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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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