We place great emphasis on interaction. Therefore, the training will be a combination of recorded training, exercises and guidance. The course includes:
You must set aside approx. 6 working days for the education.
Module 1 Derivatives
Regulation
OTC vs exchange traded derivatives
Futures and forwards
Repos
Forward Rate Agreements
FX-swaps
Cross Currency Swaps
Interest Rate Swaps
Caps, Floors, Collars
IRGs
Swaptions
CDS-contracts
Module 2 Option Pricing
Put-call parity
No-arbitrage pricing
Risk-netral pricing
Pricing of stock options
Pricing of interest rate options
Pricing of FX-options
European options
American options
Black-Scholes-Merton model
Black-76 model
Garman-Kohlhagen model
Cox-Ross-Rubinstein (CRR) binomial model
Black-Derman-Toy (BDT) model
Monte Carlo Simulation
Exotic options
Module 3 OTC-derivatives – Pricing and Counterparty Risk
OIS-discounting
Credit Value Adjustment (CVA)
Debt Value Adjustment
Funding Value Adjustment
Counterparty Risk Management
Collateral Management
Netting
Central Clearingparties (CCPs)
OTC derivatives pricing
EMIR
Dual Curve Pricing
IBOR Transition
The education is relevant for finance professionals working with derivatives:
Risk Managers
Treasurers
Financial Authorities
Middle Office Employees
Analysts
Consultants
Account Manager
The programme assumes a general understanding of the investment management or treasury industry. The first module provides a solid foundation and introduces the key concepts required for the two more advanced modules.
Jørgen Just Andresen is Managing Director of Financial Training Partner A/S, which he co-founded in 2002.
He has many years of teaching experience as a chief consultant at SimCorp’s training department, which he joined in 1996. Prior to SimCorp he worked at Danske Bank with fixed income research and fixed income sales.
Jørgen also works as an external lecturer at CBS (Copenhagen Business School) and was awarded teacher of the year at CBS’ education Graduate Diploma in Business Administration (Financial planning).
He is author of the books Finansiel Risikostyring (Financial Risk Management) and Finansielle Derivater (Financial Derivatives) published by Djøf Publishing.
He holds an M.Sc. (international finance) and an HD (accounting).
Jørgen teaches Derivatives, Risk Management, Portfolio Management and Fixed Income
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