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Our courses are intended for a global audience, with each one being completely customisable to suit the needs of the individuals it is being delivered to.

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Currency Options – Part 2

  • Derivatives, Foreign Exchange
  • Duration: Two days
  • 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.


    Day One

    Session 1:

    Introduction and Course Objectives

    Session 2:

    Pricing Options

    Reviewing the 5 key premium determinants

    • Strike Price

    • Time to expiry

    • Underlying product price

    • Risk free interest rate

    • Volatility

    Session 3:

    Pricing Models

    • Black-Scholes and other variants

    • Model assumptions

    • 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:

    • Straddle

    • Strangle

    • Call/Put spread

    • Calendar spread

    • Risk reversal

    • Butterfly spreads

    • Ratio spreads

    Day Two

    Session 1:

    Portfolio Management

    • Aggregating risk

    • Reading portfolio risk

    • Risk Matrices

    • Managing The Greeks- one step ahead

    • Strike Risk

    • Case study

    Session 2:

    Model Imperfections

    • Breakdown of Model Assumptions

    • Accommodating model imperfections in pricing

    • Volatility curves

    • Exercises

    Session 3:

    Advanced Greeks

    • Di Delta - Di Vol

    • Di Vega – Di Vol

    • Delta Decay

    Session 4:

    Advanced Option Pricing

    Introduction to Super Derivatives

    • Live Volatility quotes

    • Creating strategies

    • Pricing pitfalls

    • Pricing more advanced options using current market data

    Session 5:

    Simulation exercise

    Exotic options

    • An introduction to exotic options

    • Pricing simple exotic options

    • Exercise

    • Simulation Review

    Course Close

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    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.

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