|
Provided by: London Financial Studies FX Exotic OptionsAccounting and Finance |
 |
Course Outline
Foreign Exchange exotics are becoming increasingly commonplace in today's capital markets. The objective of this workshop is to develop a solid understanding of the current exotic currency derivatives used in international treasury management. This will give participants the mathematical and practical background necessary to deal with all the products on the market.
Delegates are entitled to a 30 discount on Uwe's book, FX Options & Structured Products
Guest speaker
Tino Senge: Quantitative Analytics Group, Barclays Capital
Who The Course is For
Traders
Risk managers
Financial engineers
Quantitative analysts
Structurers
Researchers and others who create or deal with foreign exchange.
Prior Knowledge
Calculus, probability theory, linear algebra, basics of stochastic processes, financial product knowledge up to Hull is also needed, programming skills.
Foreign Exchange exotics are becoming increasingly commonplace in today's capital markets. The objective of this workshop is to develop a solid understanding of the current exotic currency derivatives used in international treasury management. This will give participants the mathematical and practical background necessary to deal with all the products on the market.
Delegates are entitled to a 30 discount on Uwe's book, FX Options & Structured Products
Guest speaker
Tino Senge: Quantitative Analytics Group, Barclays Capital
Who The Course is For
Traders
Risk managers
Financial engineers
Quantitative analysts
Structurers
Researchers and others who create or deal with foreign exchange.
Prior Knowledge
Calculus, probability theory, linear algebra, basics of stochastic processes, financial product knowledge up to Hull is also needed, programming skills.
|
|
||||||||||
Training
Provided by London Financial Studies
- Y asked: hi Please can you send me the brochure with details on this course together with the price thanks
- M asked: course availability. sincerely
- T asked: Please could you forward me any information regarding FX option training courses?
- J asked: I am interested in gaining an overview and better understanding of FX Spots, Forwards and Swaps trading. I have a Mathematics background, and work in IT at my bank on Foreign Exchange systems, primarily Spot, Foward and Swaps. Would this course be suitable or too advanced ? and do you have alternative courses on this topic ? What is cost of course ?
- I asked: May I know date the future FX Exotic Option course and where it will be held. I'm open for Europe, Middle East and the USA. Best regards.
FX Exotic Options
Day One
Review of the Fundamentals of FX Options and Products (For a General Audience)
Fundamentals
* Components of foreign exchange risk: forwards,Swaps and vanilla options
* FX options market: who does what and why
* Software, in particular Reuters Dealing and SuperDerivatives
Pricing and Hedging in the Black-Scholes model
* Black-Scholes / Merton model in FX
* Derivation of the value of a call and put option
* Detailed discussion of the formula
* Greeks: delta, gamma, theta, rho, vega, vanna, volga, homogeneity and relationships among Greeks
Vanilla Options
* Put-call parity, put-call symmetry, foreign domestic symmetry
* Quotation conventions in FX
* Dates: trade day, premium payment day, exercise/expiration time, settlement day
* Settlement, spreads, deal processing, counterparty risk
* Exotic features: deferred payment, contingent payment, deferred delivery, cash-settlement, American and Bermudan exercise rights, cut-offs and fixings
* Exercises
Volatility
* Implied vs. historic
* Quotation in terms of deltas
* Volatility cones
* Volatility smile: term-structure, skew, risk reversals and butterflies
* Volatility sources
* Interpolation and extrapolation across the volatility smile surface
* Forward volatility
* Workshop: Greeks in terms of deltas, hedging volatility risk, deriving the strike from the delta with smile
First Generation Exotics: Products, Pricing and Hedging
* Digital options: European and American style, single and double barrier
* Barrier options: single and double, knock-in and knock-out
* Compound and instalment
* Asian options: options on the geometric, arithmetic and harmonic mean
* Power, lookback
Day Two
Structuring and The Traders' Rule of Thumb(For Structurers, Traders and Quants)
Structuring with Vanilla Options
* Risk reversal and participating forward
* Spreads and seagulls
* Straddles, strangles and butterflies
* Digital options
* Workshop: rolling series of seagulls
Applications in Structuring
* Dual currency and other FX-linked deposits
* Case study: unwinding a DCD
* Structured forwards: shark forward, bonus forward, range-reset forward, etc.
* FX-linked cross currency swaps
* Exotic spot and forward trades
* Workshop: structuring exercises
The Traders' Rules of Thumb
* How higher order derivatives influence the price
* Vanna-volga pricing approach
* Case study: one-touch
* Discussion of model risk and alternatives: stochastic volatility
* Workshop: pricing of barriers with smile
Day Three
Second Generation Exotics, Pricing and Hedging issues (For Structurers, Traders and Quants)
Single Currency Exotics
* Exotic features in (vanilla) options: deferred payment, contingent payment, deferred delivery, cash-settlement, American and Bermudan exercise rights, cut-offs and fixings
* Exotic barrier and touch options
* Faders, corridors, accumulative forwards
* Forward start options, step-ups
* Time options
* Variance and Volatility Swaps
* Workshop: structuring and pricing of accumulative forwards
Multi Currency Exotics
* Product overview with applications: quanto options, baskets, spreads, best-ofs, outside barriers
* Correlation: implied correlations, correlation risk and hedging
* Pricing in Black-Scholes model: analytic, binomial trees and Monte Carlo
* Workshop: pricing and correlation hedging a two-currency best-of
Quantitative Issues
* Efficient computation of Greeks using Homogeneity and other Tricks
* Efficient computation of Greeks for American Options using Leisen-Reimer Trees
* Workshop: Time Options with Leisen-Reimer Trees
* Local Volatility model and pricing with the smile using PDEs, application to barrier options
* Heston's Stochastic Volatility model, pricing, implementation techniques for analytic and Monte Carlo, applications to exotic options
* Pricing with the smile: e.g. weighted Monte Carlo
Review of the Fundamentals of FX Options and Products (For a General Audience)
Fundamentals
* Components of foreign exchange risk: forwards,Swaps and vanilla options
* FX options market: who does what and why
* Software, in particular Reuters Dealing and SuperDerivatives
Pricing and Hedging in the Black-Scholes model
* Black-Scholes / Merton model in FX
* Derivation of the value of a call and put option
* Detailed discussion of the formula
* Greeks: delta, gamma, theta, rho, vega, vanna, volga, homogeneity and relationships among Greeks
Vanilla Options
* Put-call parity, put-call symmetry, foreign domestic symmetry
* Quotation conventions in FX
* Dates: trade day, premium payment day, exercise/expiration time, settlement day
* Settlement, spreads, deal processing, counterparty risk
* Exotic features: deferred payment, contingent payment, deferred delivery, cash-settlement, American and Bermudan exercise rights, cut-offs and fixings
* Exercises
Volatility
* Implied vs. historic
* Quotation in terms of deltas
* Volatility cones
* Volatility smile: term-structure, skew, risk reversals and butterflies
* Volatility sources
* Interpolation and extrapolation across the volatility smile surface
* Forward volatility
* Workshop: Greeks in terms of deltas, hedging volatility risk, deriving the strike from the delta with smile
First Generation Exotics: Products, Pricing and Hedging
* Digital options: European and American style, single and double barrier
* Barrier options: single and double, knock-in and knock-out
* Compound and instalment
* Asian options: options on the geometric, arithmetic and harmonic mean
* Power, lookback
Day Two
Structuring and The Traders' Rule of Thumb(For Structurers, Traders and Quants)
Structuring with Vanilla Options
* Risk reversal and participating forward
* Spreads and seagulls
* Straddles, strangles and butterflies
* Digital options
* Workshop: rolling series of seagulls
Applications in Structuring
* Dual currency and other FX-linked deposits
* Case study: unwinding a DCD
* Structured forwards: shark forward, bonus forward, range-reset forward, etc.
* FX-linked cross currency swaps
* Exotic spot and forward trades
* Workshop: structuring exercises
The Traders' Rules of Thumb
* How higher order derivatives influence the price
* Vanna-volga pricing approach
* Case study: one-touch
* Discussion of model risk and alternatives: stochastic volatility
* Workshop: pricing of barriers with smile
Day Three
Second Generation Exotics, Pricing and Hedging issues (For Structurers, Traders and Quants)
Single Currency Exotics
* Exotic features in (vanilla) options: deferred payment, contingent payment, deferred delivery, cash-settlement, American and Bermudan exercise rights, cut-offs and fixings
* Exotic barrier and touch options
* Faders, corridors, accumulative forwards
* Forward start options, step-ups
* Time options
* Variance and Volatility Swaps
* Workshop: structuring and pricing of accumulative forwards
Multi Currency Exotics
* Product overview with applications: quanto options, baskets, spreads, best-ofs, outside barriers
* Correlation: implied correlations, correlation risk and hedging
* Pricing in Black-Scholes model: analytic, binomial trees and Monte Carlo
* Workshop: pricing and correlation hedging a two-currency best-of
Quantitative Issues
* Efficient computation of Greeks using Homogeneity and other Tricks
* Efficient computation of Greeks for American Options using Leisen-Reimer Trees
* Workshop: Time Options with Leisen-Reimer Trees
* Local Volatility model and pricing with the smile using PDEs, application to barrier options
* Heston's Stochastic Volatility model, pricing, implementation techniques for analytic and Monte Carlo, applications to exotic options
* Pricing with the smile: e.g. weighted Monte Carlo
About The Training Provider: London Financial Studies
London Financial Studies - London Financial Studies is a specialist teaching resource that concentrates exclusively on capital markets. We offer individuals, teams and companies expert teaching that combines theoretical understanding with practical experience.
Our business is driven by a distinct philosophy and clear values:
* Practical Application
* Intellectual Clarity
* Personal Approach
*...
