Pricing, valuation of derivative products (S1223)

Inter-company training

Who is the training for?

This program is dedicated to professionals of the financial markets : traders, back/middle office and risk managers.

Duration

4,00 hours(s)

Language(s) of service

EN

Prerequisites

The participants have a basic knowledge in maths (simple equations, log and eexp functions) and statistics (mean, standard deviation, "normal", or Gauss distributions), as well as a basic knowledge of derivative products (forwards, futures, swaps, options, CDS).

Goals

This program aims evidencing in a clear way, without focusing on pure mathematical developments, the fundamentals of derivatives prices, hypotheses and limits of usual methodologies, with real market examples.

Contents

  • Fundamental principles and tools for valuing derivative products:
    • the major role of the yield curve and corresponding forward prices.
  • Pricing/valuation of unconditional derivatives (forwards, futures, swaps):
    • on stocksand stock indexes;
    • bonds & interest rates;
    • currencies;
    • commodities.
  • Pricing/valuation of conditional derivatives (options):
    • in a contingent environment ("random walk", volatility);
    • on stocksand stock indexes;
    • bonds & interest rates;
    • currencies.
  • Pricing/valuation of credit derivatives.

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