International Swaps and Derivatives Association, Inc. (ISDA®)

Fundamentals of Derivatives Seminar

6.5 CPD Credit Hours Available (England and Wales)

7.5 CLE Credit Hours Available (New York)
Transitional and Nontransitional

June 17, 2008
Hilton Dublin
Dublin

PROGRAM AGENDA

8:00 AM

Registration and Morning Coffee
Course Instructor:
Richard Metcalfe, Deputy Regional Director, EMEA, Senior Regulatory Adviser, Head of Global Policy, ISDA

8:40 AM
 Welcoming Remarks
8:45 AM
 Introduction and Basics
1. Nature of Derivatives: Forwards and Options (Payoff profiles); Cash and Physical Settlement
2. Basics of Market Structure (Trading; OTC and Exchange-traded derivatives)
3. Some instruments: (Debt/Yield curves;) Swaps; Options; Credit Derivatives
10:30 AM
 Morning Break
10:45 AM

Contract Valuation and Risk Management & Counterparty Credit Risk
1. Risk and Volatility; Forward prices
2. Valuation; Present value; (Annuities;) Zero-coupon rates; Pricing a swap and marking to market
3. Hedging (Reverse repo)
4. Options: Probability; Black-Scholes; Time value; ‘Dynamic’ hedging
5. Credit risk; Counterparty credit risk (Netting; Potential Future Exposure; Collateral)

1:00 PM
Luncheon
2:15 PM
 Applications I
1. FRAs (Forward Rate Agreements) & Swaps
2. FX (Emerging Markets, NDFs – ‘non-deliverable’ forwards)
3. Caps, Floors, Collars, Swaptions
4. Options & Volatility trading
3:30 PM
 Afternoon Break
3:45 PM
 Applications II: Structured Products
1. Credit Derivatives & (Synthetic) Securitisation
2. Wrappers (eg, Notes) and Payouts (eg, CPPI)
3. Embedded exposures: from reverse FRNs to cat-bonds
4:45 PM
 Recap
5:00 PM
 Seminar Concludes

Agenda subject to change

ISDA has been approved by the Solicitors Regulation Authority of England and Wales as an authorised provider of Continuing Professional Development.

Please click here for the Conference Registration Form.

CONFERENCE VENUE: Hilton Dublin, Charlemont Place, Dublin, Dublin 2, Ireland Tel: 353 (0) 1 4029988

To obtain more information, please contact the ISDA conference department at +1 212-901-6000 or
e-mail CONFERENCES@ISDA.ORG

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