Derivative Products - Package
About the course
The course begins with descriptions of the various types of basic vanilla derivative products. Simple examples to illustrate each instrument, forward, futures and options, are presented. The similarities and differences between the instrument types are discussed.
Payoff profiles are reviewed next, beginning with a generic payoff profile first and then moving on to specific ones for forwards and call and put options. These three derivative products’ payoff profiles act as building blocks for synthetic configurations which are also presented.
The qualifications that accompany a typical derivatives term sheet are outlined. A standard template for evaluating derivatives products is presented. This is followed by a comparison of the various characteristics of derivative products.
The course then provides numerical examples of payoffs for vanilla products. It assesses which factors impact option prices and to what extent. Next, the value of European options are calculated using the Black Scholes formula. Definitions and formulas for Greeks, i.e. option price sensitivities are presented. American options values are calculated by constructing a traditional binomial tree.
The latter part of the course briefly overviews product variations of options, forwards, futures and swaps.
After taking this course you will be able to:
- List the various categories of derivative instruments
- Define each type of derivative instrument and their features
- Compare the characteristics of each product category
- Construct and interpret the payoff profiles for forwards and options
- Construct payoff profiles for synthetic structures
- State the general qualifications that are presented and shared with a typical derivative deal
- Recognize how various factors impact option price
- Calculate the value of an option using the Black Scholes formula
- Define and calculate option price sensitivities, i.e. Greeks
- Construct a traditional binomial tree and compute the values of American options
- List and describe the product variations to the basic derivative instruments
The candidate should be comfortable with basic mathematics, statistics, probability and EXCEL.
This course is for beginners in the finance field and is also aimed at banking, corporate, treasury and sales teams.