Opti riskcorporatebrochure modelingandanalysingderivativesusingexcel
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Transcript of Opti riskcorporatebrochure modelingandanalysingderivativesusingexcel
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MODELING AND ANALYSING
DERIVATIVES USING EXCEL
2 DAY WORKSHOP
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MODELING AND ANALYSING DERIVATIVES USING EXCEL 6th & 7th October, 2010 : Mumbai
8th & 9th December, 2010 : Delhi, Ahmedabad
15th & 16th December, 2010 : Bangalore, Mumbai
Program Fee: INR 13,000 /- + 10.3% ST
PROGRAM OBJECTIVE
A common misconception is that understanding derivatives requires knowing a lot of advanced math
which is the privilege of only the geeks. That said, sometimes you probably wonder how do these large bunch of
I-Bankers manage to provide derivative solutions to their clients because they don’t seem to have been rocket
scientists in their previous avatar. There would have also been questions like how do you actually engineer
those financial products? May be, you read something called Black Scholes, Ito’s Lemma, and so on but they
didn’t quite answer those questions convincingly, much less, make sense in the context of the real world of
finance.
In the last two decades, derivatives have become all-pervading in financial markets with outstanding
notionals in excess of US$ 600 trillion. If your profession has anything to do with finance, then there is a pretty
high chance that you will have something to do with derivatives at some point or the other. This course tries to
demystify and simplify derivatives using a tool like Excel. For a practioner, it may be difficult to relate the Black-
Scholes equation but it would probably start to make sense once you start thinking like an accountant about all
these greeks and put the differential equations in excel. In the workshop, we will start to think of each of these
greeks in terms of money, which is what traders do. The program covers a comprehensive list of topics that
derivative practioners need to understand for their day-to-day work.
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Understand financial engineering specifically, how
derivative structures are engineered
Pricing and risk management of Equity, FX, Interest
Rate and Credit Derivatives
Demystify and simplify the quantitative techniques in
analysing derivatives using Excel
Be aware of derivatives as risk management tools
Learn how to manage a derivative portfolio
Appreciate how derivatives are structured to suit
client requirements
Learn simulation techniques for pricing derivatives
Learn how to solve any stochastic partial deferential
equation (including Black Scholes equation) using
spreadsheets
Understand Greeks (Delta, Gamma, Vega & Theta)
and the monetary implications of each of them
MODELING AND ANALYSING DERIVATIVES USING EXCEL
PROGRAM FACULTY
Our faculty is an experienced Investment Banker and a guest faculty in finance in IIMs, who specializes in Fixed
Income, Foreign Exchange and Credit Derivative products. He has conducted training programs for banks and
corporates in India, Singapore, Hong Kong, Middle East, and South Africa on topics such as Credit Derivatives,
Fx Derivatives, FI Derivatives, ALM, M&A, Financial Modeling for LBOs, Debt Capital Markets, Basel II and Risk
Management.
WHO SHOULD ATTENTD
Capital Market Professionals
Quantitative analysts
Investment Bankers
Risk professionals
Treasury managers
Controllers
Economists
KEY BENEFITS
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MODELING AND ANALYSING DERIVATIVES USING EXCEL
DAY ONE
Geometric Brownian Motion
Financial variables with deterministic Jump and
stochastic jumps
Taylor series
Our first differential equation
Binomial Model
Binomial model for an asset price random walk
delta hedging
no arbitrage
the basics of the binomial method for valuing options
risk neutrality
Pricing exercises using Binomial model
Simulating and Manipulating Stochastic Differential
Equations
Using Ito’s lemma to manipulate stochastic
differential equations
Continuous-time stochastic differential equations as
discrete time processes
Simple ways of generating random numbers in Excel
Correlated random walks
Monte Carlo Simulation and Related Methods
the relationship between option values and
expectations
how to do Monte Carlo simulations to calculate
derivative prices
simulations in many dimensions using Cholesky
factorization
The Black–Scholes Model
the foundations of derivatives theory: delta hedging
and no arbitrage
multiple ways of deriving the Black–Scholes partial
differential equation
the assumptions that go into the Black–Scholes
equation
how to modify the equation for commodity and
currency options
Replication of price of a derivative product in general
is the cost of risk managing it
Excel Exercise using a Partial Differential Equation
Discrete Hedging
the effect of hedging at discrete times
hedging error
the real distribution of profit and loss
Pricing exercises
Equity Derivative Products
Vanilla Options
Call/Put Options
Contract specifications of Call/Put Options
Exercise: Pricing with Black Scholes Model and
Monte Carlo Simulation in Excel
Basic strategies containing vanilla options
Call and put spread
Risk reversal
Risk reversal flip
Straddle
Strangle
Butterfly
Seagull
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MODELING AND ANALYSING DERIVATIVES USING EXCEL
DAY TWO
Fx Derivatives and Interest Rate Derivatives
Fx Forwards, Fx Swaps
When to use an FX forward, Fx Swap
Pricing & Hedging Examples
Fx Structuring Exercise in Excel: Corporate Client
Fx Structuring Exercise: Cross border acquisition
Interest Rate Swaps
LIBOR Swaps
MIBOR Swaps
OIS Swaps
Basis Swaps
Cross Currency Swaps
Standard CCS with principal exchange
PO Swaps
CO Swaps
Interest Rate Options
Receiver and Payer Swaptions
Caps and Floors
Callable & Puttable Bonds
CO Swaps
Interest Rate Options
Receiver and Payer Swaptions
Caps and Floors
Callable & Puttable Bonds
Credit Derivatives
Credit Default Swap Pricing
Pricing First-to-default Basket
Copula Models for pricing credit derivatives: Gaussian
Copula
Pricing CDO
Risk management of Derivatives
Value at Risk
VAR as Downside Risk
VAR Parameters: Confidence Level, Horizon,
Application: The Basel Rules
VAR Methods
Counterparty Credit Risk for Derivative Transactions
Counterparty-level exposure
Credit Value Adjustment (CVA)
CVA as the price of counterparty credit risk
Expected Exposure - Conditional on Default
Peak Exposure - Conditional on Default
Wrong/Right-Way Risk
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+ 91 80 42023051
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15th & 16th December, 2010
8th & 9th December, 2010 Modeling and Analysing Derivatives
6th & 7th October, 2010 - Mumbai
Using Excel
#501, Block :10,
Rs 13,000/
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