1. Final Review

2. Topics Reasons for Risk ManagementReasons for Risk Management OptionsOptions FuturesFutures SwapsSwaps Interest Rate DerivativesInterest Rate Derivatives Structured FinanceStructured Finance

3. Reasons for Risk Management Match Supply of Internally-generated funds with Demand for funds for Capital Expenditures Match Employee’s incentives with Investors Match Information Advantage with Transaction Ability & Cost of Transaction

4. Options Valuation and UsageValuation and Usage –Black-Scholes & Model Applications DividendsDividends Implied Volatility & SmilesImplied Volatility & Smiles –Greeks: Delta, Gamma, Theta, Rho, Vega Calculation and Meaning –Delta Hedge Construction (Calls and Puts) –Delta Adjustment

5. Futures Basic PositionsBasic Positions Basic ValuationBasic Valuation Arbitrage Pricing (Cash & Carry, Reverse C&C)Arbitrage Pricing (Cash & Carry, Reverse C&C) ApplicationsApplications –T-Bill Hedge –Hedging a Floating Payment –Portfolio Hedge –Program Trading

6. Swaps Swap Cash FlowsSwap Cash Flows Swap ConstructionSwap Construction Swap RevaluationSwap Revaluation

7. Interest Rate Derivatives SwapsSwaps FRAsFRAs Caps/Floors/CollarsCaps/Floors/Collars

8. NexGen Issues – SIVs, Structuring, DefinitionsIssues – SIVs, Structuring, Definitions Cash FlowsCash Flows Return MechanicsReturn Mechanics