Mastering Derivatives Markets

Table of Contents 1. Background and development of the derivatives markets * Market background * Introduction * Key features * Uses of derivatives * Range of derivatives * Increasing use of the Central Counterparty Model (CCP) * Risk and benchmarking * Market volumes * Users and uses of derivatives * Straight Through Processing (STP) 2. Market fundamentals * Introduction * How banks generate income * Three key assumptions * Role and use of LIBOR * Day counts * Financial maths * Calculating forward rates * Marking to market * Yield curves *Quiz 3. Risk -- a Primer * Introduction * Finacial risks: markets, credit, liquidity * Operational risk * More esoteric risks 4. Derviatives Fundamentals * Range of derivatives * What is a vanilla trade? * Settlement * Triggers * Liquidity and credit risk * Understanding the 'underlying' * Benchmarks * Fair value * Dealing with derivatives 5. Basic option concepts * Introduction * Option pricing * Option mechanics 6. Interest rate derivatives -- single settlement instruments * Introduction * Single settlement interest rate derivatives * Financial futures contracts * Forward rate agreements (FRAs) * Interest rate options (IROs) *Quiz 7. Interest rate derivatives * Introduction * Interest rate caps and floors * Interest rate collars * Interest rate swaps *Quiz 8. Benchmarking in the OTC derivatives markets Penny Davenport, Manging Director, Markit Document Exchange and Gavan Nolan, Vice President, Credit Research, Markit Group * Financial benchmarking for derivatives * Liquidity benchmarking for derivatives * Operational risk measurements for derivatives * Conclusion 9. Currency derivatives * Introduction * Over the counter currency options * Currency options: reduced premium strategies * Simple exotic structures * Currency swaps * Exchange-traded instruments *Quiz 10. The impact of electronic trading on the FX Market Ray McKenzie, Vice President, ICE * The early years * FX as part of a commodity portfolio * First electronic dealing

Francesca Taylor has been a major player in the international derivatives markets for over 25 years and has recently relocated to Dubai, UAE. Francesca is also the founder and ex-CEO of Taylor Associates (International) Ltd, a financial training company based in London, which provides training and education to a range of financial and non-financial organisations. She has extensive experience in the derivatives clearing and OTC post trade space working with key market providers of infrastructure services, notably Capco, CLS, DTCC, Deriv/SERV, Markit and Omgeo, both in the UK and North America. She has worked with CME and Bloomberg in NYC and ICE in Chicago to create TV and web based tutorials in traded options and future markets. Francesca has a BSc (Hons) in geology from London University, an MBA from Imperial College and an AMCT from the Association of Corporate Treasurers. Francesca is the author of the bestselling Market Know How: Finance and Markets and Mastering Exchange and Currency Options, 2nd edition, also published by FT Prentice Hall. A range of expert practitioners have also contributed chapters outlining their thoughts and views on the finance markets in their specialist areas: Penny Davenport and Gavin Nolan, Markit "Benchmarking in the OTC derivatives markets" Bill Hodgson, The OTC Space "When worlds collide, central clearing and the OTC market" Emilie Mazzacurati, Point Carbon "Carbon derivatives and environmental products" Ray McKenzie, ICE "The impact of electronic trading on the FX market" Eric Salomons, DFSA "Regulations in the derivatives markets"