A practioner-focused guide to Interest Rate Swaps and Swaptions, FX Swaps as well as Volatility and Variance Swaps
Date: 10 - 12 April 2012
Volumes in the derivatives market keep expanding. According to BIS (Bank for International Settlements) the total notional amounts outstanding grew by 18% in the first half of 2011, reaching $708 trillion by the end of June 2011. At the end of October 2011, the yield on the one year German Bund turned negative. In addition, regulators are working around the clock implementing new regulations that will create mandates to form SEF (Swap Execution Facilities).
This course covers interest rate derivatives, currency swaps as well as volatility and variance swaps. Risk management will also be covered.
This highly practical course will enable you to learn from a true expert in his field. Through presentation, case studies and group discussions, you will enjoy an intermediate to advanced level description of a wide variety of current topics. Key concepts will be retained through the use of many illustrative examples. In particular, we use many spreadsheet examples as well as "stories from the field" to illustrate the relevant points and help you make the transition from theory to practice with outstanding results. The focus of the course is always on the practical rather than the theoretical.
■ An introduction to swaps strategies, key benefits and pitfalls
■ Pricing and hedging techniques
■ Risk management
■ Interest rates and foreign currency, volatility and variance swaps
Key Learning Objectives
■ Gain an understanding of the swaps market
■ Learn the best practice techniques to pricing and hedging swaps illustrated with practical case studies and simulations
■ Get to grips with all the major risk management components
■ Master the complexities of a wide range of swaps, including vanilla as well as option embedded swaps
■ In addition to uses in interest rates and foreign currency, you will cover the new swaps on volatility
■ Risk management of swaps
■ Seminar includes hundreds of pages of written materials as well as many spreadsheets which are completely unlocked and available for you to use
■ Highly practical seminar which includes data from Thomson Reuters Eikon
Upon the successful completion of this course, you will
receive a Certificate of Attendance bearing the signatures
from both the Expert Workshop Leader and the Course Organiser. This Certifi cate will testify your endeavour and
serve towards your professional advancement.