Organizer: Indian Institute of Management, Shillong
Course Overview
Foreign Exchange options and exotics are becoming increasingly commonplace in today's capital markets. The objective of this workshop is to develop a solid understanding of the current exotic currency derivatives used in international treasury management. This will give participants the mathematical and practical background necessary to deal with all the products on the market.
Key benefits of Attending
- Learn how the FX Options market works from an extremely experienced practitioner,
get the market view you can't get from a text book, benefit from in-class case
studies and exercises, immediate practice of the theory, learn about the FX
smile surface, the way it is built, used and handled.
- Get the feeling of the hedging approach, understand pros and cons of financial
models, understand structuring well so that you can do it yourself and not
be cheated any longer, and understand how to hedge which product and the market
price of hedging strategies.
Who should Attend
Sales, Dealers, Traders, Risk managers, Financial engineers, Quantitative
analysts, analysts, Structurers, Investors, Treasurers, Regulators, Software
engineers, Researchers and others who deal with foreign exchange.
Course Outline
Day One: Review of the fundamentals of FX Options and Products
- FX Market Conventions: Symmetry, Delta, At-the-money
- Vanilla Options
- Volatility Smile Construction
- Structuring with Vanilla Options
Day Two: Structuring and The Traders' Rule of Thumb
- First generation Exotics: Products, Pricing and Hedging
- Structured Forwards, Interest Rate linked Structures
- Vanna-Volga Pricing and Stochastic Volatility Models
Day Three: Second Generation Exotics, Pricing and Hedging issues
- KIKO, TARF, TARN, Accumulators
- Multi Currency Exotics: Managing Correlation
- Quantitative Issues: Basket Options with Smile
Your expert trainer:
Professor Uwe Wystup is an extremely experienced practitioner in the field of foreign exchange options, a senior academic and a highly engaging trainer. He has worked as financial engineer, trader and structurer at Deutsche Bank, Citibank, UBS, Sal. Oppenheim and Commerzbank. He is also a Professor of Quantitative Finance at Frankfurt School of Finance and Management. He is founder and managing director of MathFinance AG, a global team of financial engineers providing consulting and software for FX options desks. Uwe earned a Doctor of Philosophy in Mathematical Finance from Carnegie Mellon University, Pittsburgh, where he is also a visiting professor.
As an FX Options international expert in both academia and practice, Uwe is well known for his many publications on FX exotics and related topics. His 2002 book on Foreign Exchange Risk has become a market standard. His new book on FX Options and Structured Products appeared in 2006 as part of the Willey Finance Series and a new one on modelling Foreign Exchange Options will appear in the same series soon.
Finance Focus
Event Notices
