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ARTSchool Developer's Kit Presentation Resources

This section highlights the salient features and contents of the "core" package of slides, all available via the power of Accent Graphics Presentation Librarian database.  The numbers in brackets indicate the number of slides  .. please feel free to enquire about the "detailed" list of content via the form on the 

List of Volumes

Basic Markets/Finance/Economics (237)

Securities (586)

Derivatives (1,422)

Structured Product and Financial Engineering (436)

Trading (644)

Quantitative Methods - 1 (1,048)

Quantitative Methods - 2 (512)

Risk Management (439)

 

Contents

Basic Markets/Finance/Economics (237)

Description of market participants (lenders, borrowers, investors, ...) with emphasis on their needs, risk/return preferences, where they make their money, etc (63)

Overview of market instruments and their basic properties including loans, FX, Equities, Commodities, listed and OTC derivatives ... (98)

Overview of basic tools and concepts including supply/demand, risk/return profiles, liquidity, arbitrage vs. fair value vs. "real value", credit - with worked examples (76)

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Securities (586)

Interest Rate: short term loans/deposits, corporate notes/bonds, Government notes/bonds - all including many graphical aids for structure of cash flows, as well as pricing and basic sensitivity calculations.  Description of market idiosyncrasies and conventions in terms of indices, curves, attributes, many worked examples. (278)

Foreign Exchange: spot FX trading including implications of Interest rate parity, basic pricing and sensitive methods, idiosyncrasies of majors vs. minors vs. crosses, and worked examples (112)

Equities: spot individual and index products with detailed description of instruments, conventions and including valuation and sensitivity tools and worked examples (128)

Commodities: description of spot commodity contracts in softs, metals, energy with special attention to individual market considerations and conventions and conditions worked examples (68)

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Derivatives (1,422)

Additional special considerations for the basic valuation concepts with special attention to the concept of arbitrage/fair value as applied to derivatives in theory vs. the "real world", as well as various important notions (e.g. the "whys and wherefores" of EFP vs. difference contracts and many more) worked examples (61)

Non-Contingent Derivatives: Forwards, futures, swaps including all important contract in all asset classes, such as FRAs, depo futures, bond futures, IR swaps, Currency swaps, FX swaps, equity swaps, commodity swaps, as well as a variety of complex product such as fixed arrears, diff swaps, and many more).  Each detailed description includes emphasis on "reality impact" as well as valuation and sensitivity calculations with worked examples (377) 

Contingent Derivatives (options):

Exotic Options: comprehensive coverage of all "usual suspects" (all Asian types, lookback, chooser, compound, barrier, digital, spread, exchange of asset, quanto's, multi-index, etc) in each providing "economic need" and "where is the greed", do and donts, valuation and model issues  worked examples and cases (236)

Credit Derivatives: comprehensive =coverage of not only the "usual suspects" (CDs, TotRS, Credit Spread Options, Knock-in Credit options, CDOs, CLO's etc), but also illustrating what the "world did" prior to CDx's, and providing linkages to ratings and default measures with a considerable amount of theory vs. reality worked examples and cases (278)

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Structured Product and Financial Engineering (436)

Considerations for FE: basic issues of supply/demand and operational preparation (the cost of marketing a special structure in a "fad" etc), demand driven structures vs. market condition structure

Cases of Structured Products: Fair-way bonds, Structured CBs, amortising knock-out coupon quanto option, structuring to exploit IR curve dynamics, FX spread options, FX-cross vol structure.

Arbitrage vs. Structuring: consideration of various so-called arbs - Index-Futures arb, CB vs. forward equity arb and CB vs. vol arb.  Real worlds requirements for successful arbs, examples of "failed arbs" such as swaption arb and various CB vol arbs

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Trading (644)

Trading vs. valuation: investing vs. market making overview with emphasis on trade idea generation vs. structuring, trading discipline, and more (30)

Trading positions case studies: examination of holding period strategies for a variety of "positions" of increasing complexity bond position, bond future position (2 cases: direct match vs. rotation/spread strategies), swap position, vanilla option position (3 cases: equity delta, FX delta/gamma, pyramid), digital option profile replication position (3 cases: sensitivity, static, dynamic), spread option position,  multi-index correlated position cases - CBs (323)

Portfolio optimisation: examination and illustration of three techniques for "optimal" portfolio allocation and holding period strategies including the "best bang" method, mean-variance method, and holding period methods.  In each case illustrating the pros/cons of each approach including back-tested risk/return performance results worked examples (291)

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Quantitative Methods - 1 (1,048)

Basic Stats and Maths: review of all relevant maths appropriate to trading and risk management with each section using many graphical and industry relevant examples including statistics& probability, derivatives&integrals, matrices with many many examples such as position sensitivity, "factors" in factor allocation and term-structure models, options probabilities, VaR probabilities worked examples (227) 

Basic Valuation Methods: Curve and surface methods such as bootstrapping, splines, and fitting market IR/FX/Vol data, as well examples of cheap/dear analysis in equity vol, swaption term structure, and bond curve histories; Root finding for bond pricing, implied vol, bond portfolio immunisation; worked examples and cases (239) 

Valuation and Risk Under Uncertainty -1: starts with a very lucid and understandable grounding in the basic tools (and their real world implications) for the valuation of stochastic prices/yields, includes many worked examples for forwards, and options worked examples (121) 

  Valuation and Risk Under Uncertainty -2: detailed illustration of important numerical methods for valuation and risk including Monte Carlo Methods - with detailed examples for vanilla options, exotic options, structured products, and risk management; Tree Methods- detailed illustration of the using trees for valuation and risk of vanilla, complex, and term-structure problems; The Finite Difference Method - heavily illustrated and understandable explanation and worked examples for options pricing.  Reality Impact considerations for pros/cons of each method,  worked examples and cases (461) 

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Quantitative Methods - 2 (412)

Stochastic Calculus ... that even trader's can understand: a lucid (well as lucid as stoch calc gets) description of the basics, terminology, real world interpretation and connection. worked examples and cases (151)

Term-structure models: including the "usual suspects" (Vasicek, CIR, CRR, HW, HJM, BDT, BK, SS, etc) covering one factor, and multi-factor models, including explanation of model, real world interpretation, comparison of models, calibration, and "reality impact" on P&L and risk worked examples and cases (261)

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Risk Management (439)

Risk management basics: types of risk, measures of risk, reality impact vs. theory (38)

Position Keeping vs. Risk Management: illustrates the differences and implications between the risk management requirements for positions keeping (sensitivities, profile matching, multi-index, etc) and draw-down/probabilistic (VaR etc) based approaches.  Many formulas with reality impact interpretation worked examples and cases (115)

VaR: illustrated explanation and worked examples of CVaR, HVaR, MCVaR illustrating pros/cons of each approach as well back tested performance of the methods plus consideration of alternate approaches worked examples and cases (286) 

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Last modified: July 25, 2011