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Specialised Training For

Traders & Investment Managers

Training Calendar Spring 2012

Courses and Workshops on Trading and Investment Strategies

Hedge Fund Strategies Market Fundamentals

Technical Analysis Derivatives Trading

High Quality Training Presented by World Class Market Experts

Global Markets Media is proud to present its Spring 2012 training calendar for trading and investment professionals.

All of our courses are specifically designed for traders, hedge funds and fund managers across all asset classes, with a focus on trading and investment strategies. Our trainers are recognised experts in their fields as well as being highly experienced in teaching market professionals in seminar and workshop settings. Training takes place at the luxury Apex City of London Hotel, located in the heart of the City of London and just moments from Tower Hill underground station.

We offer all our published training courses for delivery ‘in-house’ at our client’s premises. This can enable us to tailor the content towards a preferred asset class, market or strategy during the course. Our in-house training courses can also be bespoke, being designed and delivered to meet your specific needs across the full range of trading strategies and financial products.

These training courses are offered by “The Technical Analyst” magazine and “Global Markets Training”, divisions of Global Markets Media Ltd.

Global Markets Media Ltd 10 Quarry StreetGuildfordGU1 3UYUnited Kingdom

+44 (0)1483 573150

CONTENTS

THE TECHNICAL ANALYST

Introduction to Technical Analysis 3

Advanced Technical Analysis 4

Short-Term Trading Workshop 5

Trading Psychology Workshop 6

Pairs Trading e-learning Workshop 7

GLOBAL MARKETS TRAINING

Backtesting and Optimization Workshop 8

Central Bank Policy and Short Rate Strategy 9

Economics for Traders and Fund Managers 10

Energy Derivatives 11

Fundamental Bond Strategies 12

Merger Arbitrage 13

Options Trading Workshop 14

Short-Term Interest Rate Futures: Introduction 15

Short-Term Interest Rate Futures: Advanced 16

Statistical Arbitrage 17

Structured Products Workshop 18

Swaps Workshop 19

Yield Curve Trading 20

Training courses and workshops

Page 1

“Very interesting course. Steve is an excellent teacher and the ideas and techniques I have picked up will be very useful in the future.”

Michael Coad, Dealer - Rates and Credit, National Australia Bank

“Steve is an excellent presenter. He conducted a very good course. Lots of take away points to ponder upon.”

Richard Fullarton, Trader, Shell

“An excellent course.”Nick van Rensburg, Trader, Investec

“I was really absorbed into this workshop from the very beginning until the end and beyond. Excellent.”

Giorgio Rovito, Equity Portfolio Trader, Banca IMI

“Excellent content and quality of presentation.”Adrian Codirlasu, Senior FX Options Dealer, ING Bank

“Very good course with good application of techniques and methods.”

Jeremy Baker, Portfolio manager, Harcourt Investment Consulting

“Excellent course content and presentation.”Stephane Fima, Director,

Societe Generale

“Very useful introduction to techniques I had not come across before as well as much needed clarification of some things I had picked up as “folklore” but did not know in detail. Thanks.

Vice-President, Credit-Suisse

“Excellent content and clarity of training.”Shaugn Wilkie,

Portfolio Manager, Macquarie Bank International

Excellent course, a real eye-opener in places.”Andrew Beer,

Equities Market Maker, RBS

“Excellent content and quality of presentation.”Investment Manager, GAM

“The course was clearly thought out and well-planned for those wishing for a brief introduction to macroeco-nomics. Andrew was precise and informative and did relate the material to current events when possible. Highly recommended.”

Jeremy Baker, Portfolio manager, Harcourt Investment Consulting

“The two days were very useful for me and perfectly fit my needs. The trainer has great knowledge and experi-ence and didnt hesitate to share as much as possible.”

Henning Prelle, FX Trader, BayernLB

“Course was excellent thanks. Very happy with the course and thought Trevor was great.”

Stephen O’Sullivan, Christopher Street Capital

“Trevor was inspiring. He helped sort out the more important TA indicators from the hundreds that exist. Every indicator he delved into was thorough and easily absorbed.”

Patrick Hogarty, Head of Trading, Alder Capital

“I was very pleased with the course and I will certainly recommend my colleagues to join it.”

Edward Linderoth, Danske Bank

“Excellent.”Tim Proctor, Director, Net Investors

“I can recommend going on the course for anyone that likes to use technical trading as a tool to increase profitability.”

Bo Knudsholt, Chief Dealer, Nordea Markets

“A fantastic trainer. The concepts were taught in a concise manner and the course is very useful for directional traders as well as vol/Option traders alike.”

Ani Banerjee, Global Multi Assets, Citigroup

“Very very helpful!”Oliver Baumann, Investment Analyst,

Sloan Asset Management

“A tremendous amount of information provided through thoughtful intruction tailored to meet the make-up of the entire audience. I consider the materials covered to be an important foundation for continued learning.”

Colin Murray, Vice President, Pala Investments

“Very informative and flexible to what each trader wanted to take away from the workshop.”

Toby Donovan, Trader, Armajaro Trading

“Excellent course content and presentation.”Daniel Stephens,

Strategic Hedge Book Manager, Trafigura Beheer

TESTIMONIALS

Introduction to Technical Analysis provides a thorough grounding in technical analysis to traders and investment managers of all asset classes who are new to the subject. This one day course covers the essentials of technical analysis, whether from a purely short-term timing perspective or for longer-term analysis, and is designed to get students quickly up to speed and to a level where they can apply TA correctly and confidently in the markets they cover.

Duration: 1 Day (9am to 5pm)

Next Date: 12 June 2012

Course Fee: £895 + VAT

Venue: Apex City of London Hotel, EC3

Course Outline

Technical analysis+ Why it works and its limitations

Chart types+ Line, bar, candle and semi-log+ Using them in different markets and market conditions

Support and resistance levels+ Identifying levels+ Assessing their strength + Expected price movement on the break of levels

Trend lines+ Drawing lines correctly+ Recognising trend line breaks and ‘false breaks’

Chart patterns + The major continuation and reversal patterns+ Identification and how to project subsequent price moves

Volume+ Understanding its significance and using volume data

with price

Moving averages+ The different types of moving average lines + Which periods to use + Moving average based trading techniques

Dow Theory+ Appreciating the contribution of Charles Dow

New developments in technical analysis+ What new analysis is catching on?

INTRODUCTION TO TECHNICAL ANALYSIS

Reserve your place online at www.technicalanalyst.co.ukor contact [email protected] / +44 (0) 1483 573150

Introduction to Technical Analysis

Advanced Technical Analysis is a two-day course for practitioners with market experience who are familiar with the essentials of technical analysis and who would like to delve further into using TA on a regular and integral basis. The course will help delegates find their own way of putting together indicators and studies into coherent strategies – across different asset classes and for different market conditions. This course can be taken as a follow on from the Introduction to Technical Analysis, page 3.

Duration: 2 Days (9am to 5pm)

Next Dates: 13 & 14 June 2012



Course Outline

Charting scales+ Comparing linear and log scaling on charts

Candlestick charts+ An overview of the 40 most popular patterns+ Lesser known but effective patterns and how to trade

them+ Applying stochastic studies to candlestick charts

Point and figure charting+ Generating clear and unambiguous trading signals + The most effective applications of point and figure

Chart patterns+ The most effective continuation and reversal patterns+ Head-and-shoulders, double tops and bottoms and

consolidation areas.

Trading volume+ The On Balance Volume (OBV) indicator+ Chaikin’s oscillator

Moving averages techniques+ Choosing period settings for moving average lines+ Advanced rule-based trading methods

Fibonacci ratios+ Practical applications: retracements, targets and time.

Trend lines+ Drawing them correctly+ Targets, false breaks and exit methods+ DeMarks’ TD Lines: an alternative to trendlines

Ichimoku charting+ Ichimoku explained and its practical application

Advanced indicators+ Moving Average Convergence-Divergence+ Wilder’s Relative Strength Index+ Stochastics+ Directional Movement Index

DeMark Indicators+ TD Sequential and TD Combo: calling tops and bottoms

Long-term trend analysis+ Identifying a trend and assessing its strength+ Indicators that measure if the market is trending+ Measuring if the trend is close to exhaustion + Market breadth indicators+ Advance/Decline analysis techniques

ADVANCED TECHNICAL ANALYSIS

Page 4 Reserve your place online at www.technicalanalyst.co.uk

Advanced Technical Analysis

Short-Term Trading Workshop is a two-day course designed for all market professionals concerned with finding the precise moment to enter or exit a trading position in any asset class. By looking at a variety of trading techniques and real-time examples, the course shows how to use technical indicators to develop an effective short term trading strategy.

Each delegate will be equipped with a PC and real-time charting software.


Next Dates: 2 & 3 May 2012



Course Outline

Fibonacci ratios+ When can they be used? + How to choose the A-B move to measure your B-C

reaction + How to set targets

Oscillators+ The different types of oscillators, (including the RSI),

and what they show us+ The compromise between timing and accuracy+ Recognising bullish and bearish divergences

The Floor Traders Pivot System+ A comparison with Tom DeMark’s TD Range Projection

Wilder’s Relative Strength Index+ How to trade it+ The benefits of altering periods

Stochastics+ Identifying strong and reliable signals+ The MACD - how it is too far behind the curve for short

term trading+ A new MACD technique that brings the entry point as

close as possible to the market turn

Bollinger Bands+ When, and when not, to use them + Do 2 standard deviations still work best? + A rule based technique for making frequent scalping

profits + Comparing Bollinger Bands with Keltner Bands

Gap trading+ How to trade at the opening and at market figures

Short term chart patterns+ Patterns that work+ A 1-2-3 reversal pattern+ Pre-empting patterns such as double tops and head-

and-shoulders

SHORT-TERM TRADING WORKSHOP

Short-Term Trading Workshop

or contact [email protected] / +44 (0) 1483 573150 Page 5

Trading Psychology Workshop is a practical and interactive two-day course designed for traders who want to improve their trading performance, develop their decision making skills, strengthen their discipline, and learn practical performance enhancement techniques for taking their trading to the next level. It is an intensive programme of applied trading psychology with the content being largely drawn from the areas of performance psychology, neuroscience, behavioural finance and cognitive behavioural coaching. Each delegate will be asked to complete a high performance psychometric test which will be evaluated as a part of the programme.


Next Dates: 15 & 16 March 2012



Course Outline

Traders behaving badly - Understanding trading performance, decision making and discipline+ What is trading performance?+ A framework for understanding trader decision making

and the factors affecting it+ The 5 deadly sins of trading

Awareness advantage - How to gain greater control of your urges and unconscious behaviours+ The 3 key areas of awareness + Practical approaches for developing greater

awareness and impulse control+ Behavioural risk management

Think or blink - Insights from behavioural finance and neuroeconomics into your trading brain+ Exploring cognitive biases and their impact on trader

decision making+ Learning about the trading brain from a neuroeconomic

perspective+ Techniques and strategies for reducing the impact of

biases and hardwired brain functions

Thinking differently - Creating a mental map for trading success+ Understanding how thoughts, beliefs, perceptions and

assumptions impact on performance+ Strategies for identifying your thinking tendencies and

changing them where appropriate+ Creating ‘mental maps’ for successful trading

Keeping the chimp in the cage - How to manage fear & stress, creating confidence & resilience + Understanding the impact of emotions on trading

performance+ Practical techniques for creating peak states such as

confidence and resilience+ Strategies for overcoming limiting states such as fear,

anxiety, stress and anger including a biofeedback demonstration and training

Personality, Pavlov and performance - Understanding your trading behavioural tendencies+ Developing awareness of your own behavioural

tendencies and how they may play out in your trading (supported by insights from the psychometric test)

+ Learnt behaviours and habits and how to create them/overcome them

+ Behaviour and trading strategies - finding the sweetspot

Raising the bar - Improving performance+ The change factor+ The spiral of high performance + Performance enhancement techniques and strategies

Consolidation and breakout - Review, plan, do+ Review and consolidation of learning + Question

and answer session + Development of a personal performance improvement plan

TRADING PSYCHOLOGY WORKSHOP

Trading Psychology Workshop

Page 6 Reserve your place online at www.technicalanalyst.co.uk

This e-learning workshop introduces delegates to pairs trading, an important and effective market neutral strategy. The principle methods of research and implementation are discussed in detail and students will be given access to MATLAB software to put theory into practice. No prior knowledge of MATLAB is required. (Note: Students will be able to apply the principles learnt during the workshop, regardless of which software they choose to use thereafter).

Course Fee: £895 + VAT. Price includes:

+ Online course module (3 months access)+ Hard copy manual+ MATLAB software (1 month) + MATLAB tutorial+ Direct access to trainer for assistance

Module Outline

Basic Concepts in Pairs Trading+ Stationarity of a time series+ Cointegration of 2 time series+ Calculating the half-life for mean-reversion

Practical Aspects of Pairs Trading+ The pitfalls of cointegration analysis+ Is cointegration necessary for pairs trading? + “Parameterless” pairs trading strategies+ What about stop losses?+ Pairs trading stocks, ETFs, and futures+ High-frequency pairs trading

Beyond Trading Pairs+ Trading an ETF against a subset of its component

stocks+ Exercise: Constructing a trading model + Statistical arbitrage: picking two subsets of stocks from

an index & trading them against each other+ Exercise: Constructing a market neutral statistical

arbitrage strategy

Conclusion+ Mean-reversion vs. momentum strategies: why focus

on the former?+ Cointegration and mean-reversion: related, but neither

necessary nor sufficient+ Different ways to construct mean-reverting portfolios+ Software for download, books and articles for

references

APPENDIX MODULE: MATLAB Tutorial+ Why MATLAB and what are the alternatives?+ Exercises: building some utilities for trading and

plotting simple graphs+ Using toolboxes+ Freeware: Spatial-econometrics.com

PAIRS TRADING E-LEARNING WORKSHOP

Pairs Trading e-learning Workshop


Backtesting and Optimization Workshop is a two-day course designed for traders and investment managers of all asset classes and time scales who are looking to test a trading strategy. The course will provide delegates with a fundamental and practical understanding of issues in backtesting, optimization, and risk control, and delegates will use relevant software (MATLAB and PC supplied) throughout the workshop. No prior knowledge of MATLAB is required. (Note: Students will be able to apply the principles learnt during the workshop, regardless of which software they choose to use thereafter).





Course Outline

Overview+ What is backtesting and how does it differ from

“simulations”?+ What can we do to increase the predictive power of

our backtest results?+ Incorporating optimization and money/risk management + Identifying good/bad strategies before a backtest

Choosing a backtest platform

Choosing a historical database

Exercise: backtesting various types of strategies+ Single ETF/stock/currency+ Futures+ Portfolio of stocks

Performance measurement+ Returns and excess returns+ Drawdown calculation+ The importance of Sharpe ratio+ Subtleties in Sharpe ratio calculation

Ways in which your backtest may not reflect reality+ Look-ahead bias+ Data-snooping bias and ways to avoid it+ Survivorship bias+ Impact of noisy data on different types of strategies+ Impact of historical or current short-sale constraint+ Impact of transaction costs+ Volume constraint+ Regime change+ The importance of paper trading

Optimization of parameters + Using MATLAB to optimize+ Using Alphacet Discovery to optimize (Demo)+ Interpolating the optimal parameters+ Pitfalls of parameter optimization+ What is “portfolio optimization” and do you need it

Money and risk management+ Optimal capital allocation and leverage via “correlation

analysis” and the Kelly formula for continuous finance

BACKTESTING AND OPTIMIZATION WORKSHOP

Backtesting and Optimization Workshop

Page 8 Reserve your place online at www.globalmarkets-training.co.uk

Central Bank Policy and Short Rate Strategy is a one day course that will provide participants with a framework to formulate strategy using short-term interest rate instruments. It considers the setting of interest rates by central banks, how to monitor central bank policy and how to read the expectations priced into the market. Some prior knowledge of money market cash and derivative products is assumed.


Next Date: 25 May 2012



Course Outline

Central Bank Policy+ How central banks set short-term interest rates+ Targets and instruments of monetary policy+ Brief history of monetary policy in the major economies+ Inflation targeting – excess demand and the ‘output

gap’+ Operation of rules versus discretion – the Taylor Rule+ Asset prices and the ‘transmission mechanism’+ Interest rates in an open economy+ Financial conditions and the response to ‘bubbles’+ The recent crisis – policy and regulatory initiatives + Legal framework and structure of the Federal Reserve+ FOMC meetings and minutes – how to monitor the Fed+ Structure and policy implementation of the ECB+ How to monitor the ECB – is the ECB transparent?+ Structure and policy implementation of the Bank of

England+ Communication strategy and the role of expectations+ Market-based measures of policy expectations+ Using options to infer the short rate probability

distribution+ Forward rates as predictors of future spot interest rates+ Measurement and determination of the risk premium+ WORKSHOP: Shadow Central Bank Meeting

Instruments + Spot and forward interest rates+ Treasury Bills and Certificates of Deposit+ Repurchase Agreements+ Forwards and futures – institutional arrangements+ Forward Rate Agreements+ STIR Futures – principal contracts and pricing+ Overnight Index Swaps – central bank meetings+ WORKSHOP: Forwards and Futures

Short Rate Strategy+ Market directional views – outright trading+ Spread Trades – cross-country views+ Calendar Spreads – path of interest rate forwards+ Box Trades – cross-country forward views+ TED spread and credit risk+ LIBOR-OIS and counterparty risk+ Current Views

CENTRAL BANK POLICY AND SHORT RATE STRATEGY

Central Bank Policy and Short Rate Strategy


Economics for Traders and Fund Managers is a two day course that examines all aspects of international macro economics as it relates to the global financial markets. By examining how economic fundamentals impact on financial assets such as equities, bonds and currencies, delegates will gain a better understanding of how to interpret economic news and anticipate market reaction. The course is designed for market participants with little or no formal training in economics.





Course Outline

Economic Growth and Real Interest Rates+ Which economic indicators move equity and bond

markets?+ Real interest rates and the business cycle+ Corporate profits and the business cycle+ Flow of funds – demand for and supply of credit+ Determinants of economic growth & economic cycles

Inflation and Nominal Interest Rates+ Inflation expectations and nominal interest rates+ Money and inflation – Quantity Theory+ Phillips Curve – wage inflation versus unemployment+ Market and survey-based measures of inflation+ Is deflation in the major economies a serious threat?

Monetary and Fiscal Policy+ How central banks set short-term interest rates+ The Taylor Rule and inflation targeting+ Asset prices and the ‘transmission mechanism’+ Market-based measures of policy expectations+ Fiscal policy and the supply of government bonds+ Are public finances unsustainable in Europe?

Corporate Bond Spreads and the Business Cycle+ Which economic indicators move credit spreads?+ Spreads and expected loss given default+ Structural models – Merton+ Defaults and loss rates through the economic cycle+ The ‘Credit Risk Premium Puzzle’

Balance of Payments and FX+ Which economic indicators move FX markets?+ Balance of payments accounts+ Absolute and Relative Purchasing Power Parity (PPP)+ Definition of the real exchange rate & FX models+ Is the Euro now over-valued?

Economic Indicators and the Markets+ Definition and measurement of key economic indicators+ Consensus expectations and the impact of ’surprises’+ Why does US news move global markets?+ Why does European news have less impact on global

markets?+ Leading indicators of economic activity

ECONOMICS FOR TRADERS AND FUND MANAGERS

Economics for Traders and Fund Managers


This two day course offers a thorough introduction to the energy markets and sector specific derivatives and their pricing. The course is designed to cover all areas of the energy derivatives market including oil, natural gas, coal and electricity. It will also cover the carbon markets and emissions trading.

Duration: 2 days (9am to 5pm)

Next Dates: 3 & 4 May 2012



Course Outline

Energy Pricing and Derivatives+ Energy market drivers+ Market users and participants+ Spot and forward pricing+ Forward curves + Calculating the convenience price and yield+ Energy derivatives – Delta One + Energy derivatives – Options + Workshop – energy derivatives applications

Oil Markets and Derivatives+ World reserves and production+ Crude types – sweet n’ sour, heavy n’ light+ Marker crudes and benchmark pricing + Differential swaps & spreads: Pricing+ Crude oil price drivers+ The refining process and distillates markets+ Refining netbacks+ Pricing a Crack Spread+ Crack curves and stock level predictors+ Workshop – energy swaps pricing

The Coal Markets+ Coal types and uses+ Demand versus supply and reserves+ Freight costs+ Coal price drivers+ Coal pricing – international and USA+ Trading coal

Natural Gas Markets and Derivatives+ Natural gas types+ Market supply and demand, market drivers + Transportation and storage+ The US, UK & European gas markets + Delivery basis+ Natural Gas basis swaps and spreads+ Workshop – natural gas swaps+ NGL and Fractionation spreads: Calculating the shrink

Electricity Markets+ Electricity market structure & price drivers+ The electricity markets: Nord Pool+ UK Electricity market+ Forwards, swaps, spreads & options+ Spark and Dark spreads: Calculation + The adjusted (clean) Spark spread

Carbon Markets and Emissions Trading+ Greenhouse gases and the Carbon markets+ The Kyoto Protocol & Emission Trading Schemes+ Clean Development Mechanisms+ Joint Implementation+ US Compliance Schemes+ Power and Emissions Workshop+ Voluntary Schemes: The Climate Exchanges+ Trading Carbon Emissions: Forward curves & spreads + Correlations with fuels+ Emissions swaps

ENERGY DERIVATIVES

Energy Derivatives


Fundamental Bond Strategies is a one day course that will provide participants with a framework to formulate fundamental strategies in the government bond markets. It considers the setting of short-term interest rates by central banks, the macro drivers of bond yields and the behaviour of the yield curve through the business cycle. Some prior knowledge of bond market pricing is assumed.


Next Dates: 18 May 2012



Course Outline

Macro Fundamentals of Bonds+ Which economic indicators move bond markets?+ Real and nominal interest rates+ The business cycle, growth and return on capital+ Flow of funds – demand for and supply of credit+ Equilibrium or ‘natural’ real rate of interest+ Nominal interest rates and inflation expectations+ Par yields, spot rates and forward rates+ Bond yields as the expected path of short rates + Interest rates in an open economy+ Empirical properties of bond market behaviour+ What should we be watching?

Macro Fundamentals of Bonds+ How central banks set short-term interest rates+ Targets and instruments of monetary policy+ Modern central bank policy – inflation targeting+ Inflation and the ‘output gap’ – excess demand+ Operation of rules versus discretion – the Taylor Rule+ Monitoring the major central banks+ Market-based measures of policy expectations+ Risk, uncertainty and behaviour of the term premium+ Fiscal policy and the supply of government bonds+ Budget deficits and the sustainability of debt

+ Current assessment of sovereign debt risk+ Are public finances unsustainable in Europe?+ WORKSHOP: Spot Rates and Forward Rates

Instruments + Bond pricing – commonly used yield measures+ Accrued interest and day count conventions+ Fitting the yield curve – alternative approaches+ Theories of the term structure+ Repurchase agreements – funding and leverage+ ‘Carry’ and forward pricing+ Price sensitivity measures – duration and convexity+ Horizon return analysis+ Index-linked bonds and traded real yields+ WORKSHOP: Bond Pricing and Return Analysis

Strategies+ Relative value trading – identifying switch opportunities+ Riding the curve – ‘carry’ and ‘roll-down’+ Curve slope trading – duration weighting+ Butterfly/Barbell – proceeds and/or duration matched+ ‘Breakeven’ inflation – nominal versus real bonds+ Sovereign spread trading+ Current views

FUNDAMENTAL BOND STRATEGIES

Fundamental Bond Strategies


Merger Arbitrage is a one day course that provides the foundation for any fund manager looking to explore merger arbitrage. Delegates will gain insight into the benefits of adding merger arbitrage to an investment portfolio, the mechanics behind merger arbitrage, and the practical considerations and potential pitfalls of the strategy.


Next Date: 28 May 2012



Course Outline

Benefits of Merger Arbitrage for a Diversified Portfolio+ Volatility of stocks going through a merger+ Return and correlation characteristics + Risk and return of merger arbitrage funds

Incorporating Risk into the Arbitrage Decision + Probability of closing + Severity of losses

Sources of Risk and Return + Deal spread; liquidity; dividends+ Timing and speed of closing+ Short sales as a hedge and an element of return+ Leverage boosts returns+ Covered call writing+ Commissions and portfolio turnover+ Bidding wars and hostile bids

Deal Structures: Mergers and Tender Offers + Mergers: Cash Mergers and Stock-for-Stock Mergers+ Tender Offers+ Comparison of mergers and tender offers+ Case Study (Canadian deal structures)

Financing + Financing of mergers versus tender offers+ Uncertain merger consideration+ Investment banks and fairness opinions+ Systemic risk

Legal Aspects+ Merger process and takeover defenses+ US Case Studies

Special Considerations+ Management compensation and continuing

management interest in buyouts+ Related party transactions+ Private equity buyouts+ Minority squeeze-outs

Government Involvement (with US Case Studies)+ Antitrust; SEC; State & Fed Government+ Trade Unions

Four Ways to Fight Abuse of Shareholders in Mergers

Practical considerations+ Trading versus investing+ Leverage and options; + Shorting stocks+ Transaction costs+ Managing cash position & risk management+ Standard & Poor’s Merger Arbitrage Index+ Separate accounts+ Hedge funds and mutual funds

MERGER ARBITRAGE

Merger Arbitrage


Options Trading Workshop is a one day course in which delegates will learn: The advantages and disadvantages of options compared to delta one products like futures and forwards; Options terminology, trading mechanisms and pricing methodologies; How to model the profit and loss potential of options and their risk factors in custom Excel templates; The different strategies such as bull and bear spreads, straddles, butterflies, time spreads, ratio spreads, conversions and reversals, and how to model their payoffs and risk factors. Delegates will be equipped with a PC and Excel.


Next Dates: 24 April 2012



Course Outline

Introduction to Options+ Delta one profiles versus option payoffs+ Option terminology: Calls and Puts+ Options Mechanics and Trading Conventions+ The Option Premium: Intrinsic and Time Values+ Basic premium valuation+ Moneyness and Leverage+ Expiry payoffs+ WORKSHOP: Modeling Option Payoffs

Option Pricing+ Pricing options prior to expiry: An intuitive approach+ Option Models: Black Scholes, BOPM and Monte Carlo+ Early exercise considerations+ Volatility: Historical and Implied

Risk Management + The Greeks: Delta, Gamma, Theta, Vega and Rho

Portfolio Management + Delta hedging: The Gamma/Theta trade-offWorkshop+ Option Pricing and Greeks Modeling

Option Strategies+ The benefits of option strategies+ Option strategies: Bull/Bear Spreads, Butterflies,

Straddles, Time spreads, Ratio spreads+ Identifying Volatility trades versus Directional trades+ Identifying strategy risks: Early exercise, Pin risk and

Sticky Strikes+ WORKSHOP: Option Building Blocks – Using option

strategies to modify payoff and risk

OPTIONS TRADING WORKSHOP

Options Trading Workshop


STIR Futures (Introduction) is a one day course in which delegates will learn: The unique properties of STIR futures and how the markets work; How to price and value STIR futures and what impact monetary policy has had on pricing relationships; How the Bloomberg functions work; How to use STIR futures to hedge interest rate exposures; The properties and applications of different strategies such as spreads, butterflies, packs and bundles.


Next Date: 26 April 2012



Course Outline

Introduction to STIR Futures+ The market for interest rate futures+ Introduction to STIR futures and exchanges+ Contract structure and specifications+ Quotation conventions+ How do STIR futures differ from other futures?+ Outrights, Spreads, Packs, Bundles, Butterflies and

Condors+ Strip yields and the credit crunch+ Clearing and margining+ Accessing the market, ISV’s, co-lo, algorithms and

implied pricing+ Exercise: Constructing spreads and determining

profit and losses

STIR Futures Pricing and Valuation+ Forward rates and forward curves+ STIR futures implied forward rates+ STIR Pricing formula+ Simple and Value basis & convergence+ “Cheap” and “Dear” STIRs+ Bloomberg STIR valuation functionality: EUS[GO]+ Reverse-engineering EUS[GO]

Hedging Using STIR Futures+ Interest rate hedging+ Basic hedging of interest rate exposures using

STIR futures+ Advanced hedging to incorporate: Size, tenor, rates

and basis+ WORKSHOP: Hedging interest rate exposure with

STIR futures

Using STIR Futures – Trading+ Asymmetric trades+ Price drivers and leading indictors+ Economic indicators+ Correlated and uncorrelated markets+ Cross market STIRs+ Event risk+ Central Bank Rhetoric+ Calendar spread and the yield curve+ Spread characteristics+ The spread matrix+ Butterfly spreads and condors+ Pricing strategy trades+ The effects of the credit crunch on strategy trades+ Inter-market spreading

SHORT-TERM INTEREST RATE FUTURES: INTRODUCTION

Short-Term Interest Rate Futures: Introduction


STIR Futures (Advanced) is a one day course in which delegates will learn: How STIR Futures integrate with other money market products like Overnight Index Swaps and FRAs as well as capital market instruments such as bonds and swaps; How to use STIR futures to hedge bonds and swap positions; How to trade STIR futures against other products and be able to manage the risks such as credit risk or convexity; How to construct advanced trading strategies, and How to use STIR futures as implied financing for carry trades on stock indices or currencies.





Course Outline

Using STIR Futures – Hedging Bonds and Swaps+ Introduction to Bonds+ How bond duration differs from STIR duration+ Hedging bonds using STIRs+ Hedging Bond futures with STIRs+ Swaps and swap risk factors+ Hedging swaps by time buckets+ Adjusting for the convexity bias

STIR Futures and Money Market Instruments+ Types of money market instruments and how they

relate to STIR futures: LIBOR; EURIBOR; Depos; Overnight Index Swaps; General Collateral Repo; Forward Rate Agreements

+ Central Bank Policy Rates+ Inferring market expectations of interest rate changes

from STIR futures and other money market instruments

Using STIR Futures – Cross-market Relative Value Trading+ Term spreads with bond futures+ The choice of Stacks, Packs and Bundles+ Term spreads with swap futures+ OIS/STIR+ Fed funds/Eurodollar+ Synthetic Index calendar spreads+ Synthetic FX Calendars+ WORKSHOP: Trading strategies – Constructing term

spreads and implied financing trades

SHORT-TERM INTEREST RATE FUTURES: ADVANCED

Short-Term Interest Rate Futures: Advanced


This two day workshop introduces delegates to statistical arbitrage strategies, including pairs trading, with particular reference to research, testing and implementation. Relevant software (MATLAB) will be used throughout the workshop to illustrate examples and to help students practice the essential steps in developing a stat arb strategy. No prior knowledge of MATLAB is required. (Note: Students will be able to apply the principles learnt during the workshop, regardless of which software they choose to use thereafter).





Course Outline

Directional trading+ Concept of stationarity and why it is useful+ Statistical test for stationarity: adf+ Exercise: Tesing for stationarity+ Testing for mean-reversion: computing half-life based

on Ornstein-Uhlenbeck formula+ Why is computing half-life better than computing

average holding period?+ Exercise: Computing the half-life of mean-reversion+ Exercise: Backtesting a Bollinger-band strategy

Pairs and triplets trading+ Concept of cointegration and why it is useful+ How is cointegration different from correlation?+ Statistical tests for cointegration: cadf and Johansen+ Exercise: Find out if GLD-GDX is cointegrating+ Finding the best hedge ratio+ Exercise: Backtesting a Bollinger-band strategy+ Trading cointegrated triplets+ Exercise: Backtesting a Bollinger-band triplet strategy+ What are the best markets to pairs trade?

Index Arbitrage+ Trading an ETF against a basket of its component

stocks+ Two ways of constructing a basket+ Exercise: Backtesting a trading model

Long-short portfolio+ Ranking stocks in an index based on various simple

returns criteria+ How minor variations in strategies can produce big

differences in returns+ Important biases and pitfalls in backtesting long-short

portfolio strategies+ Exercise: Backtesting variations of a long-short

portfolio strategy

Momentum strategies and factor models+ Types of event-driven momentum: PEAD, merger

arbitrage, etc.+ Exercise: Gathering data and backtesting a PEAD

strategy+ Factor models and PCA

STATISTICAL ARBITRAGE

Statistical Arbitrage


This exciting one day course presents a practical introduction to structured products covering structured product construction and mechanics as well as the application of exotic options. Delegates will also learn about the component optionality in SPs and use Excel based spreadsheets to reverse engineer industry products.

Duration: 1 day (9am to 5pm)




Course Outline

Vanilla and Exotic Options+ Introduction to options+ How exotic options payoffs differ from vanilla options+ How exotic options fit with structured products+ Types of exotic option: Barriers; Digitals; Asian;

Quantos; Correlation+ Modelling the payoffs and risk characterises of exotic

options: Delta, gamma, theta and vega boundaries+ Options modelling workshop

Structured Products Construction and Mechanics+ Introduction to structured products.+ Benefits and disadvantages+ Setting the participation rate and level of principal

protection+ Constructing structured products using zero strike

digitals and optionality: Equity linked notes; Ladder bonds; Reverse convertibles; Range accrual notes (RAN); Combination products (Worst of RAN notes); Basket and spread notes; Turbo; Structured forwards; Autocallable notes; Airbags

+ Constructing equity linked notes and RAN

Reverse Engineer Industry Examples+ Abbey stock market linked savings bond+ Allied Irish guaranteed stock market bond+ ABN Twin Win+ DrKW Gresham Enhanced European Index

STRUCTURED PRODUCTS WORKSHOP

Structured Products Workshop


This invaluable one day course provides an in-depth introduction to the swaps market. It includes swap mechanics, conventions and pricing along with instruction on how to calculate swap profit & loss and unwinds. The course also covers Asset, Overnight Index, Currency and Basis swaps and provides essential guidance on specific swaps trading strategies.

Duration: 1 day (9am to 5pm)

Next Date: 27 March 2012



Course Outline

Interest Rate Swaps+ Swap market background and history+ Swap mechanics and conventions+ Swap applications: Using swaps to transform asset and

liability exposure+ Calculating swap P&L and unwinds+ Workshop: Swap applications

Swap Valuation+ Introduction to swap valuation considerations+ Present value considerations+ Deriving discount factors from deposits and par swap

rates+ Pricing a EUR 5Y Fixed Annual 30/360, Floating act/360

swap+ Swap risk: DV01+ Calculating swap profit and losses+ Approximating swap NPV and DV01

Asset, Currency and Other Swaps+ Asset swaps+ Currency swaps+ XCCY asset swaps+ Overnight index swaps+ OIS/LIBOR swaps+ Basis swaps and constant maturity swaps+ Case study: Currency swaps

Spread and Curve Trading Using Swaps+ Swap spreads, drivers and mechanics+ Curve trades: Steepeners and flatteners; Bull and bear

steepeners and flatteners; Constructing a DV01 neutral bear flattener; Carry and roll-down

+ Butterfly trades: Belly richening and belly cheapening butterflys

+ Case study: Power Reserve Dual Currency Note hedging using long dated swaps

SWAPS WORKSHOP

Swaps Workshop


Yield Curve Trading is a one day course that provides participants with a framework to formulate yield curve trading strategies. It considers the fitting of the yield curve, theories of the term structure, and the behaviour of the yield curve through the economic cycle. It also outlines the strategies typically used to anticipate changes in the shape of the yield curve. Some knowledge of bond market cash and derivative products is assumed.


Next Date: 9 March 2012



Course Outline

The Yield Curve+ Real and nominal interest rates+ Real interest rates and economic growth+ Nominal interest rates and inflation expectations+ Par yields, spot rates and forward rates+ Bond yields as the expected path of short rates plus a

risk premium+ How central banks set short-term interest rates+ Market-based measures of policy expectations+ Interest rates in an open economy+ Fiscal policy and the term premium+ Fitting the yield curve – bond selection+ Linear and cubic interpolation+ Introduction to cubic splines+ Regression-based techniques+ Nelson-Siegel and Svensson models+ Pure Expectations theory of the curve+ Market Segmentation – risk and liquidity premiums+ Empirical behaviour of the yield curve+ WORKSHOP: Spot rates and forward rates

Instruments and Analysis + Spot and forward interest rates+ Long-dated forwards+ Horizon return analysis+ ‘Carry’ and ‘roll-down’ analysis+ Bond price sensitivity measures+ Duration-weighting of yield curve trades+ WORKSHOP: Bond pricing and return analysis

Strategies+ Riding the curve+ Trading the slope of the curve+ Curve trades using swaps+ Constant Maturity Swaps+ Butterfly-barbell trades+ Box Trades+ Current Views

YIELD CURVE TRADING

Yield Curve Trading

Page 20Reserve your place online at www.globalmarkets-training.co.uk

or contact [email protected] / +44 (0) 1483 573150

“Excellent course, informative and clearly presented... overall a fantastic course and I shall be attending further courses.”

Trader, RBS Sempra Commodities

“Very knowledgeable speaker who conveyed all points very well. Very practical techniques that I am, applying to my every day trading. Very pleased.”

Ben Franklin, Treasury Dealer, SG Hambros

“Excellent course content and excellent quality of presentation.”

Senior FX Forwards Trader, Deutsche Bank

“Extremely useful. I’m likely to attend again at some point in the future.”

Paul Lewis, Director, Triniti Financial Group

“Excellent course content; excellent quality and clarity of presentation; and an excellent manual.”

Seamus Magner, Head of Trading, Irish Life Investment Managers

“The course was really good.”Risk Arbitrage Sales, SEB Enskilda

“Everything - including the administration of the booking, the venue, the course content, the manual, and the quality of the trainer’s presentation - was excellent.”

Dr Ingvar Mattsson, Credit Analyst, Swedbank

“An excellent course.”Azim Mahomed, Trader, Gulf International Bank

“Excellent quality of presentation and clarity of training.”

Research Analyst, Man Investments

“Very well presented and good depth of knowledge / experience.”

Fund Manager, Invesco Real Estate

“Excellent.”Julia Chatwyn, Investment Coordinator,

Irwin Mitchell LLP

“The trainer clearly knew his stuff and as an ex trader he had all the practical user experience. A very informative course.”

Fund Manager, Pelham Capital

“Excellent course content and quality of presentation.”

Junior Associate, Banca IMI

“Excellent course, very thorough and informative. Significant and in depth information was provided on the short term interest rate futures product..”

Trader, Zenith Bank UK

“Clarity of training was excellent.”Research Analyst, Man Investments

“A great seminar that helped me to better understand and complemented the groundwork layed out in the trainer’s books.”

Herwig Prielipp, Cominvest Asset Management

“Excellent course content, excellent venue.”FX Trader, HSH Nordbank

“Excellent course.”Trader, Banca IMI

“Excellent course content and quality of presentation.”Hassan Johaadien,

Head of TAA Research, Aviva Investors

“Excellent course.”Hai Jiang, Carbon Trading Manager,

Eneco Energy Trade

“This was one of my top courses. The course was informative and well presented. The use of PCs with MATLAB was actually very productive. Thanks.”

Senior Trader, Mizuho International

“Stephen was very professional and his background allowed him to interact very well.”

Lee Partridge, Trader, Helaba

“An excellent, well presented course that covered all areas I had hoped for and was delivered by a high quality professional.”

Fund Manager, Chirin Capital

“Excellent course.”Holger Galuschke, Technical Analyst,

E.ON Energy Trading

“It was great to be able to use real examples. The course was very useful and the trainer did a great job in presenting and explaining various techniques accross a broad use of indicators. I am already trying to implement some of these.”

Iain Redmond, Research Associate, Fidelity International

TESTIMONIALS

March 2012 5 & 6 Backtesting & Optimization Workshop 8

7 & 8 Statistical Arbitrage 17

9 Yield Curve Trading 20

15 & 16 Trading Psychology Workshop 6

22 & 23 Economics for Traders and Fund Managers 10

27 Swaps Workshop 19

April 2012 17 Structured Products Workshop 18

24 Options Trading Workshop 14

26 Short-Term Interest Rate Futures: Introduction 15

27 Short-Term Interest Rate Futures: Advanced 16

May 2012 2 & 3 Short-Term Trading Workshop 5

3 & 4 Energy Derivatives 11

18 Fundamental Bond Strategies 12

25 Central Bank Policy & Short Rate Strategy 9

28 Merger Arbitrage 13

June 2012 12 Introduction to Technical Analysis 3

13 & 14 Advanced Technical Analysis 4

e-learning n/a Pairs Trading e-learning Workshop 7

Training Calendar Spring 2012

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