This 4 day comprehensive workshop is designed to deliver a “from the ground up” theoretical and practical understanding of the modern currency options market. Core concepts such as option and risk model assumptions and deficiencies, components of option premium and Put-Call Parity are introduced and their relevance explained. Requisite fundamentals, such as realised and implied volatility, option surface “smile and skew”, are then integrated into the alternate quotation methodologies for interbank counterparties and commercial customers, and risk-adjusted portfolio construction.
Structuring is an essential component for corporate traders, marketers and senior markets and treasury practitioners who want to develop a strong franchise in the foreign exchange market. Widely ranging alternatives include abundant combinations of vanilla options and then on to path dependent structures using the specific risk trade-off features available to Barrier, Digital and Asian options.
All of the above is in preparation for a simulated environment that pits the knowledge imparted to the delegates against the vagaries of the currency market to test their ability to not only quote all types of clients effectively and efficiently whilst also building a robust options portfolio that possess’ clearly defined risk parameters, limits and profit objectives.
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