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Topic 17: To include/understand the Evaluation of the options and products derived

   

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Objectives
•To control the mechanisms and the principles of use of the options, future and products derived.
•To include/understand the mechanisms of evaluation.
•To give a progress report on the last products under development.

Teaching approach
The organizer privileges an illustrative approach of the mechanisms of the options, future and derived products by having frequently recourse to concrete examples. The encountered difficulties are solved at the time of exercises of application.

Program

Contain 1: To familiarize itself with the derived instruments
•To define the linear and nonlinear derived instruments
•Modes of organization of the markets: Organized OTC and markets
Self-diagnosis: each participant evaluates his practice and identifies the strong points and the improvements to be brought

Contain 2: In the long term to include/understand the contracts and the swaps
•To evaluate the contracts forward and future .Principle of the cost of bearing . Price future and future prices spot anticipated
Contracts forward and future under various types of financial credits
•To define the principle of cover
•To acquire the mechanisms of the evaluation of the swaps. Principles and operation . Evaluation by arbitration and curve of the rates
Exercise of application: calculation of factors of actualization and spot rate,
study of an appraiser of swaps of interest rate

Contain 3: To know the mechanisms of the options
•Introduction to the market of the options . Which are the factors which determine the prices of the options?
Charts of the pay-offs .Intrinsic value and value time . Parity could/call . Which are the strategies on the simplest options?
•Pricing of the options of first generation and principles of cover. The evaluation in discrete time: to include/understand the binomial model
The evaluation risks neutral and the differential equation of Black and Scholes: large principles and what it is necessary to retain
Delta, gamma and véga: which use? Significance of Greek and their limits
Exercise of application: study and development of a pricer of option Black and Scholes with a calculator of the sensitivities (application under Excel)
•Options "not vanilla": the digital ones and their combinations with the vanielles ones, the Asian ones, barriers…
Principles of these more or less exotic options .To include/understand the "up and out", the "knock out" or "knock in"
Exercise of application: evaluation and cover of the Asian options

Contain 4: To give a progress report on the last developments and the other derived products:
•Exotic options: the variance swaps, TARN, the hybrids taux/change
•Derivatives of appropriations
•Climatic derivatives, some introductory elements
•Derivatives of volatility: the variances swaps .Exercise of application: application of the method Assembles-Carlo under Excel

Price: 75 0 000 FCFA . Treated cases: Possibility of treating specific cases on request adapted to a participating company
Duration: 2 days . Public Concerned: Heads of company, Financial Directors, Financial Frameworks, non-financial Top executives,

 

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