Foreign exchange derivatives and structured products

Valuation of Forex derivatives and structured products

  2 days
Course objectives

  • Control management sensitivity of a portfolio of vanilla options
  • Master first generation exotics
  • Know how to structure hedging and investment products
Course content

Reminders

  • FX market
  • Forward determination
  • Options and volatility
  • Put-Call Parity

Case Study: Put-call parity and time value

  • Quotation of a FX option

Case Study: Quotation of the notional amount of the premium in the 2 currencies

  • American / European Options

Option pricing and risk management

  • Elements of pricing
  • Sensitivities (Greeks)
  • Delta neutral management

Case Study: Delta neutral hedging

  • Trader P/L and interdependence of Greeks
  • Straddles and strangles

Volatility, smile and skew

  • Historical volatility
  • Implied volatility and smile / skew
  • Smile and lognormality
  • Smile and dynamic supply / demand
  • Smile and volgamma
  • Trading of smile: Risk reversals and butterflies

First generation exotic options

  • Barrier options
  • Digitals
  • Other first generation exotics

Applications

  • Hedging Strategies
    • Participatory term
    • Activating /deactivating term
    • ABF

Case Study: Deactivating Term

  • Investment Strategies
    • Dual currency notes
    • Dual digital notes
    • Range deposit
    • Range accrual

Case Study: Dual currency notes




Patrice Robin

Patrice is an independent consultant on derivatives. Previously, Patrice spent 10 years in trading on interest rate derivatives, then structured products, swaps and vanilla options and became head of interest rate and inflation options in Santander Global Markets in London.

Patrice Robin also teaches :