| Mathematical Recap/Introduction to Options |
| ▪ | Key elements of option modelling
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| ▪ | Risk-neutral probability
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| ▪ | Replication portfolio
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| ▪ | Call/put parity
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| ▪ | Black & Scholes analytical formula
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| ▪ | ALternative approach (EDP, tree, Monte-Carlo)
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| ▪ | Black & Scholes applied to quanto products
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| ▪ | Practical Workshop
. Calculate vanilla call/put in EXCEL™
. Calculate digital options in EXCEL™
. Study the sensitivity of options to various parameters (Strike, maturity, volatility, interest rate…) |
| Structuring process: key-players and objectives |
| ▪ | The key-players
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| . | Structuring/Trading/Sales
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| . | Compliance/Legal/Fiscal
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| ▪ | Objectives/Types of product
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| . | Capital guaranteed/protected/not guaranteed
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| . | Dividend swaps, currency selection, off-shore and on-shore
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| ▪ | Practical Workshop
. Create an index for a guaranteed capital product |
| Secondary Market/Primary Market |
| ▪ | Issuer’s selection, listed options vs OTC
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| ▪ | Organisation of the secondary market (maintaining liquidity)
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| ▪ | Practical Workshop
. Issuer’s optimal choice/currencies |
| Determining Suitable Products |
| ▪ | Responding to clients’ needs: bull/bear
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| ▪ | Sophistication: plain vanilla/exotic
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| ▪ | Market driven
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| ▪ | Practical Workshop
. Picking a product under several constraints: availability, client expectations, etc. |
| Exotic Options |
| ▪ | Mathematical recap
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| ▪ | Monte-Carlo method and other numerical methods
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| ▪ | Estimating volatility and correlation
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| ▪ | Products: Reverse Convertible/Rainbow/Barrier/Variance Swap
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| ▪ | Risks of cancellable and autocall products
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| ▪ | Practical Workshop
. Calculate the price of a Revere Convertible and of a Rainbow
. Model and calculate the price of a variance swap |
| Risk Management |
| ▪ | Risk parameters
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| ▪ | Greeks: Vega, Gamma, Delta and their use in portfolio management
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| ▪ | Limitation sof delta-hedging and of Black & Scholes
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| ▪ | Case study
. Analyse mispricings
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| ▪ | Practical Workshop
. Find an optimal hedge |
