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

Fundamentals of Derivatives Seminar

6.5 CPD Credit Hours Available (England and Wales)

November 5, 2008
Le Méridien Parkhotel Frankfurt
Frankfurt

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: 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
 Seminar Concludes

Agenda subject to change

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Please click here for the Conference Registration Form.

CONFERENCE VENUE: Le Méridien Parkhotel Frankfurt, Wiesenhüttenplatz 28-38, Frankfurt 60329, Germany.
Phone: +49 69 26970.

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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