Derivatives 201: Trading Strategies and Valuation

Dates To Be Announced

($100 Early-bird Registration Discount Ends Sept. 24 )

Intermediate/Advanced Level, 7 CPE Credits

Instructor: Douglas C. Carroll

Hours: 9:00 am — 5:00 pm; Registration/Breakfast begins at 8:30 am

This one-day class provides a broad overview of derivative trading strategies and techniques to assess derivative contracts values to better inform trading decisions. The session will begin with a general introduction to methodologies used in valuing derivative contracts (arbitrage pricing relationships and pricing models) as well as a discussion of the factors which induce traders of use derivatives where equivalent exposures could be created/offset directly in the market for the underlying. The program will then address in turn each of the major types of derivative contracts investigating the analytic technique and trading/risk management strategies particular to each individual market.

The presentation will come from a practitioner perspective (dealers, floor traders, portfolio managers, hedge funds, arbitrageurs, etc.) using current/recent market events to illustrate concepts. Pricing models and arbitrage pricing relationships will be viewed not from the perspective of calculating the theoretically correct price, but from the viewpoint of a trader using them to recognize trading opportunities and understanding/quantifying trading position risks. Trading strategy discussions will focus on the market exposure created by derivative trades, implied market views consistent with the strategy and the use of derivatives in altering existing market exposures (risk management/hedging).

-Using Derivatives Versus Trading the Underlying Asset/Security/Commodity

-Arbitrage Pricing of Derivatives

-Derivative Pricing Models and Their Applications

Futures and Forward Contracts

-Pricing/Valuation of Futures/Forwards

-Futures/forward prices and the forward pricing curve

-Index arbitrage (equities) and covered interest arbitrage (currencies)

Equity Options

-Pricing/Valuation of Options

-Option value determinants (pricing model inputs)

-Pricing models Black-Scholes and binomial models

-Arbitrage pricing put/call parity

-Put/call parity applications arbitrage trading and synthetic positions

-The Greeks Option Price Sensitivity

-Swap pricing and valuation

-Pricing/Valuation and Trading Strategies for Other Types of Swaps

-Equity possible structures and portfolio management applications

-Currency contract variations and currency/interest rate exposure risk management

-Commodity swaps

-Combining different types of swaps for tailored risk management tools

Credit Default Swaps (CDS)

-Pricing/Valuation of CDS