September 25-27, 2009, Zagreb, Croatia

EARLY BIRD DISCOUNT: In order to help you attend Financial Derivatives course in these challenging economic times, we are offering a 50% discount off the listed price, if you complete application and payment before the 1st September 2009. The price does not include accomodation.

Course Description and Objectives

The objective of the course taught by one of the foremost world experts in the area of financial derivatives, is to provide a systematic framework for understanding the role of financial derivatives, the methods for their valuation, and the use of those in risk management, starting from simple ones like futures and swaps, to more complicated, such as options.  We will learn how to measure the risks and rewards associated with them,  how they can add value to a firm, but also how they can lead to losses if used without sufficient understanding. We will also learn how to use derivatives to hedge different types of risks, including currency risk, real estate risk and risk of trading in commodities such as oil or gas. The modeling workhorse for this purpose is a simple binomial tree method of Cox, Ross and Rubinstein, which can be used to explain pricing of even the most complicated derivatives. This model will also enable us to understand the famous Black-Scholes model, and its extensions. Moreover, we will analyze the main factors driving the value of various derivatives, such as volatility for options on stocks, interest rates and forward rates for derivatives in the bond markets, and default probabilities and correlations for credit risk derivatives.

Who Should Attend

The course will be useful to senior executives of financial and non-financial firms, risk managers, bankers, investment managers, management consultants, analysts, corporate treasurers and regulatory officials, whether they have some familiarity with the complex world of derivatives, but want to learn more, or they want to have the first exposure to these topics, in a systematic and easy to build on fashion. Managers in all industries who make decisions on financial and risk/reward issues,   whether it involves aspects of marketing, engineering or production, as well as corporate boards members  will benefit from this course. The course assumes no prior knowledge of financial derivatives, while still leading to the advanced knowledge on the subject.

Expected Outcomes

 At the end of the course you should be able to:

• Understand the basic types of derivative contracts such as forwards, futures, and options
• Learn how derivatives are used
• Learn to value derivates
• Understand which market factors influence their values
• Understand binomial options pricing formula
• Understand the Black-Scholes formula
• Learn how to hedge interest rate, currency, commodity, credit, real estate, and other types of financial risks
• Measure and manage financial risks
• Establish strategies consist with your view of the market behavior

Course Outline

Day 1

• Basic characteristics of futures, forwards and swaps Hedging and speculating in financial markets
• Basic pricing of these instruments
• Pricing interest rate, commodity and currency futures, forwards and swaps
• Options fundamentals. Static strategies. Plain vanilla and exotic options
• Options with early exercise rights
• Options that help us manage currency, commodity, interest rate, credit, and real estate risks

Day 2

• Pricing options using Black-Scholes formula
• Black-Scholes with dividends
• Option sensitivities (the "greeks"), implied volatility
• Option pricing in a single-period binomial tree model
• A presentation by a practitioner guest speaker

Day 3

• Multi-period binomial trees.
• Pricing options which allow for an early exercise (American options)
• Numerical methods for pricing options
• Monte Carlo simulation
• Example: pricing mortgage-backed securities
• Hedging options positions, delta hedging, portfolio insurance
• Measuring risk of your portfolio, Value-at-Risk