Course Modules:

Module 1: Introduction to Derivatives Markets

• Types of derivatives: futures, forwards, options, and swaps
• Key participants: hedgers, speculators, arbitrageurs
• Derivatives exchanges vs OTC markets
  Case Study: Growth of derivatives markets in East Africa
  Workshop: Match market needs to appropriate derivative products

Module 2: Futures and Forward Contracts

• Mechanics of futures markets and margin requirements
• Pricing using cost-of-carry models
• Hedging with currency, interest rate, and commodity futures
  Exercise: Construct a hedge for an importer using FX futures
  Case Study: Use of interest rate futures by a pension fund

Module 3: Options – Concepts and Strategies

• Option types, payoffs, and pricing principles
• Intrinsic vs time value, moneyness
• Option strategies: spreads, straddles, collars
  Workshop: Create payoff diagrams for different strategies
  Case Study: Using put options to protect a stock portfolio

Module 4: Option Pricing and Greeks

• Black-Scholes and binomial models
• Delta, gamma, vega, theta, rho and their interpretation
• Option sensitivities and portfolio hedging
  Exercise: Calculate option value and Greeks for a given set of parameters
  Case Study: Risk-neutral valuation in volatile markets

Module 5: Interest Rate and Currency Swaps

• Swap mechanics, notional amounts, and cash flows
• Pricing and valuation of plain vanilla and cross-currency swaps
• Applications in liability and asset management
  Workshop: Build and value a fixed-for-floating interest rate swap
  Case Study: Use of swaps to restructure public debt portfolios

Module 6: Credit Derivatives and Credit Risk Transfer

• Credit default swaps (CDS) and total return swaps (TRS)
• Applications in portfolio credit risk hedging
• Counterparty risk and collateralization
  Exercise: Evaluate the CDS spread for a corporate bond
  Case Study: Role of CDS in the 2008 financial crisis

Module 7: Structured Notes and Hybrid Instruments

• Principal-protected notes, reverse convertibles, equity-linked instruments
• Structuring for specific yield or risk exposures
• Customization and distribution considerations
  Workshop: Design a capital-guaranteed equity-linked note
  Case Study: Structured products in wealth management portfolios

Module 8: Asset-Backed Securities and Securitization

• Securitization process: origination, pooling, tranching
• ABS, MBS, CDOs: structure, credit enhancement, and risk
• Regulatory and rating agency requirements
  Exercise: Analyze a simplified CDO cash flow waterfall
  Case Study: Use of mortgage-backed securities in African housing markets

Module 9: Risk Management of Derivatives and Structured Products

• Market, credit, operational, and legal risks
• Value-at-Risk (VaR), stress testing, and scenario analysis
• Internal controls and limit frameworks
  Workshop: Develop a risk management strategy for a derivatives portfolio
  Case Study: Derivatives losses from weak risk governance

Module 10: Regulatory, Accounting, and Ethical Considerations

• Basel III, EMIR, Dodd-Frank, and local rules
• IFRS 9 accounting for derivatives and hedge documentation
• Ethical selling, transparency, and suitability obligations
  Simulation: Group presents a new structured product to a compliance committee
  Peer Review: Evaluate each product for regulatory and client suitability