Advanced FX Options & Structured Products

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"Very detailed, excellent view points from market participants, good technical coverage"
Head of Finance, Capula Investment Management LLP

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 3-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

The course assumes a general understanding of ‘vanilla’ derivative instruments and, whilst not based upon a detailed theoretical or mathematical approach, does require basic mathematical fluency.

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We have a combined experience of over 60 years providing learning solutions to the world’s major organisations and are privileged to have contributed to their success. We view our clients as partners and focus on understanding the needs of each organisation we work with to tailor learning solutions to specific requirements.

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  • Quality – our clients consistently rate our performance ‘excellent’ or ‘outstanding’. Our average overall score awarded to us by our clients is nine out of ten.
  • Track record – we have delivered training solutions for 95% of worlds’ top 100 banks and have trained over 250,000 professionals.
  • Knowledge – our 150 strong team of industry specialist trainers are world leading financial leaders and commentators, ensuring our knowledge base is second to none.
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