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Advanced Foreign Exchange Options by Professor Uwe Wystup is the follow up seminar to the hugely successful Foreign Exchange Exotic Options.
This practical two-day course by
Professor Uwe Wystup
covers the modeling, pricing, hedging and application of FX exotics for use in trading, risk management, financial engineering and structured products.
Delegates are expected to bring their laptops with Excel/VBA installed. Some live examples will be worked out in the seminars. A pricing library for first generation exotics will be distributed to practice.
The Course
FX exotics are becoming increasingly commonplace in today's capital markets. The objective of this seminar is to develop a solid understanding of the quantitative and modeling issues of the current exotic currency derivatives. This will give participants the mathematical and practical background necessary to deal with all the products on the market.
Prior Knowledge
Calculus, probability theory, linear algebra, basics of stochastic processes, programming skills. Good knowledge of first generation products like barriers, touch, Asian, lookback, compound.
Who Should Attend?
Quantitative analysts, traders, risk-managers, financial engineers, researchers and anybody interested in quantitative issues in foreign exchange options.
Topics covered: | Day 1: Advanced Foreign Exchange Options | Day 2: Advanced Foreign Exchange Options | Details: | Booking | download pdf
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Day 1: Advanced Foreign Exchange Options | |
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Delta and ATM Conventions for Vanilla Options
- Parity and symmetry relationships
- ATM conventions: spot, forward, delta-neutral
- Delta conventions: premium included or excluded
- Spot vs Forward Hedging
- Handling difficulties for long term options and crazy markets
- Exercises
Volatility Smile
- Statistical Methods to build a smile surface: Splines and kernel smoothing
- Interpolation techniques
- Extrapolation techniques compared: Malz, cubic spline, vanna-volga, SABR
- Forward volatility: Analysis of model risk
- Workshop: Greeks in terms of deltas, hedging volatility risk, deriving the strike from the delta with smile for various delta-types
Variance and Volatility Swaps
- Pricing and hedging of variance swaps in diffusion models
- Quantifying the risk in the case of models with jumps
- Pricing and hedging of volatility swaps
Pricing and Hedging of First Generation Exotics
- How higher order derivatives influence the price
- Vanna-volga pricing approach
- Case study: One-touch
- Discussion of model risk and alternatives: stochastic volatility
- Workshop: pricing of barriers with smile
- Static, semi-static and superreplication
- Pricing under leverage constraints
- Workshop: Structuring and pricing of accumulative forwards
Day schedule: 09:00 – 17:30
Break: 10:30 – 10:45
Lunch: 12:30 – 13:30
Break: 15:15 – 15:30
Topics covered: | Day 1: Advanced Foreign Exchange Options | Day 2: Advanced Foreign Exchange Options | Details: | Booking | download pdf
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Day 2: Advanced Foreign Exchange Options | |
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Quantitative Issues
- Efficient computation of Greeks using homogeneity and other tricks
- Efficient computation of Greeks for American Options using Leisen-Reimer Trees
- Workshop: Time Options with Leisen-Reimer Trees
- Local Volatility model and pricing with the smile using PDEs, application to barrier options
- Workshop: Pricing and hedging of discretely sampled partial lookback options (European and American style)
Stochastic Volatility
- Overview of models
- Details for the Heston model
- Closed-form solutions using Transform techniques for: vanillas, digitals, forward starts, faders, discretely monitored barrier options, compound optinos
- Efficient integration techniques: Gauss-Konrod integration
- Simulation techniques: Avoiding common traps
- Calibration
Jump Diffusion models
- Merton model, general Levy models, models with stochastic volatility and jumps
- Details for the Bates model (normal jumps and double exponential jumps
- Closed-form solutions using Transform techniques
- Simulation techniques
- Workshop: First generation exotics, target redemption forwards compared in different models
Multi Currency Exotics
- Pricing and Heding of Quanto-Options
- Hedging performance for known correlation (perfect currency triangle like EUR-USD-JPY)
- Hedging performance for unknown correlation (currency triangle like EUR-USD-XAU)
- Pricing and correlation hedging a basket with Smile: comparing weighted Monte Carlo vs. approximation by the best possible vanilla portfolio
Day schedule: 09:00 – 17:30
Break: 10:30 – 10:45
Lunch: 12:30 – 13:30
Break: 15:15 – 15:30
Topics covered: | Day 1: Advanced Foreign Exchange Options | Day 2: Advanced Foreign Exchange Options | Details: | Booking | download pdf
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Flight details:
All delegates flying into London on the morning of the event are reminded that they should arrive 30 minutes before the workshop starts for registration. The hotels West End location is approximately 1 hour from all 3 main London airports, Heathrow, Gatwick and City. Returning flights should equally allow for the events finishing time.
Sponsorship:
World Business strategies Ltd, offer sponsorship opportunities for all events, E-mail headers and the web site. Contact Sponsorship: +44 (0) 1273 674400
Disclaimer:
World business strategies command the rights to cancel or alter any part of this programme.
Cancellation:
By completing of this form the client hereby enters into a agreement stating that if a cancellation is made by fax or writing within two weeks of the event date no refund shall be given. However in certain circumstances a credit note maybe issued for future events.
Prior to the two week deadline, cancellations are subject to a fee of 25% of the overall course cost.
Topics covered: | Day 1: Advanced Foreign Exchange Options | Day 2: Advanced Foreign Exchange Options | Details: | Booking | download pdf
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Booking | |
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| If you purchase this product you will be transferred to the secure WorldPay site where your credit card details may be safely entered. Payments can be made in Sterling US Dollars & Euros |
Fees: £1099 + UK VAT per day
Register to FOR ONE or BOTH days of the workshop
Register to BOTH days of the workshop and receive £200 discount
Topics covered: | Day 1: Advanced Foreign Exchange Options | Day 2: Advanced Foreign Exchange Options | Details: | Booking | download pdf