Part 1: The Swap Logic

• Equivalent of "zero" in finance: Libor Deposits
• Swap Example 1: Equity swap
• Swap Example 2: Interest rate swap
• Swap Example 3: Commodity swap

Part 2: A Recent Application of the Swap Logic

• Credit Default Swaps
• Examples of synthetic bonds, loans and ABS
• CDS Indices, iTraxx, CDX
• Tranche trading
• Tranche strategies
• CDS strategies

Part 3: Measuring Term Structure

• Modern Term Structure analysis and its role in financial engineering
• A brief summary of Forward Libor Model
• Zero coupon bonds and measure changes

Part 4: Volatility Trading

• Volatility trading
• Introduction to non-linear instruments. Engineering Convexity
• Basic option engineering
• Black-Scholes PDE interpreted as arbitrage-free value of Volatility
• Funding with volatility
• Volatility swap

Part 5: Financial Engineering of Exotics

• Exotic instruments
• The meaning of an "exotic"
• Exotic Libor Callables
• The role of Greeks

Class Size: Registration is limited to approximately 25 participants to promote a friendly atmosphere, encourage attendee discussion and provide networking opportunities.

To Register: Online click here, contact the Institute at 202.223.1528, or via e-mail at info@theIFM.org