International
Swaps and Derivatives Association, Inc. (ISDA®)
Fundamentals of Derivatives
Seminar
6.5 CPD Credit Hours Available
(England and Wales)
|
September 23, 2008
The Café Royal
London
|
|
| 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: Derivatives
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 |
Conference
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: The Café Royal, 68 Regent Street, London, W1B 5EL. Phone: +44 20 7437 9090.
To
obtain more information, please contact the ISDA conference department
at +1 212-901-6000 or
e-mail CONFERENCES@ISDA.ORG
®
ISDA is a registered trademark of the International Swaps and Derivatives
Association, Inc.
Copyright ©
1996 -2008 International Swaps and Derivatives Association, Inc.
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