advanced financial derivatives - orion training

ADVANCED FINANCIAL DERIVATIVES

Maritime Professionals Course

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www.oriontraining.eu

Orion Training Center for Maritime Professionals

Course Guide

ISO 9001:2015

BUREAU VERITASCertification

Orion Training Center for Maritime Professionalsis a Certi�ed Training Institute in accordance with

ABS G-CMET and STCW Regulation I/8

Orion Training Center for Maritime Professionalsis Certi�ed as compliant with the Quality

Management System ISO 9001 by Bureau Veritas


PREAMBLE_____________________________________________________________________________________

Orion Training Center for Maritime Professionals is a unique Vocational Training Provider, on a wide spectrum of �elds in the Maritime Industry, for people who seek Certi�ed Training.Orion Training aims at strengthening the human capital in the Maritime Industry, by increasing its employability and developing its competitiveness in one of the most challenging and capital intensive industries globally.Drawing from the vast experience of Greek and International Professionals in the shipping sector, Orion Training aims at covering the need for Certi�ed Professional Training in a unique and technologically advanced way.By delivering on-line, state of the art Courses from Experienced Professionals, in a user-friendly format, we bring knowledge where really needed, when needed.

Visit our website www.oriontraining.eu to see all courses and training options for individuals andOrganisations.

SCOPE OF THE COURSE - LEARNING OUTCOMES_____________________________________________________________________________________


The Course aims at introducing attendees to the world of Financial Derivatives and Risk Management.Importantly, many practical and hands-on topics are covered, thus extending knowledge beyond what is regularly found in main text books and relevant courses. The Course also o�ers important advanced topics coverage through specialized primers.The Course covers the need for in-house technical and practical knowledge of �nancial Risk Management with the use of various types of Financial Derivatives, in many industries, including the Maritime Industry.It is a highly technical subject, as the need for thorough and in-depth understanding of fundamental concepts is of essence for business practitioners, both at operational and at managerial levels.

Attendees of the Course will be able to:

• Understand the fundamental pillars of all major types of Financial Derivatives and especially Option Contracts.• Adopt a Risk Manager thinking perspective when addressing market decisions and trading of Option Contracts.• Understand, structure and price speci�c derivatives instruments that help the enterprise to modify its cash �ows and risk pro�le, according to its strategic yield/risk framework.• Understand key technical and mathematical concepts in derivatives pricing and hedging, helping them to better and more e�ciently execute trades in the real world.

ELIGIBLE PROFESSIONALS - BENEFICIARIES - WHO IS THIS COURSE FOR:_____________________________________________________________________________________

INSTRUCTOR_____________________________________________________________________________________


The Course o�ers many special focus primers that cover advanced topics in Financial Derivatives, not easily found elsewhere. The availability and readiness of the Instructor for 9 months to answer queries in relation to the advanced material, guarantees the understanding of the topics by all Attendees.The course provides an accompanying Options Pricer in .xls format for Attendees to betterunderstand the fundamental concepts of Options prices and their sensitivities to various parameters.

SPECIAL FEATURES - ADDITIONAL MATERIAL_____________________________________________________________________________________


Dr Konstantinos Theodoropoulos is a Financial Risk manager – Proprietary Trader, with ongoing professional �nancial derivatives experience of +13 years. He is a banking industry practitioner, working as a portfolio risk manager in a Large Greek bank for the last 12 years. He has traded and executed various types of derivates transactions over the years, as well as managed di�erent types of �nancial instruments portfolios. He holds a Ph.D. in Shipping Derivatives and Risk Management from the University of Piraeus, and is a holder of Professional Risk Management certi�cation by PRMIA.org.

• Shipping Industry professionals working in the �nancial and/or risk management department of enterprises, seeking to understand and practically implement hedging/risk taking or cash �ow management strategies.• Professionals seeking to increase their employability across many industries, including the Shipping Industry.• New entrants in the Shipping Industry, specialized in �nancial risk management and Derivatives trading (i.e. BSc & MSc graduates).• Banking professionals specialized in the Shipping sector, seeking to acquire a solid and practical understanding of Risk Management and Financial Derivatives.• Professionals in the Financial sector seeking to get a deeper knowledge of Derivatives and practical aspects of Financial Markets.

COURSE STRUCTURE_____________________________________________________________________________________

Module 1: FORWARDS – FUTURES – SWAP CONTRACTS

IntroductionCourse ScopeThe World of Derivatives

Forward ContractsForward Contracts: Price & ValuationForward Contracts: Cost of CarryA chicken Asset: Bene�ts & CostsPresent, Future Value & DiscountingFair Forward PriceValue of Forward before settlementForward Contract Pro�t & Loss DiagramForward Contracts Issues PresentedContract Specs & Counterparty RiskUses of Forward Contracts-HedgingUses of Forward Contracts-SpeculationThe FRA marketAn FRA exampleFRA vs STIRsHow FRAs are DeterminedForward Contracts Concluding Remarks

Futures Contracts Futures Contracts De�nitionFuture Contracts SeriesMark-To-Market of FuturesMark-To-Market ExampleCME note on MTMTypes of Future Contracts Margins


Value of Future ContractsBasis of Futures ContractsFuture Contracts Specs ExampleThe Bund FutureA bond-Underlying to a bond FutureA bond's DV01A bond's DurationA bond's ConvexityCombining DV01 & ConvexityFutures Contracts Concluding RemarksSummary of Non-Linear Instruments

Swap ContractsSwap De�nitionInterest Rate Swap ExampleInterest Rate Swap TermsInterest Rate Swap – DiscountingI.R. Swap Terms – ExampleI.R. Swap Payments – ExampleI.R Swap DCF & Zero RatesI.R. Swap Payments – DiagramI.R. Swap - Floating Fixing DatesPar Swap RatesSwap Rates - Taking a view on I. R.Basic Uses of SwapsSwap Interest Rate SensitivitySwap TypesFX SwapsCross Currency Basis SwapsCommodity SwapsSummary of Swap Contracts



Module 2: OPTION CONTRACTS

IntroductionBrief History of OptionsOptions De�nition

Options Terminal Payo�s at MaturityOptions Payo� Diagrams at MaturityOptions Value Before Maturity DateBlack & Scholes FormulaBlack & Scholes Model AssumptionsGeneralized Black & Scholes ModelThe Greeks SensitivitiesOptions Intrinsic & Time ValueBasic Greeks ChangesVolatility Increases & Prices of OptionsChoice of Expiry in OptionsA volatility View is also neededKey Dates & Key Strike LevelsITM Options better for Normal MovesForwards Better for Directional PlaysOTM Options better for Abnormal MovesDelta Measures Dividend & Equity RiskAdditional Notes on DeltaReplacing Stock with Call or PutMaintaining Options PositionsConverting Options Early, is Rare

Option Trading StrategiesCall OverwritingPut Overwriting1X2 Call SpreadsNotes on Call Overwriting – ExpiryNotes on Call Overwriting – StrikePut SpreadsCollarsProtection Types1X2 Put SpreadsWays of Paying for ProtectionCalendar Strategies



Bullish Option StrategiesLadders Versus 1X2 SpreadsStraddles & StranglesButter�iesSummary of Options Strategies

Volatility Trading with OptionsPut-Call ParityZero Delta Straddles - Strike Above SpotDelta Hedging Removes Underlying RiskDelta Hedging in PracticeGamma ScalpingDelta Hedging on Key DatesOption Trading Rules of ThumbOption Hedging can "Pin" a StockVariance is the Key, Not Volatility

Stretching Black-Scholes AssumptionsContinuous Delta Hedging with Known VolPro�t from Delta HedgingThe Pro�t is not Path DependentContinuous Delta Hedging & Unknown VolDiscrete Delta Hedging with Known VolHow Frequency of Hedging A�ects PayoutHedging Frequency Reduces Hedging ErrorDiscrete Delta Hedging with Unknown VolCan a Cheap Option Loose Money?Hedging with Implied Vol Delta

Barrier OptionsWorst-Of / Best-Of OptionsOutperformance OptionsLook-Back OptionsComposite & Quanto OptionsSummary of Light Exotics




Module 3: OPTIONS PRICER

IntroductionDescription of PricerLong ATM Call Option becomes ITM

Price ChangeTime ChangeVolatility Change

Long ATM Put Option Becomes ITMPrice ChangeTime ChangeVolatility Change

Short ATM Call Option Becomes OTMPrice ChangeTime ChangeVolatility Change

Short ATM Put Option Becomes ITMPrice ChangeTime ChangeVolatility Change

Concluding Remarks

Primer 1: NOTES ON PRICING OF DERIVATIVES

Markov & Martingale PropertiesIntroductionThe Markov PropertyThe Martingale Property

Information Set & Probability MeasureA Brief Summary

Two Generic Models for Asset PricesThe Wiener ProcessWiener Process or Brownian Motion?Relevance of SDEs

ITO's Lemma

Primer 2: BLACK & SCHOLES PDE DERIVATIONS

The Black-Scholes-Merton PDEIto's Lemma and BSM ModelDerman-Taleb MethodB&S Derivation via the EMAThe Martingale Method

The Moment Generating FunctionThe Moment-Generating-Function ToolC. Expectations of Geometric ProcessesConverting Asset Price into MartingalesDetermining the Q Probability MeasureThe Implied SDE's

Derivation of B&S with EMMFirst Part of B&S DerivationSecond Part of B&S Derivation

Primer 3: OPTION GREEKS & GRAPHS

Options Sensitivity FormulasGeneralized BSM FormulaDelta

The behavior of DeltaFutures DeltaElasticity

GammaMaximal Gamma & the Illusion of RiskThe Gamma SaddleThe Gamma Percent

VegaVega Global Maximum

ThetaDriftless ThetaTheta-Vega Relationship

RhoGreeks AggregationsNumerical GreeksConcluding Notes

PREREQUISITES_____________________________________________________________________________________

• Familiarization with derivatives and/or Financial Markets is a merit.• No need for previous knowledge of Derivatives is required.

COURSE MATERIAL, DURATION & FREE CONSULTATION PERIOD_____________________________________________________________________________________

On-line videos for every module of the course, with accompanying PDF slides and notes available for donwload by attendees. Videos can be seen as many times as needed on-line. Accompanying .xls based Options Pricer.The course must be successfully completed (by passing the relevant �nal on-line Exam) within 9 months from registration/purchase. During this time, the Instructor is always available within 48 hours through email,for questions and queries relevant to the Course.Free 3-month Consultation period (after course successful completion) with the Course Instructor for any relevant questions and queries.

CERTIFICATION_____________________________________________________________________________________

Upon successful Course completion, the Certi�cate of Successful Completion is issued and sent automatically to attendees.

Fully on-line and self-paced videos with on-line exams and automated Certi�cate generation. Option for registration in webinar or classroom delivery for groups or corporate clients if requested.

CONTACT_____________________________________________________________________________________

For more information on the Courses o�ered, you may contact: [email protected]

For custom Courses and Professional Training you may contact: [email protected]

Watch our introductory course videos at our Orion Training Center for Maritime Professionals

You Tube Channel and Vimeo Channel.

DELIVERY METHOD_____________________________________________________________________________________



advanced financial derivatives - orion training

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