Financial Mathematics

Transcription

1 INSIGHT SERIES Financial Mathematics INSIGHT SERIES: Financial Mathematics is a series of 3 hour workshops with a focus on developing the mathematical skills reuired to evaluate a range of financial market instruments. Each workshop has a strong focus on participant understanding of the underlying concepts, with the majority of the time spent working through examples of each concept to reinforce the theory. WORKSHOPS INCLUDE: Bond Pricing (3 CE Hrs) Introductory Swap Pricing (3 CE Hrs) Swap Curve Construction (3 CE Hrs) Understanding Options Pricing (3 CE Hrs) Understanding Options Behaviour & Hedging (3 CE Hrs) Interest Rate Options (3 CE Hrs) Exotic Options (3 CE Hrs) FACILITATOR ALEX PALFI is a Principal of Tykoh Group Pty Ltd an Australian based training provider specialising in tailored one and two day workshops on technical finance and business topics. Prior to setting up Tykoh Alex was a Division Director at Macuarie Group in Sydney. In that role he developed a range of finance workshops and presented those in Australia and at other international locations. Those workshops focused on financial modelling, valuation, derivatives, credit risk and Visual Basic programming. In earlier roles Alex worked for a number of financial services organisations as a financial software developer and lectured at Technical Institutes in New Zealand in programming and electrical engineering. Alex s university ualifications are in engineering. He obtained Masters and Bachelors degrees in Electrical Engineering from the University of Canterbury in New Zealand.

2 Bond Pricing The objective of the Bond Pricing Workshop is that participants will have an understanding of, and be competent in, the pricing of fixed and floating rate securities. This will extend to an understanding of the key concepts of duration and convexity. pricing an annuity pricing a fixed rate bond pricing a floating rate note pricing a repo transaction duration and convexity This workshop provides participants with an understanding of bond and security pricing. As such it is ideally suited for those preparing to undertake the Debt Markets Module of the Financial Markets Program. This workshop would also be of benefit to all those who are involved in the pricing and handling of security transactions. This could include debt capital market participants, settlements and middle office staff. pricing Forward Rate Agreements (FRA) pricing Overnight Index Swaps (OIS) essential elements of swap pricing. It would be an ideal workshop to undertake in conjunction with the Debt Markets Module of the Financial Markets Program. The workshop would be also of great value to those involved in swap transactions whether it is those involved in structuring debt transactions, or those involved in support operations of a derivatives business. using a HP12C calculator simple interest calculations Bank Bill and other short dated pricing Cash & Carry analysis and forward bank pricing pricing an anuity pricing a fixed rate bond do the Bond Pricing workshop. Using a HP12C calculator Simple interest calculations Bank Bill and other short dated pricing Cash & Carry analysis and forward bank pricing Compound intrest, effective interest, and interest rate conversion Swap Curve Construction The construction of a yield curve is fundamental to the pricing of all debt derivative products and debt securities. The objective of the Swap Curve Construction Workshop is that participants will gain an understanding of how swap yield curves are constructed in practice. Participants will be guided through the process known as bootstrapping, using a range of financial market instruments to construct a swap curve, including interpolation of discount factors. Introduction to Swap Pricing The objective of the Introduction to Swap Pricing Workshop is that participants will gain an understanding of the fundamental elements of pricing a range of swap transactions. The workshop will cover the mechanics and pricing of fixed/floating swaps, cross-currency swaps, and forward rate agreements (FRA s) and overnight index swaps (OIS). This workshop has been designed for those with little or no prior exposure to swaps. annuity factors discount factors Cross-Currency Swaps mechanics and valuation review of discount factors and zero curves interpolation of discount factors bootstrapping a swap curve in practice using swap rates only using Bank Bill rates, Bank Bill futures prices, and swap rates construction and use of a swap curve for security and derivative pricing. It would be an ideal workshop to undertake in conjunction with the Debt Markets Module of the Financial Markets Program. This workshop would also be of benefit to participants across the entire spectrum of debt markets who wish to improve their

3 Swap Curve Construction cont knowledge of the techniues used to value debt derivative and cashflow products. annuity factors & discount factors pricing Forward Rate Agreements (FRAs) do the Introductory Swap Pricing workshop first. Understanding Options Pricing The objective of the Understanding Options Pricing Workshop is that participants will gain an understanding of how the various option pricing models work. It is assumed that participants have a prior knowledge of the definitions of puts and calls, and knowledge of standard payoff diagrams. The focus of this course is to develop an understanding of the factors that determine the price of an option. Participants will be guided through the Binomial and Black- Scholes models with a strong emphasis on achieving a level of comfort with the determinants of an option price. the Black-Scholes formula understanding volatility This workshop provides participants with an understanding of the underlying elements of option pricing. This workshop will appeal to those who have prior knowledge of puts and calls but feel they need to know more than just definitions. It will directly appeal to those who wish to have a greater understanding of the determinants of option pricing, the interplay between those determinants, and the relative significance of each. This workshop would suit traders, marketers, support staff, middle office, management, and capital markets staff. It is suggested that this workshop is taken in conjunction with the Understanding Options Behaviour and Hedging Workshop. It is assumed that particpants have a prior knowledge of the definitions of puts and calls, and knowledge of standard payoff diagrams. A basic understanding of forward pricing would be of a distinct advantage. Understanding Options Behaviour & Hedging The objective of the Understanding Options Behaviour and Hedging Workshop is that participants will gain an understanding of how options behave as the inputs to the pricing model vary. The knowledge of the nature of the sensitivity of the option will then be applied to a discussion of hedging techniues for options positions and portfolios. It is assumed that participants have a prior knowledge of the definitions of puts and calls, standard payoff diagrams, and have been introduced to the Black-Scholes pricing model. hedging option positions synthetic option replication dynamics of options. This workshop will appeal to those who have prior knowledge of puts and calls but feel they need to know more than just definitions. It will directly appeal to those who wish to have a greater understanding of the dynamics of option pricing, and the considerations reuired when hedging option positions. This workshop would suit traders, marketers, support staff, middle office, and management. do the Understanding Options - Pricing workshop first.

4 Interest Rate Options Exotic Options The objective of the Interest Rate Options Workshop is that participants will gain an understanding of the special pricing considerations of interest rate options. The workshop will cover the pricing of Caps/Floors and Swaptions, the differences and links between Caps/ Floors and Swaptions, volatility skews and curves, difficulties in pricing interest rate options using a Black model, and a consideration of one-factor pricing methodologies. The objective of the Exotic Options Workshop is that participants will gain an understanding of the pricing and risk management of several of the more popular exotic options. Through worked examples the workshop will cover pricing and risk management issues for Digital options, Barrier options, and Quanto options. This workshop is designed as an introduction to these products for those who have an understanding of standard options. Caps & Floors Swaptions Differences between Caps & Floors and Swaptions Volatility curves Pricing complications for interest rate options One-factor yield curve models uniue issues relating to interest rate options. This workshop will appeal to those who have an understanding of standard put and call options, and wish to extend that understanding to interest rate options. This workshop would suit traders, marketers, support staff, middle office, and management. annuity factors & discount factors do the Understanding Options Pricing and Understanding Options Behaviour and Hedging workshops first. Digital options Barrier options Quanto options This workshop provides participants with an overview understanding of the pricing and hedging issues relating to exotic options. The option types covered in this workshop will cover the issues in pricing and hedging options that have embedded triggers or are multifactor across markets. This workshop will appeal to those who have an understanding of standard put and call options, and wish to extend that understanding to exotic options. This workshop would suit traders, marketers, support staff, middle office, and management. do the Understanding Options Pricing and Understanding Options Behaviour and Hedging workshops first.

5 REGISTRATION FORM PERSONAL DETAILS Dr Mr Ms Name Surname Position Company Name Address City State Postcode Country Telephone Mobile Fax Are you an AFMA Member Yes / No COURSES Please refer to for latest workshop dates & times. member fee non-member fee date of course bond pricing $ inc GST $ inc GST introductory swap pricing $ inc GST $ inc GST swap curve construction $ inc GST $ inc GST understanding options $ inc GST $ inc GST pricing understanding options behaviour and hedging $ inc GST $ inc GST interest rate options $ inc GST $ inc GST exotic options $ inc GST $ inc GST This document becomes a Tax Invoice for GST purposes upon completion and payment. Please photocopy and retain for your records. METHOD OF PAYMENT Attach cheue made payable to AFMA or provide credit card details below: Visa Mastercard American Express Diners Club Please note a surcharge applies of 2.75% for American Express and 3.72% for Diners Club. Cardholders Name Total Amount $ Card Number Expiry Date CCV* Signature * 3 digit number found on the back of your Mastercard or Visa; 4 digit number found on your American Express All enuiries and applications should be directed to: Tel: (61 2) Fax: (61 2) education@afma.com.au Web: Posted applications should be directed to: AFMA Education & Training GPO Box 3655 Sydney NSW 2001 Terms and Conditions Payment Terms For AFMA Members, invoices are issued upon enrolment and are payable within 14 days of being issued. Full payment is reuired at the time of registration from non-member organisations. Cancellation and Transfers To obtain a full refund, delegates must notify AFMA in writing at least 10 working days prior to the program start date that they wish to transfer to an alternate program, or cancel. Delegates who transfer or cancel from a program inside 10 working days from the program start date are liable for the full program fee. No refunds will be given in this instance. Substitutions can be made, with prior notification to AFMA, at any time up to the program start date with no penalty Non attendance If a delegate fails to attend a program, program fees will not be refunded or allocated to another program. General AFMA reserves the right to cancel, postpone or re-schedule programs due to low enrolments or unforeseen circumstances. Full refunds or transfers will be given in this instance. AFMA is not liable for any costs incurred by the attendee if the program is cancelled or postponed. AFMA reserves the right to change course fees, dates, content, speakers or method of presentation at its discretion. The information in this brochure was correct at the time of publication but may be subject to change. Privacy All personal information collected by AFMA is protected by the Privacy Act, Information collected on this enrolment form is for the purposes of processing registrations and creating and maintaining student records. Information will not be disclosed to third parties except where authorised or reuired by law. Please forward any enuiries you may have in relation to privacy to info@afma.com.au