| Mechanics, Main Uses and Pricing Methods of Standard and Exotic Forex Options |
| ▪ | Quoting FX options
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| ▪ | Black & Scholes model
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| ▪ | Traditional Black&Scholes approach adapted to FX options: Garman-Kohlhagen
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| ▪ | Fundamentals of exotic option pricing
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| ▪ | Practical approach
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| ▪ | Valuing exotic options (digital, barriers etc.) |
| Risk management of an FX options Book (vanilla and exotic) |
| ▪ | Management of sensitivities
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| ▪ | Sensitivities to various parameters: delta, gamma, vega, theta, rhoa, rhob
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| ▪ | Practical workshop
. Calculate the maximum loss, the guaranteed effective rate and the breakeven point(s) of the main strategies
. Calculate breakeven points for exotic options |
| The structured FX product market and its mechanics |
| ▪ | Structuring process
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| ▪ | Which products to cover which needs? |
| Hedging Strategies |
| ▪ | Risk analysis by product
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| ▪ | Analysed products
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| . | Forward-rate Accumulator
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| . | Multi-scenarios forward |
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| In-depth analysis of structured products |
| ▪ | Participating Forward
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| ▪ | Forward-rate Accumulator and Corridor
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| ▪ | Dual Currency Deposit
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| ▪ | Digitals
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| ▪ | For each product:
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| . | Principles and examples of uses
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| . | Structuring the product
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| . | Approaching customers and explaining the risks |
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| “Callable” and “Revolving” Products:
Implementation and Risk Analysis (Revolving Forward) |
| ▪ | Practical workshop
. Hedging trade flows, alternatives and results analysis |
| Structured Product Strategies |
| ▪ | Analysed products:
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| . | Guaranteed capital products
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| . | Non garanteed capital products |
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