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Introduction to Derivatives Valuation Workshop

Get to grips with the fundamental drivers and methodologies behind Derivative Valuation
Get to grips with empirical & model valuation, valuations vs market prices, carry, forward pricing...
Address impacts of market price change, spotting third party errors, reviewing value within funds…
Develop skills to engage in regulatory reviews and clarify derivative structures, valuation and risk…


An introductory / refresher course for Front & Back Office professionals from Buy-Side & Sell-Side



Get to grips with the fundamental drivers and methodologies behind Derivative Valuation

A sample module from this highly practical Deritive Valuation introductory workshop

Valuing Non-Linear Derivatives like Options

This section of the programme extends the previous module to include arbitrage pricing of options.
A model of the basic underlying price behaviour: e.g. stock prices

  • Mapping real world derivatives on to the model: cost of carry and volatility
  • Historic and Implied Volatility: Smile and Skew
  • Constructing the cost of carry or arbitrage basket for an option: or why the world is now uncertain!
  • Building an option model: the Binomial Model example
  • Valuation examples using the Binomial and Black-Scholes models
  • The Greeks
  • Hedging options using the Greeks and the arbitrage relationship
  • Potential pitfalls of models – how to test for success
  • Using models in a risk management process
  • Liquidity, concentration and other adjustments

Works Group Session: Non Linear Derivatives Valuation

  • Using spreadsheet exercises to derive model prices for simple options
  • Comparing with market prices and examining the arbitrage relationships
  • Practical hands on simulation of dynamic hedging using Monte-Carlo simulation
  • Comparing actual hedging costs with model prices and valuations

View the Introduction to Derivative Valuation latest agenda now for more information.

Also of interest:

Valuation & Pricing for Buy-Side Firms
Addressing the latest Governance and Risk Management Expectations for Asset Owners & Managers
8 - 9 July 2014
• Central London

Who should attend this workshop

Delegates should have as a minimum background financial industry experience and have a reasonable knowledge of the key asset classes such as equity and bonds. See background above. This workshop will be of benefit to individuals from Front and Back Office departments from Buy-Side and Sell-Side Firms including:

  • Finance, Risk, Product Development, Operations, Compliance, Trading, Legal, Audit
  • From: Investment Management Firms, Banks, Insurers, Pension Funds

Workshop objectives and overview

This workshop is designed to take delegates who have little or no knowledge of derivative valuation to the point where they have a good grasp of the fundamental drivers and methodologies behind the process, including the basic rational and need for accurate valuations for accounting, risk management and regulatory purposes.

The workshop focuses on the practical aspects of the process and, although it covers numerical examples and the use of models, the agenda is designed to allow the non-mathematician a considerable understanding of the core methodologies.

Delegates attending this course will leave with a good understanding of why and how derivatives are valued and how errors and anomalies in those values may be spotted.

Attending this introduction to derivative valuation workshop will give you the knowledge and skills to:

  • Understand both empirical and model valuation
  • Differentiate between valuations and market prices
  • Clarify cost of carry, forward pricing, repo, historic and implied volatility, skew and smile
  • Learn how to relate changes in market prices to swaps, options and structured product valuation
  • Access tools to confidently review and comment on changes in derivative value within funds
  • Gain skills to spot anomalies and potential errors in internal and third party valuations
  • Effectively engage with regulatory reviews on valuation and derivatives risk
  • Enhance understanding of derivative structures, their valuation and risk

Download Latest Information Now

(updated 28 September 2014)

Just some of the comments from delegates of recent Infoline buy-side focused events:

"Very useful conference which really helped to focus the mind on key issues."

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