Derivatives Pricing
How forwards, futures, options, and swaps are priced and valued — built from the single idea that rules out a free lunch: no-arbitrage. Each lesson develops the valuation framework from first principles, then applies it through fully worked examples across equities, fixed income, rates, and currencies.
Forward Markets and Contracts
Pricing and valuation of forwards across equities, bonds, FRAs, and currencies — with day-count conventions and credit risk.
Futures Markets and Contracts
Marking to market and margins, the cost-of-carry model, and pricing interest-rate, bond, stock-index, and currency futures.
Option Markets and Contracts
Payoffs and moneyness, boundary conditions, put-call parity and synthetics, the binomial and Black-Scholes-Merton models, the Greeks, and the Black model.
Swap Markets and Contracts
Currency, interest-rate, equity and commodity swaps; pricing and valuation by replicating bonds; swaptions; and swap credit risk.
Interest Rate Derivative Instruments
Treasury bond and note futures, conversion factors and the cheapest-to-deliver, interest-rate options and swaps, and caps, floors and collars.
Credit Derivatives & CDS
Credit default swaps and settlement, CDS vs corporate bonds as pure credit risk, structured credit and CDO tranches, and credit-derivative trading strategies.
Solving the Liquidity Conundrum
Liquidity as appetite for risk, the shadow banking system, Hyman Minsky's financial instability hypothesis, and Ray Dalio's bubble indicators.
Valuing Bonds with Embedded Options
Valuing bonds with embedded options using binomial interest rate trees, backward induction, Option-Adjusted Spread (OAS), and convertible bond analysis.
Mortgage-Backed Sector of the Bond Market
Mortgages and amortisation, passthrough securities and WAC/WAM, measuring prepayments (SMM, CPR, PSA), average life, and CMO tranches — sequential, accrual, floater/inverse, IO, PAC and support — plus stripped and commercial MBS.
Europe's Whole-Loan Sales Market
Whole-loan (portfolio) sales versus securitisation, why Europe's mortgage market lags the U.S., the obstacles of non-standard credit data, country-by-country prospects, and the role of loan servicing.