This course provides a comprehensive overview of the design, the manufacturing, and the pricing of plain-vanilla and complex derivative instruments, as well as structured financial products based on these derivatives. This is a practical, hands-on, `how to¿, course that places heavy emphasis on the broad array of methods that are available to market makers and buy-side market participants for the pricing of derivative instruments and the hedging of unwanted risk exposures, i.e., closed-form solutions, numerical procedures, and Artificial Intelligence techniques, and their application in a real-life setting using real market data.
The course shows how to unwind unwanted risk exposures using Data Science techniques, as well as market-specific risk measures. The course encompasses both the traditional finance (TradFi) and the decentralized finance (DeFi) settings, and spans `linear¿, `non-linear¿, as well as hybrid instruments. The course provides an enterprise-wide view of risk and risk management for financial institutions and buy-side market participants, and shows how to implement state-of-the-art methodologies for the assessment of market risk and counterparty credit risk exposures associated with derivatives trading books, and the estimation of economic and capital requirements to cover these exposures. Finally, the course explores recent developments in the regulatory environment surrounding derivative markets.