Advanced Currency Options

Day One

09.00 - 12.00  Currency Option Basics

• Definitions and Mechanics
• Overview of the Currency Options Markets
  • Listed options
  • OTC markets
• Vanilla Options
• Cross Rate Options
• Applications

Pricing of Currency Options

• Forward FX Rates
• Volatility and Correlation Forecasting
• The Garman-Kolhagen Model
• The CRR Model
• Pricing Vanilla and Cross Rate Options
• The "Greeks" of Currency Options
  • Standard Greeks (delta, gamma, vega,...)
  • Advanced Greeks (speed, colour, charm,…)
• Exercises

12.00 - 13.00  Lunch

13.00 - 16.30  Exotic Currency Options (I)

• Introduction
  • What is an Exotic Option?
  • Types of Exotic Pay-offs
  • Applications for Exotic Currency Options
  • Modelling Pay-offs and Pricing
• Average Rate (Asian) Options
• Barrier Options
• Look-Back and Look-Forward Options

Exotic Currency Options (II

• Euro-Digital Options
• Touch Options
• Contingent Premium Options
• Exercises

Day Two

09.00 - 12.00  Exotic Currency Options (III)

• Compound Options
• Basket Options
• Leveraged and curvi-linear options
• Chooser Options
• Embeddos
• Rainbow Options
• Balloon Options
• Ladder Options
• Quanto Options

Structured Currency Notes

• Dual Currency and Reverse Dual Currency Notes
• Dual Range Notes (EARNS on USD/EUR etc.)
• Index Currency Options Notes
• Principal Protected Currency Notes
• Exercises

12.00 - 13.00  Lunch

13.00 - 16.30  Trading Strategies with Currency Options

• The Trading Process
• Exchange Rate Forecasting
• Bull & Bear Strategies
• Cross Currency Spread Trading
• Ratio and Butterfly spread
• Risk Reversals
• Generating Additional Income from Foreign Assets
• Advanced Exotic Trading Strategies

Effective Risk Management with Currency Options

• Using Currency Options in Treasury Risk Management
• The Hedging Process
  • Calculating FX exposure, choosing the right instrument, calculating the hedge ratio, implementing and monitoring the hedge

Evaluation and Termination of the Seminar