and dynamics
• Yield curves
• Bootstrapping
• Interest-rate futures
4. Fixed-income derivatives
• Bond derivatives
• Interest-rate swaps

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Day 2

5. Other derivatives
• Forex
• Inflation
• Commodities
• Carbon emission
6. Regulation
• Exchange rules
• Basel II/III on derivatives
• Trading book
Case study
7. Stochastic processes
• Diffusion processes
• Jump processes
• Regime switching
8. Pricing options
• The Merton approach
• The Black-Scholes model
• Extensions and next generations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Day 3

9. Hedging with derivatives
• Hedging with futures
• Option strategies
10. Trading on derivatives
• Setting up a trading unit
• Support functions
• Competitive edge
11. Seasonal issues
As chosen by participants; could include:
• Cross-derivative arbitrages
• Mathematics of derivatives
• Setting up a Monte Carlo engine
• Vietnam and international derivatives exchanges
12. Case study
• Case studies and group discussions will be performed each day.

BENEFIT

• Understand types of Derivatives
• Identify Hedging strategy
• Identify profitable opportunities
• Know how to price derivatives by different technique

WHO SHOULD ATTEND

• Analyst
• Investors
• Traders
• Risk managers
• Auditors

TESTIMONIAL

 

"The Courses at ARFQuant vary in many topics which reward for those who work in the financial sector. The pursuit of these specialized courses is a very arduous process, but the results are well worth the effort. The courses go from theoretical to practical, thus helping to better understand the nature of the problem, as well as how to apply it in practice. Overall, ARFQuant course leaders are very good at teaching and dedicated. Participation in ARFQuant courses helps to increase the systematic and effective learning compared to self-study and self-study." Phương Phùng- OCB

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"A survey on the main issues that the trainees are interested in has been conducted to make sure that the course’s content is fit the needs of the trainees. The training environment was open which encourage the participation of all attendants. Instructors are enthusiastic, supportive and willing to share their knowledge and experience" Phượng Phan - FeCredit

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"The course leader has deep knowledge in risk management, he is enthusiastic and open to the students. Teaching methods attract the attention of students. He usually use stories mixed with humor as examples for the whole class and to create a dynamic atmosphere. The course was  organized professionally" Hien Phan - BIDV

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"From the beginning of 2017, I have been experiencing 02 courses at ARFQuant - Statistics - modeling risk, internal credit rating model.

Even the duration of the courses were quite short but the knowledge I obtained from the course is huge, thanks to the special way that ARFQuant’s teachers deliver the course: simple, understandable and valuable. During the course I felt quite comfortable and easy to grasp knowledge. In addition to the mandatory content in the curriculum, teachers share more experiences in learning and research (eg, Mr. Hoang shared his experiences in reading and reviewing FRM and Mr.Fred taught how to handle data when it is bias, etc.).
Materials and lectures are well designed and focused. At the end of the course, I can take advanced knowledge gained in these materials to study and work. However, it would be more complete if the material introduces some other sources of reference so that I can read more after the courses.

 If I have the opportunity to attend other courses, I would like to experience at ARFQuant again. " Thảo Nguyễn - OCB

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STATISTIC AND RISK MODELLING

 

STRESS TESTING

 

INTERNAL CREDIT RATING MODELS

 

DERIVATIVE AND PRICING

 

MARKET AND LIQUIDITY RISK MANAGEMENT

 

APPLICATION OF SPSS IN FINANCIAL FORECAST

 

APPLICATION OF SPSS IN RISK MODELLING

CREDIT RISK PORTFOLIO MANAGEMENT

 

ASSET LIABILITY MANAGEMENT & FUNDS TRANSFER PRICING

 

MARKET RISK MANAGEMENT

 

OPERATIONAL RISK MANAGEMENT

 

CREDIT RISK MANAGEMENT

 

COUNTER PARTY RISK MANAGEMENT

 

 

 

 

Online :  5
Tất cả: 271456

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                Office in France: 105 Maurice Thorez Road, Ivry sur Saine

                Office in England: 20 Moreland street, London, UK               

   Hotline: 084.898 498 158 (Vietnam)

                              033.67 329 7434  (France)

                                            

                Email: Contact@arfquant.com

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