MODULE 1
Forward & Futures Pricing
Arbitrage-free pricing of forwards and futures. Cost of carry, convenience yield, and basis risk.
- No-arbitrage principle
- Cost of carry model
- Basis and convergence
MODULE 2
Option Fundamentals
Option payoffs, put-call parity, and the binomial model. Building intuition before continuous-time models.
- Payoff diagrams
- Put-call parity
- Binomial trees
MODULE 3
Black-Scholes-Merton
Derivation and application of the BSM model. Assumptions, limitations, and practical adjustments.
- BSM derivation
- Assumptions and limits
- Numerical implementation
MODULE 4
Greeks & Risk Management
Delta, gamma, theta, vega, rho. Hedging strategies and risk monitoring for option portfolios.
- Greek derivation
- Delta-gamma hedging
- Vega exposure
MODULE 5
Volatility
Implied volatility, volatility surfaces, and smile dynamics. From term structure to skew.
- Implied vol extraction
- Volatility surface
- Local vol and SABR
MODULE 6
Interest Rate Derivatives
Swaps, caps, floors, and swaptions. Curve construction and rate model calibration.
- IRS pricing
- Cap/floor valuation
- Swaption models
MODULE 7
FX Derivatives
Currency options, cross-currency swaps, and hedging international exposures.
- FX option pricing
- Cross-currency swaps
- Corporate hedging
MODULE 8
Credit Derivatives
CDS pricing and hedging. Credit indices, tranches, and correlation risk.
- CDS mechanics
- Credit curves
- Index and tranches
MODULE 9
Exotic Options
Barrier options, Asian options, lookbacks, and path-dependent structures.
- Barrier pricing
- Monte Carlo methods
- Finite differences
MODULE 10
Structured Products
Equity-linked notes, principal protection, and structured deposit decomposition.
- Product decomposition
- Pricing and hedging
- Risk disclosure
MODULE 11
Corporate Hedging
Designing hedging programs for corporate treasury. Hedge accounting and effectiveness testing.
- Policy design
- Instrument selection
- Hedge accounting
MODULE 12
Derivatives Disasters
Case studies in what went wrong. Metallgesellschaft, LTCM, Barings, and lessons for risk management.
- Case analysis
- Governance failures
- Control frameworks