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Level

Intermediate

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

Duration

3 days

Overview

This workshop offers a unique opportunity to investigate the underlying theory and practical skills required to successfully manage portfolios of vanilla option instruments in the global foreign exchange market.

The workshop also examines best practices for structuring option-based solutions for corporate risk management.

Learning Outcomes

  • Identify stochastic processes of foreign exchange rates
  • Understand the logic of option models and dynamic asset replication
  • Critically assess the ‘Holes in Black-Scholes’
  • Understand and use the first and second order risk sensitivities of options
  • Structure option portfolios with desired risk characteristics
  • Design and interpret option risk reports
  • Identify and use latest techniques for estimating and trading volatility
  • Appreciate key market-making jargon and etiquette
  • Identify best practices for hedging and investing with options
  • Design and price appropriate option-based structures for hedging and investing
  • Profitably manage an option portfolio within pertinent risk limits
  • Identify the risk characteristics and applications of Asian and Barrier options

Fee

ZAR 12 950 + VAT

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