Advanced Program on Derivatives

Program

This program has been designed primarily from the trading perspective. It is meant for practitioners and participants who have prior knowledge of the basic functioning of the derivatives instruments. Participants who have gone through the BSE Basic Program on Derivatives are also eligible for this Program.

This program broadly covers Futures and Options. It starts with a quick orientation of the basics and moves to simulated strategies and actual derivatives technical on volatility and Greeks.

Requirements
Graduate (10+2+3 or 4) with minimum 50% and 45% for SC/ST candidates from a UGC recognized University

Day 1
1. FUTURES BASICS 2. HEDGE ACCOUNTING FOR SWAPS AND OPTIONS
Futures Product Specifications, Time decay
Open Interest, Hedge ineffectiveness
Mark-to-Market Margining Cash flow hedges using interest rate swaps
Fair value hedges using options
3. INTEREST RATE SWAPS: ADVANCED TOPICS 4. TAXONOMY OF SWAP CONTRACTS
Eurodollar futures, FRA's and interest rate swap pricing Basis swaps
Forward starting swaps Currency swaps
Constant maturity swaps Total return swaps
Amortizing and accreting swaps Equity swaps
Overnight index swaps Accrual swaps
ISDA documentation The Bankers Trust - Proctor & Gamble leveraged swap
5. CREDIT SWAPS 6. ASSET SWAPS
Credit risk arithmetic Par asset swaps
Single-name credit default swaps (CDS) Market asset swaps
ISDA credit definitions Asset swap spreads vs. CDS spreads
CDS market conventions
The CDS - cash basis
7. APPLICATIONS
Why swap rates? Hedging credit risk
Speculating with interest rate swaps Regulation and evolving market structure for swaps
Managing portfolio risk with equity swaps

Day 2
8. CONTRACT TERMS AND CONDITIONS
Option Terminology Contract Terms, Payoff Profiles & Break-evens
9. INPUTS INTO OPTION PRICING MODELS
Asset price Interest rates
Strike price Dividends
Time to expiration Volatility
10. MARKET PARTICIPANTS AND STRATEGIES
Unlevered portfolio managers: Buy write, put write Speculators: Vertical spreads and earnings speculation
Earnings announcements speculation
11. STRATEGY
The Greeks: Delta, Gamma, Theta, Vega, Rho and Psi
12. FORECASTING
Forecasting using Options and Futures: Put - Call Ratio; Open Interest - Volume and Price Patterns,
Volatility Forecasting Futures. Total return swaps
Amortizing and accreting swaps Volatility Index
Forecasting Strategies

Day 3
13. OPTION PRICING 14. RISK ARBITRAGE TRADING STRATEGIES
Probability: essential concepts Calendar spreads
Normal and log-normal random variables Yield curve spreads
Pricing models: Binomial and Black-Scholes-Merton Volatility trading
15. LIVE FORECASTING WITH DERIVATIVES INDICATORS AND TECHNICAL CHARTS.
Find BTST /STBT trades. Live trading session
EOD study. And Q & A

Participants attending the entire course shall be eligible to receive Participation Certificate from the BSE Institute Ltd.

Brokers, Sub- Brokers, Dealers, Traders, Derivatives Research and Sales Teams, Foreign Institutional Investors, Financial Institutions, Fund Managers, Corporates, Equity Analysts, Practising Professionals, High Net worth Investors, Bankers, Students, Investors.

3 days
10.00 am to 5.30 pm

Rs. 11,550.00 + Applicable Taxes per participant inclusive of tuition fees, reference material and (morning / evening) refreshments only.

For further details regarding contents,
E-mail: training@bseindia.com