Pricing & Trading Options

Agenda Summary Options: The Fundamentals Basic Option Strategies with a Focus on Currency Options Risk Management ñ Understanding the Greeks and their Interaction Volatility Interest Rate Options Option Pricing Tools More Complex Options Exotic Options and their Pricing Features Structuring Bonds and MTNs Using Options Case Studies, Workshops and Exercises Understanding ëatí, ëiní, and ëoutí of the money Delegates will develop a variety of option combinations to understand strategies Delegates will establish a portfolio in Excel and its profit, loss and decay will be monitored as variables change Delta portfolio management Linking time periods and volatility Comparing caps, swaps and collars to hedge interest rate risks Understanding caps and floors Demonstration of pricing and the Greeks in Excel Delegates will work on using digital and barrier options for hedging currency risk. How can range accruals and basket options enhance yields for MTNs A variety of Structured Products will be dissected, a Convertible will be analysed