Acquaint yourself with pricing software and market quotes. Build your own interpolation tool for volatility smile, calculate Greeks in terms of deltas, hedging volatility risk, deriving the strike from the delta with smile.

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Structure your own seagull. Calculate delta and vega hedge. Hedging a knock-out with a risk reversal.

Build your own semi-static hedging tool, discuss forward volatility risk. Super-Replication of barrier options: Mixing super-replication and vanna-volga.

How to construct the universe of barrier and touch options from key building blocks: Residual risk and limitations.

Static, semi-static and dynamic hedging approaches. Structure and price your own accumulative forward. Simulation tool for TRFs. Discussion of TRF hedging. Pricing and correlation hedging a two-currency best-of: A deep travel in the sneaky FX world, from the theoretical traps to the practical examples.

Commodity Markets and Structured Commodity Finance. Correlation Trading and Risk Management. Design, Pricing and Implementation. Trading and Managing Risk.

Home Courses Public Courses In-House Training Course Calendar Teaching team About us 20 Years of LFS Our History Resources LFS Live LFS Learning Useful Links Teaching Locations Careers with LFS Training Room Hire Videos Webcasts Yield Curves Contact. Course list Overview Teacher Outline FX Exotic Options Day One Review of the Fundamentals Fundamentals Components of foreign exchange risk: Acquaint yourself with pricing software and market quotes Volatility Implied vs.

Advanced FX Options & Structured Products | Euromoney Learning Solutions

SABR, vanna-volga, Reiswich-Wystup Forward volatility Workshop: Build your own interpolation tool for volatility smile, calculate Greeks in terms of deltas, hedging volatility risk, deriving the strike from the delta with smile Structuring with Vanilla Options Risk reversal and participating forward Spreads and seagulls Straddles, strangles, butterflies, condors Digital options Workshop: Analyze smile effect Day Two Structuring and Vanna-Volga-Pricing First Generation Exotics: Products, Pricing and Hedging Digital options: European and American style, single and double barrier Barrier options: Build your own semi-static hedging tool, discuss forward volatility risk Applications in Structuring Dual currency and other FX-linked deposits Structured forwards: Pricing of barrier options with smile Overview of Market Models Stochastic volatility models Heston Mixing super-replication and vanna-volga Day Three Second Generation Exotics, Pricing and Hedging issues The Pedigree of Barrier and Touch Options Workshop and Discussion: Static, semi-static and dynamic hedging approaches Single Currency Exotics beyond Standard Barrier and Touch Options Exotic features in vanilla options: Discussion of TRF hedging Multi-Currency Exotics Product overview with applications: Call now for more information on this course or to book: Extremely good professor Alessio Balestri, Quantitative Analyst, Mediobanca.

You may also be interested in Commodity Markets and Structured Commodity Finance Correlation Trading and Risk Management Equity Structured Products: Design, Pricing and Implementation Managing FX Risk Using Derivatives Volatility: All you need to know about our training facilities, travel and the local area.

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