Overview

The specialized Derivatives – Trading, Hedging & Structuring program puts into perspective and practice the strategies most commonly used by leading professionals in global Investment Banks, Financial Institutions and MNCs to manage their risks and exposures.

Through a combination of in-classroom lectures, structured frameworks, group exercises and cases, the program allows participants to choose the appropriate Derivatives Hedging and Trading Strategies by analysing the Market regime as well determine and stress test their exposures to price changes in the underlying instruments across Equities, FX and Rates. The participants would analyse the appropriate Derivatives solutions to manifest their market views as well as mitigate market risks.

Faculty

Harjeet Singh

MS – Stanford, PGDBM (Business Mangement)- XLRI, CFA, FRM, CAIA, CMT

Harjeet has a rich and varied experience in leading Investment Banks, Commercial Banks & Consulting Firms such as Nomura, Morgan Stanley, Merrill Lynch, Standard Chartered and Accenture Consulting. He is currently consulting at the Ministry of Finance, Department of Economic Affairs in Capital Markets Policy formation.

He has been a Visiting Faculty at leading B-schools and educational institutions such as Christ University, Jamnalal Bajaj, NMIMS, NISM, NIFM etc.

Dr. Amarjeet Singh

CAIA, MSCI, CMT

Dr. Amarjeet has vast experience in Finance, Financial Markets, Asset Management & Taxation. He has held senior positions in Fund Management, Research & Derivatives desks at leading fund houses & brokerages.

He has been invited as Guest Speaker on leading business channels such as CNBC, NDTV-Profit, ZEE-Biz. He has also been a Visiting Faculty at leading B-schools such as Jamnalal Bajaj, SP Jain Global, XLRI, etc.

WHO SHOULD ATTEND

  • Derivatives Strategists/Analysts
  • Financial Analysts
  • Treasury Managers
  • Derivatives Traders
  • Risk Managers
  • Fund, Portfolio and Money Managers
  • Derivatives Structurers
  • Quant Researchers

Program Objectives

  • 1 Understand Derivatives Markets, Structures and Conventions. You would learn the generalized Framework for building Derivatives Hedging Solutions and Trading Strategies.
  • 2 Understand and build Risk Profiles and conduct Sensitivity Analysis for Derivatives Strategies/Structures. You would also learn about Market Timing, Legging and Managing Profitable/Losing positions for Derivatives Strategies/Structures.
  • 3 Develop and compare appropriate Hedging Strategies for managing Equity, Currency and Interest rate risks. You would learn about Option Greeks and their applicability to Hedging and Trading.
  • 4 Understand Market regimes and which Derivatives Strategies to use. You would also learn how to use Long/Short Derivatives Strategies using Price Action based Strategies and Technical Analysis based Strategies. Additionally, you would learn how to implement Risk Management and Position Management of your Derivatives Positions.

Course Content

  • Derivatives Markets and Conventions
  • Framework for Derivatives Payoff Calculation
  • Long/Short Futures strategies with Market Neutral constructions
  • Long/Short Call – Profit Profile/Risks and How to manage /exit
  • Long/Short Put – Profit Profile/Risks and How to manage/exit
  • Generalized Framework to build Derivatives structures and solutions
  • Risk Profiles/Payoffs for Derivatives structures:
    • Vertical Spread structures
    • Horizontal Spread structures
    • Long Volatility structures
    • Short Volatility structures
  • Market Timing, Legging and Managing Profitable/Losing positions for
    above structures
  • Hedging Solutions and Covered Strategies with Sensitivity Analysis
  • Constructing Arbitrage solutions using Derivatives products

MODULE 3.1 : INTRODUCTION TO ALGORITHMIC TRADING

  • Concept
  • Market Structures
  • Evolution of Algorithmic Trading
  • Types of Algorithmic Trading strategies
  • Life cycle of Algorithmic Trading
  • Algorithmic Trading Architecture

MODULE 3.2: ALGORITHMIC EXECUTION STRATEGIES

  • Market Microstructure and concepts
  • Order Book Dynamics
  • Algorithmic Trading Dynamics
  • VWAP/TWAP/Implementation Shortfall
  • HFT Algorithms – Other HFT strategies

MODULE 3.3 STRATEGY DEVELOPMENT, BACKTEST-OPTIMIZE

  • Conceptualization of trading strategy
  • How to develop strategy
  • Trading Performance Indicators
  • Back testing Trading strategy
  • Strategy Optimization
  • Creating Portfolio strategy basket
  • Simulating markets and strategies

MODULE 3.4 Infrastructure/Deployment

  • Architectural Design
  • Unit Testing modules
  • Operational considerations and pitfalls
  • Error Handling
  • Algorithmic Deployment
  • Understanding Market regimes and which Option strategies to use
  • Understanding when to use Long/Short Option strategies using Price
    Action based Strategies
  • Wing Scalping and Legging using Butterfly spreads
  • Trading Volatility Smiles and Skews
  • Understanding important elements of Technical Analysis
  • Discussion of widely used Technical Analysis-based Trading strategies
  • Combining Technical Analysis with Option strategies
  • Position Sizing on Options Positions using Technical Analysis

Program Delivery

The delivery methodology is classroom-based, involving powerful, detailed & interactive lectures combined with live/simulated trading sessions focusing on market analysis & trade execution.

Program Dates & Venue

14-15th April 2018 in Mumbai

Programme Fee

Course Duration

2 Days

Timings

10 am to 5 pm

Program Fee

Rs. 35,000  + GSTper participant

Enroll in the 2-day Derivatives Program