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Level

Intermediate

Beginners will be required to complete substantial pre-course work and an assessment

Duration

5 days

Overview

This is a unique opportunity to investigate the key skills required to set up and profitably manage currency options portfolios in a dynamic trading environment. The course will also examine how these instruments can be utilised in financial engineering to structure appropriate hedging and investment solutions.

Extensive use will be made of the globally popular FENICS™ foreign exchange options system for pricing, trading, and portfolio management simulations.

Learning Outcomes

  • Understand the theory and mathematics of options
  • Comprehend and manipulate the Garman Kohlhagen model
  • Identify and mitigate the risks of option portfolios
  • Trade volatility inter-bank and appreciate advanced volatility concepts e.g. the volatility ‘skew’
  • Appreciate the risks and reward characteristics of popular exotic options such as barriers and Asians
  • Engineer appropriate hedging and investment solutions for clients
  • Price and hedge option combinations