ISDA Conferences

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

Fundamentals of Derivatives Seminar

6.5 CPD credit hours available (England & Wales)

July 2, 2008
London

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: Deriviatives 1. Rate instruments (swaps and ‘swap options’) 2. FX, Commodities and Equity 3. Options & Volatility trading; ‘Exotic’ options
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 is 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: Allen & Overy, One Bishops Square, London, E1 6AO. Phone: +44 20 3088 3550.

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