Financial Derivatives Part I (PFD01)


Location: Singapore, Singapore, Singapore

Event Date/Time: Jan 09, 2008 End Date/Time: Jan 11, 2009
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Historical Background
Some Essential Mathematical Concepts
• Definition and Examples of Derivatives
o Definitions
o Examples
• Some Essential Mathematical Concepts
o Probability Theory
o Permutations and Combinations
o Mathematical Expectation
• The Value of Money
o Definition
o Future Value of Money
o Present Value of Money
• Concept of Fair Value and Option Premium
• Introduction to Term Structure
• Building a Yield Curve
Some Basic Interest Rate Derivative Instruments and Their Applications
• Different Types of Interest Rates
o Cash Rates
o Spot and Forward Interest Rates
• Interest Rate Derivatives
o Interest Rate Futures
o Swaps
Interest Rate Swaps
Cross Currency Swaps
• Valuation of Internet Rate Swaps
• Building the Yield Curve
• Valuation of Cross Currency Swaps
• Other Interest Rate Derivatives
o Variations of Basic Swaps
o Caps and Floors
o Swaptions
o Limited Caps and Floors
• Sensitivity Analysis – The Greek Alphabets
• Hands-on Session Using The PERMIT ®1 System

Some Basic Currency Derivative Instruments and Their Applications
• Graphical Representations of Currency Risks
• Currency Forward Contracts
o Definitions
o Currency Forwards Buy Contract
o Currency Forward Sell Contract
• Currency Option Contracts
o Definitions
o Types of Options
• Pricing of Options
o Black-Scholes Option Pricing Model
o Binomial Option Pricing Model
o Limiting Case of the Binomial Option Pricing Model
o Put-Call Farity
o Volatility Determination
o The Volatility Smile Curve
• Some Common Options Terminologies
• Time Value of Options
• Some Vanilla Option Structures
• Sensitivity Analysis and The Greek Alphabets
o Definitions
o Calculating the Greek Alphabets
• Hands-on Session Using The PERMIT ®2 System


100 Orchard Road

Additional Information

Seminar Facilitator: Dr. Jeffrey C. K. Lim, Ph.D., C.Sci., C.Math., FIMA, FRM, PRM Seminar Fee: IBF (Singapore) Members - SG$3,375.00 ( 3 Days ) Non-Members - SG$3,750.00 ( 3 Days ) Fees include lunch, refreshments and seminar materials. Special Rates are available (See Below). Please Note: Delegates will be charged additional GST at the prevailing rate) Team Discount: When 2 or more participants from the same organization apply for the same seminar at the same time a 10% discount would be deducted from the total seminar fees. (Note: Team discount does not apply to IBF (Singapore) members.) Early Bird: Early birds are entitled to an additional 10% discount from the seminar fees. To qualify, registration forms and payment have to be received at least one month prior to the commencement of the seminar. (Note: The maximum discount allowable in all cases is capped at 20%.) Room Reservation: Le Meridien offers PI ETA Consulting Company's clients special deluxe room rate.