Options School (Modular Course)

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Overview

Course overview

'Options School' provides you with a comprehensive and detailed analysis of options – pricing, risk characteristics, and their dynamic behaviour in the context of the management of a portfolio of options. The course is a combination of proprietary risk strategies combined with flow trading and market making responsibilities. The primary focus is to examine the dynamic risk characteristics of options from a trader/market maker’s perspective, addressing issues at the sales - client interface, operating in a professional and pro-active capacity in advising and executing client orders.

Module 1: Options Trading Workshop

This 3 day workshop gives delegates a comprehensive and practical analysis of options – pricing, risk characteristics and risk management. It explains the varied applications of options in corporate exposure management, portfolio hedging and tactical asset allocation, trading and investment applications, and in the engineering of structured products. This course evaluates options from a number of different perspectives – from a trader or risk manager’s point of view, focussing on the dynamic risks of options and the implications for their management, as well as from a sales and end user perspective, to gain understanding of the many strategies in which options are used to efficiently manage risk or monetise specific views and expectations, or achieve specific objectives.

The agenda covers all of the main asset classes – FX, equity, rates and commodities, and in addition examines closely related volatility products – variance swaps and listed volatility futures. The course assumes a general familiarity with derivative instruments and basic mathematical fluency.

Summary of course content

  • Build option pricing and valuation models
  • Gain practical understanding of option risks and dynamic hedging
  • Design option strategies for hedging and risk management
  • Understand how options can be used to monetise market views
  • Examine volatility trading and strategies used to exploit volatility expectations
  • Use options in financially engineered structured products
  • Understand FX, interest rate, equity and commodity options

Module 2: Advanced FX Options and Structured Products

The agenda of this course will offer delegates a thorough and practical understanding of currency option pricing and risks and will explain how options can be used in directional and non-directional strategies, together with their dynamic hedging implications.

The programme will also focus on analysing, structuring and decomposing hedging, trading and investment strategies utilising both vanilla and exotic options. Delegates will construct and examine a wide variety of directional and non-directional strategies, formulate strategies to meet client exposure management and other objectives, and decompose a range of structured option strategies into their component parts. The impact of changing market conditions on the pricing and performance of these strategies will also be examined.

Particular emphasis is placed on the dynamic interaction between option price determinants, the impact on portfolio risk of higher order risk properties of vanilla and exotic options (e.g. Vanna, Volga) and their pricing and risk management. Particular attention will be placed on higher order volatility risks Vanna and Volga, and their management within portfolios of vanilla and exotic option types.

The programme will then focus on exotic options and a range of the more commonly executed structured FX products as well as their pricing and risk characteristics, in order to understand the motivations and rationale for their usage in a variety of different hedging and trading applications.

Computer Exercises

The training will comprise classroom-based teaching combined with computer based (Excel™ based) simulations and exercises. The course assumes a general understanding of ‘vanilla’ equity derivative instruments and does require basic mathematical fluency.

Attend this intensive 2-day course and gain a comprehensive and detailed analysis of foreign exchange option derivatives. In particular, you will learn:

  • The pricing, risk characteristics, and the dynamic behaviour of FX options in the context of the management of a portfolio of options
  • How to analyse FX vanilla and exotic options
  • To construct pricing an valuation models for currency option
  • The use of FX options in a variety of directional and non-directional strategies
  • Different hedging and trading applications for FX options

Methodology

This course combines classroom based teaching with computer based simulations and computer based exercises, utilising a range of spreadsheet based software. Delegates will spend much of the course completing computer based case studies and exercises that replicate the day to day realities of financial markets and market behaviour. Pre-course reading material will be distributed to delegates prior to attendance at the course.

PLUS: Delegates will receive free copies of option pricing and risk management software for their own use after the programme.

Computer-based exercises

Delegates should bring their own laptops loaded with Microsoft Excel® 2010 or later to facilitate in-class studies and exercises.

Prerequisite

The course assumes a general understanding of 'vanilla' equity derivative instruments and requires basic mathematical fluency.

Who should attend this training course?

  • Traders and dealers
  • Derivatives sales personnel
  • Structurers
  • Risk managers and risk controllers
  • Corporate account officers
  • Asset managers
  • Corporate treasury personnel

FTS Eligible

This programme is approved for listing on the Financial Training Scheme (FTS) Programme Directory and is eligible for FTS claims subject to all eligibility criteria being met.

Please note that in no way does this represent an endorsement of the quality of the training provider and programme. Participants are advised to assess the suitability of the programme and its relevance to participants’ business activities or job roles.

The FTS is available to eligible entities, at a 50% funding level of programme fees subject to all eligibility criteria being met. FTS claims may only be made for programmes listed on the FTS Programme Directory with the specified validity period. Please refer to www.ibf.org.sg for more information.

Please note that this course is only eligible for FTS Funding when registering for all modules.

You can attend the comprehensive course which runs from 16-20 June 2014 and save US$1,690 or pick from the following modules.

Options School (Modular Course)
16-20 June 2014, Singapore

Module 1: Options Trading Workshop
16-18 June 2014, Singapore

Module 2: Advanced FX Options and Structured Products
19-20 June 2014, Singapore

Supporting publication:

 

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