2009 ACADEMIC TRAINING

LECTURE SERIES

28, 29, 30 October 2009

11:00 -12:00 – Main Auditorium, bldg. 500-1

Mathematics, Pricing, Market Risk Management and Trading Strategies for Financial Derivatives

B. Lynn / CERN Theory Department, ex-Merrill Lynch MD, B. Coffey / VTB Bank, London

An introduction to the mathematics and practicalities of market trading and risk management for financial derivatives, the course will focus on examples from the short-term and long term Foreign Exchange (FX) and Interest Rate (IR) derivatives markets. Topics:

  • Government Bonds and IR Curves
  • Stochastic FX, Black-Scholes Vanilla FX Options and Martingales
  • Risk Management and Market Trading for Vanilla FX Options, Market Implied Volatility, Valuation and Risk Management, Market Trading Strategies
  • Stochastic IR Curves and Implied Volatility, IR Derivatives
  • Long Term FX Options: Interaction of Stochastic FX and Stochastic IR

Vanilla Foreign Exchange (FX) Options:

  • $ Government Bonds, Interest Rate (IR) Curves, Continuous IR
  • Domestic ($) and Foreign (Yen) Government Bonds, IR curves
  • Stochastic Spot FX, Forward FX: Ito processes for $ and Yen Investors
  • Black-Scholes Vanilla FX Options, Connection to Heat/Diffusion Equation
  • Stochastic Differential Equations with Martingales.

by HR Department