Currency Options – Part 2
Information
This Two-Day highly participative course is aimed at banks, brokers and their advisors featuring, case studies and exercises. Likely participants will include personnel from, operations, product control, internal audit, legal department, IT, compliance, Treasury marketing and sales executives.
Schedule
Day One
Session 1:
Introduction and Course Objectives
Session 2:
Pricing Options
Reviewing the 5 key premium determinants
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Strike Price
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Time to expiry
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Underlying product price
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Risk free interest rate
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Volatility
Session 3:
Pricing Models
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Black-Scholes and other variants
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Model assumptions
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Limitations to and extensions of the pricing models
Session 4:
Revisiting ‘The Greeks’
Exploring The Greeks in detail, using them to manage risk over time
Reading the Greek profiles of some popular strategies:
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Straddle
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Strangle
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Call/Put spread
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Calendar spread
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Risk reversal
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Butterfly spreads
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Ratio spreads
Day Two
Session 1:
Portfolio Management
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Aggregating risk
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Reading portfolio risk
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Risk Matrices
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Managing The Greeks- one step ahead
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Strike Risk
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Case study
Session 2:
Model Imperfections
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Breakdown of Model Assumptions
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Accommodating model imperfections in pricing
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Volatility curves
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Exercises
Session 3:
Advanced Greeks
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Di Delta - Di Vol
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Di Vega – Di Vol
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Delta Decay
Session 4:
Advanced Option Pricing
Introduction to Super Derivatives
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Live Volatility quotes
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Creating strategies
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Pricing pitfalls
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Pricing more advanced options using current market data
Session 5:
Simulation exercise
Exotic options
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An introduction to exotic options
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Pricing simple exotic options
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Exercise
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Simulation Review
Course Close
Register interest
As every course we run is tailored to meet the specific needs of each client, we can only provide an estimate after fully understanding your specific requirements. Please complete the form below of call +44 (0) 208 894 4977 to discuss how Taylor Associates can help you.