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Financial Derivatives I


The recent Global economic upheavals have given rise to enhanced emphasis on financial risk management by both financial institutions and corporations. One of the essential tools in financial risk management is the application of financial derivative(s) to hedge against interest rate fluctuations and foreign currency exchange exposures to minimize losses. With the recent liberalization of the financial markets and the availability of more exotic financial derivatives in the market, it is critical that management concerned fully understands the dynamics of financial derivatives and has the expertise to apply them in practice to minimize market risk. Also, as financial derivatives volumes have increased to multiple times the underlying spot market, and since derivative traders use the spot market to hedge their risk exposures; hence, even if one is only involved in the spot and vanilla market, one also needs to understand derivatives in order to know how derivative traders are now moving the underlying spot and vanilla markets in order to have a proper understanding of the deal flows. Participants will gain a better understanding of financial derivative products through the hands-on building of Yield Curves – the backbone of financial derivative products using Excel Spreadsheets. With this knowledge, they will then be in a better position to apply the relevant financial derivative products in managing interest rate/foreign exchange/equity/commodity risk exposures for their respective organizations. Participants will also be given the hands-on opportunity to “arbitrage” mispriced financial instruments during the program, and also to develop “hands-on” an options pricing model using Excel Spreadsheets. Through these exercises, they will have learnt how the Actuarial Pricing Methodology and the Arbitrage-Free Pricing Methodology work in the pricing of Financial Instruments in general.


Historical Background
Essential Mathematical Concepts
Interest Rate Derivatives Instruments and their Application
Currency Derivatives Instruments and their Applications
Extensions of the above notions to Equity and Commodity Derivatives
Hands On Session


In living life, the secret of the How’s is actually in the Why’s!
History is actually an important subject. Knowing history well tells us why we are here today. Knowing history really well can sometimes even tell us where we are heading into the future!
Have a good understanding of the Foreign Exchange and Interest Rate markets, and the main Treasury products available in these markets, including Derivative instruments.
Acquire a clear understanding of Financial Derivatives through focusing on the essential Mathematical Concepts that form the building blocks of these instruments.
Master the dynamics of Financial Derivatives as part of an extended toolbox of Financial Risk Management, which will in turn increase optimality in hedging strategies.
Have an understanding of how knowledge in Derivatives in the Foreign Exchange markets can also be extended to include Equity and Commodity market derivative instruments.
Have a hands-on opportunity to build Yield Curves – the backbone of most financial derivative products using Spreadsheets.
Usage of The PERMIT® Treasury & Financial Risk Management System and practical experience on structuring and pricing Financial Derivatives.


Senior Management, Treasury Personnel, Fund Management Personnel, Senior Corporate Banking Personnel, Risk Management Personnel, Operations and Settlements Personnel, Accounting and Finance Personnel, Legal and Compliance Personnel, Internal and External Auditors.



Dr. Jeffrey C. K. Lim, certified Financial Risk Manager (FRM) and certified Professional Risk Manager (PRM), is currently the Managing Director of PI ETA Consulting Company, a Treasury & Financial Risk Management Consulting Company. A Chartered Scientist (C.Sci.), a Chartered Mathematician (C.Math.) and an elected Fellow of the Institute of Mathematics and Its Applications (IMA), U.K. (FIMA), Jeff earned his Ph.D. in Stochastic Financial Modeling from the University of Cambridge in England. Jeff’s research interest at Cambridge was in the area of Arbitrage Opportunities occurring in the Mispricing of Financial Options, and his original research culminated in the publication of his doctoral dissertation entitled: “Multi-period Mean-Variance Option Portfolio Strategies”. Jeff was an authorized Securities & Financial Derivatives Representative in London, having been certified by The Securities and Futures Authority (SFA) in England, where he started his career as a Derivatives Analyst with Nomura International in London, England. He subsequently joined NatWest Markets from London, England to become its Head of Currency Structured Products for South and South-East Asia. Jeff then moved to American Express Bank to become its Director of Structured Products, prior to assuming his current position. Jeff has also contributed to the development and enhancement of talent and infrastructure for Singapore’s financial center as a guest Professor at the National University of Singapore’s Center for Financial Engineering, where he was responsible for the curriculum of its Master of Science degree program’s core modules in Financial Derivatives and Treasury Management. In addition, Jeff has also been invited by the Nanyang Technological University and the Singapore Management University to share his expertise in a similar capacity. In recognition of Jeff’s expertise and experience in the field of Treasury and Financial Risk Management, the University of New South Wales Asia appointed Jeff to be its first Adjunct Professor with the university’s Division of Business and Humanities. At PI ETA Consulting Company, Jeff was Principal Inventor in two of the Patents that the company currently holds – one in Treasury & Financial Risk Management Systems, and the other in Knowledge Management Systems. Professionally, Jeff is a Fellow of both The Global Association of Risk Professionals (GARP), U.S.A. and The Professional Risk Managers International Association (PRMIA), U.S.A. He is also a Fellow of the Cambridge Philosophical Society, U.K. and a Life-time Member of The Cambridge Society, U.K. Jeff is also honoured to be a Fellow of The Cambridge Commonwealth Society, U.K., having been previously awarded the Cambridge Commonwealth Trust and the Shell Group of Companies Doctoral Research

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