Introduction.
Volume 1.
ROLE AND FUNCTION OF DERIVATIVES.
1. Financial Derivatives Building Blocks – Forward & Option Contracts.
DERIVATIVE INSTRUMENTS.
2. Exchange-Traded Products – Futures & Options On Futures Contracts.
3. Over-The-Counter Products – FRAs, Interest Rate Swaps, Caps/Floors, Currency Forwards, Currency Swaps, Currency Options.
PRICING & VALUING DERIVATIVE INSTRUMENTS.
4. Derivatives Pricing Framework.
5. Interest Rates & Yield Curves.
6. Pricing Forward & Futures Contracts.
7. Option Pricing.
8. Interest Rate Options Pricing.
9. Estimating Volatility & Correlation.
10. Pricing Interest Rate & Currency Swaps.
11. Swap Spreads.
DERIVATIVE TRADING & PORTFOLIO MANAGEMENT.
12. Derivatives Trading & Portfolio Management.
13. Hedging Interest Rate Risk – Individual Instruments.
14. Hedging Interest Rate Risk – Portfolios.
15. Measuring Option Price Sensitivities — The Greek Alphabet of Risk.
16. Delta Hedging/Management of Option Portfolios.
Volume 2.
RISK MANAGEMENT PRINCIPLES.
17. Framework For Risk Management.
MARKET RISK.
18. Market Risk Measurement.
19. Stress Testing.
20. Portfolio Valuation/Mark-To-Market.
CREDIT RISK.
21. Derivative Credit Risk: Measurement.
22. Derivative Credit Exposure: Management & Credit Enhancement.
23. Derivative Product Companies.
OTHER RISKS.
24. Liquidity Risk.
25. Model Risk.
26. Operational Risk.
ORGANISATION OF RISK MANAGEMENT.
27. Risk Management Function.
28. Risk Adjusted Performance Management.
OPERATIONAL ASPECTS.
29. Operational, Systems & Technology Issues.
30. Legal Issues and Documentation.
31. Accounting for Swaps and Financial Derivatives.
32. Taxation Aspects of Swaps and financial Derivatives.
REGULATORY ASPECTS OF DERIVATIVES.
33. Credit Risk: Regulatory Framework.
Appendix: Basle II.
34. Market Risk: Regulatory Framework.
Appendix: Basle 1996.
Volume 3.
DERIVATIVE APPLICATIONS.
35. Applications of Derivative Products.
36. Applications of Futures, Swaps & Options.
37. New Issues Arbitrage.
SYNTHETIC ASSETS.
38. Synthetic Assets – Asset Swaps, Structured Notes, Repackaging and Structured Investment Vehicles.
EXOTIC OPTIONS.
39. Exotic Options.
40. Packaged Forwards & Options.
41. Path Dependent Exotic Options.
42. Time Dependent Exotic Options.
43. Limit Dependent Exotic Options.
44. Pay-off Modified Exotic Options.
45. Multifactor Exotic Options.
46. Volatility Products.
INTEREST RATE & FX STRUCTURES.
47. Non Generic Swaps.
48. Basis Swaps.
49. Option On Swaps/Swaptions.
50. Callable Bonds.
51. Constant Maturity Products.
52. Index Amortising Products.
53. Interest Rate Linked Notes.
54. Currency Linked Notes.
Volume 4.
EQUITY LINKED STRUCTURES.
55. Equity Derivatives – Equity Index Futures; Equity Options/Warrants; Equity Swaps.
56. Convertible Securities.
57. Structured Convertible Securities.
58. Equity Linked Notes.
59. Equity Derivatives – Investor Applications.
60. Equity Capital Management – Corporate Financial Applications of Equity Derivatives.
COMMODITY LINKED STRUCTURES.
61. Commodity Derivatives – Commodity Futures & Options/Commodity Swaps/Commodity Linked Notes.
62. Commodity Derivatives – Energy (Oil, Natural Gas and Electricity) Markets.
63. Commodity Derivatives – Metal Markets.
64. Commodity Derivatives – Agricultural and Other Markets.
CREDIT DERVIATIVES.
65. Credit Derivative Products.
66. Credit Linked Notes/Collateralised Debt Obligations.
67. Credit Derivatives/Default Risk – Pricing and Modelling.
68. Credit Derivatives – Applications/Markets.
NEW MARKETS.
69. Inflation Indexed Notes and Derivatives.
70. Alternative Risk Transfer/Insurance Derivatives.
71. Weather Derivatives.
72. New Markets – Property; Bandwidth; Macro-Economic & Environmental Derivatives.
73. Tax and Structured Derivatives Transaction.
EVOLUTION OF DERIVATIVES MARKETS.
74. Electronic Markets and Derivatives Trading.
75. Financial Derivativers – Evolution and Prospects.
